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::{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, OptionKind},
29    identifiers::{InstrumentId, Symbol},
30    instruments::option_contract::OptionContract,
31    types::{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 OptionContract {
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("underlying", DataType::Utf8, false),
50            Field::new("asset_class", DataType::Utf8, false),
51            Field::new("exchange", DataType::Utf8, true), // nullable
52            Field::new("option_kind", DataType::Utf8, false),
53            Field::new("strike_price", DataType::Utf8, false),
54            Field::new("currency", DataType::Utf8, false),
55            Field::new("activation_ns", timestamp_data_type(), false),
56            Field::new("expiration_ns", timestamp_data_type(), false),
57            Field::new("price_precision", DataType::UInt8, false),
58            Field::new("size_precision", DataType::UInt8, false),
59            Field::new("price_increment", DataType::Utf8, false),
60            Field::new("size_increment", DataType::Utf8, false),
61            Field::new("multiplier", DataType::Utf8, false),
62            Field::new("lot_size", DataType::Utf8, false),
63            Field::new("max_quantity", DataType::Utf8, true), // nullable
64            Field::new("min_quantity", DataType::Utf8, true), // nullable
65            Field::new("max_price", DataType::Utf8, true),    // nullable
66            Field::new("min_price", DataType::Utf8, true),    // nullable
67            Field::new("margin_init", DataType::Utf8, false),
68            Field::new("margin_maint", DataType::Utf8, false),
69            Field::new("tick_scheme", DataType::Utf8, true),
70            json_string_field("info", true),
71            Field::new("ts_event", timestamp_data_type(), false),
72            Field::new("ts_init", timestamp_data_type(), false),
73        ];
74
75        Schema::new_with_metadata(fields, metadata_with_type_name("OptionContract", metadata))
76    }
77}
78
79impl EncodeToRecordBatch for OptionContract {
80    fn encode_batch<T>(
81        #[allow(unused)] metadata: &HashMap<String, String>,
82        data: &[T],
83    ) -> Result<RecordBatch, ArrowError>
84    where
85        T: std::borrow::Borrow<Self>,
86    {
87        let mut id_builder = StringBuilder::new();
88        let mut raw_symbol_builder = StringBuilder::new();
89        let mut underlying_builder = StringBuilder::new();
90        let mut asset_class_builder = StringBuilder::new();
91        let mut exchange_builder = StringBuilder::new();
92        let mut option_kind_builder = StringBuilder::new();
93        let mut strike_price_builder = StringBuilder::new();
94        let mut currency_builder = StringBuilder::new();
95        let mut activation_ns_builder = UInt64Array::builder(data.len());
96        let mut expiration_ns_builder = UInt64Array::builder(data.len());
97        let mut price_precision_builder = UInt8Array::builder(data.len());
98        let mut size_precision_builder = UInt8Array::builder(data.len());
99        let mut price_increment_builder = StringBuilder::new();
100        let mut size_increment_builder = StringBuilder::new();
101        let mut multiplier_builder = StringBuilder::new();
102        let mut lot_size_builder = StringBuilder::new();
103        let mut max_quantity_builder = StringBuilder::new();
104        let mut min_quantity_builder = StringBuilder::new();
105        let mut max_price_builder = StringBuilder::new();
106        let mut min_price_builder = StringBuilder::new();
107        let mut margin_init_builder = StringBuilder::new();
108        let mut margin_maint_builder = StringBuilder::new();
109        let mut tick_scheme_builder = StringBuilder::new();
110        let mut info_builder = StringBuilder::new();
111        let mut ts_event_builder = UInt64Array::builder(data.len());
112        let mut ts_init_builder = UInt64Array::builder(data.len());
113
114        for oc in data.iter().map(Borrow::borrow) {
115            id_builder.append_value(oc.id.to_string());
116            raw_symbol_builder.append_value(oc.raw_symbol);
117            underlying_builder.append_value(oc.underlying);
118            asset_class_builder.append_value(oc.asset_class);
119
120            if let Some(exchange) = oc.exchange {
121                exchange_builder.append_value(exchange);
122            } else {
123                exchange_builder.append_null();
124            }
125
126            option_kind_builder.append_value(oc.option_kind);
127            strike_price_builder.append_value(oc.strike_price.to_string());
128            currency_builder.append_value(oc.currency.to_string());
129            activation_ns_builder.append_value(oc.activation_ns.as_u64());
130            expiration_ns_builder.append_value(oc.expiration_ns.as_u64());
