nautilus_serialization/arrow/instrument/
binary_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 BinaryOption 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,
29    identifiers::{InstrumentId, Symbol},
30    instruments::binary_option::BinaryOption,
31    types::{money::Money, price::Price, quantity::Quantity},
32};
33use rust_decimal::Decimal;
34use ustr::Ustr;
35
36use super::KEY_CLASS;
37use crate::arrow::{
38    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
39    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name_or_index,
40    extract_optional_string_column_by_name, json_string_field, optional_ustr_value,
41    record_batch_with_timestamps, record_batch_with_u64_timestamps, timestamp_data_type,
42};
43
44impl ArrowSchemaProvider for BinaryOption {
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("asset_class", DataType::Utf8, false),
50            Field::new("currency", DataType::Utf8, false),
51            Field::new("price_precision", DataType::UInt8, false),
52            Field::new("size_precision", DataType::UInt8, false),
53            Field::new("price_increment", DataType::Utf8, false),
54            Field::new("size_increment", DataType::Utf8, false),
55            Field::new("activation_ns", timestamp_data_type(), false),
56            Field::new("expiration_ns", timestamp_data_type(), false),
57            Field::new("outcome", DataType::Utf8, true), // nullable
58            Field::new("description", DataType::Utf8, true), // nullable
59            Field::new("max_quantity", DataType::Utf8, true), // nullable
60            Field::new("min_quantity", DataType::Utf8, true), // nullable
61            Field::new("max_notional", DataType::Utf8, true), // nullable
62            Field::new("min_notional", DataType::Utf8, true), // nullable
63            Field::new("max_price", DataType::Utf8, true), // nullable
64            Field::new("min_price", DataType::Utf8, true), // nullable
65            Field::new("margin_init", DataType::Utf8, false),
66            Field::new("margin_maint", DataType::Utf8, false),
67            Field::new("maker_fee", DataType::Utf8, false),
68            Field::new("taker_fee", 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            Field::new("event_id", DataType::Utf8, true),
74        ];
75
76        let mut final_metadata = HashMap::new();
77        final_metadata.insert(KEY_CLASS.to_string(), "BinaryOption".to_string());
78
79        if let Some(meta) = metadata {
80            final_metadata.extend(meta);
81        }
82
83        Schema::new_with_metadata(fields, final_metadata)
84    }
85}
86
87impl EncodeToRecordBatch for BinaryOption {
88    fn encode_batch<T>(
89        #[allow(unused)] metadata: &HashMap<String, String>,
90        data: &[T],
91    ) -> Result<RecordBatch, ArrowError>
92    where
93        T: std::borrow::Borrow<Self>,
94    {
95        let mut id_builder = StringBuilder::new();
96        let mut raw_symbol_builder = StringBuilder::new();
97        let mut asset_class_builder = StringBuilder::new();
98        let mut currency_builder = StringBuilder::new();
99        let mut price_precision_builder = UInt8Array::builder(data.len());
100        let mut size_precision_builder = UInt8Array::builder(data.len());
101        let mut price_increment_builder = StringBuilder::new();
102        let mut size_increment_builder = StringBuilder::new();
103        let mut activation_ns_builder = UInt64Array::builder(data.len());
104        let mut expiration_ns_builder = UInt64Array::builder(data.len());
105        let mut outcome_builder = StringBuilder::new();
106        let mut event_id_builder = StringBuilder::new();
107        let mut description_builder = StringBuilder::new();
108        let mut max_quantity_builder = StringBuilder::new();
109        let mut min_quantity_builder = StringBuilder::new();
110        let mut max_notional_builder = StringBuilder::new();
111        let mut min_notional_builder = StringBuilder::new();
112        let mut max_price_builder = StringBuilder::new();
113        let mut min_price_builder = StringBuilder::new();
114        let mut margin_init_builder = StringBuilder::new();
115        let mut margin_maint_builder = StringBuilder::new();
116        let mut maker_fee_builder = StringBuilder::new();
117        let mut taker_fee_builder = StringBuilder::new();
118        let mut tick_scheme_builder = StringBuilder::new();
119        let mut info_builder = StringBuilder::new();
120        let mut ts_event_builder = UInt64Array::builder(data.len());
121        let mut ts_init_builder = UInt64Array::builder(data.len());
122
123        for bo in data.iter().map(Borrow::borrow) {
124            id_builder.append_value(bo.id.to_string());
125            raw_symbol_builder.append_value(bo.raw_symbol);
126            asset_class_builder.append_value(bo.asset_class);
127            currency_builder.append_value(bo.currency.to_string());
128            price_precision_builder.append_value(bo.price_precision);
129            size_precision_builder.append_value(bo.size_precision);
130            price_increment_builder.append_value(bo.price_increment.to_string());
131            size_increment_builder.append_value(bo.size_increment.to_string());
132            activation_ns_builder.append_value(bo.activation_ns.as_u64());
133            expiration_ns_builder.append_value(bo.expiration_ns.as_u64());
134
135            if let Some(outcome) = bo.outcome {
136                outcome_builder.append_value(outcome);
