nautilus_serialization/arrow/instrument/
crypto_future.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 CryptoFuture instruments.
17
18use std::{borrow::Borrow, collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        Array, BooleanArray, BooleanBuilder, StringArray, StringBuilder, UInt8Array, UInt64Array,
23    },
24    datatypes::{DataType, Field, Schema},
25    error::ArrowError,
26    record_batch::RecordBatch,
27};
28use nautilus_core::Params;
29use nautilus_model::{
30    identifiers::{InstrumentId, Symbol},
31    instruments::crypto_future::CryptoFuture,
32    types::{money::Money, price::Price, quantity::Quantity},
33};
34use rust_decimal::Decimal;
35
36use super::validate_required_instrument_columns;
37use crate::arrow::{
38    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
39    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name,
40    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
41    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
42    timestamp_data_type,
43};
44
45impl ArrowSchemaProvider for CryptoFuture {
46    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
47        let fields = vec![
48            Field::new("id", DataType::Utf8, false),
49            Field::new("raw_symbol", DataType::Utf8, false),
50            Field::new("underlying", DataType::Utf8, false),
51            Field::new("quote_currency", DataType::Utf8, false),
52            Field::new("settlement_currency", DataType::Utf8, false),
53            Field::new("is_inverse", DataType::Boolean, false),
54            Field::new("activation_ns", timestamp_data_type(), false),
55            Field::new("expiration_ns", timestamp_data_type(), false),
56            Field::new("price_precision", DataType::UInt8, false),
57            Field::new("size_precision", DataType::UInt8, false),
58            Field::new("price_increment", DataType::Utf8, false),
59            Field::new("size_increment", DataType::Utf8, false),
60            Field::new("multiplier", DataType::Utf8, false),
61            Field::new("lot_size", DataType::Utf8, true),
62            Field::new("max_quantity", DataType::Utf8, true), // nullable
63            Field::new("min_quantity", DataType::Utf8, true), // nullable
64            Field::new("max_notional", DataType::Utf8, true), // nullable
65            Field::new("min_notional", DataType::Utf8, true), // nullable
66            Field::new("max_price", DataType::Utf8, true),    // nullable
67            Field::new("min_price", DataType::Utf8, true),    // nullable
68            Field::new("margin_init", DataType::Utf8, false),
69            Field::new("margin_maint", DataType::Utf8, false),
70            Field::new("tick_scheme", DataType::Utf8, true),
71            json_string_field("info", true),
72            Field::new("ts_event", timestamp_data_type(), false),
73            Field::new("ts_init", timestamp_data_type(), false),
74        ];
75
76        Schema::new_with_metadata(fields, metadata_with_type_name("CryptoFuture", metadata))
77    }
78}
79
80impl EncodeToRecordBatch for CryptoFuture {
81    fn encode_batch<T>(
82        #[allow(unused)] metadata: &HashMap<String, String>,
83        data: &[T],
84    ) -> Result<RecordBatch, ArrowError>
85    where
86        T: std::borrow::Borrow<Self>,
87    {
88        let mut id_builder = StringBuilder::new();
89        let mut raw_symbol_builder = StringBuilder::new();
90        let mut underlying_builder = StringBuilder::new();
91        let mut quote_currency_builder = StringBuilder::new();
92        let mut settlement_currency_builder = StringBuilder::new();
93        let mut is_inverse_builder = BooleanBuilder::new();
94        let mut activation_ns_builder = UInt64Array::builder(data.len());
95        let mut expiration_ns_builder = UInt64Array::builder(data.len());
96        let mut price_precision_builder = UInt8Array::builder(data.len());
97        let mut size_precision_builder = UInt8Array::builder(data.len());
98        let mut price_increment_builder = StringBuilder::new();
99        let mut size_increment_builder = StringBuilder::new();
100        let mut multiplier_builder = StringBuilder::new();
101        let mut lot_size_builder = StringBuilder::new();
102        let mut max_quantity_builder = StringBuilder::new();
103        let mut min_quantity_builder = StringBuilder::new();
104        let mut max_notional_builder = StringBuilder::new();
105        let mut min_notional_builder = StringBuilder::new();
106        let mut max_price_builder = StringBuilder::new();
107        let mut min_price_builder = StringBuilder::new();
108        let mut margin_init_builder = StringBuilder::new();
109        let mut margin_maint_builder = StringBuilder::new();
110        let mut tick_scheme_builder = StringBuilder::new();
111        let mut info_builder = StringBuilder::new();
112        let mut ts_event_builder = UInt64Array::builder(data.len());
113        let mut ts_init_builder = UInt64Array::builder(data.len());
114
115        for cf in data.iter().map(Borrow::borrow) {
116            id_builder.append_value(cf.id.to_string());
117            raw_symbol_builder.append_value(cf.raw_symbol);
118            underlying_builder.append_value(cf.underlying.to_string());
119            quote_currency_builder.append_value(cf.quote_currency.to_string());
120            settlement_currency_builder.append_value(cf.settlement_currency.to_string());
