nautilus_serialization/arrow/instrument/
crypto_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 CryptoOption instruments.
17
18use std::{collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        BinaryArray, BinaryBuilder, BooleanArray, BooleanBuilder, StringArray, StringBuilder,
23        UInt8Array, UInt64Array,
24    },
25    datatypes::{DataType, Field, Schema},
26    error::ArrowError,
27    record_batch::RecordBatch,
28};
29use nautilus_core::Params;
30use nautilus_model::{
31    enums::OptionKind,
32    identifiers::{InstrumentId, Symbol},
33    instruments::crypto_option::CryptoOption,
34    types::{money::Money, price::Price, quantity::Quantity},
35};
36#[allow(unused)]
37use rust_decimal::Decimal;
38#[allow(unused)]
39use serde_json::Value;
40
41use crate::arrow::{
42    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
43    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column,
44};
45
46// Helper function to convert OptionKind to string
47fn option_kind_to_string(ok: OptionKind) -> String {
48    match ok {
49        OptionKind::Call => "Call".to_string(),
50        OptionKind::Put => "Put".to_string(),
51    }
52}
53
54// Helper function to parse OptionKind from string
55fn option_kind_from_str(s: &str) -> Result<OptionKind, EncodingError> {
56    match s {
57        "Call" => Ok(OptionKind::Call),
58        "Put" => Ok(OptionKind::Put),
59        _ => Err(EncodingError::ParseError(
60            "option_kind",
61            format!("Unknown option kind: {s}"),
62        )),
63    }
64}
65
66impl ArrowSchemaProvider for CryptoOption {
67    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
68        let fields = vec![
69            Field::new("id", DataType::Utf8, false),
70            Field::new("raw_symbol", DataType::Utf8, false),
71            Field::new("underlying", DataType::Utf8, false),
72            Field::new("quote_currency", DataType::Utf8, false),
73            Field::new("settlement_currency", DataType::Utf8, false),
74            Field::new("is_inverse", DataType::Boolean, false),
75            Field::new("option_kind", DataType::Utf8, false),
76            Field::new("strike_price", DataType::Utf8, false),
77            Field::new("activation_ns", DataType::UInt64, false),
78            Field::new("expiration_ns", DataType::UInt64, false),
79            Field::new("price_precision", DataType::UInt8, false),
80            Field::new("size_precision", DataType::UInt8, false),
81            Field::new("price_increment", DataType::Utf8, false),
82            Field::new("size_increment", DataType::Utf8, false),
83            Field::new("multiplier", DataType::Utf8, false),
84            Field::new("max_quantity", DataType::Utf8, true), // nullable
85            Field::new("min_quantity", DataType::Utf8, true), // nullable
86            Field::new("max_notional", DataType::Utf8, true), // nullable
87            Field::new("min_notional", DataType::Utf8, true), // nullable
88            Field::new("max_price", DataType::Utf8, true),    // nullable
89            Field::new("min_price", DataType::Utf8, true),    // nullable
90            Field::new("margin_init", DataType::Utf8, false),
91            Field::new("margin_maint", DataType::Utf8, false),
92            Field::new("maker_fee", DataType::Utf8, false),
93            Field::new("taker_fee", DataType::Utf8, false),
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(), "CryptoOption".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 CryptoOption {
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 underlying_builder = StringBuilder::new();
118        let mut quote_currency_builder = StringBuilder::new();
119        let mut settlement_currency_builder = StringBuilder::new();
120        let mut is_inverse_builder = BooleanBuilder::new();
121        let mut option_kind_builder = StringBuilder::new();
122        let mut strike_price_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 price_precision_builder = UInt8Array::builder(data.len());
126        let mut size_precision_builder = UInt8Array::builder(data.len());
127        let mut price_increment_builder = StringBuilder::new();
128        let mut size_increment_builder = StringBuilder::new();
129        let mut multiplier_builder = StringBuilder::new();
130        let mut max_quantity_builder = StringBuilder::new();
131        let mut min_quantity_builder = StringBuilder::new();
132        let mut max_notional_builder = StringBuilder::new();
133        let mut min_notional_builder = StringBuilder::new();
134        let mut max_price_builder = StringBuilder::new();
135        let mut min_price_builder = StringBuilder::new();
136        let mut margin_init_builder = StringBuilder::new();
137        let mut margin_maint_builder = StringBuilder::new();
138        let mut maker_fee_builder = StringBuilder::new();
139        let mut taker_fee_builder = StringBuilder::new();
140        let mut info_builder = BinaryBuilder::new();
141        let mut ts_event_builder = UInt64Array::builder(data.len());
142        let mut ts_init_builder = UInt64Array::builder(data.len());
143
144        for co in data {
145            id_builder.append_value(co.id.to_string());
146            raw_symbol_builder.append_value(co.raw_symbol);
147            underlying_builder.append_value(co.underlying.to_string());
148            quote_currency_builder.append_value(co.quote_currency.to_string());
149            settlement_currency_builder.append_value(co.settlement_currency.to_string());
150            is_inverse_builder.append_value(co.is_inverse);
151            option_kind_builder.append_value(option_kind_to_string(co.option_kind));
