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::{borrow::Borrow, collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        Array, BooleanArray, BooleanBuilder, StringArray, StringBuilder, UInt8Array, UInt64Array,
23    },
24    datatypes::{DataType, Field, Schema},
25    error::ArrowError,
26    record_batch::RecordBatch,
27};
28use nautilus_core::Params;
29use nautilus_model::{
30    enums::OptionKind,
31    identifiers::{InstrumentId, Symbol},
32    instruments::crypto_option::CryptoOption,
33    types::{money::Money, price::Price, quantity::Quantity},
34};
35use rust_decimal::Decimal;
36
37use crate::arrow::{
38    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
39    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name,
40    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
41    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
42    timestamp_data_type,
43};
44
45impl ArrowSchemaProvider for CryptoOption {
46    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
47        let fields = vec![
48            Field::new("id", DataType::Utf8, false),
49            Field::new("raw_symbol", DataType::Utf8, false),
50            Field::new("underlying", DataType::Utf8, false),
51            Field::new("quote_currency", DataType::Utf8, false),
52            Field::new("settlement_currency", DataType::Utf8, false),
53            Field::new("is_inverse", DataType::Boolean, false),
54            Field::new("option_kind", DataType::Utf8, false),
55            Field::new("strike_price", DataType::Utf8, false),
56            Field::new("activation_ns", timestamp_data_type(), false),
57            Field::new("expiration_ns", timestamp_data_type(), false),
58            Field::new("price_precision", DataType::UInt8, false),
59            Field::new("size_precision", DataType::UInt8, false),
60            Field::new("price_increment", DataType::Utf8, false),
61            Field::new("size_increment", DataType::Utf8, false),
62            Field::new("multiplier", DataType::Utf8, false),
63            Field::new("lot_size", DataType::Utf8, true),
64            Field::new("max_quantity", DataType::Utf8, true), // nullable
65            Field::new("min_quantity", DataType::Utf8, true), // nullable
66            Field::new("max_notional", DataType::Utf8, true), // nullable
67            Field::new("min_notional", DataType::Utf8, true), // nullable
68            Field::new("max_price", DataType::Utf8, true),    // nullable
69            Field::new("min_price", DataType::Utf8, true),    // nullable
70            Field::new("margin_init", DataType::Utf8, false),
71            Field::new("margin_maint", DataType::Utf8, false),
72            Field::new("tick_scheme", DataType::Utf8, true),
73            json_string_field("info", true),
74            Field::new("ts_event", timestamp_data_type(), false),
75            Field::new("ts_init", timestamp_data_type(), false),
76        ];
77
78        Schema::new_with_metadata(fields, metadata_with_type_name("CryptoOption", metadata))
79    }
80}
81
82impl EncodeToRecordBatch for CryptoOption {
83    fn encode_batch<T>(
84        #[allow(unused)] metadata: &HashMap<String, String>,
85        data: &[T],
86    ) -> Result<RecordBatch, ArrowError>
87    where
88        T: std::borrow::Borrow<Self>,
89    {
90        let mut id_builder = StringBuilder::new();
91        let mut raw_symbol_builder = StringBuilder::new();
92        let mut underlying_builder = StringBuilder::new();
93        let mut quote_currency_builder = StringBuilder::new();
94        let mut settlement_currency_builder = StringBuilder::new();
95        let mut is_inverse_builder = BooleanBuilder::new();
96        let mut option_kind_builder = StringBuilder::new();
97        let mut strike_price_builder = StringBuilder::new();
98        let mut activation_ns_builder = UInt64Array::builder(data.len());
99        let mut expiration_ns_builder = UInt64Array::builder(data.len());
100        let mut price_precision_builder = UInt8Array::builder(data.len());
101        let mut size_precision_builder = UInt8Array::builder(data.len());
102        let mut price_increment_builder = StringBuilder::new();
103        let mut size_increment_builder = StringBuilder::new();
104        let mut multiplier_builder = StringBuilder::new();
105        let mut lot_size_builder = StringBuilder::new();
106        let mut max_quantity_builder = StringBuilder::new();
107        let mut min_quantity_builder = StringBuilder::new();
108        let mut max_notional_builder = StringBuilder::new();
109        let mut min_notional_builder = StringBuilder::new();
110        let mut max_price_builder = StringBuilder::new();
111        let mut min_price_builder = StringBuilder::new();
112        let mut margin_init_builder = StringBuilder::new();
113        let mut margin_maint_builder = StringBuilder::new();
114        let mut tick_scheme_builder = StringBuilder::new();
115        let mut info_builder = StringBuilder::new();
116        let mut ts_event_builder = UInt64Array::builder(data.len());
