nautilus_serialization/arrow/instrument/
perpetual_contract.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 PerpetualContract 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, UnixNanos};
29use nautilus_model::{
30    enums::AssetClass,
31    identifiers::{InstrumentId, Symbol},
32    instruments::perpetual_contract::PerpetualContract,
33    types::{money::Money, price::Price, quantity::Quantity},
34};
35use rust_decimal::Decimal;
36use ustr::Ustr;
37
38use super::validate_required_instrument_columns;
39use crate::arrow::{
40    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
41    KEY_PRICE_PRECISION, extract_column, extract_column_by_name,
42    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
43    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
44    timestamp_data_type,
45};
46
47impl ArrowSchemaProvider for PerpetualContract {
48    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
49        let fields = vec![
50            Field::new("id", DataType::Utf8, false),
51            Field::new("raw_symbol", DataType::Utf8, false),
52            Field::new("underlying", DataType::Utf8, false),
53            Field::new("asset_class", DataType::Utf8, false),
54            Field::new("base_currency", DataType::Utf8, true), // nullable
55            Field::new("quote_currency", DataType::Utf8, false),
56            Field::new("settlement_currency", DataType::Utf8, false),
57            Field::new("is_inverse", DataType::Boolean, false),
58            Field::new("price_precision", DataType::UInt8, false),
59            Field::new("size_precision", DataType::UInt8, false),
60            Field::new("price_increment", DataType::Utf8, false),
61            Field::new("size_increment", DataType::Utf8, false),
62            Field::new("multiplier", DataType::Utf8, false),
63            Field::new("lot_size", DataType::Utf8, false),
64            Field::new("max_quantity", DataType::Utf8, true), // nullable
65            Field::new("min_quantity", DataType::Utf8, true), // nullable
66            Field::new("max_notional", DataType::Utf8, true), // nullable
67            Field::new("min_notional", DataType::Utf8, true), // nullable
68            Field::new("max_price", DataType::Utf8, true),    // nullable
69            Field::new("min_price", DataType::Utf8, true),    // nullable
70            Field::new("margin_init", DataType::Utf8, false),
71            Field::new("margin_maint", DataType::Utf8, false),
72            Field::new("tick_scheme", DataType::Utf8, true),
73            json_string_field("info", true),
74            Field::new("ts_event", timestamp_data_type(), false),
75            Field::new("ts_init", timestamp_data_type(), false),
76        ];
77
78        Schema::new_with_metadata(
79            fields,
80            metadata_with_type_name("PerpetualContract", metadata),
81        )
82    }
83}
84
85impl EncodeToRecordBatch for PerpetualContract {
86    fn encode_batch<T>(
87        #[allow(unused)] metadata: &HashMap<String, String>,
88        data: &[T],
89    ) -> Result<RecordBatch, ArrowError>
90    where
91        T: std::borrow::Borrow<Self>,
92    {
93        let mut id_builder = StringBuilder::new();
94        let mut raw_symbol_builder = StringBuilder::new();
95        let mut underlying_builder = StringBuilder::new();
96        let mut asset_class_builder = StringBuilder::new();
97        let mut base_currency_builder = StringBuilder::new();
98        let mut quote_currency_builder = StringBuilder::new();
99        let mut settlement_currency_builder = StringBuilder::new();
100        let mut is_inverse_builder = BooleanBuilder::new();
101        let mut price_precision_builder = UInt8Array::builder(data.len());
102        let mut size_precision_builder = UInt8Array::builder(data.len());
103        let mut price_increment_builder = StringBuilder::new();
104        let mut size_increment_builder = StringBuilder::new();
105        let mut multiplier_builder = StringBuilder::new();
106        let mut lot_size_builder = StringBuilder::new();
107        let mut max_quantity_builder = StringBuilder::new();
108        let mut min_quantity_builder = StringBuilder::new();
109        let mut max_notional_builder = StringBuilder::new();
110        let mut min_notional_builder = StringBuilder::new();
111        let mut max_price_builder = StringBuilder::new();
112        let mut min_price_builder = StringBuilder::new();
113        let mut margin_init_builder = StringBuilder::new();
114        let mut margin_maint_builder = StringBuilder::new();
115        let mut tick_scheme_builder = StringBuilder::new();
116        let mut info_builder = StringBuilder::new();
117        let mut ts_event_builder = UInt64Array::builder(data.len());
118        let mut ts_init_builder = UInt64Array::builder(data.len());
119
120        for perp in data.iter().map(Borrow::borrow) {
121            id_builder.append_value(perp.id.to_string());
122            raw_symbol_builder.append_value(perp.raw_symbol);
123            underlying_builder.append_value(perp.underlying.as_str());
124            asset_class_builder.append_value(perp.asset_class);
125
126            if let Some(base_cur) = perp.base_currency {
127                base_currency_builder.append_value(base_cur.to_string());
128            } else {
129                base_currency_builder.append_null();
