nautilus_serialization/arrow/instrument/
option_spread.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 OptionSpread 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,
29    identifiers::{InstrumentId, Symbol},
30    instruments::option_spread::OptionSpread,
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
74impl ArrowSchemaProvider for OptionSpread {
75    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
76        let fields = vec![
77            Field::new("id", DataType::Utf8, false),
78            Field::new("raw_symbol", DataType::Utf8, false),
79            Field::new("underlying", DataType::Utf8, false),
80            Field::new("strategy_type", DataType::Utf8, false),
81            Field::new("asset_class", DataType::Utf8, false),
82            Field::new("exchange", DataType::Utf8, true), // nullable
83            Field::new("currency", DataType::Utf8, false),
84            Field::new("price_precision", DataType::UInt8, false),
85            Field::new("size_precision", DataType::UInt8, false),
86            Field::new("price_increment", DataType::Utf8, false),
87            Field::new("size_increment", DataType::Utf8, false),
88            Field::new("multiplier", DataType::Utf8, false),
89            Field::new("lot_size", DataType::Utf8, false),
90            Field::new("max_quantity", DataType::Utf8, true), // nullable
91            Field::new("min_quantity", DataType::Utf8, true), // nullable
92            Field::new("max_price", DataType::Utf8, true),    // nullable
93            Field::new("min_price", DataType::Utf8, true),    // nullable
94            Field::new("activation_ns", DataType::UInt64, false),
95            Field::new("expiration_ns", DataType::UInt64, false),
96            Field::new("margin_init", DataType::Utf8, false),
97            Field::new("margin_maint", DataType::Utf8, false),
98            Field::new("maker_fee", DataType::Utf8, false),
99            Field::new("taker_fee", DataType::Utf8, false),
100            Field::new("info", DataType::Binary, true), // nullable
101            Field::new("ts_event", DataType::UInt64, false),
102            Field::new("ts_init", DataType::UInt64, false),
103        ];
104
105        let mut final_metadata = HashMap::new();
106        final_metadata.insert("class".to_string(), "OptionSpread".to_string());
107
108        if let Some(meta) = metadata {
109            final_metadata.extend(meta);
110        }
111
112        Schema::new_with_metadata(fields, final_metadata)
113    }
114}
115
116impl EncodeToRecordBatch for OptionSpread {
117    fn encode_batch(
118        #[allow(unused)] metadata: &HashMap<String, String>,
119        data: &[Self],
120    ) -> Result<RecordBatch, ArrowError> {
121        let mut id_builder = StringBuilder::new();
122        let mut raw_symbol_builder = StringBuilder::new();
123        let mut underlying_builder = StringBuilder::new();
124        let mut strategy_type_builder = StringBuilder::new();
125        let mut asset_class_builder = StringBuilder::new();
126        let mut exchange_builder = StringBuilder::new();
127        let mut currency_builder = StringBuilder::new();
128        let mut price_precision_builder = UInt8Array::builder(data.len());
129        let mut size_precision_builder = UInt8Array::builder(data.len());
130        let mut price_increment_builder = StringBuilder::new();
131        let mut size_increment_builder = StringBuilder::new();
132        let mut multiplier_builder = StringBuilder::new();
133        let mut lot_size_builder = StringBuilder::new();
134        let mut max_quantity_builder = StringBuilder::new();
135        let mut min_quantity_builder = StringBuilder::new();
136        let mut max_price_builder = StringBuilder::new();
137        let mut min_price_builder = StringBuilder::new();
138        let mut activation_ns_builder = UInt64Array::builder(data.len());
139        let mut expiration_ns_builder = UInt64Array::builder(data.len());
140        let mut margin_init_builder = StringBuilder::new();
141        let mut margin_maint_builder = StringBuilder::new();
142        let mut maker_fee_builder = StringBuilder::new();
143        let mut taker_fee_builder = StringBuilder::new();
144        let mut info_builder = BinaryBuilder::new();
145        let mut ts_event_builder = UInt64Array::builder(data.len());
146        let mut ts_init_builder = UInt64Array::builder(data.len());
147
148        for os in data {
149            id_builder.append_value(os.id.to_string());
150            raw_symbol_builder.append_value(os.raw_symbol);
151            underlying_builder.append_value(os.underlying);
152            strategy_type_builder.append_value(os.strategy_type);