117        let mut ts_init_builder = UInt64Array::builder(data.len());
118
119        for co in data.iter().map(Borrow::borrow) {
120            id_builder.append_value(co.id.to_string());
121            raw_symbol_builder.append_value(co.raw_symbol);
122            underlying_builder.append_value(co.underlying.to_string());
123            quote_currency_builder.append_value(co.quote_currency.to_string());
124            settlement_currency_builder.append_value(co.settlement_currency.to_string());
125            is_inverse_builder.append_value(co.is_inverse);
126            option_kind_builder.append_value(co.option_kind);
127            strike_price_builder.append_value(co.strike_price.to_string());
128            activation_ns_builder.append_value(co.activation_ns.as_u64());
129            expiration_ns_builder.append_value(co.expiration_ns.as_u64());
130            price_precision_builder.append_value(co.price_precision);
131            size_precision_builder.append_value(co.size_precision);
132            price_increment_builder.append_value(co.price_increment.to_string());
133            size_increment_builder.append_value(co.size_increment.to_string());
134            multiplier_builder.append_value(co.multiplier.to_string());
135            lot_size_builder.append_value(co.lot_size.to_string());
136
137            if let Some(max_qty) = co.max_quantity {
138                max_quantity_builder.append_value(max_qty.to_string());
139            } else {
140                max_quantity_builder.append_null();
141            }
142
143            if let Some(min_qty) = co.min_quantity {
144                min_quantity_builder.append_value(min_qty.to_string());
145            } else {
146                min_quantity_builder.append_null();
147            }
148
149            if let Some(max_not) = co.max_notional {
150                max_notional_builder.append_value(max_not.to_string());
151            } else {
152                max_notional_builder.append_null();
153            }
154
155            if let Some(min_not) = co.min_notional {
156                min_notional_builder.append_value(min_not.to_string());
157            } else {
158                min_notional_builder.append_null();
159            }
160
161            if let Some(max_p) = co.max_price {
162                max_price_builder.append_value(max_p.to_string());
163            } else {
164                max_price_builder.append_null();
165            }
166
167            if let Some(min_p) = co.min_price {
168                min_price_builder.append_value(min_p.to_string());
169            } else {
170                min_price_builder.append_null();
171            }
172
173            margin_init_builder.append_value(co.margin_init.to_string());
174            margin_maint_builder.append_value(co.margin_maint.to_string());
175
176            if let Some(tick_scheme) = co.tick_scheme {
177                tick_scheme_builder.append_value(tick_scheme);
178            } else {
179                tick_scheme_builder.append_null();
180            }
181
182            if let Some(ref info) = co.info {
183                match serde_json::to_string(info) {
184                    Ok(json) => {
185                        info_builder.append_value(json);
186                    }
187                    Err(e) => {
188                        return Err(ArrowError::InvalidArgumentError(format!(
189                            "Failed to serialize info dict to JSON: {e}"
190                        )));
191                    }
192                }
193            } else {
194                info_builder.append_null();
195            }
196
197            ts_event_builder.append_value(co.ts_event.as_u64());
198            ts_init_builder.append_value(co.ts_init.as_u64());
199        }
200
201        record_batch_with_timestamps(
202            Self::get_schema(Some(metadata.clone())).into(),
203            vec![
204                Arc::new(id_builder.finish()),
205                Arc::new(raw_symbol_builder.finish()),
206                Arc::new(underlying_builder.finish()),
207                Arc::new(quote_currency_builder.finish()),
208                Arc::new(settlement_currency_builder.finish()),
209                Arc::new(is_inverse_builder.finish()),
210                Arc::new(option_kind_builder.finish()),
211                Arc::new(strike_price_builder.finish()),
212                Arc::new(activation_ns_builder.finish()),
213                Arc::new(expiration_ns_builder.finish()),
214                Arc::new(price_precision_builder.finish()),
215                Arc::new(size_precision_builder.finish()),
216                Arc::new(price_increment_builder.finish()),
217                Arc::new(size_increment_builder.finish()),
218                Arc::new(multiplier_builder.finish()),
219                Arc::new(lot_size_builder.finish()),
220                Arc::new(max_quantity_builder.finish()),
221                Arc::new(min_quantity_builder.finish()),
222                Arc::new(max_notional_builder.finish()),
