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 && delta.order.size.precision == 0 {
159            if let Some(delta) = chunk.get(1) {
160                return EncodeToRecordBatch::metadata(delta);
161            }
162        }
163
164        EncodeToRecordBatch::metadata(delta)
165    }
166}
167
168impl DecodeFromRecordBatch for OrderBookDelta {
169    fn decode_batch(
170        metadata: &HashMap<String, String>,
171        record_batch: RecordBatch,
172    ) -> Result<Vec<Self>, EncodingError> {
173        let (instrument_id, price_precision, size_precision) = parse_metadata(metadata)?;
174        let cols = record_batch.columns();
175
176        let action_values = extract_column::<UInt8Array>(cols, "action", 0, DataType::UInt8)?;
177        let side_values = extract_column::<UInt8Array>(cols, "side", 1, DataType::UInt8)?;
178        let price_values = extract_column::<FixedSizeBinaryArray>(
179            cols,
180            "price",
181            2,
182            DataType::FixedSizeBinary(PRECISION_BYTES),
183        )?;
184        let size_values = extract_column::<FixedSizeBinaryArray>(
185            cols,
186            "size",
187            3,
188            DataType::FixedSizeBinary(PRECISION_BYTES),
189        )?;
190        let order_id_values = extract_column::<UInt64Array>(cols, "order_id", 4, DataType::UInt64)?;
191        let flags_values = extract_column::<UInt8Array>(cols, "flags", 5, DataType::UInt8)?;
192        let sequence_values = extract_column::<UInt64Array>(cols, "sequence", 6, DataType::UInt64)?;
193        let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 7, DataType::UInt64)?;
194        let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 8, DataType::UInt64)?;
195
196        assert_eq!(
197            price_values.value_length(),
198            PRECISION_BYTES,
199            "Price precision uses {PRECISION_BYTES} byte value"
200        );
201
202        let result: Result<Vec<Self>, EncodingError> = (0..record_batch.num_rows())
203            .map(|i| {
204                let action_value = action_values.value(i);
205                let action = BookAction::from_u8(action_value).ok_or_else(|| {
206                    EncodingError::ParseError(
207                        stringify!(BookAction),
208                        format!("Invalid enum value, was {action_value}"),
209                    )
210                })?;
211                let side_value = side_values.value(i);
212                let side = OrderSide::from_u8(side_value).ok_or_else(|| {
213                    EncodingError::ParseError(
214                        stringify!(OrderSide),
215                        format!("Invalid enum value, was {side_value}"),
216                    )
217                })?;
218                let price = Price::from_raw(get_raw_price(price_values.value(i)), price_precision);
219                let size =
220                    Quantity::from_raw(get_raw_quantity(size_values.value(i)), size_precision);
221                let order_id = order_id_values.value(i);
222                let flags = flags_values.value(i);
223                let sequence = sequence_values.value(i);
224                let ts_event = ts_event_values.value(i).into();
225                let ts_init = ts_init_values.value(i).into();
226
227                Ok(Self {
228                    instrument_id,
229                    action,
230                    order: BookOrder {
231                        side,
232                        price,
233                        size,
234                        order_id,
235                    },
236                    flags,
237                    sequence,
238                    ts_event,
239                    ts_init,
240                })
241            })
242            .collect();
243
244        result
245    }
246}
247
248impl DecodeDataFromRecordBatch for OrderBookDelta {
249    fn decode_data_batch(
250        metadata: &HashMap<String, String>,
251        record_batch: RecordBatch,
252    ) -> Result<Vec<Data>, EncodingError> {
253        let deltas: Vec<Self> = Self::decode_batch(metadata, record_batch)?;