137            } else {
138                outcome_builder.append_null();
139            }
140
141            if let Some(desc) = bo.description {
142                description_builder.append_value(desc);
143            } else {
144                description_builder.append_null();
145            }
146
147            if let Some(max_qty) = bo.max_quantity {
148                max_quantity_builder.append_value(max_qty.to_string());
149            } else {
150                max_quantity_builder.append_null();
151            }
152
153            if let Some(min_qty) = bo.min_quantity {
154                min_quantity_builder.append_value(min_qty.to_string());
155            } else {
156                min_quantity_builder.append_null();
157            }
158
159            if let Some(max_notional) = bo.max_notional {
160                max_notional_builder.append_value(max_notional.to_string());
161            } else {
162                max_notional_builder.append_null();
163            }
164
165            if let Some(min_notional) = bo.min_notional {
166                min_notional_builder.append_value(min_notional.to_string());
167            } else {
168                min_notional_builder.append_null();
169            }
170
171            if let Some(max_price) = bo.max_price {
172                max_price_builder.append_value(max_price.to_string());
173            } else {
174                max_price_builder.append_null();
175            }
176
177            if let Some(min_price) = bo.min_price {
178                min_price_builder.append_value(min_price.to_string());
179            } else {
180                min_price_builder.append_null();
181            }
182
183            margin_init_builder.append_value(bo.margin_init.to_string());
184            margin_maint_builder.append_value(bo.margin_maint.to_string());
185            maker_fee_builder.append_value(bo.maker_fee.to_string());
186            taker_fee_builder.append_value(bo.taker_fee.to_string());
187
188            if let Some(tick_scheme) = bo.tick_scheme {
189                tick_scheme_builder.append_value(tick_scheme);
190            } else {
191                tick_scheme_builder.append_null();
192            }
193
194            event_id_builder.append_option(bo.event_id.as_ref().map(Ustr::as_str));
195
196            if let Some(ref info) = bo.info {
197                match serde_json::to_string(info) {
198                    Ok(json) => {
199                        info_builder.append_value(json);
200                    }
201                    Err(e) => {
202                        return Err(ArrowError::InvalidArgumentError(format!(
203                            "Failed to serialize info dict to JSON: {e}"
204                        )));
205                    }
206                }
207            } else {
208                info_builder.append_null();
209            }
210
211            ts_event_builder.append_value(bo.ts_event.as_u64());
212            ts_init_builder.append_value(bo.ts_init.as_u64());
213        }
214
215        let mut final_metadata = metadata.clone();
216        final_metadata.insert(KEY_CLASS.to_string(), "BinaryOption".to_string());
217
218        record_batch_with_timestamps(
219            Self::get_schema(Some(final_metadata)).into(),
220            vec![
221                Arc::new(id_builder.finish()),
222                Arc::new(raw_symbol_builder.finish()),
223                Arc::new(asset_class_builder.finish()),
224                Arc::new(currency_builder.finish()),
225                Arc::new(price_precision_builder.finish()),
226                Arc::new(size_precision_builder.finish()),
227                Arc::new(price_increment_builder.finish()),
228                Arc::new(size_increment_builder.finish()),
229                Arc::new(activation_ns_builder.finish()),
230                Arc::new(expiration_ns_builder.finish()),
231                Arc::new(outcome_builder.finish()),
232                Arc::new(description_builder.finish()),
233                Arc::new(max_quantity_builder.finish()),
234                Arc::new(min_quantity_builder.finish()),
235                Arc::new(max_notional_builder.finish()),
236                Arc::new(min_notional_builder.finish()),
237                Arc::new(max_price_builder.finish()),
238                Arc::new(min_price_builder.finish()),
239                Arc::new(margin_init_builder.finish()),
240                Arc::new(margin_maint_builder.finish()),
241                Arc::new(maker_fee_builder.finish()),
242                Arc::new(taker_fee_builder.finish()),
243                Arc::new(tick_scheme_builder.finish()),
244                Arc::new(info_builder.finish()),
245                Arc::new(ts_event_builder.finish()),
246                Arc::new(ts_init_builder.finish()),
247                Arc::new(event_id_builder.finish()),
248            ],
249        )
250    }
251
252    fn metadata(&self) -> HashMap<String, String> {
253        let mut metadata = HashMap::new();
254        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
255        metadata.insert(
256            KEY_PRICE_PRECISION.to_string(),
257            self.price_precision.to_string(),
258        );
259        metadata.insert(
260            KEY_SIZE_PRECISION.to_string(),
261            self.size_precision.to_string(),
262        );
263        metadata
264    }
265}
266
267/// Decodes [`BinaryOption`] instruments from a record batch.
