nautilus_serialization/arrow/instrument/
crypto_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 CryptoOptionSpread 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    identifiers::{InstrumentId, Symbol},
31    instruments::crypto_option_spread::CryptoOptionSpread,
32    types::{money::Money, price::Price, quantity::Quantity},
33};
34use rust_decimal::Decimal;
35use ustr::Ustr;
36
37use super::KEY_CLASS;
38use crate::arrow::{
39    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
40    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name_or_index,
41    extract_optional_string_column_by_name, json_string_field, optional_ustr_value,
42    record_batch_with_timestamps, record_batch_with_u64_timestamps, timestamp_data_type,
43};
44
45impl ArrowSchemaProvider for CryptoOptionSpread {
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("strategy_type", 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),
64            Field::new("min_quantity", DataType::Utf8, true),
65            Field::new("max_notional", DataType::Utf8, true),
66            Field::new("min_notional", DataType::Utf8, true),
67            Field::new("max_price", DataType::Utf8, true),
68            Field::new("min_price", DataType::Utf8, true),
69            Field::new("margin_init", DataType::Utf8, false),
70            Field::new("margin_maint", DataType::Utf8, false),
71            Field::new("maker_fee", DataType::Utf8, false),
72            Field::new("taker_fee", DataType::Utf8, false),
73            Field::new("tick_scheme", DataType::Utf8, true),
74            json_string_field("info", true),
75            Field::new("ts_event", timestamp_data_type(), false),
76            Field::new("ts_init", timestamp_data_type(), false),
77        ];
78
79        let mut final_metadata = HashMap::new();
80        final_metadata.insert(KEY_CLASS.to_string(), "CryptoOptionSpread".to_string());
81
82        if let Some(meta) = metadata {
83            final_metadata.extend(meta);
84        }
85
86        Schema::new_with_metadata(fields, final_metadata)
87    }
88}
89
90impl EncodeToRecordBatch for CryptoOptionSpread {
91    fn encode_batch<T>(
92        #[allow(unused)] metadata: &HashMap<String, String>,
93        data: &[T],
94    ) -> Result<RecordBatch, ArrowError>
95    where
96        T: std::borrow::Borrow<Self>,
97    {
98        let mut id_builder = StringBuilder::new();
99        let mut raw_symbol_builder = StringBuilder::new();
100        let mut underlying_builder = StringBuilder::new();
101        let mut quote_currency_builder = StringBuilder::new();
102        let mut settlement_currency_builder = StringBuilder::new();
103        let mut is_inverse_builder = BooleanBuilder::new();
104        let mut strategy_type_builder = StringBuilder::new();
105        let mut activation_ns_builder = UInt64Array::builder(data.len());
106        let mut expiration_ns_builder = UInt64Array::builder(data.len());
107        let mut price_precision_builder = UInt8Array::builder(data.len());
108        let mut size_precision_builder = UInt8Array::builder(data.len());
109        let mut price_increment_builder = StringBuilder::new();
110        let mut size_increment_builder = StringBuilder::new();
111        let mut multiplier_builder = StringBuilder::new();
112        let mut lot_size_builder = StringBuilder::new();
113        let mut max_quantity_builder = StringBuilder::new();
114        let mut min_quantity_builder = StringBuilder::new();
115        let mut max_notional_builder = StringBuilder::new();
116        let mut min_notional_builder = StringBuilder::new();
117        let mut max_price_builder = StringBuilder::new();
118        let mut min_price_builder = StringBuilder::new();
119        let mut margin_init_builder = StringBuilder::new();
120        let mut margin_maint_builder = StringBuilder::new();
121        let mut maker_fee_builder = StringBuilder::new();
122        let mut taker_fee_builder = StringBuilder::new();
123        let mut tick_scheme_builder = StringBuilder::new();
124        let mut info_builder = StringBuilder::new();
125        let mut ts_event_builder = UInt64Array::builder(data.len());
126        let mut ts_init_builder = UInt64Array::builder(data.len());
127
128        for co in data.iter().map(Borrow::borrow) {
129            id_builder.append_value(co.id.to_string());
130            raw_symbol_builder.append_value(co.raw_symbol);
131            underlying_builder.append_value(co.underlying.to_string());
132            quote_currency_builder.append_value(co.quote_currency.to_string());
133            settlement_currency_builder.append_value(co.settlement_currency.to_string());
134            is_inverse_builder.append_value(co.is_inverse);
135            strategy_type_builder.append_value(co.strategy_type.as_str());
136            activation_ns_builder.append_value(co.activation_ns.as_u64());
137            expiration_ns_builder.append_value(co.expiration_ns.as_u64());
138            price_precision_builder.append_value(co.price_precision);
139            size_precision_builder.append_value(co.size_precision);
140            price_increment_builder.append_value(co.price_increment.to_string());
141            size_increment_builder.append_value(co.size_increment.to_string());