152            strike_price_builder.append_value(co.strike_price.to_string());
153            activation_ns_builder.append_value(co.activation_ns.as_u64());
154            expiration_ns_builder.append_value(co.expiration_ns.as_u64());
155            price_precision_builder.append_value(co.price_precision);
156            size_precision_builder.append_value(co.size_precision);
157            price_increment_builder.append_value(co.price_increment.to_string());
158            size_increment_builder.append_value(co.size_increment.to_string());
159            multiplier_builder.append_value(co.multiplier.to_string());
160
161            if let Some(max_qty) = co.max_quantity {
162                max_quantity_builder.append_value(max_qty.to_string());
163            } else {
164                max_quantity_builder.append_null();
165            }
166
167            if let Some(min_qty) = co.min_quantity {
168                min_quantity_builder.append_value(min_qty.to_string());
169            } else {
170                min_quantity_builder.append_null();
171            }
172
173            if let Some(max_not) = co.max_notional {
174                max_notional_builder.append_value(max_not.to_string());
175            } else {
176                max_notional_builder.append_null();
177            }
178
179            if let Some(min_not) = co.min_notional {
180                min_notional_builder.append_value(min_not.to_string());
181            } else {
182                min_notional_builder.append_null();
183            }
184
185            if let Some(max_p) = co.max_price {
186                max_price_builder.append_value(max_p.to_string());
187            } else {
188                max_price_builder.append_null();
189            }
190
191            if let Some(min_p) = co.min_price {
192                min_price_builder.append_value(min_p.to_string());
193            } else {
194                min_price_builder.append_null();
195            }
196
197            margin_init_builder.append_value(co.margin_init.to_string());
198            margin_maint_builder.append_value(co.margin_maint.to_string());
199            maker_fee_builder.append_value(co.maker_fee.to_string());
200            taker_fee_builder.append_value(co.taker_fee.to_string());
201
202            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
203            if let Some(ref info) = co.info {
204                match serde_json::to_vec(info) {
205                    Ok(json_bytes) => {
206                        info_builder.append_value(json_bytes);
207                    }
208                    Err(e) => {
209                        return Err(ArrowError::InvalidArgumentError(format!(
210                            "Failed to serialize info dict to JSON: {e}"
211                        )));
212                    }
213                }
214            } else {
215                info_builder.append_null();
216            }
217
218            ts_event_builder.append_value(co.ts_event.as_u64());
219            ts_init_builder.append_value(co.ts_init.as_u64());
220        }
221
222        let mut final_metadata = metadata.clone();
223        final_metadata.insert("class".to_string(), "CryptoOption".to_string());
224
225        RecordBatch::try_new(
226            Self::get_schema(Some(final_metadata)).into(),
227            vec![
228                Arc::new(id_builder.finish()),
229                Arc::new(raw_symbol_builder.finish()),
230                Arc::new(underlying_builder.finish()),
231                Arc::new(quote_currency_builder.finish()),
232                Arc::new(settlement_currency_builder.finish()),
233                Arc::new(is_inverse_builder.finish()),
234                Arc::new(option_kind_builder.finish()),
235                Arc::new(strike_price_builder.finish()),
236                Arc::new(activation_ns_builder.finish()),
237                Arc::new(expiration_ns_builder.finish()),
238                Arc::new(price_precision_builder.finish()),
239                Arc::new(size_precision_builder.finish()),
240                Arc::new(price_increment_builder.finish()),
241                Arc::new(size_increment_builder.finish()),
242                Arc::new(multiplier_builder.finish()),
243                Arc::new(max_quantity_builder.finish()),
244                Arc::new(min_quantity_builder.finish()),
245                Arc::new(max_notional_builder.finish()),
246                Arc::new(min_notional_builder.finish()),
247                Arc::new(max_price_builder.finish()),
248                Arc::new(min_price_builder.finish()),
249                Arc::new(margin_init_builder.finish()),
250                Arc::new(margin_maint_builder.finish()),
251                Arc::new(maker_fee_builder.finish()),
252                Arc::new(taker_fee_builder.finish()),
253                Arc::new(info_builder.finish()),
254                Arc::new(ts_event_builder.finish()),
255                Arc::new(ts_init_builder.finish()),
256            ],
257        )
258    }
259
260    fn metadata(&self) -> HashMap<String, String> {
261        let mut metadata = HashMap::new();
262        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
263        metadata.insert(
264            KEY_PRICE_PRECISION.to_string(),
265            self.price_precision.to_string(),
266        );
267        metadata.insert(
268            KEY_SIZE_PRECISION.to_string(),
269            self.size_precision.to_string(),
270        );
271        metadata
272    }
273}
274
275/// Helper function to decode CryptoOption from RecordBatch
276/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
277///