268///
269/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
270///
271/// # Errors
272///
273/// Returns an `EncodingError` if the record batch cannot be decoded.
274///
275/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
276pub fn decode_binary_option_batch(
277    #[allow(unused)] metadata: &HashMap<String, String>,
278    record_batch: &RecordBatch,
279) -> Result<Vec<BinaryOption>, EncodingError> {
280    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
281    let record_batch = &record_batch;
282    let event_id_values = extract_optional_string_column_by_name(record_batch, "event_id")?;
283    let cols = record_batch.columns();
284    let num_rows = record_batch.num_rows();
285
286    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
287    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
288    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
289    let currency_values = extract_column::<StringArray>(cols, "currency", 3, DataType::Utf8)?;
290    let price_precision_values =
291        extract_column::<UInt8Array>(cols, "price_precision", 4, DataType::UInt8)?;
292    let size_precision_values =
293        extract_column::<UInt8Array>(cols, "size_precision", 5, DataType::UInt8)?;
294    let price_increment_values =
295        extract_column::<StringArray>(cols, "price_increment", 6, DataType::Utf8)?;
296    let size_increment_values =
297        extract_column::<StringArray>(cols, "size_increment", 7, DataType::Utf8)?;
298    let activation_ns_values =
299        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
300    let expiration_ns_values =
301        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
302    let outcome_values = cols
303        .get(10)
304        .ok_or_else(|| EncodingError::MissingColumn("outcome", 10))?;
305    let description_values = cols
306        .get(11)
307        .ok_or_else(|| EncodingError::MissingColumn("description", 11))?;
308    let max_quantity_values = cols
309        .get(12)
310        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 12))?;
311    let min_quantity_values = cols
312        .get(13)
313        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 13))?;
314    let max_notional_values = extract_optional_string_column_by_name(record_batch, "max_notional")?;
315    let min_notional_values = extract_optional_string_column_by_name(record_batch, "min_notional")?;
316    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
317    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
318    let margin_init_values =
319        extract_column::<StringArray>(cols, "margin_init", 18, DataType::Utf8)?;
320    let margin_maint_values =
321        extract_column::<StringArray>(cols, "margin_maint", 19, DataType::Utf8)?;
322    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 20, DataType::Utf8)?;
323    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 21, DataType::Utf8)?;
324    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
325    let info_values =
326        extract_column_by_name_or_index::<StringArray>(record_batch, "info", 23, DataType::Utf8)?;
327    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
328        record_batch,
329        "ts_event",
330        24,
331        DataType::UInt64,
332    )?;
333    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
334        record_batch,
335        "ts_init",
336        25,
337        DataType::UInt64,
338    )?;
339
340    let mut result = Vec::with_capacity(num_rows);
341
342    for i in 0..num_rows {
343        let id = InstrumentId::from_str(id_values.value(i))
344            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
345        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
346        let asset_class = AssetClass::from_str(asset_class_values.value(i))
347            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
348        let currency = super::decode_currency(
349            currency_values.value(i),
350            "currency",
351            "binary_option.currency",
352            i,
353        )?;
354        let price_prec = price_precision_values.value(i);
355        let size_prec = size_precision_values.value(i);
356
357        let price_increment = Price::from_str(price_increment_values.value(i))
358            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
359        let size_increment = Quantity::from_str(size_increment_values.value(i))
360            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
361
362        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
363        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
364
365        let margin_init = Decimal::from_str(margin_init_values.value(i))
366            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
367        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
368            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
369        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
370            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
371        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
372            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
373
374        let max_quantity =
375            if max_quantity_values.is_null(i) {
376                None
377            } else {
378                let max_qty_str = max_quantity_values
379                    .as_any()
380                    .downcast_ref::<StringArray>()
381                    .ok_or_else(|| {
382                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
383                    })?
