nautilus_serialization/arrow/instrument/
equity.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 Equity 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;
27use nautilus_model::{
28    identifiers::{InstrumentId, Symbol},
29    instruments::equity::Equity,
30    types::{price::Price, quantity::Quantity},
31};
32use rust_decimal::Decimal;
33use ustr::Ustr;
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 Equity {
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("currency", DataType::Utf8, false),
50            Field::new("price_precision", DataType::UInt8, false),
51            Field::new("price_increment", DataType::Utf8, false),
52            Field::new("lot_size", DataType::Utf8, true), // nullable
53            Field::new("isin", DataType::Utf8, true),     // nullable
54            Field::new("max_quantity", DataType::Utf8, true), // nullable
55            Field::new("min_quantity", DataType::Utf8, true), // nullable
56            Field::new("max_price", DataType::Utf8, true), // nullable
57            Field::new("min_price", DataType::Utf8, true), // nullable
58            Field::new("margin_init", DataType::Utf8, false),
59            Field::new("margin_maint", DataType::Utf8, false),
60            Field::new("tick_scheme", DataType::Utf8, true),
61            json_string_field("info", true),
62            Field::new("ts_event", timestamp_data_type(), false),
63            Field::new("ts_init", timestamp_data_type(), false),
64        ];
65
66        Schema::new_with_metadata(fields, metadata_with_type_name("Equity", metadata))
67    }
68}
69
70impl EncodeToRecordBatch for Equity {
71    fn encode_batch<T>(
72        #[allow(unused)] metadata: &HashMap<String, String>,
73        data: &[T],
74    ) -> Result<RecordBatch, ArrowError>
75    where
76        T: std::borrow::Borrow<Self>,
77    {
78        let mut id_builder = StringBuilder::new();
79        let mut raw_symbol_builder = StringBuilder::new();
80        let mut currency_builder = StringBuilder::new();
81        let mut price_precision_builder = UInt8Array::builder(data.len());
82        let mut price_increment_builder = StringBuilder::new();
83        let mut lot_size_builder = StringBuilder::new();
84        let mut isin_builder = StringBuilder::new();
85        let mut max_quantity_builder = StringBuilder::new();
86        let mut min_quantity_builder = StringBuilder::new();
87        let mut max_price_builder = StringBuilder::new();
88        let mut min_price_builder = StringBuilder::new();
89        let mut margin_init_builder = StringBuilder::new();
90        let mut margin_maint_builder = StringBuilder::new();
91        let mut tick_scheme_builder = StringBuilder::new();
92        let mut info_builder = StringBuilder::new();
93        let mut ts_event_builder = UInt64Array::builder(data.len());
94        let mut ts_init_builder = UInt64Array::builder(data.len());
95
96        for equity in data.iter().map(Borrow::borrow) {
97            id_builder.append_value(equity.id.to_string());
98            raw_symbol_builder.append_value(equity.raw_symbol);
99            currency_builder.append_value(equity.currency.to_string());
100            price_precision_builder.append_value(equity.price_precision);
101            price_increment_builder.append_value(equity.price_increment.to_string());
102
103            if let Some(lot_size) = equity.lot_size {
104                lot_size_builder.append_value(lot_size.to_string());
105            } else {
106                lot_size_builder.append_null();
107            }
108
109            if let Some(isin) = equity.isin {
110                isin_builder.append_value(isin);
111            } else {
112                isin_builder.append_null();
113            }
114
115            if let Some(max_qty) = equity.max_quantity {
116                max_quantity_builder.append_value(max_qty.to_string());
117            } else {
118                max_quantity_builder.append_null();
119            }
120
121            if let Some(min_qty) = equity.min_quantity {
122                min_quantity_builder.append_value(min_qty.to_string());
123            } else {
124                min_quantity_builder.append_null();
125            }
126
127            if let Some(max_p) = equity.max_price {
128                max_price_builder.append_value(max_p.to_string());
129            } else {
130                max_price_builder.append_null();
131            }
132
133            if let Some(min_p) = equity.min_price {
134                min_price_builder.append_value(min_p.to_string());
135            } else {
136                min_price_builder.append_null();
137            }
138
139            margin_init_builder.append_value(equity.margin_init.to_string());
140            margin_maint_builder.append_value(equity.margin_maint.to_string());
141
142            if let Some(tick_scheme) = equity.tick_scheme {
143                tick_scheme_builder.append_value(tick_scheme);
144            } else {
145                tick_scheme_builder.append_null();
146            }
147
148            if let Some(ref info) = equity.info {
149                match serde_json::to_string(info) {
150                    Ok(json) => {
151                        info_builder.append_value(json);
152                    }
153                    Err(e) => {
154                        return Err(ArrowError::InvalidArgumentError(format!(