142            multiplier_builder.append_value(co.multiplier.to_string());
143            lot_size_builder.append_value(co.lot_size.to_string());
144
145            if let Some(max_qty) = co.max_quantity {
146                max_quantity_builder.append_value(max_qty.to_string());
147            } else {
148                max_quantity_builder.append_null();
149            }
150
151            if let Some(min_qty) = co.min_quantity {
152                min_quantity_builder.append_value(min_qty.to_string());
153            } else {
154                min_quantity_builder.append_null();
155            }
156
157            if let Some(max_not) = co.max_notional {
158                max_notional_builder.append_value(max_not.to_string());
159            } else {
160                max_notional_builder.append_null();
161            }
162
163            if let Some(min_not) = co.min_notional {
164                min_notional_builder.append_value(min_not.to_string());
165            } else {
166                min_notional_builder.append_null();
167            }
168
169            if let Some(max_p) = co.max_price {
170                max_price_builder.append_value(max_p.to_string());
171            } else {
172                max_price_builder.append_null();
173            }
174
175            if let Some(min_p) = co.min_price {
176                min_price_builder.append_value(min_p.to_string());
177            } else {
178                min_price_builder.append_null();
179            }
180
181            margin_init_builder.append_value(co.margin_init.to_string());
182            margin_maint_builder.append_value(co.margin_maint.to_string());
183            maker_fee_builder.append_value(co.maker_fee.to_string());
184            taker_fee_builder.append_value(co.taker_fee.to_string());
185
186            if let Some(tick_scheme) = co.tick_scheme {
187                tick_scheme_builder.append_value(tick_scheme);
188            } else {
189                tick_scheme_builder.append_null();
190            }
191
192            if let Some(ref info) = co.info {
193                match serde_json::to_string(info) {
194                    Ok(json) => info_builder.append_value(json),
195                    Err(e) => {
196                        return Err(ArrowError::InvalidArgumentError(format!(
197                            "Failed to serialize info dict to JSON: {e}"
198                        )));
199                    }
200                }
201            } else {
202                info_builder.append_null();
203            }
204
205            ts_event_builder.append_value(co.ts_event.as_u64());
206            ts_init_builder.append_value(co.ts_init.as_u64());
207        }
208
209        let mut final_metadata = metadata.clone();
210        final_metadata.insert(KEY_CLASS.to_string(), "CryptoOptionSpread".to_string());
211
212        record_batch_with_timestamps(
213            Self::get_schema(Some(final_metadata)).into(),
214            vec![
215                Arc::new(id_builder.finish()),
216                Arc::new(raw_symbol_builder.finish()),
217                Arc::new(underlying_builder.finish()),
218                Arc::new(quote_currency_builder.finish()),
219                Arc::new(settlement_currency_builder.finish()),
220                Arc::new(is_inverse_builder.finish()),
221                Arc::new(strategy_type_builder.finish()),
222                Arc::new(activation_ns_builder.finish()),
223                Arc::new(expiration_ns_builder.finish()),
224                Arc::new(price_precision_builder.finish()),
225                Arc::new(size_precision_builder.finish()),
226                Arc::new(price_increment_builder.finish()),
227                Arc::new(size_increment_builder.finish()),
228                Arc::new(multiplier_builder.finish()),
229                Arc::new(lot_size_builder.finish()),
230                Arc::new(max_quantity_builder.finish()),
231                Arc::new(min_quantity_builder.finish()),
232                Arc::new(max_notional_builder.finish()),
233                Arc::new(min_notional_builder.finish()),
234                Arc::new(max_price_builder.finish()),
235                Arc::new(min_price_builder.finish()),
236                Arc::new(margin_init_builder.finish()),
237                Arc::new(margin_maint_builder.finish()),
238                Arc::new(maker_fee_builder.finish()),
239                Arc::new(taker_fee_builder.finish()),
240                Arc::new(tick_scheme_builder.finish()),
241                Arc::new(info_builder.finish()),
242                Arc::new(ts_event_builder.finish()),
243                Arc::new(ts_init_builder.finish()),
244            ],
245        )
246    }
247
248    fn metadata(&self) -> HashMap<String, String> {
249        let mut metadata = HashMap::new();
250        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
251        metadata.insert(
252            KEY_PRICE_PRECISION.to_string(),
253            self.price_precision.to_string(),
254        );
255        metadata.insert(
256            KEY_SIZE_PRECISION.to_string(),
257            self.size_precision.to_string(),
258        );
259        metadata
260    }
261}
262
263/// Decodes [`CryptoOptionSpread`] instruments from a record batch.
