Support BinanceBar for Rust parquet

[miller-moore]

Bug Report

Expected Behavior

Expect ParquetDataCatalog to support the BinanceBar data type.

Actual Behavior

See issue title

Steps to Reproduce the Problem

1. Run a backtest with a BinanceBar type in BacktestDataConfig

Specifications

• OS platform: macOS-15.1-arm64-arm-64bit
• Python version: 3.12.2
• nautilus_trader version: 1.206.0

[cjdsellers]

Hi @miller-moore

Thanks for the report.

We don't currently have an Arrow schema for BinanceBar implemented in Rust. These are required to work with the DataFusion streaming backend, current implementations are here. So it's only expected streaming from Rust will work for these built-in types for now, and BinanceBar is considered a custom data type.

[miller-moore]

Ok. In that case, is there a different way to get backtesting to work with BinanceBar? In other words, is the DataFusion backend required for backtesting or is there a different backend or a non-rust workaround?

[cjdsellers]

You could add the data directly to a BacktestEngine with the low-level API.

Or, I see we do actually define an Arrow schema on the Python side. So I think it's possible to access these from the catalog, but the catch is it may only be possible as a one-shot backtest (not streaming).

[miller-moore]

Thanks!