nautilus_serialization/arrow/instrument/
option_contract.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 OptionContract 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};
26use nautilus_core::Params;
27use nautilus_model::{
28    enums::{AssetClass, OptionKind},
29    identifiers::{InstrumentId, Symbol},
30    instruments::option_contract::OptionContract,
31    types::{price::Price, quantity::Quantity},
32};
33#[allow(unused)]
34use rust_decimal::Decimal;
35#[allow(unused)]
36use serde_json::Value;
37use ustr::Ustr;
38
39use crate::arrow::{
40    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
41    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column,
42};
43
44// Helper function to convert AssetClass to string
45fn asset_class_to_string(ac: AssetClass) -> String {
46    match ac {
47        AssetClass::FX => "FX".to_string(),
48        AssetClass::Equity => "Equity".to_string(),
49        AssetClass::Commodity => "Commodity".to_string(),
50        AssetClass::Debt => "Debt".to_string(),
51        AssetClass::Index => "Index".to_string(),
52        AssetClass::Cryptocurrency => "Cryptocurrency".to_string(),
53        AssetClass::Alternative => "Alternative".to_string(),
54    }
55}
56
57// Helper function to parse AssetClass from string
58fn asset_class_from_str(s: &str) -> Result<AssetClass, EncodingError> {
59    match s {
60        "FX" => Ok(AssetClass::FX),
61        "Equity" => Ok(AssetClass::Equity),
62        "Commodity" => Ok(AssetClass::Commodity),
63        "Debt" => Ok(AssetClass::Debt),
64        "Index" => Ok(AssetClass::Index),
65        "Cryptocurrency" => Ok(AssetClass::Cryptocurrency),
66        "Alternative" => Ok(AssetClass::Alternative),
67        _ => Err(EncodingError::ParseError(
68            "asset_class",
69            format!("Unknown asset class: {s}"),
70        )),
71    }
72}
73
74// Helper function to convert OptionKind to string
75fn option_kind_to_string(ok: OptionKind) -> String {
76    match ok {
77        OptionKind::Call => "Call".to_string(),
78        OptionKind::Put => "Put".to_string(),
79    }
80}
81
82// Helper function to parse OptionKind from string
83fn option_kind_from_str(s: &str) -> Result<OptionKind, EncodingError> {
84    match s {
85        "Call" => Ok(OptionKind::Call),
86        "Put" => Ok(OptionKind::Put),
87        _ => Err(EncodingError::ParseError(
88            "option_kind",
89            format!("Unknown option kind: {s}"),
90        )),
91    }
92}
93
94impl ArrowSchemaProvider for OptionContract {
95    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
96        let fields = vec![
97            Field::new("id", DataType::Utf8, false),
98            Field::new("raw_symbol", DataType::Utf8, false),
99            Field::new("underlying", DataType::Utf8, false),
100            Field::new("asset_class", DataType::Utf8, false),
101            Field::new("exchange", DataType::Utf8, true), // nullable
102            Field::new("option_kind", DataType::Utf8, false),
103            Field::new("strike_price", DataType::Utf8, false),
104            Field::new("currency", DataType::Utf8, false),
105            Field::new("activation_ns", DataType::UInt64, false),
106            Field::new("expiration_ns", DataType::UInt64, false),
107            Field::new("price_precision", DataType::UInt8, false),
108            Field::new("size_precision", DataType::UInt8, false),
109            Field::new("price_increment", DataType::Utf8, false),
110            Field::new("size_increment", DataType::Utf8, false),
111            Field::new("multiplier", DataType::Utf8, false),
112            Field::new("lot_size", DataType::Utf8, false),
113            Field::new("margin_init", DataType::Utf8, false),
114            Field::new("margin_maint", DataType::Utf8, false),
115            Field::new("maker_fee", DataType::Utf8, false),
116            Field::new("taker_fee", DataType::Utf8, false),
117            Field::new("info", DataType::Binary, true), // nullable
118            Field::new("ts_event", DataType::UInt64, false),
119            Field::new("ts_init", DataType::UInt64, false),
120        ];
121
122        let mut final_metadata = HashMap::new();
123        final_metadata.insert("class".to_string(), "OptionContract".to_string());
124
125        if let Some(meta) = metadata {
126            final_metadata.extend(meta);
127        }
128
129        Schema::new_with_metadata(fields, final_metadata)
130    }
131}
132
133impl EncodeToRecordBatch for OptionContract {
134    fn encode_batch(
135        #[allow(unused)] metadata: &HashMap<String, String>,
136        data: &[Self],
137    ) -> Result<RecordBatch, ArrowError> {
138        let mut id_builder = StringBuilder::new();
139        let mut raw_symbol_builder = StringBuilder::new();
140        let mut underlying_builder = StringBuilder::new();
141        let mut asset_class_builder = StringBuilder::new();
142        let mut exchange_builder = StringBuilder::new();
143        let mut option_kind_builder = StringBuilder::new();
144        let mut strike_price_builder = StringBuilder::new();
145        let mut currency_builder = StringBuilder::new();
146        let mut activation_ns_builder = UInt64Array::builder(data.len());
147        let mut expiration_ns_builder = UInt64Array::builder(data.len());
148        let mut price_precision_builder = UInt8Array::builder(data.len());
149        let mut size_precision_builder = UInt8Array::builder(data.len());
150        let mut price_increment_builder = StringBuilder::new();
151        let mut size_increment_builder = StringBuilder::new();
152        let mut multiplier_builder = StringBuilder::new();
153        let mut lot_size_builder = StringBuilder::new();
154        let mut margin_init_builder = StringBuilder::new();
155        let mut margin_maint_builder = StringBuilder::new();
156        let mut maker_fee_builder = StringBuilder::new();
157        let mut taker_fee_builder = StringBuilder::new();
158        let mut info_builder = BinaryBuilder::new();
159        let mut ts_event_builder = UInt64Array::builder(data.len());
