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Parquet format for DeepAR?

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The DeepAR documentation page mentions the option of using Parquet format to providing datasets to DeepAR. But the details are extremely terse.

I would like to use DeepAR with a fairly large dataset, and all the engineering is already in dataframes, so parquet would be well-suited.

What should the input look like? How/where do we put multiple 'dynamic_feat' series? Category? If I have many targets, where I would do one per line in a huge JSON-lines format file, how do I set that up in Parquet?