nautilus_serialization/arrow/instrument/
cfd.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 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
16//! Arrow serialization for Cfd instruments.
17
18use std::{borrow::Borrow, collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{Array, StringArray, StringBuilder, UInt8Array, UInt64Array},
22    datatypes::{DataType, Field, Schema},
23    error::ArrowError,
24    record_batch::RecordBatch,
25};
26use nautilus_core::{Params, UnixNanos};
27use nautilus_model::{
28    enums::AssetClass,
29    identifiers::{InstrumentId, Symbol},
30    instruments::cfd::Cfd,
31    types::{money::Money, price::Price, quantity::Quantity},
32};
33use rust_decimal::Decimal;
34
35use super::validate_required_instrument_columns;
36use crate::arrow::{
37    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
38    KEY_PRICE_PRECISION, extract_column, extract_column_by_name,
39    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
40    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
41    timestamp_data_type,
42};
43
44impl ArrowSchemaProvider for Cfd {
45    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
46        let fields = vec![
47            Field::new("id", DataType::Utf8, false),
48            Field::new("raw_symbol", DataType::Utf8, false),
49            Field::new("asset_class", DataType::Utf8, false),
50            Field::new("base_currency", DataType::Utf8, true), // nullable
51            Field::new("quote_currency", DataType::Utf8, false),
52            Field::new("price_precision", DataType::UInt8, false),
53            Field::new("size_precision", DataType::UInt8, false),
54            Field::new("price_increment", DataType::Utf8, false),
55            Field::new("size_increment", DataType::Utf8, false),
56            Field::new("lot_size", DataType::Utf8, true), // nullable
57            Field::new("max_quantity", DataType::Utf8, true), // nullable
58            Field::new("min_quantity", DataType::Utf8, true), // nullable
59            Field::new("max_notional", DataType::Utf8, true), // nullable
60            Field::new("min_notional", DataType::Utf8, true), // nullable
61            Field::new("max_price", DataType::Utf8, true), // nullable
62            Field::new("min_price", DataType::Utf8, true), // nullable
63            Field::new("margin_init", DataType::Utf8, false),
64            Field::new("margin_maint", DataType::Utf8, false),
65            Field::new("tick_scheme", DataType::Utf8, true),
66            json_string_field("info", true),
67            Field::new("ts_event", timestamp_data_type(), false),
68            Field::new("ts_init", timestamp_data_type(), false),
69        ];
70
71        Schema::new_with_metadata(fields, metadata_with_type_name("Cfd", metadata))
72    }
73}
74
75impl EncodeToRecordBatch for Cfd {
76    fn encode_batch<T>(
77        #[allow(unused)] metadata: &HashMap<String, String>,
78        data: &[T],
79    ) -> Result<RecordBatch, ArrowError>
80    where
81        T: std::borrow::Borrow<Self>,
82    {
83        let mut id_builder = StringBuilder::new();
84        let mut raw_symbol_builder = StringBuilder::new();
85        let mut asset_class_builder = StringBuilder::new();
86        let mut base_currency_builder = StringBuilder::new();
87        let mut quote_currency_builder = StringBuilder::new();
88        let mut price_precision_builder = UInt8Array::builder(data.len());
89        let mut size_precision_builder = UInt8Array::builder(data.len());
90        let mut price_increment_builder = StringBuilder::new();
91        let mut size_increment_builder = StringBuilder::new();
92        let mut lot_size_builder = StringBuilder::new();
93        let mut max_quantity_builder = StringBuilder::new();
94        let mut min_quantity_builder = StringBuilder::new();
95        let mut max_notional_builder = StringBuilder::new();
96        let mut min_notional_builder = StringBuilder::new();
97        let mut max_price_builder = StringBuilder::new();
98        let mut min_price_builder = StringBuilder::new();
99        let mut margin_init_builder = StringBuilder::new();
100        let mut margin_maint_builder = StringBuilder::new();
101        let mut tick_scheme_builder = StringBuilder::new();
102        let mut info_builder = StringBuilder::new();
103        let mut ts_event_builder = UInt64Array::builder(data.len());
104        let mut ts_init_builder = UInt64Array::builder(data.len());
105
106        for cfd in data.iter().map(Borrow::borrow) {
107            id_builder.append_value(cfd.id.to_string());
108            raw_symbol_builder.append_value(cfd.raw_symbol);
109            asset_class_builder.append_value(cfd.asset_class);
110
111            if let Some(base_cur) = cfd.base_currency {
112                base_currency_builder.append_value(base_cur.to_string());
113            } else {
114                base_currency_builder.append_null();
115            }
116