160        let mut ts_init_builder = UInt64Array::builder(data.len());
161
162        for oc in data {
163            id_builder.append_value(oc.id.to_string());
164            raw_symbol_builder.append_value(oc.raw_symbol);
165            underlying_builder.append_value(oc.underlying);
166            asset_class_builder.append_value(asset_class_to_string(oc.asset_class));
167
168            if let Some(exchange) = oc.exchange {
169                exchange_builder.append_value(exchange);
170            } else {
171                exchange_builder.append_null();
172            }
173
174            option_kind_builder.append_value(option_kind_to_string(oc.option_kind));
175            strike_price_builder.append_value(oc.strike_price.to_string());
176            currency_builder.append_value(oc.currency.to_string());
177            activation_ns_builder.append_value(oc.activation_ns.as_u64());
178            expiration_ns_builder.append_value(oc.expiration_ns.as_u64());
179            price_precision_builder.append_value(oc.price_precision);
180            size_precision_builder.append_value(oc.size_precision);
181            price_increment_builder.append_value(oc.price_increment.to_string());
182            size_increment_builder.append_value(oc.size_increment.to_string());
183            multiplier_builder.append_value(oc.multiplier.to_string());
184            lot_size_builder.append_value(oc.lot_size.to_string());
185            margin_init_builder.append_value(oc.margin_init.to_string());
186            margin_maint_builder.append_value(oc.margin_maint.to_string());
187            maker_fee_builder.append_value(oc.maker_fee.to_string());
188            taker_fee_builder.append_value(oc.taker_fee.to_string());
189
190            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
191            if let Some(ref info) = oc.info {
192                match serde_json::to_vec(info) {
193                    Ok(json_bytes) => {
194                        info_builder.append_value(json_bytes);
195                    }
196                    Err(e) => {
197                        return Err(ArrowError::InvalidArgumentError(format!(
198                            "Failed to serialize info dict to JSON: {e}"
199                        )));
200                    }
201                }
202            } else {
203                info_builder.append_null();
204            }
205
206            ts_event_builder.append_value(oc.ts_event.as_u64());
207            ts_init_builder.append_value(oc.ts_init.as_u64());
208        }
209
210        let mut final_metadata = metadata.clone();
211        final_metadata.insert("class".to_string(), "OptionContract".to_string());
212
213        RecordBatch::try_new(
214            Self::get_schema(Some(final_metadata)).into(),
215            vec![
216                Arc::new(id_builder.finish()),
217                Arc::new(raw_symbol_builder.finish()),
218                Arc::new(underlying_builder.finish()),
219                Arc::new(asset_class_builder.finish()),
220                Arc::new(exchange_builder.finish()),
221                Arc::new(option_kind_builder.finish()),
222                Arc::new(strike_price_builder.finish()),
223                Arc::new(currency_builder.finish()),
224                Arc::new(activation_ns_builder.finish()),
225                Arc::new(expiration_ns_builder.finish()),
226                Arc::new(price_precision_builder.finish()),
227                Arc::new(size_precision_builder.finish()),
228                Arc::new(price_increment_builder.finish()),
229                Arc::new(size_increment_builder.finish()),
230                Arc::new(multiplier_builder.finish()),
231                Arc::new(lot_size_builder.finish()),
232                Arc::new(margin_init_builder.finish()),
233                Arc::new(margin_maint_builder.finish()),
234                Arc::new(maker_fee_builder.finish()),
235                Arc::new(taker_fee_builder.finish()),
236                Arc::new(info_builder.finish()),
237                Arc::new(ts_event_builder.finish()),
238                Arc::new(ts_init_builder.finish()),
239            ],
240        )
241    }
242
243    fn metadata(&self) -> HashMap<String, String> {
244        let mut metadata = HashMap::new();
245        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
246        metadata.insert(
247            KEY_PRICE_PRECISION.to_string(),
248            self.price_precision.to_string(),
249        );
250        metadata.insert(
251            KEY_SIZE_PRECISION.to_string(),
252            self.size_precision.to_string(),
253        );
254        metadata
255    }
256}
257
258/// Helper function to decode OptionContract from RecordBatch
259/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
260///
261/// # Errors
262///
263/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
264pub fn decode_option_contract_batch(
265    #[allow(unused)] metadata: &HashMap<String, String>,
266    record_batch: &RecordBatch,
267) -> Result<Vec<OptionContract>, EncodingError> {
268    let cols = record_batch.columns();
269    let num_rows = record_batch.num_rows();
270
271    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
272    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
273    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
274    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
275    let exchange_values = cols
276        .get(4)
277        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
278    let option_kind_values = extract_column::<StringArray>(cols, "option_kind", 5, DataType::Utf8)?;
279    let strike_price_values =
280        extract_column::<StringArray>(cols, "strike_price", 6, DataType::Utf8)?;
281    let currency_values = extract_column::<StringArray>(cols, "currency", 7, DataType::Utf8)?;
282    let activation_ns_values =
283        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
284    let expiration_ns_values =
285        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
286    let price_precision_values =