130            }
131
132            quote_currency_builder.append_value(perp.quote_currency.to_string());
133            settlement_currency_builder.append_value(perp.settlement_currency.to_string());
134            is_inverse_builder.append_value(perp.is_inverse);
135            price_precision_builder.append_value(perp.price_precision);
136            size_precision_builder.append_value(perp.size_precision);
137            price_increment_builder.append_value(perp.price_increment.to_string());
138            size_increment_builder.append_value(perp.size_increment.to_string());
139            multiplier_builder.append_value(perp.multiplier.to_string());
140            lot_size_builder.append_value(perp.lot_size.to_string());
141
142            if let Some(max_qty) = perp.max_quantity {
143                max_quantity_builder.append_value(max_qty.to_string());
144            } else {
145                max_quantity_builder.append_null();
146            }
147
148            if let Some(min_qty) = perp.min_quantity {
149                min_quantity_builder.append_value(min_qty.to_string());
150            } else {
151                min_quantity_builder.append_null();
152            }
153
154            if let Some(max_not) = perp.max_notional {
155                max_notional_builder.append_value(max_not.to_string());
156            } else {
157                max_notional_builder.append_null();
158            }
159
160            if let Some(min_not) = perp.min_notional {
161                min_notional_builder.append_value(min_not.to_string());
162            } else {
163                min_notional_builder.append_null();
164            }
165
166            if let Some(max_p) = perp.max_price {
167                max_price_builder.append_value(max_p.to_string());
168            } else {
169                max_price_builder.append_null();
170            }
171
172            if let Some(min_p) = perp.min_price {
173                min_price_builder.append_value(min_p.to_string());
174            } else {
175                min_price_builder.append_null();
176            }
177
178            margin_init_builder.append_value(perp.margin_init.to_string());
179            margin_maint_builder.append_value(perp.margin_maint.to_string());
180
181            if let Some(tick_scheme) = perp.tick_scheme {
182                tick_scheme_builder.append_value(tick_scheme);
183            } else {
184                tick_scheme_builder.append_null();
185            }
186
187            if let Some(ref info) = perp.info {
188                match serde_json::to_string(info) {
189                    Ok(json) => {
190                        info_builder.append_value(json);
191                    }
192                    Err(e) => {
193                        return Err(ArrowError::InvalidArgumentError(format!(
194                            "Failed to serialize info dict to JSON: {e}"
195                        )));
196                    }
197                }
198            } else {
199                info_builder.append_null();
200            }
201
202            ts_event_builder.append_value(perp.ts_event.as_u64());
203            ts_init_builder.append_value(perp.ts_init.as_u64());
204        }
205
206        record_batch_with_timestamps(
207            Self::get_schema(Some(metadata.clone())).into(),
208            vec![
209                Arc::new(id_builder.finish()),
210                Arc::new(raw_symbol_builder.finish()),
211                Arc::new(underlying_builder.finish()),
212                Arc::new(asset_class_builder.finish()),
213                Arc::new(base_currency_builder.finish()),
214                Arc::new(quote_currency_builder.finish()),
215                Arc::new(settlement_currency_builder.finish()),
216                Arc::new(is_inverse_builder.finish()),
217                Arc::new(price_precision_builder.finish()),
218                Arc::new(size_precision_builder.finish()),
219                Arc::new(price_increment_builder.finish()),
220                Arc::new(size_increment_builder.finish()),
221                Arc::new(multiplier_builder.finish()),
222                Arc::new(lot_size_builder.finish()),
223                Arc::new(max_quantity_builder.finish()),
224                Arc::new(min_quantity_builder.finish()),
225                Arc::new(max_notional_builder.finish()),
226                Arc::new(min_notional_builder.finish()),
227                Arc::new(max_price_builder.finish()),
228                Arc::new(min_price_builder.finish()),
229                Arc::new(margin_init_builder.finish()),
230                Arc::new(margin_maint_builder.finish()),
231                Arc::new(tick_scheme_builder.finish()),
232                Arc::new(info_builder.finish()),
233                Arc::new(ts_event_builder.finish()),
234                Arc::new(ts_init_builder.finish()),
235            ],
236        )
237    }
238
239    fn metadata(&self) -> HashMap<String, String> {
240        let mut metadata = HashMap::new();
241        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
242        metadata.insert(
243            KEY_PRICE_PRECISION.to_string(),
244            self.price_precision.to_string(),
245        );
246        metadata
247    }
248}
249
250/// Decodes [`PerpetualContract`] instruments from a record batch.