153            asset_class_builder.append_value(asset_class_to_string(os.asset_class));
154
155            if let Some(exchange) = os.exchange {
156                exchange_builder.append_value(exchange);
157            } else {
158                exchange_builder.append_null();
159            }
160
161            currency_builder.append_value(os.currency.to_string());
162            price_precision_builder.append_value(os.price_precision);
163            size_precision_builder.append_value(os.size_precision);
164            price_increment_builder.append_value(os.price_increment.to_string());
165            size_increment_builder.append_value(os.size_increment.to_string());
166            multiplier_builder.append_value(os.multiplier.to_string());
167            lot_size_builder.append_value(os.lot_size.to_string());
168
169            if let Some(max_qty) = os.max_quantity {
170                max_quantity_builder.append_value(max_qty.to_string());
171            } else {
172                max_quantity_builder.append_null();
173            }
174
175            if let Some(min_qty) = os.min_quantity {
176                min_quantity_builder.append_value(min_qty.to_string());
177            } else {
178                min_quantity_builder.append_null();
179            }
180
181            if let Some(max_p) = os.max_price {
182                max_price_builder.append_value(max_p.to_string());
183            } else {
184                max_price_builder.append_null();
185            }
186
187            if let Some(min_p) = os.min_price {
188                min_price_builder.append_value(min_p.to_string());
189            } else {
190                min_price_builder.append_null();
191            }
192
193            activation_ns_builder.append_value(os.activation_ns.as_u64());
194            expiration_ns_builder.append_value(os.expiration_ns.as_u64());
195            margin_init_builder.append_value(os.margin_init.to_string());
196            margin_maint_builder.append_value(os.margin_maint.to_string());
197            maker_fee_builder.append_value(os.maker_fee.to_string());
198            taker_fee_builder.append_value(os.taker_fee.to_string());
199
200            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
201            if let Some(ref info) = os.info {
202                match serde_json::to_vec(info) {
203                    Ok(json_bytes) => {
204                        info_builder.append_value(json_bytes);
205                    }
206                    Err(e) => {
207                        return Err(ArrowError::InvalidArgumentError(format!(
208                            "Failed to serialize info dict to JSON: {e}"
209                        )));
210                    }
211                }
212            } else {
213                info_builder.append_null();
214            }
215
216            ts_event_builder.append_value(os.ts_event.as_u64());
217            ts_init_builder.append_value(os.ts_init.as_u64());
218        }
219
220        let mut final_metadata = metadata.clone();
221        final_metadata.insert("class".to_string(), "OptionSpread".to_string());
222
223        RecordBatch::try_new(
224            Self::get_schema(Some(final_metadata)).into(),
225            vec![
226                Arc::new(id_builder.finish()),
227                Arc::new(raw_symbol_builder.finish()),
228                Arc::new(underlying_builder.finish()),
229                Arc::new(strategy_type_builder.finish()),
230                Arc::new(asset_class_builder.finish()),
231                Arc::new(exchange_builder.finish()),
232                Arc::new(currency_builder.finish()),
233                Arc::new(price_precision_builder.finish()),
234                Arc::new(size_precision_builder.finish()),
235                Arc::new(price_increment_builder.finish()),
236                Arc::new(size_increment_builder.finish()),
237                Arc::new(multiplier_builder.finish()),
238                Arc::new(lot_size_builder.finish()),
239                Arc::new(max_quantity_builder.finish()),
240                Arc::new(min_quantity_builder.finish()),
241                Arc::new(max_price_builder.finish()),
242                Arc::new(min_price_builder.finish()),
243                Arc::new(activation_ns_builder.finish()),
244                Arc::new(expiration_ns_builder.finish()),
245                Arc::new(margin_init_builder.finish()),
246                Arc::new(margin_maint_builder.finish()),
247                Arc::new(maker_fee_builder.finish()),
248                Arc::new(taker_fee_builder.finish()),
249                Arc::new(info_builder.finish()),
250                Arc::new(ts_event_builder.finish()),
