nautilus_serialization/arrow/
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, str::FromStr, sync::Arc};
17
18use arrow::{
19    array::{FixedSizeBinaryArray, FixedSizeBinaryBuilder, UInt8Array, UInt64Array},
20    datatypes::{DataType, Field, Schema},
21    error::ArrowError,
22    record_batch::RecordBatch,
23};
24use nautilus_model::{
25    data::{BookOrder, OrderBookDelta},
26    enums::{BookAction, FromU8, OrderSide},
27    identifiers::InstrumentId,
28    types::{Price, Quantity, fixed::PRECISION_BYTES},
29};
30
31use super::{
32    DecodeDataFromRecordBatch, EncodingError, KEY_INSTRUMENT_ID, KEY_PRICE_PRECISION,
33    KEY_SIZE_PRECISION, extract_column,
34};
35use crate::arrow::{
36    ArrowSchemaProvider, Data, DecodeFromRecordBatch, EncodeToRecordBatch, get_raw_price,
37    get_raw_quantity,
38};
39
40impl ArrowSchemaProvider for OrderBookDelta {
41    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
42        let fields = vec![
43            Field::new("action", DataType::UInt8, false),
44            Field::new("side", DataType::UInt8, false),
45            Field::new("price", DataType::FixedSizeBinary(PRECISION_BYTES), false),
46            Field::new("size", DataType::FixedSizeBinary(PRECISION_BYTES), false),
47            Field::new("order_id", DataType::UInt64, false),
48            Field::new("flags", DataType::UInt8, false),
49            Field::new("sequence", DataType::UInt64, false),
50            Field::new("ts_event", DataType::UInt64, false),
51            Field::new("ts_init", DataType::UInt64, false),
52        ];
53
54        match metadata {
55            Some(metadata) => Schema::new_with_metadata(fields, metadata),
56            None => Schema::new(fields),
57        }
58    }
59}
60
61fn parse_metadata(
62    metadata: &HashMap<String, String>,
63) -> Result<(InstrumentId, u8, u8), EncodingError> {
64    let instrument_id_str = metadata
65        .get(KEY_INSTRUMENT_ID)
66        .ok_or_else(|| EncodingError::MissingMetadata(KEY_INSTRUMENT_ID))?;
67    let instrument_id = InstrumentId::from_str(instrument_id_str)
68        .map_err(|e| EncodingError::ParseError(KEY_INSTRUMENT_ID, e.to_string()))?;
69
70    let price_precision = metadata
71        .get(KEY_PRICE_PRECISION)
72        .ok_or_else(|| EncodingError::MissingMetadata(KEY_PRICE_PRECISION))?
73        .parse::<u8>()
74        .map_err(|e| EncodingError::ParseError(KEY_PRICE_PRECISION, e.to_string()))?;
75
76    let size_precision = metadata
77        .get(KEY_SIZE_PRECISION)
78        .ok_or_else(|| EncodingError::MissingMetadata(KEY_SIZE_PRECISION))?
79        .parse::<u8>()
80        .map_err(|e| EncodingError::ParseError(KEY_SIZE_PRECISION, e.to_string()))?;
81
82    Ok((instrument_id, price_precision, size_precision))
83}
84
85impl EncodeToRecordBatch for OrderBookDelta {
86    fn encode_batch(
87        metadata: &HashMap<String, String>,
88        data: &[Self],
89    ) -> Result<RecordBatch, ArrowError> {
90        let mut action_builder = UInt8Array::builder(data.len());
91        let mut side_builder = UInt8Array::builder(data.len());
92        let mut price_builder = FixedSizeBinaryBuilder::with_capacity(data.len(), PRECISION_BYTES);
93        let mut size_builder = FixedSizeBinaryBuilder::with_capacity(data.len(), PRECISION_BYTES);
94        let mut order_id_builder = UInt64Array::builder(data.len());
95        let mut flags_builder = UInt8Array::builder(data.len());
96        let mut sequence_builder = UInt64Array::builder(data.len());
97        let mut ts_event_builder = UInt64Array::builder(data.len());
98        let mut ts_init_builder = UInt64Array::builder(data.len());
99
100        for delta in data {
101            action_builder.append_value(delta.action as u8);
102            side_builder.append_value(delta.order.side as u8);
103            price_builder
104                .append_value(delta.order.price.raw.to_le_bytes())
105                .unwrap();
106            size_builder
107                .append_value(delta.order.size.raw.to_le_bytes())
108                .unwrap();
109            order_id_builder.append_value(delta.order.order_id);
110            flags_builder.append_value(delta.flags);
111            sequence_builder.append_value(delta.sequence);
112            ts_event_builder.append_value(delta.ts_event.as_u64());
113            ts_init_builder.append_value(delta.ts_init.as_u64());
114        }
115
116        let action_array = action_builder.finish();
117        let side_array = side_builder.finish();
118        let price_array = price_builder.finish();
119        let size_array = size_builder.finish();