251///
252/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
253///
254/// # Errors
255///
256/// Returns an error if the record batch cannot be decoded.
257///
258/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
259pub fn decode_perpetual_contract_batch(
260    metadata: &HashMap<String, String>,
261    record_batch: &RecordBatch,
262) -> Result<Vec<PerpetualContract>, EncodingError> {
263    validate_required_instrument_columns::<PerpetualContract>(metadata, record_batch)?;
264    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
265    let record_batch = &record_batch;
266    let cols = record_batch.columns();
267    let num_rows = record_batch.num_rows();
268
269    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
270    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
271    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
272    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
273    let base_currency_values = cols
274        .get(4)
275        .ok_or_else(|| EncodingError::MissingColumn("base_currency", 4))?;
276    let quote_currency_values =
277        extract_column::<StringArray>(cols, "quote_currency", 5, DataType::Utf8)?;
278    let settlement_currency_values =
279        extract_column::<StringArray>(cols, "settlement_currency", 6, DataType::Utf8)?;
280    let is_inverse_values =
281        extract_column::<BooleanArray>(cols, "is_inverse", 7, DataType::Boolean)?;
282    let price_precision_values =
283        extract_column::<UInt8Array>(cols, "price_precision", 8, DataType::UInt8)?;
284    let size_precision_values =
285        extract_column::<UInt8Array>(cols, "size_precision", 9, DataType::UInt8)?;
286    let price_increment_values =
287        extract_column::<StringArray>(cols, "price_increment", 10, DataType::Utf8)?;
288    let size_increment_values =
289        extract_column::<StringArray>(cols, "size_increment", 11, DataType::Utf8)?;
290    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 12, DataType::Utf8)?;
291    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 13, DataType::Utf8)?;
292    let max_quantity_values = cols
293        .get(14)
294        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 14))?;
295    let min_quantity_values = cols
296        .get(15)
297        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 15))?;
298    let max_notional_values = cols
299        .get(16)
300        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 16))?;
301    let min_notional_values = cols
302        .get(17)
303        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 17))?;
304    let max_price_values = cols
305        .get(18)
306        .ok_or_else(|| EncodingError::MissingColumn("max_price", 18))?;
307    let min_price_values = cols
308        .get(19)
309        .ok_or_else(|| EncodingError::MissingColumn("min_price", 19))?;
310    let margin_init_values =
311        extract_column::<StringArray>(cols, "margin_init", 20, DataType::Utf8)?;
312    let margin_maint_values =
313        extract_column::<StringArray>(cols, "margin_maint", 21, DataType::Utf8)?;
314    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
315    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
316    let ts_event_values =
317        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
318    let ts_init_values =
319        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
320
321    let mut result = Vec::with_capacity(num_rows);
322
323    for i in 0..num_rows {
324        let id = InstrumentId::from_str(id_values.value(i))
325            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
326        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
327        let underlying = Ustr::from(underlying_values.value(i));
328        let asset_class = AssetClass::from_str(asset_class_values.value(i))
329            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
330
331        let base_currency = if base_currency_values.is_null(i) {
332            None
333        } else {
334            let base_cur_str = base_currency_values
335                .as_any()
336                .downcast_ref::<StringArray>()
337                .ok_or_else(|| {
338                    EncodingError::ParseError("base_currency", format!("row {i}: invalid type"))
339                })?
340                .value(i);
341            Some(super::decode_currency(
342                base_cur_str,
343                "base_currency",
344                "perpetual_contract.base_currency",
345                i,
346            )?)
347        };
348
349        let quote_currency = super::decode_currency(
350            quote_currency_values.value(i),
351            "quote_currency",
352            "perpetual_contract.quote_currency",
353            i,
354        )?;
355        let settlement_currency = super::decode_currency(
356            settlement_currency_values.value(i),
357            "settlement_currency",
358            "perpetual_contract.settlement_currency",
359            i,
360        )?;
361        let is_inverse = is_inverse_values.value(i);
362        let price_prec = price_precision_values.value(i);
363        let size_prec = size_precision_values.value(i);
364
365        let price_increment = Price::from_str(price_increment_values.value(i))
366            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
367        let size_increment = Quantity::from_str(size_increment_values.value(i))
368            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
369
370        let multiplier = Quantity::from_str(multiplier_values.value(i))
371            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
372        let lot_size = Quantity::from_str(lot_size_values.value(i))
373            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
374
375        let max_quantity =
376            if max_quantity_values.is_null(i) {
377                None
378            } else {
379                let max_qty_str = max_quantity_values
380                    .as_any()
381                    .downcast_ref::<StringArray>()
382                    .ok_or_else(|| {
383                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
384                    })?