121            is_inverse_builder.append_value(cf.is_inverse);
122            activation_ns_builder.append_value(cf.activation_ns.as_u64());
123            expiration_ns_builder.append_value(cf.expiration_ns.as_u64());
124            price_precision_builder.append_value(cf.price_precision);
125            size_precision_builder.append_value(cf.size_precision);
126            price_increment_builder.append_value(cf.price_increment.to_string());
127            size_increment_builder.append_value(cf.size_increment.to_string());
128            multiplier_builder.append_value(cf.multiplier.to_string());
129            lot_size_builder.append_value(cf.lot_size.to_string());
130
131            if let Some(max_qty) = cf.max_quantity {
132                max_quantity_builder.append_value(max_qty.to_string());
133            } else {
134                max_quantity_builder.append_null();
135            }
136
137            if let Some(min_qty) = cf.min_quantity {
138                min_quantity_builder.append_value(min_qty.to_string());
139            } else {
140                min_quantity_builder.append_null();
141            }
142
143            if let Some(max_not) = cf.max_notional {
144                max_notional_builder.append_value(max_not.to_string());
145            } else {
146                max_notional_builder.append_null();
147            }
148
149            if let Some(min_not) = cf.min_notional {
150                min_notional_builder.append_value(min_not.to_string());
151            } else {
152                min_notional_builder.append_null();
153            }
154
155            if let Some(max_p) = cf.max_price {
156                max_price_builder.append_value(max_p.to_string());
157            } else {
158                max_price_builder.append_null();
159            }
160
161            if let Some(min_p) = cf.min_price {
162                min_price_builder.append_value(min_p.to_string());
163            } else {
164                min_price_builder.append_null();
165            }
166
167            margin_init_builder.append_value(cf.margin_init.to_string());
168            margin_maint_builder.append_value(cf.margin_maint.to_string());
169
170            if let Some(tick_scheme) = cf.tick_scheme {
171                tick_scheme_builder.append_value(tick_scheme);
172            } else {
173                tick_scheme_builder.append_null();
174            }
175
176            if let Some(ref info) = cf.info {
177                match serde_json::to_string(info) {
178                    Ok(json) => {
179                        info_builder.append_value(json);
180                    }
181                    Err(e) => {
182                        return Err(ArrowError::InvalidArgumentError(format!(
183                            "Failed to serialize info dict to JSON: {e}"
184                        )));
185                    }
186                }
187            } else {
188                info_builder.append_null();
189            }
190
191            ts_event_builder.append_value(cf.ts_event.as_u64());
192            ts_init_builder.append_value(cf.ts_init.as_u64());
193        }
194
195        record_batch_with_timestamps(
196            Self::get_schema(Some(metadata.clone())).into(),
197            vec![
198                Arc::new(id_builder.finish()),
199                Arc::new(raw_symbol_builder.finish()),
200                Arc::new(underlying_builder.finish()),
201                Arc::new(quote_currency_builder.finish()),
202                Arc::new(settlement_currency_builder.finish()),
203                Arc::new(is_inverse_builder.finish()),
204                Arc::new(activation_ns_builder.finish()),
205                Arc::new(expiration_ns_builder.finish()),
206                Arc::new(price_precision_builder.finish()),
207                Arc::new(size_precision_builder.finish()),
208                Arc::new(price_increment_builder.finish()),
209                Arc::new(size_increment_builder.finish()),
210                Arc::new(multiplier_builder.finish()),
211                Arc::new(lot_size_builder.finish()),
212                Arc::new(max_quantity_builder.finish()),
213                Arc::new(min_quantity_builder.finish()),
214                Arc::new(max_notional_builder.finish()),
215                Arc::new(min_notional_builder.finish()),
216                Arc::new(max_price_builder.finish()),
217                Arc::new(min_price_builder.finish()),
218                Arc::new(margin_init_builder.finish()),
219                Arc::new(margin_maint_builder.finish()),
220                Arc::new(tick_scheme_builder.finish()),
221                Arc::new(info_builder.finish()),
222                Arc::new(ts_event_builder.finish()),
223                Arc::new(ts_init_builder.finish()),
224            ],
225        )
226    }
227
228    fn metadata(&self) -> HashMap<String, String> {
229        let mut metadata = HashMap::new();
230        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
231        metadata.insert(
232            KEY_PRICE_PRECISION.to_string(),
233            self.price_precision.to_string(),
234        );
235        metadata.insert(
236            KEY_SIZE_PRECISION.to_string(),
237            self.size_precision.to_string(),
238        );
239        metadata
240    }
241}
242
243/// Decodes [`CryptoFuture`] instruments from a record batch.