120        let order_id_array = order_id_builder.finish();
121        let flags_array = flags_builder.finish();
122        let sequence_array = sequence_builder.finish();
123        let ts_event_array = ts_event_builder.finish();
124        let ts_init_array = ts_init_builder.finish();
125
126        RecordBatch::try_new(
127            Self::get_schema(Some(metadata.clone())).into(),
128            vec![
129                Arc::new(action_array),
130                Arc::new(side_array),
131                Arc::new(price_array),
132                Arc::new(size_array),
133                Arc::new(order_id_array),
134                Arc::new(flags_array),
135                Arc::new(sequence_array),
136                Arc::new(ts_event_array),
137                Arc::new(ts_init_array),
138            ],
139        )
140    }
141
142    fn metadata(&self) -> HashMap<String, String> {
143        OrderBookDelta::get_metadata(
144            &self.instrument_id,
145            self.order.price.precision,
146            self.order.size.precision,
147        )
148    }
149
150    /// Extract metadata from first two deltas
151    ///
152    /// Use the second delta if the first one has 0 precision
153    fn chunk_metadata(chunk: &[Self]) -> HashMap<String, String> {
154        let delta = chunk
155            .first()
156            .expect("Chunk should have at least one element to encode");
157
158        if delta.order.price.precision == 0
159            && delta.order.size.precision == 0
160            && let Some(delta) = chunk.get(1)
161        {
162            return EncodeToRecordBatch::metadata(delta);
163        }
164
165        EncodeToRecordBatch::metadata(delta)
166    }
167}
168
169impl DecodeFromRecordBatch for OrderBookDelta {
170    fn decode_batch(
171        metadata: &HashMap<String, String>,
172        record_batch: RecordBatch,
173    ) -> Result<Vec<Self>, EncodingError> {
174        let (instrument_id, price_precision, size_precision) = parse_metadata(metadata)?;
175        let cols = record_batch.columns();
176
177        let action_values = extract_column::<UInt8Array>(cols, "action", 0, DataType::UInt8)?;
178        let side_values = extract_column::<UInt8Array>(cols, "side", 1, DataType::UInt8)?;
179        let price_values = extract_column::<FixedSizeBinaryArray>(
180            cols,
181            "price",
182            2,
183            DataType::FixedSizeBinary(PRECISION_BYTES),
184        )?;
185        let size_values = extract_column::<FixedSizeBinaryArray>(
186            cols,
187            "size",
188            3,
189            DataType::FixedSizeBinary(PRECISION_BYTES),
190        )?;
191        let order_id_values = extract_column::<UInt64Array>(cols, "order_id", 4, DataType::UInt64)?;
192        let flags_values = extract_column::<UInt8Array>(cols, "flags", 5, DataType::UInt8)?;
193        let sequence_values = extract_column::<UInt64Array>(cols, "sequence", 6, DataType::UInt64)?;
194        let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 7, DataType::UInt64)?;
195        let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 8, DataType::UInt64)?;
196
197        assert_eq!(
198            price_values.value_length(),
199            PRECISION_BYTES,
200            "Price precision uses {PRECISION_BYTES} byte value"
201        );
202
203        let result: Result<Vec<Self>, EncodingError> = (0..record_batch.num_rows())
204            .map(|i| {
205                let action_value = action_values.value(i);
206                let action = BookAction::from_u8(action_value).ok_or_else(|| {
207                    EncodingError::ParseError(
208                        stringify!(BookAction),
209                        format!("Invalid enum value, was {action_value}"),
210                    )
211                })?;
212                let side_value = side_values.value(i);
213                let side = OrderSide::from_u8(side_value).ok_or_else(|| {
214                    EncodingError::ParseError(
215                        stringify!(OrderSide),
216                        format!("Invalid enum value, was {side_value}"),
217                    )
218                })?;
219                let price = Price::from_raw(get_raw_price(price_values.value(i)), price_precision);
220                let size =
221                    Quantity::from_raw(get_raw_quantity(size_values.value(i)), size_precision);
222                let order_id = order_id_values.value(i);
223                let flags = flags_values.value(i);
224                let sequence = sequence_values.value(i);