131            price_precision_builder.append_value(oc.price_precision);
132            size_precision_builder.append_value(oc.size_precision);
133            price_increment_builder.append_value(oc.price_increment.to_string());
134            size_increment_builder.append_value(oc.size_increment.to_string());
135            multiplier_builder.append_value(oc.multiplier.to_string());
136            lot_size_builder.append_value(oc.lot_size.to_string());
137
138            if let Some(max_quantity) = oc.max_quantity {
139                max_quantity_builder.append_value(max_quantity.to_string());
140            } else {
141                max_quantity_builder.append_null();
142            }
143
144            if let Some(min_quantity) = oc.min_quantity {
145                min_quantity_builder.append_value(min_quantity.to_string());
146            } else {
147                min_quantity_builder.append_null();
148            }
149
150            if let Some(max_price) = oc.max_price {
151                max_price_builder.append_value(max_price.to_string());
152            } else {
153                max_price_builder.append_null();
154            }
155
156            if let Some(min_price) = oc.min_price {
157                min_price_builder.append_value(min_price.to_string());
158            } else {
159                min_price_builder.append_null();
160            }
161
162            margin_init_builder.append_value(oc.margin_init.to_string());
163            margin_maint_builder.append_value(oc.margin_maint.to_string());
164
165            if let Some(tick_scheme) = oc.tick_scheme {
166                tick_scheme_builder.append_value(tick_scheme);
167            } else {
168                tick_scheme_builder.append_null();
169            }
170
171            if let Some(ref info) = oc.info {
172                match serde_json::to_string(info) {
173                    Ok(json) => {
174                        info_builder.append_value(json);
175                    }
176                    Err(e) => {
177                        return Err(ArrowError::InvalidArgumentError(format!(
178                            "Failed to serialize info dict to JSON: {e}"
179                        )));
180                    }
181                }
182            } else {
183                info_builder.append_null();
184            }
185
186            ts_event_builder.append_value(oc.ts_event.as_u64());
187            ts_init_builder.append_value(oc.ts_init.as_u64());
188        }
189
190        record_batch_with_timestamps(
191            Self::get_schema(Some(metadata.clone())).into(),
192            vec![
193                Arc::new(id_builder.finish()),
194                Arc::new(raw_symbol_builder.finish()),
195                Arc::new(underlying_builder.finish()),
196                Arc::new(asset_class_builder.finish()),
197                Arc::new(exchange_builder.finish()),
198                Arc::new(option_kind_builder.finish()),
199                Arc::new(strike_price_builder.finish()),
200                Arc::new(currency_builder.finish()),
201                Arc::new(activation_ns_builder.finish()),
202                Arc::new(expiration_ns_builder.finish()),
203                Arc::new(price_precision_builder.finish()),
204                Arc::new(size_precision_builder.finish()),
205                Arc::new(price_increment_builder.finish()),
206                Arc::new(size_increment_builder.finish()),
207                Arc::new(multiplier_builder.finish()),
208                Arc::new(lot_size_builder.finish()),
209                Arc::new(max_quantity_builder.finish()),
210                Arc::new(min_quantity_builder.finish()),
211                Arc::new(max_price_builder.finish()),
212                Arc::new(min_price_builder.finish()),
213                Arc::new(margin_init_builder.finish()),
214                Arc::new(margin_maint_builder.finish()),
215                Arc::new(tick_scheme_builder.finish()),
216                Arc::new(info_builder.finish()),
217                Arc::new(ts_event_builder.finish()),
218                Arc::new(ts_init_builder.finish()),
219            ],
220        )
221    }
222
223    fn metadata(&self) -> HashMap<String, String> {
224        let mut metadata = HashMap::new();
225        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
226        metadata.insert(
227            KEY_PRICE_PRECISION.to_string(),
228            self.price_precision.to_string(),
229        );
230        metadata.insert(
231            KEY_SIZE_PRECISION.to_string(),
232            self.size_precision.to_string(),
233        );
234        metadata
235    }
236}
237
238/// Decodes [`OptionContract`] instruments from a record batch.
239///
240/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
241///
242/// # Errors
243///
244/// Returns an error if the record batch cannot be decoded.