278/// # Errors
279///
280/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
281pub fn decode_crypto_option_batch(
282    #[allow(unused)] metadata: &HashMap<String, String>,
283    record_batch: &RecordBatch,
284) -> Result<Vec<CryptoOption>, EncodingError> {
285    let cols = record_batch.columns();
286    let num_rows = record_batch.num_rows();
287
288    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
289    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
290    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
291    let quote_currency_values =
292        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
293    let settlement_currency_values =
294        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
295    let is_inverse_values =
296        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
297    let option_kind_values = extract_column::<StringArray>(cols, "option_kind", 6, DataType::Utf8)?;
298    let strike_price_values =
299        extract_column::<StringArray>(cols, "strike_price", 7, DataType::Utf8)?;
300    let activation_ns_values =
301        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
302    let expiration_ns_values =
303        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
304    let price_precision_values =
305        extract_column::<UInt8Array>(cols, "price_precision", 10, DataType::UInt8)?;
306    let size_precision_values =
307        extract_column::<UInt8Array>(cols, "size_precision", 11, DataType::UInt8)?;
308    let price_increment_values =
309        extract_column::<StringArray>(cols, "price_increment", 12, DataType::Utf8)?;
310    let size_increment_values =
311        extract_column::<StringArray>(cols, "size_increment", 13, DataType::Utf8)?;
312    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 14, DataType::Utf8)?;
313    let max_quantity_values = cols
314        .get(15)
315        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 15))?;
316    let min_quantity_values = cols
317        .get(16)
318        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 16))?;
319    let max_notional_values = cols
320        .get(17)
321        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 17))?;
322    let min_notional_values = cols
323        .get(18)
324        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 18))?;
325    let max_price_values = cols
326        .get(19)
327        .ok_or_else(|| EncodingError::MissingColumn("max_price", 19))?;
328    let min_price_values = cols
329        .get(20)
330        .ok_or_else(|| EncodingError::MissingColumn("min_price", 20))?;
331    let margin_init_values =
332        extract_column::<StringArray>(cols, "margin_init", 21, DataType::Utf8)?;
333    let margin_maint_values =
334        extract_column::<StringArray>(cols, "margin_maint", 22, DataType::Utf8)?;
335    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 23, DataType::Utf8)?;
336    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 24, DataType::Utf8)?;
337    let info_values = cols
338        .get(25)
339        .ok_or_else(|| EncodingError::MissingColumn("info", 25))?;
340    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 26, DataType::UInt64)?;
341    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 27, DataType::UInt64)?;
342
343    let mut result = Vec::with_capacity(num_rows);
344
345    for i in 0..num_rows {
346        let id = InstrumentId::from_str(id_values.value(i))
347            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
348        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
349        let underlying = super::decode_currency(
350            underlying_values.value(i),
351            "underlying",
352            "crypto_option.underlying",
353            i,
354        )?;
355        let quote_currency = super::decode_currency(
356            quote_currency_values.value(i),
357            "quote_currency",
358            "crypto_option.quote_currency",
359            i,
360        )?;
361        let settlement_currency = super::decode_currency(
362            settlement_currency_values.value(i),
363            "settlement_currency",
364            "crypto_option.settlement_currency",
365            i,
366        )?;
367        let is_inverse = is_inverse_values.value(i);
368        let option_kind = option_kind_from_str(option_kind_values.value(i))?;
369        let strike_price = Price::from_str(strike_price_values.value(i))
370            .map_err(|e| EncodingError::ParseError("strike_price", format!("row {i}: {e}")))?;
371        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
372        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
373        let price_prec = price_precision_values.value(i);
374        let size_prec = size_precision_values.value(i);
375
376        let price_increment = Price::from_str(price_increment_values.value(i))
377            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
378        let size_increment = Quantity::from_str(size_increment_values.value(i))
379            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
380        let multiplier = Quantity::from_str(multiplier_values.value(i))
381            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
382
383        let max_quantity =
384            if max_quantity_values.is_null(i) {
385                None
386            } else {
387                let max_qty_str = max_quantity_values
388                    .as_any()
389                    .downcast_ref::<StringArray>()
390                    .ok_or_else(|| {
391                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
392                    })?
