nautilus_serialization/arrow/instrument/
binary_option.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 BinaryOption instruments.
17
18use std::{collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{BinaryArray, BinaryBuilder, StringArray, StringBuilder, UInt8Array, UInt64Array},
22    datatypes::{DataType, Field, Schema},
23    error::ArrowError,
24    record_batch::RecordBatch,
25};
26#[allow(unused_imports)]
27use nautilus_core::Params;
28use nautilus_model::{
29    enums::AssetClass,
30    identifiers::{InstrumentId, Symbol},
31    instruments::binary_option::BinaryOption,
32    types::{price::Price, quantity::Quantity},
33};
34#[allow(unused)]
35use rust_decimal::Decimal;
36#[allow(unused)]
37use serde_json::Value;
38use ustr::Ustr;
39
40use crate::arrow::{
41    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
42    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column,
43};
44
45// Helper function to convert AssetClass to string
46fn asset_class_to_string(ac: AssetClass) -> String {
47    match ac {
48        AssetClass::FX => "FX".to_string(),
49        AssetClass::Equity => "Equity".to_string(),
50        AssetClass::Commodity => "Commodity".to_string(),
51        AssetClass::Debt => "Debt".to_string(),
52        AssetClass::Index => "Index".to_string(),
53        AssetClass::Cryptocurrency => "Cryptocurrency".to_string(),
54        AssetClass::Alternative => "Alternative".to_string(),
55    }
56}
57
58// Helper function to parse AssetClass from string
59fn asset_class_from_str(s: &str) -> Result<AssetClass, EncodingError> {
60    match s {
61        "FX" => Ok(AssetClass::FX),
62        "Equity" => Ok(AssetClass::Equity),
63        "Commodity" => Ok(AssetClass::Commodity),
64        "Debt" => Ok(AssetClass::Debt),
65        "Index" => Ok(AssetClass::Index),
66        "Cryptocurrency" => Ok(AssetClass::Cryptocurrency),
67        "Alternative" => Ok(AssetClass::Alternative),
68        _ => Err(EncodingError::ParseError(
69            "asset_class",
70            format!("Unknown asset class: {s}"),
71        )),
72    }
73}
74
75impl ArrowSchemaProvider for BinaryOption {
76    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
77        let fields = vec![
78            Field::new("id", DataType::Utf8, false),
79            Field::new("raw_symbol", DataType::Utf8, false),
80            Field::new("asset_class", DataType::Utf8, false),
81            Field::new("currency", DataType::Utf8, false),
82            Field::new("price_precision", DataType::UInt8, false),
83            Field::new("size_precision", DataType::UInt8, false),
84            Field::new("price_increment", DataType::Utf8, false),
85            Field::new("size_increment", DataType::Utf8, false),
86            Field::new("activation_ns", DataType::UInt64, false),
87            Field::new("expiration_ns", DataType::UInt64, false),
88            Field::new("maker_fee", DataType::Utf8, false),
89            Field::new("taker_fee", DataType::Utf8, false),
90            Field::new("max_quantity", DataType::Utf8, true), // nullable
91            Field::new("min_quantity", DataType::Utf8, true), // nullable
92            Field::new("outcome", DataType::Utf8, true),      // nullable
93            Field::new("description", DataType::Utf8, true),  // nullable
94            Field::new("info", DataType::Binary, true),       // nullable
95            Field::new("ts_event", DataType::UInt64, false),
96            Field::new("ts_init", DataType::UInt64, false),
97        ];
98
99        let mut final_metadata = HashMap::new();
100        final_metadata.insert("class".to_string(), "BinaryOption".to_string());
101
102        if let Some(meta) = metadata {
103            final_metadata.extend(meta);
104        }
105
106        Schema::new_with_metadata(fields, final_metadata)
107    }
108}
109
110impl EncodeToRecordBatch for BinaryOption {
111    fn encode_batch(
112        #[allow(unused)] metadata: &HashMap<String, String>,
113        data: &[Self],
114    ) -> Result<RecordBatch, ArrowError> {
115        let mut id_builder = StringBuilder::new();
116        let mut raw_symbol_builder = StringBuilder::new();
117        let mut asset_class_builder = StringBuilder::new();
118        let mut currency_builder = StringBuilder::new();
119        let mut price_precision_builder = UInt8Array::builder(data.len());
120        let mut size_precision_builder = UInt8Array::builder(data.len());
121        let mut price_increment_builder = StringBuilder::new();
122        let mut size_increment_builder = StringBuilder::new();
123        let mut activation_ns_builder = UInt64Array::builder(data.len());
124        let mut expiration_ns_builder = UInt64Array::builder(data.len());
125        let mut maker_fee_builder = StringBuilder::new();
126        let mut taker_fee_builder = StringBuilder::new();
127        let mut max_quantity_builder = StringBuilder::new();
128        let mut min_quantity_builder = StringBuilder::new();
129        let mut outcome_builder = StringBuilder::new();
130        let mut description_builder = StringBuilder::new();
131        let mut info_builder = BinaryBuilder::new();
132        let mut ts_event_builder = UInt64Array::builder(data.len());
133        let mut ts_init_builder = UInt64Array::builder(data.len());
134
135        for bo in data {
136            id_builder.append_value(bo.id.to_string());
137            raw_symbol_builder.append_value(bo.raw_symbol);
138            asset_class_builder.append_value(asset_class_to_string(bo.asset_class));
139            currency_builder.append_value(bo.currency.to_string());
140            price_precision_builder.append_value(bo.price_precision);
141            size_precision_builder.append_value(bo.size_precision);
142            price_increment_builder.append_value(bo.price_increment.to_string());
143            size_increment_builder.append_value(bo.size_increment.to_string());