155                            "Failed to serialize info dict to JSON: {e}"
156                        )));
157                    }
158                }
159            } else {
160                info_builder.append_null();
161            }
162
163            ts_event_builder.append_value(equity.ts_event.as_u64());
164            ts_init_builder.append_value(equity.ts_init.as_u64());
165        }
166
167        record_batch_with_timestamps(
168            Self::get_schema(Some(metadata.clone())).into(),
169            vec![
170                Arc::new(id_builder.finish()),
171                Arc::new(raw_symbol_builder.finish()),
172                Arc::new(currency_builder.finish()),
173                Arc::new(price_precision_builder.finish()),
174                Arc::new(price_increment_builder.finish()),
175                Arc::new(lot_size_builder.finish()),
176                Arc::new(isin_builder.finish()),
177                Arc::new(max_quantity_builder.finish()),
178                Arc::new(min_quantity_builder.finish()),
179                Arc::new(max_price_builder.finish()),
180                Arc::new(min_price_builder.finish()),
181                Arc::new(margin_init_builder.finish()),
182                Arc::new(margin_maint_builder.finish()),
183                Arc::new(tick_scheme_builder.finish()),
184                Arc::new(info_builder.finish()),
185                Arc::new(ts_event_builder.finish()),
186                Arc::new(ts_init_builder.finish()),
187            ],
188        )
189    }
190
191    fn metadata(&self) -> HashMap<String, String> {
192        let mut metadata = HashMap::new();
193        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
194        metadata.insert(
195            KEY_PRICE_PRECISION.to_string(),
196            self.price_precision.to_string(),
197        );
198        metadata
199    }
200}
201
202/// Decodes [`Equity`] instruments from a record batch.
203///
204/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
205///
206/// # Errors
207///
208/// Returns an error if the record batch cannot be decoded.
209///
210/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
211pub fn decode_equity_batch(
212    metadata: &HashMap<String, String>,
213    record_batch: &RecordBatch,
214) -> Result<Vec<Equity>, EncodingError> {
215    validate_required_instrument_columns::<Equity>(metadata, record_batch)?;
216    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
217    let record_batch = &record_batch;
218    let cols = record_batch.columns();
219    let num_rows = record_batch.num_rows();
220
221    // Read precision from data columns (it's in the schema)
222    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
223    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
224    let currency_values = extract_column::<StringArray>(cols, "currency", 2, DataType::Utf8)?;
225    let price_precision_values =
226        extract_column::<UInt8Array>(cols, "price_precision", 3, DataType::UInt8)?;
227    let price_increment_values =
228        extract_column::<StringArray>(cols, "price_increment", 4, DataType::Utf8)?;
229    let lot_size_values = cols
230        .get(5)
231        .ok_or_else(|| EncodingError::MissingColumn("lot_size", 5))?;
232    let isin_values = cols
233        .get(6)
234        .ok_or_else(|| EncodingError::MissingColumn("isin", 6))?;
235    let max_quantity_values = cols
236        .get(7)
237        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 7))?;
238    let min_quantity_values = cols
239        .get(8)
240        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 8))?;
241    let max_price_values = cols
242        .get(9)
243        .ok_or_else(|| EncodingError::MissingColumn("max_price", 9))?;
244    let min_price_values = cols
245        .get(10)
246        .ok_or_else(|| EncodingError::MissingColumn("min_price", 10))?;
247    let margin_init_values =
248        extract_column::<StringArray>(cols, "margin_init", 11, DataType::Utf8)?;
249    let margin_maint_values =
250        extract_column::<StringArray>(cols, "margin_maint", 12, DataType::Utf8)?;
251    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
252    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
253    let ts_event_values =
254        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
255    let ts_init_values =
256        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
257
258    let mut result = Vec::with_capacity(num_rows);
259
260    for i in 0..num_rows {
261        let id = InstrumentId::from_str(id_values.value(i))
262            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
263        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
264        let currency =
265            super::decode_currency(currency_values.value(i), "currency", "equity.currency", i)?;
266        let price_prec = price_precision_values.value(i);
267
268        let price_increment = Price::from_str(price_increment_values.value(i))
269            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
270
271        let lot_size = if lot_size_values.is_null(i) {
272            None
273        } else {
274            let lot_size_str = lot_size_values
275                .as_any()
276                .downcast_ref::<StringArray>()
277                .ok_or_else(|| {
278                    EncodingError::ParseError("lot_size", format!("row {i}: invalid type"))
279                })?