225                let ts_event = ts_event_values.value(i).into();
226                let ts_init = ts_init_values.value(i).into();
227
228                Ok(Self {
229                    instrument_id,
230                    action,
231                    order: BookOrder {
232                        side,
233                        price,
234                        size,
235                        order_id,
236                    },
237                    flags,
238                    sequence,
239                    ts_event,
240                    ts_init,
241                })
242            })
243            .collect();
244
245        result
246    }
247}
248
249impl DecodeDataFromRecordBatch for OrderBookDelta {
250    fn decode_data_batch(
251        metadata: &HashMap<String, String>,
252        record_batch: RecordBatch,
253    ) -> Result<Vec<Data>, EncodingError> {
254        let deltas: Vec<Self> = Self::decode_batch(metadata, record_batch)?;
255        Ok(deltas.into_iter().map(Data::from).collect())
256    }
257}
258
259////////////////////////////////////////////////////////////////////////////////
260// Tests
261////////////////////////////////////////////////////////////////////////////////
262#[cfg(test)]
263mod tests {
264    use std::sync::Arc;
265
266    use arrow::{array::Array, record_batch::RecordBatch};
267    use nautilus_model::types::{fixed::FIXED_SCALAR, price::PriceRaw};
268    use pretty_assertions::assert_eq;
269    use rstest::rstest;
270
271    use super::*;
272    use crate::arrow::get_raw_price;
273
274    #[rstest]
275    fn test_get_schema() {
276        let instrument_id = InstrumentId::from("AAPL.XNAS");
277        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
278        let schema = OrderBookDelta::get_schema(Some(metadata.clone()));
279
280        let expected_fields = vec![
281            Field::new("action", DataType::UInt8, false),
282            Field::new("side", DataType::UInt8, false),
283            Field::new("price", DataType::FixedSizeBinary(PRECISION_BYTES), false),
284            Field::new("size", DataType::FixedSizeBinary(PRECISION_BYTES), false),
285            Field::new("order_id", DataType::UInt64, false),
286            Field::new("flags", DataType::UInt8, false),
287            Field::new("sequence", DataType::UInt64, false),
288            Field::new("ts_event", DataType::UInt64, false),
289            Field::new("ts_init", DataType::UInt64, false),
290        ];
291
292        let expected_schema = Schema::new_with_metadata(expected_fields, metadata);
293        assert_eq!(schema, expected_schema);
294    }
295
296    #[rstest]
297    fn test_get_schema_map() {
298        let schema_map = OrderBookDelta::get_schema_map();
299        let fixed_size_binary = format!("FixedSizeBinary({PRECISION_BYTES})");
300
301        assert_eq!(schema_map.get("action").unwrap(), "UInt8");
302        assert_eq!(schema_map.get("side").unwrap(), "UInt8");
303        assert_eq!(*schema_map.get("price").unwrap(), fixed_size_binary.clone());
304        assert_eq!(*schema_map.get("size").unwrap(), fixed_size_binary);
305        assert_eq!(schema_map.get("order_id").unwrap(), "UInt64");
306        assert_eq!(schema_map.get("flags").unwrap(), "UInt8");
307        assert_eq!(schema_map.get("sequence").unwrap(), "UInt64");
308        assert_eq!(schema_map.get("ts_event").unwrap(), "UInt64");
309        assert_eq!(schema_map.get("ts_init").unwrap(), "UInt64");
310    }
311
312    #[rstest]
313    fn test_encode_batch() {
314        let instrument_id = InstrumentId::from("AAPL.XNAS");
315        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
316
317        let delta1 = OrderBookDelta {
318            instrument_id,
319            action: BookAction::Add,
320            order: BookOrder {
321                side: OrderSide::Buy,
322                price: Price::from("100.10"),
323                size: Quantity::from(100),
324                order_id: 1,
325            },
326            flags: 0,
327            sequence: 1,
328            ts_event: 1.into(),
329            ts_init: 3.into(),
330        };
331
332        let delta2 = OrderBookDelta {
333            instrument_id,
334            action: BookAction::Update,
335            order: BookOrder {
336                side: OrderSide::Sell,
337                price: Price::from("101.20"),
338                size: Quantity::from(200),
339                order_id: 2,
340            },
341            flags: 1,
342            sequence: 2,
343            ts_event: 2.into(),
344            ts_init: 4.into(),
345        };
346
347        let data = vec![delta1, delta2];
