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

nautilus_serialization/arrow/instrument/
crypto_perpetual.rs