280                .value(i);
281            Some(
282                Quantity::from_str(lot_size_str)
283                    .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?,
284            )
285        };
286
287        let isin = if isin_values.is_null(i) {
288            None
289        } else {
290            let isin_str = isin_values
291                .as_any()
292                .downcast_ref::<StringArray>()
293                .ok_or_else(|| EncodingError::ParseError("isin", format!("row {i}: invalid type")))?
294                .value(i);
295            Some(Ustr::from(isin_str))
296        };
297
298        let max_quantity =
299            if max_quantity_values.is_null(i) {
300                None
301            } else {
302                let max_qty_str = max_quantity_values
303                    .as_any()
304                    .downcast_ref::<StringArray>()
305                    .ok_or_else(|| {
306                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
307                    })?
308                    .value(i);
309                Some(Quantity::from_str(max_qty_str).map_err(|e| {
310                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
311                })?)
312            };
313
314        let min_quantity =
315            if min_quantity_values.is_null(i) {
316                None
317            } else {
318                let min_qty_str = min_quantity_values
319                    .as_any()
320                    .downcast_ref::<StringArray>()
321                    .ok_or_else(|| {
322                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
323                    })?
324                    .value(i);
325                Some(Quantity::from_str(min_qty_str).map_err(|e| {
326                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
327                })?)
328            };
329
330        let max_price = if max_price_values.is_null(i) {
331            None
332        } else {
333            let max_p_str = max_price_values
334                .as_any()
335                .downcast_ref::<StringArray>()
336                .ok_or_else(|| {
337                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
338                })?
339                .value(i);
340            Some(
341                Price::from_str(max_p_str)
342                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
343            )
344        };
345
346        let min_price = if min_price_values.is_null(i) {
347            None
348        } else {
349            let min_p_str = min_price_values
350                .as_any()
351                .downcast_ref::<StringArray>()
352                .ok_or_else(|| {
353                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
354                })?
355                .value(i);
356            Some(
357                Price::from_str(min_p_str)
358                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
359            )
360        };
361
362        let margin_init = Decimal::from_str(margin_init_values.value(i))
363            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
364        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
365            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
366
367        let info = if info_values.is_null(i) {
368            None
369        } else {
370            let info_json = info_values
371                .as_any()
372                .downcast_ref::<StringArray>()
373                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
374                .value(i);
375
376            match serde_json::from_str::<Params>(info_json) {
377                Ok(info_dict) => Some(info_dict),
378                Err(e) => {
379                    return Err(EncodingError::ParseError(
380                        "info",
381                        format!("row {i}: failed to deserialize JSON: {e}"),
382                    ));
383                }
384            }
385        };
386
387        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
388        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
389
390        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
391
392        let equity = Equity::builder()
393            .instrument_id(id)
394            .raw_symbol(raw_symbol)
395            .maybe_isin(isin)
396            .currency(currency)
397            .price_precision(price_prec)
398            .price_increment(price_increment)
399            .maybe_lot_size(lot_size)
400            .maybe_max_quantity(max_quantity)
401            .maybe_min_quantity(min_quantity)
402            .maybe_max_price(max_price)
403            .maybe_min_price(min_price)
404            .margin_init(margin_init)
405            .margin_maint(margin_maint)
406            .maybe_tick_scheme(tick_scheme)
407            .maybe_info(info)
408            .ts_event(ts_event)
409            .ts_init(ts_init)
410            .build()
411            .map_err(|e| super::instrument_validation_error::<Equity>(i, e))?;
412
413        result.push(equity);
414    }
415
416    Ok(result)
417}
nautilus_serialization/arrow/instrument/equity.rs

nautilus_serialization/arrow/instrument/
equity.rs