223                Arc::new(min_notional_builder.finish()),
224                Arc::new(max_price_builder.finish()),
225                Arc::new(min_price_builder.finish()),
226                Arc::new(margin_init_builder.finish()),
227                Arc::new(margin_maint_builder.finish()),
228                Arc::new(tick_scheme_builder.finish()),
229                Arc::new(info_builder.finish()),
230                Arc::new(ts_event_builder.finish()),
231                Arc::new(ts_init_builder.finish()),
232            ],
233        )
234    }
235
236    fn metadata(&self) -> HashMap<String, String> {
237        let mut metadata = HashMap::new();
238        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
239        metadata.insert(
240            KEY_PRICE_PRECISION.to_string(),
241            self.price_precision.to_string(),
242        );
243        metadata.insert(
244            KEY_SIZE_PRECISION.to_string(),
245            self.size_precision.to_string(),
246        );
247        metadata
248    }
249}
250
251/// Decodes [`CryptoOption`] instruments from a record batch.
252///
253/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
254///
255/// # Errors
256///
257/// Returns an error if the record batch cannot be decoded.
258///
259/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
260pub fn decode_crypto_option_batch(
261    #[allow(unused)] metadata: &HashMap<String, String>,
262    record_batch: &RecordBatch,
263) -> Result<Vec<CryptoOption>, EncodingError> {
264    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
265    let record_batch = &record_batch;
266    let cols = record_batch.columns();
267    let num_rows = record_batch.num_rows();
268
269    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
270    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
271    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
272    let quote_currency_values =
273        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
274    let settlement_currency_values =
275        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
276    let is_inverse_values =
277        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
278    let option_kind_values = extract_column::<StringArray>(cols, "option_kind", 6, DataType::Utf8)?;
279    let strike_price_values =
280        extract_column::<StringArray>(cols, "strike_price", 7, DataType::Utf8)?;
281    let activation_ns_values =
282        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
283    let expiration_ns_values =
284        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
285    let price_precision_values =
286        extract_column::<UInt8Array>(cols, "price_precision", 10, DataType::UInt8)?;
287    let size_precision_values =
288        extract_column::<UInt8Array>(cols, "size_precision", 11, DataType::UInt8)?;
289    let price_increment_values =
290        extract_column::<StringArray>(cols, "price_increment", 12, DataType::Utf8)?;
291    let size_increment_values =
292        extract_column::<StringArray>(cols, "size_increment", 13, DataType::Utf8)?;
293    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 14, DataType::Utf8)?;
294    let lot_size_values = record_batch
295        .schema()
296        .index_of("lot_size")
297        .ok()
298        .map(|index| extract_column::<StringArray>(cols, "lot_size", index, DataType::Utf8))
299        .transpose()?;
300    let lot_size_offset = usize::from(lot_size_values.is_some());
301    let max_quantity_values = cols
302        .get(15 + lot_size_offset)
303        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 15 + lot_size_offset))?;
304    let min_quantity_values = cols
305        .get(16 + lot_size_offset)
306        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 16 + lot_size_offset))?;
307    let max_notional_values = cols
308        .get(17 + lot_size_offset)
309        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 17 + lot_size_offset))?;
310    let min_notional_values = cols
311        .get(18 + lot_size_offset)
312        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 18 + lot_size_offset))?;
313    let max_price_values = cols
314        .get(19 + lot_size_offset)
315        .ok_or_else(|| EncodingError::MissingColumn("max_price", 19 + lot_size_offset))?;
316    let min_price_values = cols
317        .get(20 + lot_size_offset)
318        .ok_or_else(|| EncodingError::MissingColumn("min_price", 20 + lot_size_offset))?;
319    let margin_init_values =
320        extract_column::<StringArray>(cols, "margin_init", 21 + lot_size_offset, DataType::Utf8)?;
321    let margin_maint_values =
322        extract_column::<StringArray>(cols, "margin_maint", 22 + lot_size_offset, DataType::Utf8)?;
323    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
324    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
325    let ts_event_values =
326        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
327    let ts_init_values =
328        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