348        let record_batch = OrderBookDelta::encode_batch(&metadata, &data).unwrap();
349
350        let columns = record_batch.columns();
351        let action_values = columns[0].as_any().downcast_ref::<UInt8Array>().unwrap();
352        let side_values = columns[1].as_any().downcast_ref::<UInt8Array>().unwrap();
353        let price_values = columns[2]
354            .as_any()
355            .downcast_ref::<FixedSizeBinaryArray>()
356            .unwrap();
357        let size_values = columns[3]
358            .as_any()
359            .downcast_ref::<FixedSizeBinaryArray>()
360            .unwrap();
361        let order_id_values = columns[4].as_any().downcast_ref::<UInt64Array>().unwrap();
362        let flags_values = columns[5].as_any().downcast_ref::<UInt8Array>().unwrap();
363        let sequence_values = columns[6].as_any().downcast_ref::<UInt64Array>().unwrap();
364        let ts_event_values = columns[7].as_any().downcast_ref::<UInt64Array>().unwrap();
365        let ts_init_values = columns[8].as_any().downcast_ref::<UInt64Array>().unwrap();
366
367        assert_eq!(columns.len(), 9);
368        assert_eq!(action_values.len(), 2);
369        assert_eq!(action_values.value(0), 1);
370        assert_eq!(action_values.value(1), 2);
371        assert_eq!(side_values.len(), 2);
372        assert_eq!(side_values.value(0), 1);
373        assert_eq!(side_values.value(1), 2);
374
375        assert_eq!(price_values.len(), 2);
376        assert_eq!(
377            get_raw_price(price_values.value(0)),
378            (100.10 * FIXED_SCALAR) as PriceRaw
379        );
380        assert_eq!(
381            get_raw_price(price_values.value(1)),
382            (101.20 * FIXED_SCALAR) as PriceRaw
383        );
384
385        assert_eq!(size_values.len(), 2);
386        assert_eq!(
387            get_raw_price(size_values.value(0)),
388            (100.0 * FIXED_SCALAR) as PriceRaw
389        );
390        assert_eq!(
391            get_raw_price(size_values.value(1)),
392            (200.0 * FIXED_SCALAR) as PriceRaw
393        );
394        assert_eq!(order_id_values.len(), 2);
395        assert_eq!(order_id_values.value(0), 1);
396        assert_eq!(order_id_values.value(1), 2);
397        assert_eq!(flags_values.len(), 2);
398        assert_eq!(flags_values.value(0), 0);
399        assert_eq!(flags_values.value(1), 1);
400        assert_eq!(sequence_values.len(), 2);
401        assert_eq!(sequence_values.value(0), 1);
402        assert_eq!(sequence_values.value(1), 2);
403        assert_eq!(ts_event_values.len(), 2);
404        assert_eq!(ts_event_values.value(0), 1);
405        assert_eq!(ts_event_values.value(1), 2);
406        assert_eq!(ts_init_values.len(), 2);
407        assert_eq!(ts_init_values.value(0), 3);
408        assert_eq!(ts_init_values.value(1), 4);
409    }
410
411    #[rstest]
412    fn test_decode_batch() {
413        let instrument_id = InstrumentId::from("AAPL.XNAS");
414        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
415
416        let action = UInt8Array::from(vec![1, 2]);
417        let side = UInt8Array::from(vec![1, 1]);
418        let price = FixedSizeBinaryArray::from(vec![
419            &((101.10 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
420            &((101.20 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
421        ]);
422        let size = FixedSizeBinaryArray::from(vec![
423            &((10000.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
424            &((9000.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
425        ]);
426        let order_id = UInt64Array::from(vec![1, 2]);
427        let flags = UInt8Array::from(vec![0, 0]);
428        let sequence = UInt64Array::from(vec![1, 2]);
429        let ts_event = UInt64Array::from(vec![1, 2]);
430        let ts_init = UInt64Array::from(vec![3, 4]);
431
432        let record_batch = RecordBatch::try_new(
433            OrderBookDelta::get_schema(Some(metadata.clone())).into(),
434            vec![
435                Arc::new(action),
436                Arc::new(side),
437                Arc::new(price),
438                Arc::new(size),
439                Arc::new(order_id),
440                Arc::new(flags),
441                Arc::new(sequence),
442                Arc::new(ts_event),
443                Arc::new(ts_init),
444            ],
445        )
446        .unwrap();
447
448        let decoded_data = OrderBookDelta::decode_batch(&metadata, record_batch).unwrap();
449        assert_eq!(decoded_data.len(), 2);
450    }
451}
nautilus_serialization/arrow/delta.rs

nautilus_serialization/arrow/
delta.rs