117            quote_currency_builder.append_value(cfd.quote_currency.to_string());
118            price_precision_builder.append_value(cfd.price_precision);
119            size_precision_builder.append_value(cfd.size_precision);
120            price_increment_builder.append_value(cfd.price_increment.to_string());
121            size_increment_builder.append_value(cfd.size_increment.to_string());
122
123            if let Some(lot_size) = cfd.lot_size {
124                lot_size_builder.append_value(lot_size.to_string());
125            } else {
126                lot_size_builder.append_null();
127            }
128
129            if let Some(max_qty) = cfd.max_quantity {
130                max_quantity_builder.append_value(max_qty.to_string());
131            } else {
132                max_quantity_builder.append_null();
133            }
134
135            if let Some(min_qty) = cfd.min_quantity {
136                min_quantity_builder.append_value(min_qty.to_string());
137            } else {
138                min_quantity_builder.append_null();
139            }
140
141            if let Some(max_not) = cfd.max_notional {
142                max_notional_builder.append_value(max_not.to_string());
143            } else {
144                max_notional_builder.append_null();
145            }
146
147            if let Some(min_not) = cfd.min_notional {
148                min_notional_builder.append_value(min_not.to_string());
149            } else {
150                min_notional_builder.append_null();
151            }
152
153            if let Some(max_p) = cfd.max_price {
154                max_price_builder.append_value(max_p.to_string());
155            } else {
156                max_price_builder.append_null();
157            }
158
159            if let Some(min_p) = cfd.min_price {
160                min_price_builder.append_value(min_p.to_string());
161            } else {
162                min_price_builder.append_null();
163            }
164
165            margin_init_builder.append_value(cfd.margin_init.to_string());
166            margin_maint_builder.append_value(cfd.margin_maint.to_string());
167
168            if let Some(tick_scheme) = cfd.tick_scheme {
169                tick_scheme_builder.append_value(tick_scheme);
170            } else {
171                tick_scheme_builder.append_null();
172            }
173
174            if let Some(ref info) = cfd.info {
175                match serde_json::to_string(info) {
176                    Ok(json) => {
177                        info_builder.append_value(json);
178                    }
179                    Err(e) => {
180                        return Err(ArrowError::InvalidArgumentError(format!(
181                            "Failed to serialize info dict to JSON: {e}"
182                        )));
183                    }
184                }
185            } else {
186                info_builder.append_null();
187            }
188
189            ts_event_builder.append_value(cfd.ts_event.as_u64());
190            ts_init_builder.append_value(cfd.ts_init.as_u64());
191        }
192
193        record_batch_with_timestamps(
194            Self::get_schema(Some(metadata.clone())).into(),
195            vec![
196                Arc::new(id_builder.finish()),
197                Arc::new(raw_symbol_builder.finish()),
198                Arc::new(asset_class_builder.finish()),
199                Arc::new(base_currency_builder.finish()),
200                Arc::new(quote_currency_builder.finish()),
201                Arc::new(price_precision_builder.finish()),
202                Arc::new(size_precision_builder.finish()),
203                Arc::new(price_increment_builder.finish()),
204                Arc::new(size_increment_builder.finish()),
205                Arc::new(lot_size_builder.finish()),
206                Arc::new(max_quantity_builder.finish()),
207                Arc::new(min_quantity_builder.finish()),
208                Arc::new(max_notional_builder.finish()),
209                Arc::new(min_notional_builder.finish()),
210                Arc::new(max_price_builder.finish()),
211                Arc::new(min_price_builder.finish()),
212                Arc::new(margin_init_builder.finish()),
213                Arc::new(margin_maint_builder.finish()),
214                Arc::new(tick_scheme_builder.finish()),
215                Arc::new(info_builder.finish()),
216                Arc::new(ts_event_builder.finish()),
217                Arc::new(ts_init_builder.finish()),
218            ],
219        )
220    }
221
222    fn metadata(&self) -> HashMap<String, String> {
223        let mut metadata = HashMap::new();
224        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
225        metadata.insert(
226            KEY_PRICE_PRECISION.to_string(),
227            self.price_precision.to_string(),
228        );
229        metadata
230    }
231}
232
233/// Decodes [`Cfd`] instruments from a record batch.