384                    .value(i);
385                Some(Quantity::from_str(max_qty_str).map_err(|e| {
386                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
387                })?)
388            };
389
390        let min_quantity =
391            if min_quantity_values.is_null(i) {
392                None
393            } else {
394                let min_qty_str = min_quantity_values
395                    .as_any()
396                    .downcast_ref::<StringArray>()
397                    .ok_or_else(|| {
398                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
399                    })?
400                    .value(i);
401                Some(Quantity::from_str(min_qty_str).map_err(|e| {
402                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
403                })?)
404            };
405
406        let outcome = if outcome_values.is_null(i) {
407            None
408        } else {
409            let outcome_str = outcome_values
410                .as_any()
411                .downcast_ref::<StringArray>()
412                .ok_or_else(|| {
413                    EncodingError::ParseError("outcome", format!("row {i}: invalid type"))
414                })?
415                .value(i);
416            Some(Ustr::from(outcome_str))
417        };
418
419        let description = if description_values.is_null(i) {
420            None
421        } else {
422            let desc_str = description_values
423                .as_any()
424                .downcast_ref::<StringArray>()
425                .ok_or_else(|| {
426                    EncodingError::ParseError("description", format!("row {i}: invalid type"))
427                })?
428                .value(i);
429            Some(Ustr::from(desc_str))
430        };
431
432        let info = if info_values.is_null(i) {
433            None
434        } else {
435            let info_json = info_values
436                .as_any()
437                .downcast_ref::<StringArray>()
438                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
439                .value(i);
440
441            match serde_json::from_str::<Params>(info_json) {
442                Ok(info_dict) => Some(info_dict),
443                Err(e) => {
444                    return Err(EncodingError::ParseError(
445                        "info",
446                        format!("row {i}: failed to deserialize JSON: {e}"),
447                    ));
448                }
449            }
450        };
451
452        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
453        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
454
455        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
456
457        let max_notional = match max_notional_values {
458            Some(column) if !column.is_null(i) => {
459                Some(Money::from_str(column.value(i)).map_err(|e| {
460                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
461                })?)
462            }
463            _ => None,
464        };
465
466        let min_notional = match min_notional_values {
467            Some(column) if !column.is_null(i) => {
468                Some(Money::from_str(column.value(i)).map_err(|e| {
469                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
470                })?)
471            }
472            _ => None,
473        };
474
475        let binary_option = BinaryOption::builder()
476            .instrument_id(id)
477            .raw_symbol(raw_symbol)
478            .asset_class(asset_class)
479            .currency(currency)
480            .activation_ns(activation_ns)
481            .expiration_ns(expiration_ns)
482            .price_precision(price_prec)
483            .size_precision(size_prec)
484            .price_increment(price_increment)
485            .size_increment(size_increment)
486            .maybe_outcome(outcome)
487            .maybe_description(description)
488            .maybe_max_quantity(max_quantity)
489            .maybe_min_quantity(min_quantity)
490            .maybe_max_notional(max_notional)
491            .maybe_min_notional(min_notional)
492            .maybe_max_price(super::optional_price_value(
493                max_price_values,
494                "max_price",
495                i,
496            )?)
497            .maybe_min_price(super::optional_price_value(
498                min_price_values,
499                "min_price",
500                i,
501            )?)
502            .margin_init(margin_init)
503            .margin_maint(margin_maint)
504            .maker_fee(maker_fee)
505            .taker_fee(taker_fee)
506            .maybe_tick_scheme(tick_scheme)
507            .maybe_event_id(optional_ustr_value(event_id_values, i))
508            .maybe_info(info)
509            .ts_event(ts_event)
510            .ts_init(ts_init)
511            .build()
512            .map_err(|e| super::instrument_validation_error::<BinaryOption>(i, e))?;
513
514        result.push(binary_option);
515    }
516
517    Ok(result)
518}
nautilus_serialization/arrow/instrument/binary_option.rs

nautilus_serialization/arrow/instrument/
binary_option.rs