144            activation_ns_builder.append_value(bo.activation_ns.as_u64());
145            expiration_ns_builder.append_value(bo.expiration_ns.as_u64());
146            maker_fee_builder.append_value(bo.maker_fee.to_string());
147            taker_fee_builder.append_value(bo.taker_fee.to_string());
148
149            if let Some(max_qty) = bo.max_quantity {
150                max_quantity_builder.append_value(max_qty.to_string());
151            } else {
152                max_quantity_builder.append_null();
153            }
154
155            if let Some(min_qty) = bo.min_quantity {
156                min_quantity_builder.append_value(min_qty.to_string());
157            } else {
158                min_quantity_builder.append_null();
159            }
160
161            if let Some(outcome) = bo.outcome {
162                outcome_builder.append_value(outcome);
163            } else {
164                outcome_builder.append_null();
165            }
166
167            if let Some(desc) = bo.description {
168                description_builder.append_value(desc);
169            } else {
170                description_builder.append_null();
171            }
172
173            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
174            if let Some(ref info) = bo.info {
175                match serde_json::to_vec(info) {
176                    Ok(json_bytes) => {
177                        info_builder.append_value(json_bytes);
178                    }
179                    Err(e) => {
180                        return Err(ArrowError::InvalidArgumentError(format!(
181                            "Failed to serialize info dict to JSON: {e}"
182                        )));
183                    }
184                }
185            } else {
186                info_builder.append_null();
187            }
188
189            ts_event_builder.append_value(bo.ts_event.as_u64());
190            ts_init_builder.append_value(bo.ts_init.as_u64());
191        }
192
193        let mut final_metadata = metadata.clone();
194        final_metadata.insert("class".to_string(), "BinaryOption".to_string());
195
196        RecordBatch::try_new(
197            Self::get_schema(Some(final_metadata)).into(),
198            vec![
199                Arc::new(id_builder.finish()),
200                Arc::new(raw_symbol_builder.finish()),
201                Arc::new(asset_class_builder.finish()),
202                Arc::new(currency_builder.finish()),
203                Arc::new(price_precision_builder.finish()),
204                Arc::new(size_precision_builder.finish()),
205                Arc::new(price_increment_builder.finish()),
206                Arc::new(size_increment_builder.finish()),
207                Arc::new(activation_ns_builder.finish()),
208                Arc::new(expiration_ns_builder.finish()),
209                Arc::new(maker_fee_builder.finish()),
210                Arc::new(taker_fee_builder.finish()),
211                Arc::new(max_quantity_builder.finish()),
212                Arc::new(min_quantity_builder.finish()),
213                Arc::new(outcome_builder.finish()),
214                Arc::new(description_builder.finish()),
215                Arc::new(info_builder.finish()),
216                Arc::new(ts_event_builder.finish()),
217                Arc::new(ts_init_builder.finish()),
218            ],
219        )
220    }
221
222    fn metadata(&self) -> HashMap<String, String> {
223        let mut metadata = HashMap::new();
224        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
225        metadata.insert(
226            KEY_PRICE_PRECISION.to_string(),
227            self.price_precision.to_string(),
228        );
229        metadata.insert(
230            KEY_SIZE_PRECISION.to_string(),
231            self.size_precision.to_string(),
232        );
233        metadata
234    }
235}
236
237/// Helper function to decode BinaryOption from RecordBatch
238/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
239///
240/// # Errors
241///
242/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
243pub fn decode_binary_option_batch(
244    #[allow(unused)] metadata: &HashMap<String, String>,
245    record_batch: &RecordBatch,
246) -> Result<Vec<BinaryOption>, EncodingError> {
247    let cols = record_batch.columns();
248    let num_rows = record_batch.num_rows();
249
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 asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
253    let currency_values = extract_column::<StringArray>(cols, "currency", 3, DataType::Utf8)?;
254    let price_precision_values =
255        extract_column::<UInt8Array>(cols, "price_precision", 4, DataType::UInt8)?;
256    let size_precision_values =
257        extract_column::<UInt8Array>(cols, "size_precision", 5, DataType::UInt8)?;
258    let price_increment_values =
259        extract_column::<StringArray>(cols, "price_increment", 6, DataType::Utf8)?;
260    let size_increment_values =
261        extract_column::<StringArray>(cols, "size_increment", 7, DataType::Utf8)?;
262    let activation_ns_values =
263        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
264    let expiration_ns_values =
265        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
266    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 10, DataType::Utf8)?;
267    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 11, DataType::Utf8)?;
268    let max_quantity_values = cols
269        .get(12)
270        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 12))?;
271    let min_quantity_values = cols
272        .get(13)
273        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 13))?;
274    let outcome_values = cols
275        .get(14)
276        .ok_or_else(|| EncodingError::MissingColumn("outcome", 14))?;
277    let description_values = cols
278        .get(15)
279        .ok_or_else(|| EncodingError::MissingColumn("description", 15))?;
280    let info_values = cols