251                Arc::new(ts_init_builder.finish()),
252            ],
253        )
254    }
255
256    fn metadata(&self) -> HashMap<String, String> {
257        let mut metadata = HashMap::new();
258        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
259        metadata.insert(
260            KEY_PRICE_PRECISION.to_string(),
261            self.price_precision.to_string(),
262        );
263        metadata.insert(
264            KEY_SIZE_PRECISION.to_string(),
265            self.size_precision.to_string(),
266        );
267        metadata
268    }
269}
270
271/// Helper function to decode OptionSpread from RecordBatch
272/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
273///
274/// # Errors
275///
276/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
277pub fn decode_option_spread_batch(
278    #[allow(unused)] metadata: &HashMap<String, String>,
279    record_batch: &RecordBatch,
280) -> Result<Vec<OptionSpread>, EncodingError> {
281    let cols = record_batch.columns();
282    let num_rows = record_batch.num_rows();
283
284    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
285    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
286    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
287    let strategy_type_values =
288        extract_column::<StringArray>(cols, "strategy_type", 3, DataType::Utf8)?;
289    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 4, DataType::Utf8)?;
290    let exchange_values = cols
291        .get(5)
292        .ok_or_else(|| EncodingError::MissingColumn("exchange", 5))?;
293    let currency_values = extract_column::<StringArray>(cols, "currency", 6, DataType::Utf8)?;
294    let price_precision_values =
295        extract_column::<UInt8Array>(cols, "price_precision", 7, DataType::UInt8)?;
296    let size_precision_values =
297        extract_column::<UInt8Array>(cols, "size_precision", 8, DataType::UInt8)?;
298    let price_increment_values =
299        extract_column::<StringArray>(cols, "price_increment", 9, DataType::Utf8)?;
300    let size_increment_values =
301        extract_column::<StringArray>(cols, "size_increment", 10, DataType::Utf8)?;
302    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 11, DataType::Utf8)?;
303    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 12, DataType::Utf8)?;
304    let max_quantity_values = cols
305        .get(13)
306        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13))?;
307    let min_quantity_values = cols
308        .get(14)
309        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14))?;
310    let max_price_values = cols
311        .get(15)
312        .ok_or_else(|| EncodingError::MissingColumn("max_price", 15))?;
313    let min_price_values = cols
314        .get(16)
315        .ok_or_else(|| EncodingError::MissingColumn("min_price", 16))?;
316    let activation_ns_values =
317        extract_column::<UInt64Array>(cols, "activation_ns", 17, DataType::UInt64)?;
318    let expiration_ns_values =
319        extract_column::<UInt64Array>(cols, "expiration_ns", 18, DataType::UInt64)?;
320    let margin_init_values =
321        extract_column::<StringArray>(cols, "margin_init", 19, DataType::Utf8)?;
322    let margin_maint_values =
323        extract_column::<StringArray>(cols, "margin_maint", 20, DataType::Utf8)?;
324    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 21, DataType::Utf8)?;
325    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 22, DataType::Utf8)?;
326    let info_values = cols
327        .get(23)
328        .ok_or_else(|| EncodingError::MissingColumn("info", 23))?;
329    let ts_event_values = extract_column::<UInt64Array>(cols, "ts_event", 24, DataType::UInt64)?;
330    let ts_init_values = extract_column::<UInt64Array>(cols, "ts_init", 25, DataType::UInt64)?;
331
332    let mut result = Vec::with_capacity(num_rows);
333
334    for i in 0..num_rows {
335        let id = InstrumentId::from_str(id_values.value(i))
336            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
337        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
338        let underlying = Ustr::from(underlying_values.value(i));
339        let strategy_type = Ustr::from(strategy_type_values.value(i));
340        let asset_class = asset_class_from_str(asset_class_values.value(i))?;
341
342        let exchange = if exchange_values.is_null(i) {
343            None
344        } else {
345            let exchange_str = exchange_values
346                .as_any()
347                .downcast_ref::<StringArray>()
348                .ok_or_else(|| {
349                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
350                })?