245///
246/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
247pub fn decode_option_contract_batch(
248    #[allow(unused)] metadata: &HashMap<String, String>,
249    record_batch: &RecordBatch,
250) -> Result<Vec<OptionContract>, EncodingError> {
251    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
252    let record_batch = &record_batch;
253    let cols = record_batch.columns();
254    let num_rows = record_batch.num_rows();
255
256    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
257    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
258    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
259    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
260    let exchange_values = cols
261        .get(4)
262        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
263    let option_kind_values = extract_column::<StringArray>(cols, "option_kind", 5, DataType::Utf8)?;
264    let strike_price_values =
265        extract_column::<StringArray>(cols, "strike_price", 6, DataType::Utf8)?;
266    let currency_values = extract_column::<StringArray>(cols, "currency", 7, DataType::Utf8)?;
267    let activation_ns_values =
268        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
269    let expiration_ns_values =
270        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
271    let price_precision_values =
272        extract_column::<UInt8Array>(cols, "price_precision", 10, DataType::UInt8)?;
273    let size_precision_values =
274        extract_column::<UInt8Array>(cols, "size_precision", 11, DataType::UInt8)?;
275    let price_increment_values =
276        extract_column::<StringArray>(cols, "price_increment", 12, DataType::Utf8)?;
277    let size_increment_values =
278        extract_column::<StringArray>(cols, "size_increment", 13, DataType::Utf8)?;
279    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 14, DataType::Utf8)?;
280    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 15, DataType::Utf8)?;
281    let max_quantity_values = extract_optional_string_column_by_name(record_batch, "max_quantity")?;
282    let min_quantity_values = extract_optional_string_column_by_name(record_batch, "min_quantity")?;
283    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
284    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
285    let margin_init_values =
286        extract_column::<StringArray>(cols, "margin_init", 20, DataType::Utf8)?;
287    let margin_maint_values =
288        extract_column::<StringArray>(cols, "margin_maint", 21, DataType::Utf8)?;
289    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
290    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
291    let ts_event_values =
292        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
293    let ts_init_values =
294        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
295
296    let mut result = Vec::with_capacity(num_rows);
297
298    for i in 0..num_rows {
299        let id = InstrumentId::from_str(id_values.value(i))
300            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
301        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
302        let underlying = Ustr::from(underlying_values.value(i));
303        let asset_class = AssetClass::from_str(asset_class_values.value(i))
304            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
305
306        let exchange = if exchange_values.is_null(i) {
307            None
308        } else {
309            let exchange_str = exchange_values
310                .as_any()
311                .downcast_ref::<StringArray>()
312                .ok_or_else(|| {
313                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
314                })?
315                .value(i);
316            Some(Ustr::from(exchange_str))
317        };
318
319        let option_kind = OptionKind::from_str(option_kind_values.value(i))
320            .map_err(|e| EncodingError::ParseError("option_kind", format!("row {i}: {e}")))?;
321        let strike_price = Price::from_str(strike_price_values.value(i))
322            .map_err(|e| EncodingError::ParseError("strike_price", format!("row {i}: {e}")))?;
323        let currency = super::decode_currency(
324            currency_values.value(i),
325            "currency",
326            "option_contract.currency",
327            i,
328        )?;
329        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
330        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
331        let price_prec = price_precision_values.value(i);
332        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
333
334        let price_increment = Price::from_str(price_increment_values.value(i))
335            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
336        let _size_increment = Quantity::from_str(size_increment_values.value(i))
337            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
338        let multiplier = Quantity::from_str(multiplier_values.value(i))
339            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
340        let lot_size = Quantity::from_str(lot_size_values.value(i))
341            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
342
343        let margin_init = Decimal::from_str(margin_init_values.value(i))
344            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
345        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
346            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
347
348        let info = if info_values.is_null(i) {
349            None
350        } else {
351            let info_json = info_values
352                .as_any()
353                .downcast_ref::<StringArray>()
354                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
355                .value(i);
356
357            match serde_json::from_str::<Params>(info_json) {
358                Ok(info_dict) => Some(info_dict),
359                Err(e) => {
360                    return Err(EncodingError::ParseError(
361                        "info",
362                        format!("row {i}: failed to deserialize JSON: {e}"),
363                    ));
364                }
365            }
366        };
367
368        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
369        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
370
371        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
372
373        let option_contract = OptionContract::builder()
374            .instrument_id(id)
375            .raw_symbol(raw_symbol)
376            .asset_class(asset_class)
377            .maybe_exchange(exchange)
378            .underlying(underlying)
379            .option_kind(option_kind)
380            .strike_price(strike_price)
381            .currency(currency)
382            .activation_ns(activation_ns)
383            .expiration_ns(expiration_ns)
384            .price_precision(price_prec)
385            .price_increment(price_increment)
386            .multiplier(multiplier)
387            .lot_size(lot_size)
388            .maybe_max_quantity(super::optional_quantity_value(
389                max_quantity_values,
390                "max_quantity",
391                i,
392            )?)
393            .maybe_min_quantity(super::optional_quantity_value(
394                min_quantity_values,
395                "min_quantity",
396                i,
397            )?)
398            .maybe_max_price(super::optional_price_value(
399                max_price_values,
400                "max_price",
401                i,
402            )?)
403            .maybe_min_price(super::optional_price_value(
404                min_price_values,
405                "min_price",
406                i,
407            )?)
408            .margin_init(margin_init)
409            .margin_maint(margin_maint)
410            .maybe_tick_scheme(tick_scheme)
411            .maybe_info(info)
412            .ts_event(ts_event)
413            .ts_init(ts_init)
414            .build()
415            .map_err(|e| super::instrument_validation_error::<OptionContract>(i, e))?;
416
417        result.push(option_contract);
418    }
419
420    Ok(result)
421}
nautilus_serialization/arrow/instrument/option_contract.rs

nautilus_serialization/arrow/instrument/
option_contract.rs