281        .get(16)
282        .ok_or_else(|| EncodingError::MissingColumn("info", 16))?;
283    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 17, DataType::UInt64)?;
284    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 18, DataType::UInt64)?;
285
286    let mut result = Vec::with_capacity(num_rows);
287
288    for i in 0..num_rows {
289        let id = InstrumentId::from_str(id_values.value(i))
290            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
291        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
292        let asset_class = asset_class_from_str(asset_class_values.value(i))?;
293        let currency = super::decode_currency(
294            currency_values.value(i),
295            "currency",
296            "binary_option.currency",
297            i,
298        )?;
299        let price_prec = price_precision_values.value(i);
300        let size_prec = size_precision_values.value(i);
301
302        let price_increment = Price::from_str(price_increment_values.value(i))
303            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
304        let size_increment = Quantity::from_str(size_increment_values.value(i))
305            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
306
307        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
308        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
309
310        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
311            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
312        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
313            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
314
315        let max_quantity =
316            if max_quantity_values.is_null(i) {
317                None
318            } else {
319                let max_qty_str = max_quantity_values
320                    .as_any()
321                    .downcast_ref::<StringArray>()
322                    .ok_or_else(|| {
323                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
324                    })?
325                    .value(i);
326                Some(Quantity::from_str(max_qty_str).map_err(|e| {
327                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
328                })?)
329            };
330
331        let min_quantity =
332            if min_quantity_values.is_null(i) {
333                None
334            } else {
335                let min_qty_str = min_quantity_values
336                    .as_any()
337                    .downcast_ref::<StringArray>()
338                    .ok_or_else(|| {
339                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
340                    })?
341                    .value(i);
342                Some(Quantity::from_str(min_qty_str).map_err(|e| {
343                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
344                })?)
345            };
346
347        let outcome = if outcome_values.is_null(i) {
348            None
349        } else {
350            let outcome_str = outcome_values
351                .as_any()
352                .downcast_ref::<StringArray>()
353                .ok_or_else(|| {
354                    EncodingError::ParseError("outcome", format!("row {i}: invalid type"))
355                })?
356                .value(i);
357            Some(Ustr::from(outcome_str))
358        };
359
360        let description = if description_values.is_null(i) {
361            None
362        } else {
363            let desc_str = description_values
364                .as_any()
365                .downcast_ref::<StringArray>()
366                .ok_or_else(|| {
367                    EncodingError::ParseError("description", format!("row {i}: invalid type"))
368                })?
369                .value(i);
370            Some(Ustr::from(desc_str))
371        };
372
373        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
374        let info = if info_values.is_null(i) {
375            None
376        } else {
377            let info_bytes = info_values
378                .as_any()
379                .downcast_ref::<BinaryArray>()
380                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
381                .value(i);
382
383            match serde_json::from_slice::<Params>(info_bytes) {
384                Ok(info_dict) => Some(info_dict),
385                Err(e) => {
386                    return Err(EncodingError::ParseError(
387                        "info",
388                        format!("row {i}: failed to deserialize JSON: {e}"),
389                    ));
390                }
391            }
392        };
393
394        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
395        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
396
397        let binary_option = BinaryOption::new(
398            id,
399            raw_symbol,
400            asset_class,
401            currency,
402            activation_ns,
403            expiration_ns,
404            price_prec,
405            size_prec,
406            price_increment,
407            size_increment,
408            outcome,
409            description,
410            max_quantity,
411            min_quantity,
412            None, // max_notional - not in Python schema
413            None, // min_notional - not in Python schema
414            None, // max_price - not in Python schema
415            None, // min_price - not in Python schema
416            None, // margin_init - not in Python schema
417            None, // margin_maint - not in Python schema
418            Some(maker_fee),
419            Some(taker_fee),
420            info,
421            ts_event,
422            ts_init,
423        );
424
425        result.push(binary_option);
426    }
427
428    Ok(result)
429}
nautilus_serialization/arrow/instrument/binary_option.rs

nautilus_serialization/arrow/instrument/
binary_option.rs