254        Ok(deltas.into_iter().map(Data::from).collect())
255    }
256}
257
258////////////////////////////////////////////////////////////////////////////////
259// Tests
260////////////////////////////////////////////////////////////////////////////////
261#[cfg(test)]
262mod tests {
263    use std::sync::Arc;
264
265    use arrow::{array::Array, record_batch::RecordBatch};
266    use nautilus_model::types::{fixed::FIXED_SCALAR, price::PriceRaw};
267    use pretty_assertions::assert_eq;
268    use rstest::rstest;
269
270    use super::*;
271    use crate::arrow::get_raw_price;
272
273    #[rstest]
274    fn test_get_schema() {
275        let instrument_id = InstrumentId::from("AAPL.XNAS");
276        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
277        let schema = OrderBookDelta::get_schema(Some(metadata.clone()));
278
279        let expected_fields = vec![
280            Field::new("action", DataType::UInt8, false),
281            Field::new("side", DataType::UInt8, false),
282            Field::new("price", DataType::FixedSizeBinary(PRECISION_BYTES), false),
283            Field::new("size", DataType::FixedSizeBinary(PRECISION_BYTES), false),
284            Field::new("order_id", DataType::UInt64, false),
285            Field::new("flags", DataType::UInt8, false),
286            Field::new("sequence", DataType::UInt64, false),
287            Field::new("ts_event", DataType::UInt64, false),
288            Field::new("ts_init", DataType::UInt64, false),
289        ];
290
291        let expected_schema = Schema::new_with_metadata(expected_fields, metadata);
292        assert_eq!(schema, expected_schema);
293    }
294
295    #[rstest]
296    fn test_get_schema_map() {
297        let schema_map = OrderBookDelta::get_schema_map();
298        let fixed_size_binary = format!("FixedSizeBinary({PRECISION_BYTES})");
299
300        assert_eq!(schema_map.get("action").unwrap(), "UInt8");
301        assert_eq!(schema_map.get("side").unwrap(), "UInt8");
302        assert_eq!(*schema_map.get("price").unwrap(), fixed_size_binary.clone());
303        assert_eq!(*schema_map.get("size").unwrap(), fixed_size_binary);
304        assert_eq!(schema_map.get("order_id").unwrap(), "UInt64");
305        assert_eq!(schema_map.get("flags").unwrap(), "UInt8");
306        assert_eq!(schema_map.get("sequence").unwrap(), "UInt64");
307        assert_eq!(schema_map.get("ts_event").unwrap(), "UInt64");
308        assert_eq!(schema_map.get("ts_init").unwrap(), "UInt64");
309    }
310
311    #[rstest]
312    fn test_encode_batch() {
313        let instrument_id = InstrumentId::from("AAPL.XNAS");
314        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
315
316        let delta1 = OrderBookDelta {
317            instrument_id,
318            action: BookAction::Add,
319            order: BookOrder {
320                side: OrderSide::Buy,
321                price: Price::from("100.10"),
322                size: Quantity::from(100),
323                order_id: 1,
324            },
325            flags: 0,
326            sequence: 1,
327            ts_event: 1.into(),
328            ts_init: 3.into(),
329        };
330
331        let delta2 = OrderBookDelta {
332            instrument_id,
333            action: BookAction::Update,
334            order: BookOrder {
335                side: OrderSide::Sell,
336                price: Price::from("101.20"),
337                size: Quantity::from(200),
338                order_id: 2,
339            },
340            flags: 1,
341            sequence: 2,
342            ts_event: 2.into(),
343            ts_init: 4.into(),
344        };
345
346        let data = vec![delta1, delta2];
347        let record_batch = OrderBookDelta::encode_batch(&metadata, &data).unwrap();
348
349        let columns = record_batch.columns();
350        let action_values = columns[0].as_any().downcast_ref::<UInt8Array>().unwrap();
351        let side_values = columns[1].as_any().downcast_ref::<UInt8Array>().unwrap();
352        let price_values = columns[2]
353            .as_any()
354            .downcast_ref::<FixedSizeBinaryArray>()
355            .unwrap();
