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

nautilus_serialization/arrow/instrument/
currency_pair.rs