351                .value(i);
352            Some(Ustr::from(exchange_str))
353        };
354
355        let currency = super::decode_currency(
356            currency_values.value(i),
357            "currency",
358            "option_spread.currency",
359            i,
360        )?;
361        let price_prec = price_precision_values.value(i);
362        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
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}")))?; // Not used in constructor, set to default
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 = Quantity::from_str(lot_size_values.value(i))
371            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
372
373        let max_quantity =
374            if max_quantity_values.is_null(i) {
375                None
376            } else {
377                let max_qty_str = max_quantity_values
378                    .as_any()
379                    .downcast_ref::<StringArray>()
380                    .ok_or_else(|| {
381                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
382                    })?
383                    .value(i);
384                Some(Quantity::from_str(max_qty_str).map_err(|e| {
385                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
386                })?)
387            };
388
389        let min_quantity =
390            if min_quantity_values.is_null(i) {
391                None
392            } else {
393                let min_qty_str = min_quantity_values
394                    .as_any()
395                    .downcast_ref::<StringArray>()
396                    .ok_or_else(|| {
397                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
398                    })?
399                    .value(i);
400                Some(Quantity::from_str(min_qty_str).map_err(|e| {
401                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
402                })?)
403            };
404
405        let max_price = if max_price_values.is_null(i) {
406            None
407        } else {
408            let max_p_str = max_price_values
409                .as_any()
410                .downcast_ref::<StringArray>()
411                .ok_or_else(|| {
412                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
413                })?
414                .value(i);
415            Some(
416                Price::from_str(max_p_str)
417                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
418            )
419        };
420
421        let min_price = if min_price_values.is_null(i) {
422            None
423        } else {
424            let min_p_str = min_price_values
425                .as_any()
426                .downcast_ref::<StringArray>()
427                .ok_or_else(|| {
428                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
429                })?
430                .value(i);
431            Some(
432                Price::from_str(min_p_str)
433                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
434            )
435        };
436
437        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
438        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
439
440        let margin_init = Decimal::from_str(margin_init_values.value(i))
441            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
442        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
443            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
444        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
445            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
446        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
447            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
448
449        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
450        let info = if info_values.is_null(i) {
451            None
452        } else {
453            let info_bytes = info_values
454                .as_any()
455                .downcast_ref::<BinaryArray>()
456                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
457                .value(i);
458
459            match serde_json::from_slice::<Params>(info_bytes) {
460                Ok(info_dict) => Some(info_dict),
461                Err(e) => {
462                    return Err(EncodingError::ParseError(
463                        "info",
464                        format!("row {i}: failed to deserialize JSON: {e}"),
465                    ));
466                }
467            }
468        };
469
470        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
471        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
472
473        let option_spread = OptionSpread::new(
474            id,
475            raw_symbol,
476            asset_class,
477            exchange,
478            underlying,
479            strategy_type,
480            activation_ns,
481            expiration_ns,
482            currency,
483            price_prec,
484            price_increment,
485            multiplier,
486            lot_size,
487            max_quantity,
488            min_quantity,
489            max_price,
490            min_price,
491            Some(margin_init),
492            Some(margin_maint),
493            Some(maker_fee),
494            Some(taker_fee),
495            info,
496            ts_event,
497            ts_init,
498        );
499
500        result.push(option_spread);
501    }
502
503    Ok(result)
504}
nautilus_serialization/arrow/instrument/option_spread.rs

nautilus_serialization/arrow/instrument/
option_spread.rs