287        extract_column::<UInt8Array>(cols, "price_precision", 10, DataType::UInt8)?;
288    let size_precision_values =
289        extract_column::<UInt8Array>(cols, "size_precision", 11, DataType::UInt8)?;
290    let price_increment_values =
291        extract_column::<StringArray>(cols, "price_increment", 12, DataType::Utf8)?;
292    let size_increment_values =
293        extract_column::<StringArray>(cols, "size_increment", 13, DataType::Utf8)?;
294    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 14, DataType::Utf8)?;
295    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 15, DataType::Utf8)?;
296    let margin_init_values =
297        extract_column::<StringArray>(cols, "margin_init", 16, DataType::Utf8)?;
298    let margin_maint_values =
299        extract_column::<StringArray>(cols, "margin_maint", 17, DataType::Utf8)?;
300    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 18, DataType::Utf8)?;
301    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 19, DataType::Utf8)?;
302    let info_values = cols
303        .get(20)
304        .ok_or_else(|| EncodingError::MissingColumn("info", 20))?;
305    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 21, DataType::UInt64)?;
306    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 22, DataType::UInt64)?;
307
308    let mut result = Vec::with_capacity(num_rows);
309
310    for i in 0..num_rows {
311        let id = InstrumentId::from_str(id_values.value(i))
312            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
313        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
314        let underlying = Ustr::from(underlying_values.value(i));
315        let asset_class = asset_class_from_str(asset_class_values.value(i))?;
316
317        let exchange = if exchange_values.is_null(i) {
318            None
319        } else {
320            let exchange_str = exchange_values
321                .as_any()
322                .downcast_ref::<StringArray>()
323                .ok_or_else(|| {
324                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
325                })?
326                .value(i);
327            Some(Ustr::from(exchange_str))
328        };
329
330        let option_kind = option_kind_from_str(option_kind_values.value(i))?;
331        let strike_price = Price::from_str(strike_price_values.value(i))
332            .map_err(|e| EncodingError::ParseError("strike_price", format!("row {i}: {e}")))?;
333        let currency = super::decode_currency(
334            currency_values.value(i),
335            "currency",
336            "option_contract.currency",
337            i,
338        )?;
339        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
340        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
341        let price_prec = price_precision_values.value(i);
342        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
343
344        let price_increment = Price::from_str(price_increment_values.value(i))
345            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
346        let _size_increment = Quantity::from_str(size_increment_values.value(i))
347            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
348        let multiplier = Quantity::from_str(multiplier_values.value(i))
349            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
350        let lot_size = Quantity::from_str(lot_size_values.value(i))
351            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
352
353        let margin_init = Decimal::from_str(margin_init_values.value(i))
354            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
355        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
356            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
357        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
358            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
359        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
360            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
361
362        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
363        let info = if info_values.is_null(i) {
364            None
365        } else {
366            let info_bytes = info_values
367                .as_any()
368                .downcast_ref::<BinaryArray>()
369                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
370                .value(i);
371
372            match serde_json::from_slice::<Params>(info_bytes) {
373                Ok(info_dict) => Some(info_dict),
374                Err(e) => {
375                    return Err(EncodingError::ParseError(
376                        "info",
377                        format!("row {i}: failed to deserialize JSON: {e}"),
378                    ));
379                }
380            }
381        };
382
383        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
384        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
385
386        let option_contract = OptionContract::new(
387            id,
388            raw_symbol,
389            asset_class,
390            exchange,
391            underlying,
392            option_kind,
393            strike_price,
394            currency,
395            activation_ns,
396            expiration_ns,
397            price_prec,
398            price_increment,
399            multiplier,
400            lot_size,
401            None, // max_quantity - not in Python schema
402            None, // min_quantity - not in Python schema
403            None, // max_price - not in Python schema
404            None, // min_price - not in Python schema
405            Some(margin_init),
406            Some(margin_maint),
407            Some(maker_fee),
408            Some(taker_fee),
409            info,
410            ts_event,
411            ts_init,
412        );
413
414        result.push(option_contract);
415    }
416
417    Ok(result)
418}
nautilus_serialization/arrow/instrument/option_contract.rs

nautilus_serialization/arrow/instrument/
option_contract.rs