244///
245/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
246///
247/// # Errors
248///
249/// Returns an error if the record batch cannot be decoded.
250///
251/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
252pub fn decode_crypto_future_batch(
253    metadata: &HashMap<String, String>,
254    record_batch: &RecordBatch,
255) -> Result<Vec<CryptoFuture>, EncodingError> {
256    validate_required_instrument_columns::<CryptoFuture>(metadata, record_batch)?;
257    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
258    let record_batch = &record_batch;
259    let cols = record_batch.columns();
260    let num_rows = record_batch.num_rows();
261
262    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
263    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
264    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
265    let quote_currency_values =
266        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
267    let settlement_currency_values =
268        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
269    let is_inverse_values =
270        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
271    let activation_ns_values =
272        extract_column::<UInt64Array>(cols, "activation_ns", 6, DataType::UInt64)?;
273    let expiration_ns_values =
274        extract_column::<UInt64Array>(cols, "expiration_ns", 7, DataType::UInt64)?;
275    let price_precision_values =
276        extract_column::<UInt8Array>(cols, "price_precision", 8, DataType::UInt8)?;
277    let size_precision_values =
278        extract_column::<UInt8Array>(cols, "size_precision", 9, DataType::UInt8)?;
279    let price_increment_values =
280        extract_column::<StringArray>(cols, "price_increment", 10, DataType::Utf8)?;
281    let size_increment_values =
282        extract_column::<StringArray>(cols, "size_increment", 11, DataType::Utf8)?;
283    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 12, DataType::Utf8)?;
284    let lot_size_values = record_batch
285        .schema()
286        .index_of("lot_size")
287        .ok()
288        .map(|index| extract_column::<StringArray>(cols, "lot_size", index, DataType::Utf8))
289        .transpose()?;
290    let lot_size_offset = usize::from(lot_size_values.is_some());
291    let max_quantity_values = cols
292        .get(13 + lot_size_offset)
293        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13 + lot_size_offset))?;
294    let min_quantity_values = cols
295        .get(14 + lot_size_offset)
296        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14 + lot_size_offset))?;
297    let max_notional_values = cols
298        .get(15 + lot_size_offset)
299        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 15 + lot_size_offset))?;
300    let min_notional_values = cols
301        .get(16 + lot_size_offset)
302        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 16 + lot_size_offset))?;
303    let max_price_values = cols
304        .get(17 + lot_size_offset)
305        .ok_or_else(|| EncodingError::MissingColumn("max_price", 17 + lot_size_offset))?;
306    let min_price_values = cols
307        .get(18 + lot_size_offset)
308        .ok_or_else(|| EncodingError::MissingColumn("min_price", 18 + lot_size_offset))?;
309    let margin_init_values =
310        extract_column::<StringArray>(cols, "margin_init", 19 + lot_size_offset, DataType::Utf8)?;
311    let margin_maint_values =
312        extract_column::<StringArray>(cols, "margin_maint", 20 + lot_size_offset, DataType::Utf8)?;
313    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
314    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
315    let ts_event_values =
316        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
317    let ts_init_values =
318        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
319
320    let mut result = Vec::with_capacity(num_rows);
321
322    for i in 0..num_rows {
323        let id = InstrumentId::from_str(id_values.value(i))
324            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
325        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
326        let underlying = super::decode_currency(
327            underlying_values.value(i),
328            "underlying",
329            "crypto_future.underlying",
330            i,
331        )?;
332        let quote_currency = super::decode_currency(
333            quote_currency_values.value(i),
334            "quote_currency",
335            "crypto_future.quote_currency",
336            i,
337        )?;
338        let settlement_currency = super::decode_currency(
339            settlement_currency_values.value(i),
340            "settlement_currency",
341            "crypto_future.settlement_currency",
342            i,
343        )?;
344        let is_inverse = is_inverse_values.value(i);
345        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
346        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
347        let price_prec = price_precision_values.value(i);
348        let size_prec = size_precision_values.value(i);
349
350        let price_increment = Price::from_str(price_increment_values.value(i))
351            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
352        let size_increment = Quantity::from_str(size_increment_values.value(i))
353            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
354        let multiplier = Quantity::from_str(multiplier_values.value(i))
355            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
356        let lot_size =
357            if let Some(values) = lot_size_values {
358                if values.is_null(i) {
359                    None
360                } else {
361                    Some(Quantity::from_str(values.value(i)).map_err(|e| {
362                        EncodingError::ParseError("lot_size", format!("row {i}: {e}"))
363                    })?)
