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

nautilus_serialization/arrow/instrument/
binary_option.rs