234///
235/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
236///
237/// # Errors
238///
239/// Returns an error if the record batch cannot be decoded.
240///
241/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
242pub fn decode_cfd_batch(
243    metadata: &HashMap<String, String>,
244    record_batch: &RecordBatch,
245) -> Result<Vec<Cfd>, EncodingError> {
246    validate_required_instrument_columns::<Cfd>(metadata, record_batch)?;
247    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
248    let record_batch = &record_batch;
249    let cols = record_batch.columns();
250    let num_rows = record_batch.num_rows();
251
252    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
253    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
254    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
255    let base_currency_values = cols
256        .get(3)
257        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 3))?;
258    let quote_currency_values =
259        extract_column::<StringArray>(cols, "quote_currency", 4, DataType::Utf8)?;
260    let price_precision_values =
261        extract_column::<UInt8Array>(cols, "price_precision", 5, DataType::UInt8)?;
262    let size_precision_values =
263        extract_column::<UInt8Array>(cols, "size_precision", 6, DataType::UInt8)?;
264    let price_increment_values =
265        extract_column::<StringArray>(cols, "price_increment", 7, DataType::Utf8)?;
266    let size_increment_values =
267        extract_column::<StringArray>(cols, "size_increment", 8, DataType::Utf8)?;
268    let lot_size_values = cols
269        .get(9)
270        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 9))?;
271    let max_quantity_values = cols
272        .get(10)
273        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 10))?;
274    let min_quantity_values = cols
275        .get(11)
276        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 11))?;
277    let max_notional_values = cols
278        .get(12)
279        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 12))?;
280    let min_notional_values = cols
281        .get(13)
282        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 13))?;
283    let max_price_values = cols
284        .get(14)
285        .ok_or_else(|| EncodingError::MissingColumn("max_price", 14))?;
286    let min_price_values = cols
287        .get(15)
288        .ok_or_else(|| EncodingError::MissingColumn("min_price", 15))?;
289    let margin_init_values =
290        extract_column::<StringArray>(cols, "margin_init", 16, DataType::Utf8)?;
291    let margin_maint_values =
292        extract_column::<StringArray>(cols, "margin_maint", 17, DataType::Utf8)?;
293    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
294    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
295    let ts_event_values =
296        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
297    let ts_init_values =
298        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
299
300    let mut result = Vec::with_capacity(num_rows);
301
302    for i in 0..num_rows {
303        let id = InstrumentId::from_str(id_values.value(i))
304            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
305        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
306        let asset_class = AssetClass::from_str(asset_class_values.value(i))
307            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
308
309        let base_currency = if base_currency_values.is_null(i) {
310            None
311        } else {
312            let base_cur_str = base_currency_values
313                .as_any()
314                .downcast_ref::<StringArray>()
315                .ok_or_else(|| {
316                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
317                })?
318                .value(i);
319            Some(super::decode_currency(
320                base_cur_str,
321                "base_currency",
322                "cfd.base_currency",
323                i,
324            )?)
325        };
326
327        let quote_currency = super::decode_currency(
328            quote_currency_values.value(i),
329            "quote_currency",
330            "cfd.quote_currency",
331            i,
332        )?;
333        let price_prec = price_precision_values.value(i);
334        let size_prec = size_precision_values.value(i);
335
336        let price_increment = Price::from_str(price_increment_values.value(i))
337            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
338        let size_increment = Quantity::from_str(size_increment_values.value(i))
339            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
340
341        let lot_size = if lot_size_values.is_null(i) {
342            None
343        } else {
344            let lot_size_str = lot_size_values
345                .as_any()
346                .downcast_ref::<StringArray>()
347                .ok_or_else(|| {
348                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
349                })?
350                .value(i);
351            Some(
352                Quantity::from_str(lot_size_str)
353                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
354            )
355        };
356
357        let max_quantity =
358            if max_quantity_values.is_null(i) {
359                None
360            } else {
361                let max_qty_str = max_quantity_values
362                    .as_any()
363                    .downcast_ref::<StringArray>()
364                    .ok_or_else(|| {
365                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
366                    })?