264///
265/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
266///
267/// # Errors
268///
269/// Returns an `EncodingError` if the record batch cannot be decoded.
270///
271/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
272pub fn decode_crypto_option_spread_batch(
273    #[allow(unused)] metadata: &HashMap<String, String>,
274    record_batch: &RecordBatch,
275) -> Result<Vec<CryptoOptionSpread>, EncodingError> {
276    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
277    let record_batch = &record_batch;
278    let cols = record_batch.columns();
279    let num_rows = record_batch.num_rows();
280
281    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
282    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
283    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
284    let quote_currency_values =
285        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
286    let settlement_currency_values =
287        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
288    let is_inverse_values =
289        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
290    let strategy_type_values =
291        extract_column::<StringArray>(cols, "strategy_type", 6, DataType::Utf8)?;
292    let activation_ns_values =
293        extract_column::<UInt64Array>(cols, "activation_ns", 7, DataType::UInt64)?;
294    let expiration_ns_values =
295        extract_column::<UInt64Array>(cols, "expiration_ns", 8, DataType::UInt64)?;
296    let price_precision_values =
297        extract_column::<UInt8Array>(cols, "price_precision", 9, DataType::UInt8)?;
298    let size_precision_values =
299        extract_column::<UInt8Array>(cols, "size_precision", 10, DataType::UInt8)?;
300    let price_increment_values =
301        extract_column::<StringArray>(cols, "price_increment", 11, DataType::Utf8)?;
302    let size_increment_values =
303        extract_column::<StringArray>(cols, "size_increment", 12, DataType::Utf8)?;
304    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 13, DataType::Utf8)?;
305    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 14, DataType::Utf8)?;
306    let max_quantity_values = cols
307        .get(15)
308        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 15))?;
309    let min_quantity_values = cols
310        .get(16)
311        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 16))?;
312    let max_notional_values = cols
313        .get(17)
314        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 17))?;
315    let min_notional_values = cols
316        .get(18)
317        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 18))?;
318    let max_price_values = cols
319        .get(19)
320        .ok_or_else(|| EncodingError::MissingColumn("max_price", 19))?;
321    let min_price_values = cols
322        .get(20)
323        .ok_or_else(|| EncodingError::MissingColumn("min_price", 20))?;
324    let margin_init_values =
325        extract_column::<StringArray>(cols, "margin_init", 21, DataType::Utf8)?;
326    let margin_maint_values =
327        extract_column::<StringArray>(cols, "margin_maint", 22, DataType::Utf8)?;
328    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 23, DataType::Utf8)?;
329    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 24, DataType::Utf8)?;
330    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
331    let info_values =
332        extract_column_by_name_or_index::<StringArray>(record_batch, "info", 25, DataType::Utf8)?;
333    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
334        record_batch,
335        "ts_event",
336        26,
337        DataType::UInt64,
338    )?;
339    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
340        record_batch,
341        "ts_init",
342        27,
343        DataType::UInt64,
344    )?;
345
346    let mut result = Vec::with_capacity(num_rows);
347
348    for i in 0..num_rows {
349        let id = InstrumentId::from_str(id_values.value(i))
350            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
351        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
352        let underlying = super::decode_currency(
353            underlying_values.value(i),
354            "underlying",
355            "crypto_option_spread.underlying",
356            i,
357        )?;
358        let quote_currency = super::decode_currency(
359            quote_currency_values.value(i),
360            "quote_currency",
361            "crypto_option_spread.quote_currency",
362            i,
363        )?;
364        let settlement_currency = super::decode_currency(
365            settlement_currency_values.value(i),
366            "settlement_currency",
367            "crypto_option_spread.settlement_currency",
368            i,
369        )?;
370        let is_inverse = is_inverse_values.value(i);
371        let strategy_type = Ustr::from(strategy_type_values.value(i));
372        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
373        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
374        let price_prec = price_precision_values.value(i);
375        let size_prec = size_precision_values.value(i);
376
377        let price_increment = Price::from_str(price_increment_values.value(i))
378            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
379        let size_increment = Quantity::from_str(size_increment_values.value(i))
380            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
381        let multiplier = Quantity::from_str(multiplier_values.value(i))
382            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
383        let lot_size = Quantity::from_str(lot_size_values.value(i))
384            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
385
386        let max_quantity =
387            if max_quantity_values.is_null(i) {
388                None
389            } else {
390                let value = max_quantity_values
391                    .as_any()
392                    .downcast_ref::<StringArray>()
393                    .ok_or_else(|| {
394                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
395                    })?