356        let size_values = columns[3]
357            .as_any()
358            .downcast_ref::<FixedSizeBinaryArray>()
359            .unwrap();
360        let order_id_values = columns[4].as_any().downcast_ref::<UInt64Array>().unwrap();
361        let flags_values = columns[5].as_any().downcast_ref::<UInt8Array>().unwrap();
362        let sequence_values = columns[6].as_any().downcast_ref::<UInt64Array>().unwrap();
363        let ts_event_values = columns[7].as_any().downcast_ref::<UInt64Array>().unwrap();
364        let ts_init_values = columns[8].as_any().downcast_ref::<UInt64Array>().unwrap();
365
366        assert_eq!(columns.len(), 9);
367        assert_eq!(action_values.len(), 2);
368        assert_eq!(action_values.value(0), 1);
369        assert_eq!(action_values.value(1), 2);
370        assert_eq!(side_values.len(), 2);
371        assert_eq!(side_values.value(0), 1);
372        assert_eq!(side_values.value(1), 2);
373
374        assert_eq!(price_values.len(), 2);
375        assert_eq!(
376            get_raw_price(price_values.value(0)),
377            (100.10 * FIXED_SCALAR) as PriceRaw
378        );
379        assert_eq!(
380            get_raw_price(price_values.value(1)),
381            (101.20 * FIXED_SCALAR) as PriceRaw
382        );
383
384        assert_eq!(size_values.len(), 2);
385        assert_eq!(
386            get_raw_price(size_values.value(0)),
387            (100.0 * FIXED_SCALAR) as PriceRaw
388        );
389        assert_eq!(
390            get_raw_price(size_values.value(1)),
391            (200.0 * FIXED_SCALAR) as PriceRaw
392        );
393        assert_eq!(order_id_values.len(), 2);
394        assert_eq!(order_id_values.value(0), 1);
395        assert_eq!(order_id_values.value(1), 2);
396        assert_eq!(flags_values.len(), 2);
397        assert_eq!(flags_values.value(0), 0);
398        assert_eq!(flags_values.value(1), 1);
399        assert_eq!(sequence_values.len(), 2);
400        assert_eq!(sequence_values.value(0), 1);
401        assert_eq!(sequence_values.value(1), 2);
402        assert_eq!(ts_event_values.len(), 2);
403        assert_eq!(ts_event_values.value(0), 1);
404        assert_eq!(ts_event_values.value(1), 2);
405        assert_eq!(ts_init_values.len(), 2);
406        assert_eq!(ts_init_values.value(0), 3);
407        assert_eq!(ts_init_values.value(1), 4);
408    }
409
410    #[rstest]
411    fn test_decode_batch() {
412        let instrument_id = InstrumentId::from("AAPL.XNAS");
413        let metadata = OrderBookDelta::get_metadata(&instrument_id, 2, 0);
414
415        let action = UInt8Array::from(vec![1, 2]);
416        let side = UInt8Array::from(vec![1, 1]);
417        let price = FixedSizeBinaryArray::from(vec![
418            &((101.10 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
419            &((101.20 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
420        ]);
421        let size = FixedSizeBinaryArray::from(vec![
422            &((10000.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
423            &((9000.0 * FIXED_SCALAR) as PriceRaw).to_le_bytes(),
424        ]);
425        let order_id = UInt64Array::from(vec![1, 2]);
426        let flags = UInt8Array::from(vec![0, 0]);
427        let sequence = UInt64Array::from(vec![1, 2]);
428        let ts_event = UInt64Array::from(vec![1, 2]);
429        let ts_init = UInt64Array::from(vec![3, 4]);
430
431        let record_batch = RecordBatch::try_new(
432            OrderBookDelta::get_schema(Some(metadata.clone())).into(),
433            vec![
434                Arc::new(action),
435                Arc::new(side),
436                Arc::new(price),
437                Arc::new(size),
438                Arc::new(order_id),
439                Arc::new(flags),
440                Arc::new(sequence),
441                Arc::new(ts_event),
442                Arc::new(ts_init),
443            ],
444        )
445        .unwrap();
446
447        let decoded_data = OrderBookDelta::decode_batch(&metadata, record_batch).unwrap();
448        assert_eq!(decoded_data.len(), 2);
449    }
450}
nautilus_serialization/arrow/delta.rs

nautilus_serialization/arrow/
delta.rs