367                    .value(i);
368                Some(Quantity::from_str(max_qty_str).map_err(|e| {
369                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
370                })?)
371            };
372
373        let min_quantity =
374            if min_quantity_values.is_null(i) {
375                None
376            } else {
377                let min_qty_str = min_quantity_values
378                    .as_any()
379                    .downcast_ref::<StringArray>()
380                    .ok_or_else(|| {
381                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
382                    })?
383                    .value(i);
384                Some(Quantity::from_str(min_qty_str).map_err(|e| {
385                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
386                })?)
387            };
388
389        let max_notional =
390            if max_notional_values.is_null(i) {
391                None
392            } else {
393                let max_not_str = max_notional_values
394                    .as_any()
395                    .downcast_ref::<StringArray>()
396                    .ok_or_else(|| {
397                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
398                    })?
399                    .value(i);
400
401                Some(Money::from_str_exact(max_not_str).map_err(|e| {
402                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
403                })?)
404            };
405
406        let min_notional =
407            if min_notional_values.is_null(i) {
408                None
409            } else {
410                let min_not_str = min_notional_values
411                    .as_any()
412                    .downcast_ref::<StringArray>()
413                    .ok_or_else(|| {
414                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
415                    })?
416                    .value(i);
417
418                Some(Money::from_str_exact(min_not_str).map_err(|e| {
419                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
420                })?)
421            };
422
423        let max_price = if max_price_values.is_null(i) {
424            None
425        } else {
426            let max_p_str = max_price_values
427                .as_any()
428                .downcast_ref::<StringArray>()
429                .ok_or_else(|| {
430                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
431                })?
432                .value(i);
433            Some(
434                Price::from_str(max_p_str)
435                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
436            )
437        };
438
439        let min_price = if min_price_values.is_null(i) {
440            None
441        } else {
442            let min_p_str = min_price_values
443                .as_any()
444                .downcast_ref::<StringArray>()
445                .ok_or_else(|| {
446                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
447                })?
448                .value(i);
449            Some(
450                Price::from_str(min_p_str)
451                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
452            )
453        };
454
455        let margin_init = Decimal::from_str(margin_init_values.value(i))
456            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
457        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
458            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
459
460        let info = if info_values.is_null(i) {
461            None
462        } else {
463            let info_json = info_values
464                .as_any()
465                .downcast_ref::<StringArray>()
466                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
467                .value(i);
468
469            match serde_json::from_str::<Params>(info_json) {
470                Ok(info_dict) => Some(info_dict),
471                Err(e) => {
472                    return Err(EncodingError::ParseError(
473                        "info",
474                        format!("row {i}: failed to deserialize JSON: {e}"),
475                    ));
476                }
477            }
478        };
479
480        let ts_event = UnixNanos::from(ts_event_values.value(i));
481        let ts_init = UnixNanos::from(ts_init_values.value(i));
482
483        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
484
485        let cfd = Cfd::builder()
486            .instrument_id(id)
487            .raw_symbol(raw_symbol)
488            .asset_class(asset_class)
489            .maybe_base_currency(base_currency)
490            .quote_currency(quote_currency)
491            .price_precision(price_prec)
492            .size_precision(size_prec)
493            .price_increment(price_increment)
494            .size_increment(size_increment)
495            .maybe_lot_size(lot_size)
496            .maybe_max_quantity(max_quantity)
497            .maybe_min_quantity(min_quantity)
498            .maybe_max_notional(max_notional)
499            .maybe_min_notional(min_notional)
500            .maybe_max_price(max_price)
501            .maybe_min_price(min_price)
502            .margin_init(margin_init)
503            .margin_maint(margin_maint)
504            .maybe_tick_scheme(tick_scheme)
505            .maybe_info(info)
506            .ts_event(ts_event)
507            .ts_init(ts_init)
508            .build()
509            .map_err(|e| super::instrument_validation_error::<Cfd>(i, e))?;
510
511        result.push(cfd);
512    }
513
514    Ok(result)
515}
nautilus_serialization/arrow/instrument/cfd.rs

nautilus_serialization/arrow/instrument/
cfd.rs