396                    .value(i);
397                Some(Quantity::from_str(value).map_err(|e| {
398                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
399                })?)
400            };
401
402        let min_quantity =
403            if min_quantity_values.is_null(i) {
404                None
405            } else {
406                let value = min_quantity_values
407                    .as_any()
408                    .downcast_ref::<StringArray>()
409                    .ok_or_else(|| {
410                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
411                    })?
412                    .value(i);
413                Some(Quantity::from_str(value).map_err(|e| {
414                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
415                })?)
416            };
417
418        let max_notional =
419            if max_notional_values.is_null(i) {
420                None
421            } else {
422                let value = max_notional_values
423                    .as_any()
424                    .downcast_ref::<StringArray>()
425                    .ok_or_else(|| {
426                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
427                    })?
428                    .value(i);
429                Some(Money::from_str(value).map_err(|e| {
430                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
431                })?)
432            };
433
434        let min_notional =
435            if min_notional_values.is_null(i) {
436                None
437            } else {
438                let value = min_notional_values
439                    .as_any()
440                    .downcast_ref::<StringArray>()
441                    .ok_or_else(|| {
442                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
443                    })?
444                    .value(i);
445                Some(Money::from_str(value).map_err(|e| {
446                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
447                })?)
448            };
449
450        let max_price = if max_price_values.is_null(i) {
451            None
452        } else {
453            let value = max_price_values
454                .as_any()
455                .downcast_ref::<StringArray>()
456                .ok_or_else(|| {
457                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
458                })?
459                .value(i);
460            Some(
461                Price::from_str(value)
462                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
463            )
464        };
465
466        let min_price = if min_price_values.is_null(i) {
467            None
468        } else {
469            let value = min_price_values
470                .as_any()
471                .downcast_ref::<StringArray>()
472                .ok_or_else(|| {
473                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
474                })?
475                .value(i);
476            Some(
477                Price::from_str(value)
478                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
479            )
480        };
481
482        let margin_init = Decimal::from_str(margin_init_values.value(i))
483            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
484        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
485            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
486        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
487            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
488        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
489            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
490
491        let info = if info_values.is_null(i) {
492            None
493        } else {
494            let info_json = info_values
495                .as_any()
496                .downcast_ref::<StringArray>()
497                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
498                .value(i);
499
500            match serde_json::from_str::<Params>(info_json) {
501                Ok(info_dict) => Some(info_dict),
502                Err(e) => {
503                    return Err(EncodingError::ParseError(
504                        "info",
505                        format!("row {i}: failed to deserialize JSON: {e}"),
506                    ));
507                }
508            }
509        };
510
511        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
512        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
513
514        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
515
516        let crypto_option_spread = CryptoOptionSpread::builder()
517            .instrument_id(id)
518            .raw_symbol(raw_symbol)
519            .underlying(underlying)
520            .quote_currency(quote_currency)
521            .settlement_currency(settlement_currency)
522            .is_inverse(is_inverse)
523            .strategy_type(strategy_type)
524            .activation_ns(activation_ns)
525            .expiration_ns(expiration_ns)
526            .price_precision(price_prec)
527            .size_precision(size_prec)
528            .price_increment(price_increment)
529            .size_increment(size_increment)
530            .multiplier(multiplier)
531            .lot_size(lot_size)
532            .maybe_max_quantity(max_quantity)
533            .maybe_min_quantity(min_quantity)
534            .maybe_max_notional(max_notional)
535            .maybe_min_notional(min_notional)
536            .maybe_max_price(max_price)
537            .maybe_min_price(min_price)
538            .margin_init(margin_init)
539            .margin_maint(margin_maint)
540            .maker_fee(maker_fee)
541            .taker_fee(taker_fee)
542            .maybe_tick_scheme(tick_scheme)
543            .maybe_info(info)
544            .ts_event(ts_event)
545            .ts_init(ts_init)
546            .build()
547            .map_err(|e| super::instrument_validation_error::<CryptoOptionSpread>(i, e))?;
548
549        result.push(crypto_option_spread);
550    }
551
552    Ok(result)
553}
nautilus_serialization/arrow/instrument/crypto_option_spread.rs

nautilus_serialization/arrow/instrument/
crypto_option_spread.rs