329
330    let mut result = Vec::with_capacity(num_rows);
331
332    for i in 0..num_rows {
333        let id = InstrumentId::from_str(id_values.value(i))
334            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
335        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
336        let underlying = super::decode_currency(
337            underlying_values.value(i),
338            "underlying",
339            "crypto_option.underlying",
340            i,
341        )?;
342        let quote_currency = super::decode_currency(
343            quote_currency_values.value(i),
344            "quote_currency",
345            "crypto_option.quote_currency",
346            i,
347        )?;
348        let settlement_currency = super::decode_currency(
349            settlement_currency_values.value(i),
350            "settlement_currency",
351            "crypto_option.settlement_currency",
352            i,
353        )?;
354        let is_inverse = is_inverse_values.value(i);
355        let option_kind = OptionKind::from_str(option_kind_values.value(i))
356            .map_err(|e| EncodingError::ParseError("option_kind", format!("row {i}: {e}")))?;
357        let strike_price = Price::from_str(strike_price_values.value(i))
358            .map_err(|e| EncodingError::ParseError("strike_price", format!("row {i}: {e}")))?;
359        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
360        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
361        let price_prec = price_precision_values.value(i);
362        let size_prec = size_precision_values.value(i);
363
364        let price_increment = Price::from_str(price_increment_values.value(i))
365            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
366        let size_increment = Quantity::from_str(size_increment_values.value(i))
367            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
368        let multiplier = Quantity::from_str(multiplier_values.value(i))
369            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
370        let lot_size =
371            if let Some(values) = lot_size_values {
372                if values.is_null(i) {
373                    None
374                } else {
375                    Some(Quantity::from_str(values.value(i)).map_err(|e| {
376                        EncodingError::ParseError("lot_size", format!("row {i}: {e}"))
377                    })?)
378                }
379            } else {
380                None
381            };
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
484        let info = if info_values.is_null(i) {
485            None
486        } else {
487            let info_json = info_values
488                .as_any()
489                .downcast_ref::<StringArray>()
490                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
491                .value(i);
492
493            match serde_json::from_str::<Params>(info_json) {
494                Ok(info_dict) => Some(info_dict),
495                Err(e) => {
496                    return Err(EncodingError::ParseError(
497                        "info",
498                        format!("row {i}: failed to deserialize JSON: {e}"),
499                    ));
500                }
501            }
502        };
503
504        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
505        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
506
507        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
508
509        let crypto_option = CryptoOption::builder()
510            .instrument_id(id)
511            .raw_symbol(raw_symbol)
512            .underlying(underlying)
513            .quote_currency(quote_currency)
514            .settlement_currency(settlement_currency)
515            .is_inverse(is_inverse)
516            .option_kind(option_kind)
517            .strike_price(strike_price)
518            .activation_ns(activation_ns)
519            .expiration_ns(expiration_ns)
520            .price_precision(price_prec)
521            .size_precision(size_prec)
522            .price_increment(price_increment)
523            .size_increment(size_increment)
524            .multiplier(multiplier)
525            .maybe_lot_size(lot_size)
526            .maybe_max_quantity(max_quantity)
527            .maybe_min_quantity(min_quantity)
528            .maybe_max_notional(max_notional)
529            .maybe_min_notional(min_notional)
530            .maybe_max_price(max_price)
531            .maybe_min_price(min_price)
532            .margin_init(margin_init)
533            .margin_maint(margin_maint)
534            .maybe_tick_scheme(tick_scheme)
535            .maybe_info(info)
536            .ts_event(ts_event)
537            .ts_init(ts_init)
538            .build()
539            .map_err(|e| super::instrument_validation_error::<CryptoOption>(i, e))?;
540
541        result.push(crypto_option);
542    }
543
544    Ok(result)
545}
nautilus_serialization/arrow/instrument/crypto_option.rs

nautilus_serialization/arrow/instrument/
crypto_option.rs