393                    .value(i);
394                Some(Quantity::from_str(max_qty_str).map_err(|e| {
395                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
396                })?)
397            };
398
399        let min_quantity =
400            if min_quantity_values.is_null(i) {
401                None
402            } else {
403                let min_qty_str = min_quantity_values
404                    .as_any()
405                    .downcast_ref::<StringArray>()
406                    .ok_or_else(|| {
407                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
408                    })?
409                    .value(i);
410                Some(Quantity::from_str(min_qty_str).map_err(|e| {
411                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
412                })?)
413            };
414
415        let max_notional =
416            if max_notional_values.is_null(i) {
417                None
418            } else {
419                let max_not_str = max_notional_values
420                    .as_any()
421                    .downcast_ref::<StringArray>()
422                    .ok_or_else(|| {
423                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
424                    })?
425                    .value(i);
426                Some(Money::from_str(max_not_str).map_err(|e| {
427                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
428                })?)
429            };
430
431        let min_notional =
432            if min_notional_values.is_null(i) {
433                None
434            } else {
435                let min_not_str = min_notional_values
436                    .as_any()
437                    .downcast_ref::<StringArray>()
438                    .ok_or_else(|| {
439                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
440                    })?
441                    .value(i);
442                Some(Money::from_str(min_not_str).map_err(|e| {
443                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
444                })?)
445            };
446
447        let max_price = if max_price_values.is_null(i) {
448            None
449        } else {
450            let max_p_str = max_price_values
451                .as_any()
452                .downcast_ref::<StringArray>()
453                .ok_or_else(|| {
454                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
455                })?
456                .value(i);
457            Some(
458                Price::from_str(max_p_str)
459                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
460            )
461        };
462
463        let min_price = if min_price_values.is_null(i) {
464            None
465        } else {
466            let min_p_str = min_price_values
467                .as_any()
468                .downcast_ref::<StringArray>()
469                .ok_or_else(|| {
470                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
471                })?
472                .value(i);
473            Some(
474                Price::from_str(min_p_str)
475                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
476            )
477        };
478
479        let margin_init = Decimal::from_str(margin_init_values.value(i))
480            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
481        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
482            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
483        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
484            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
485        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
486            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
487
488        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
489        let info = if info_values.is_null(i) {
490            None
491        } else {
492            let info_bytes = info_values
493                .as_any()
494                .downcast_ref::<BinaryArray>()
495                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
496                .value(i);
497
498            match serde_json::from_slice::<Params>(info_bytes) {
499                Ok(info_dict) => Some(info_dict),
500                Err(e) => {
501                    return Err(EncodingError::ParseError(
502                        "info",
503                        format!("row {i}: failed to deserialize JSON: {e}"),
504                    ));
505                }
506            }
507        };
508
509        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
510        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
511
512        let crypto_option = CryptoOption::new(
513            id,
514            raw_symbol,
515            underlying,
516            quote_currency,
517            settlement_currency,
518            is_inverse,
519            option_kind,
520            strike_price,
521            activation_ns,
522            expiration_ns,
523            price_prec,
524            size_prec,
525            price_increment,
526            size_increment,
527            Some(multiplier),
528            None, // lot_size - not in Python schema, will default to 1
529            max_quantity,
530            min_quantity,
531            max_notional,
532            min_notional,
533            max_price,
534            min_price,
535            Some(margin_init),
536            Some(margin_maint),
537            Some(maker_fee),
538            Some(taker_fee),
539            info,
540            ts_event,
541            ts_init,
542        );
543
544        result.push(crypto_option);
545    }
546
547    Ok(result)
548}
nautilus_serialization/arrow/instrument/crypto_option.rs

nautilus_serialization/arrow/instrument/
crypto_option.rs