385                    .value(i);
386                Some(Quantity::from_str(max_qty_str).map_err(|e| {
387                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
388                })?)
389            };
390
391        let min_quantity =
392            if min_quantity_values.is_null(i) {
393                None
394            } else {
395                let min_qty_str = min_quantity_values
396                    .as_any()
397                    .downcast_ref::<StringArray>()
398                    .ok_or_else(|| {
399                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
400                    })?
401                    .value(i);
402                Some(Quantity::from_str(min_qty_str).map_err(|e| {
403                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
404                })?)
405            };
406
407        let max_notional =
408            if max_notional_values.is_null(i) {
409                None
410            } else {
411                let max_not_str = max_notional_values
412                    .as_any()
413                    .downcast_ref::<StringArray>()
414                    .ok_or_else(|| {
415                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
416                    })?
417                    .value(i);
418
419                Some(Money::from_str_exact(max_not_str).map_err(|e| {
420                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
421                })?)
422            };
423
424        let min_notional =
425            if min_notional_values.is_null(i) {
426                None
427            } else {
428                let min_not_str = min_notional_values
429                    .as_any()
430                    .downcast_ref::<StringArray>()
431                    .ok_or_else(|| {
432                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
433                    })?
434                    .value(i);
435
436                Some(Money::from_str_exact(min_not_str).map_err(|e| {
437                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
438                })?)
439            };
440
441        let max_price = if max_price_values.is_null(i) {
442            None
443        } else {
444            let max_p_str = max_price_values
445                .as_any()
446                .downcast_ref::<StringArray>()
447                .ok_or_else(|| {
448                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
449                })?
450                .value(i);
451            Some(
452                Price::from_str(max_p_str)
453                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
454            )
455        };
456
457        let min_price = if min_price_values.is_null(i) {
458            None
459        } else {
460            let min_p_str = min_price_values
461                .as_any()
462                .downcast_ref::<StringArray>()
463                .ok_or_else(|| {
464                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
465                })?
466                .value(i);
467            Some(
468                Price::from_str(min_p_str)
469                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
470            )
471        };
472
473        let margin_init = Decimal::from_str(margin_init_values.value(i))
474            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
475        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
476            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
477
478        let info = if info_values.is_null(i) {
479            None
480        } else {
481            let info_json = info_values
482                .as_any()
483                .downcast_ref::<StringArray>()
484                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
485                .value(i);
486
487            match serde_json::from_str::<Params>(info_json) {
488                Ok(info_dict) => Some(info_dict),
489                Err(e) => {
490                    return Err(EncodingError::ParseError(
491                        "info",
492                        format!("row {i}: failed to deserialize JSON: {e}"),
493                    ));
494                }
495            }
496        };
497
498        let ts_event = UnixNanos::from(ts_event_values.value(i));
499        let ts_init = UnixNanos::from(ts_init_values.value(i));
500
501        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
502
503        let perp = PerpetualContract::builder()
504            .instrument_id(id)
505            .raw_symbol(raw_symbol)
506            .underlying(underlying)
507            .asset_class(asset_class)
508            .maybe_base_currency(base_currency)
509            .quote_currency(quote_currency)
510            .settlement_currency(settlement_currency)
511            .is_inverse(is_inverse)
512            .price_precision(price_prec)
513            .size_precision(size_prec)
514            .price_increment(price_increment)
515            .size_increment(size_increment)
516            .multiplier(multiplier)
517            .lot_size(lot_size)
518            .maybe_max_quantity(max_quantity)
519            .maybe_min_quantity(min_quantity)
520            .maybe_max_notional(max_notional)
521            .maybe_min_notional(min_notional)
522            .maybe_max_price(max_price)
523            .maybe_min_price(min_price)
524            .margin_init(margin_init)
525            .margin_maint(margin_maint)
526            .maybe_tick_scheme(tick_scheme)
527            .maybe_info(info)
528            .ts_event(ts_event)
529            .ts_init(ts_init)
530            .build()
531            .map_err(|e| super::instrument_validation_error::<PerpetualContract>(i, e))?;
532
533        result.push(perp);
534    }
535
536    Ok(result)
537}
nautilus_serialization/arrow/instrument/perpetual_contract.rs

nautilus_serialization/arrow/instrument/
perpetual_contract.rs