364                }
365            } else {
366                None
367            };
368
369        let max_quantity =
370            if max_quantity_values.is_null(i) {
371                None
372            } else {
373                let max_qty_str = max_quantity_values
374                    .as_any()
375                    .downcast_ref::<StringArray>()
376                    .ok_or_else(|| {
377                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
378                    })?
379                    .value(i);
380                Some(Quantity::from_str(max_qty_str).map_err(|e| {
381                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
382                })?)
383            };
384
385        let min_quantity =
386            if min_quantity_values.is_null(i) {
387                None
388            } else {
389                let min_qty_str = min_quantity_values
390                    .as_any()
391                    .downcast_ref::<StringArray>()
392                    .ok_or_else(|| {
393                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
394                    })?
395                    .value(i);
396                Some(Quantity::from_str(min_qty_str).map_err(|e| {
397                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
398                })?)
399            };
400
401        let max_notional =
402            if max_notional_values.is_null(i) {
403                None
404            } else {
405                let max_not_str = max_notional_values
406                    .as_any()
407                    .downcast_ref::<StringArray>()
408                    .ok_or_else(|| {
409                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
410                    })?
411                    .value(i);
412
413                Some(Money::from_str_exact(max_not_str).map_err(|e| {
414                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
415                })?)
416            };
417
418        let min_notional =
419            if min_notional_values.is_null(i) {
420                None
421            } else {
422                let min_not_str = min_notional_values
423                    .as_any()
424                    .downcast_ref::<StringArray>()
425                    .ok_or_else(|| {
426                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
427                    })?
428                    .value(i);
429
430                Some(Money::from_str_exact(min_not_str).map_err(|e| {
431                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
432                })?)
433            };
434
435        let max_price = if max_price_values.is_null(i) {
436            None
437        } else {
438            let max_p_str = max_price_values
439                .as_any()
440                .downcast_ref::<StringArray>()
441                .ok_or_else(|| {
442                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
443                })?
444                .value(i);
445            Some(
446                Price::from_str(max_p_str)
447                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
448            )
449        };
450
451        let min_price = if min_price_values.is_null(i) {
452            None
453        } else {
454            let min_p_str = min_price_values
455                .as_any()
456                .downcast_ref::<StringArray>()
457                .ok_or_else(|| {
458                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
459                })?
460                .value(i);
461            Some(
462                Price::from_str(min_p_str)
463                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
464            )
465        };
466
467        let margin_init = Decimal::from_str(margin_init_values.value(i))
468            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
469        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
470            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
471
472        let info = if info_values.is_null(i) {
473            None
474        } else {
475            let info_json = info_values
476                .as_any()
477                .downcast_ref::<StringArray>()
478                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
479                .value(i);
480
481            match serde_json::from_str::<Params>(info_json) {
482                Ok(info_dict) => Some(info_dict),
483                Err(e) => {
484                    return Err(EncodingError::ParseError(
485                        "info",
486                        format!("row {i}: failed to deserialize JSON: {e}"),
487                    ));
488                }
489            }
490        };
491
492        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
493        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
494
495        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
496
497        let crypto_future = CryptoFuture::builder()
498            .instrument_id(id)
499            .raw_symbol(raw_symbol)
500            .underlying(underlying)
501            .quote_currency(quote_currency)
502            .settlement_currency(settlement_currency)
503            .is_inverse(is_inverse)
504            .activation_ns(activation_ns)
505            .expiration_ns(expiration_ns)
506            .price_precision(price_prec)
507            .size_precision(size_prec)
508            .price_increment(price_increment)
509            .size_increment(size_increment)
510            .multiplier(multiplier)
511            .maybe_lot_size(lot_size)
512            .maybe_max_quantity(max_quantity)
513            .maybe_min_quantity(min_quantity)
514            .maybe_max_notional(max_notional)
515            .maybe_min_notional(min_notional)
516            .maybe_max_price(max_price)
517            .maybe_min_price(min_price)
518            .margin_init(margin_init)
519            .margin_maint(margin_maint)
520            .maybe_tick_scheme(tick_scheme)
521            .maybe_info(info)
522            .ts_event(ts_event)
523            .ts_init(ts_init)
524            .build()
525            .map_err(|e| super::instrument_validation_error::<CryptoFuture>(i, e))?;
526
527        result.push(crypto_future);
528    }
529
530    Ok(result)
531}
nautilus_serialization/arrow/instrument/crypto_future.rs

nautilus_serialization/arrow/instrument/
crypto_future.rs
