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 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 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("maker_fee", DataType::Utf8, false),
70            Field::new("taker_fee", DataType::Utf8, false),
71            Field::new("tick_scheme", DataType::Utf8, true),
72            json_string_field("info", true),
73            Field::new("ts_event", timestamp_data_type(), false),
74            Field::new("ts_init", timestamp_data_type(), false),
75        ];
76
77        let mut final_metadata = HashMap::new();
78        final_metadata.insert(KEY_CLASS.to_string(), "OptionContract".to_string());
79
80        if let Some(meta) = metadata {
81            final_metadata.extend(meta);
82        }
83
84        Schema::new_with_metadata(fields, final_metadata)
85    }
86}
87
88impl EncodeToRecordBatch for OptionContract {
89    fn encode_batch<T>(
90        #[allow(unused)] metadata: &HashMap<String, String>,
91        data: &[T],
92    ) -> Result<RecordBatch, ArrowError>
93    where
94        T: std::borrow::Borrow<Self>,
95    {
96        let mut id_builder = StringBuilder::new();
97        let mut raw_symbol_builder = StringBuilder::new();
98        let mut underlying_builder = StringBuilder::new();
99        let mut asset_class_builder = StringBuilder::new();
100        let mut exchange_builder = StringBuilder::new();
101        let mut option_kind_builder = StringBuilder::new();
102        let mut strike_price_builder = StringBuilder::new();
103        let mut currency_builder = StringBuilder::new();
104        let mut activation_ns_builder = UInt64Array::builder(data.len());
105        let mut expiration_ns_builder = UInt64Array::builder(data.len());
106        let mut price_precision_builder = UInt8Array::builder(data.len());
107        let mut size_precision_builder = UInt8Array::builder(data.len());
108        let mut price_increment_builder = StringBuilder::new();
109        let mut size_increment_builder = StringBuilder::new();
110        let mut multiplier_builder = StringBuilder::new();
111        let mut lot_size_builder = StringBuilder::new();
112        let mut max_quantity_builder = StringBuilder::new();
113        let mut min_quantity_builder = StringBuilder::new();
114        let mut max_price_builder = StringBuilder::new();
115        let mut min_price_builder = StringBuilder::new();
116        let mut margin_init_builder = StringBuilder::new();
117        let mut margin_maint_builder = StringBuilder::new();
118        let mut maker_fee_builder = StringBuilder::new();
119        let mut taker_fee_builder = StringBuilder::new();
120        let mut tick_scheme_builder = StringBuilder::new();
121        let mut info_builder = StringBuilder::new();
122        let mut ts_event_builder = UInt64Array::builder(data.len());
123        let mut ts_init_builder = UInt64Array::builder(data.len());
124
125        for oc in data.iter().map(Borrow::borrow) {
126            id_builder.append_value(oc.id.to_string());
127            raw_symbol_builder.append_value(oc.raw_symbol);
128            underlying_builder.append_value(oc.underlying);
129            asset_class_builder.append_value(oc.asset_class);
130
131            if let Some(exchange) = oc.exchange {
132                exchange_builder.append_value(exchange);
133            } else {
134                exchange_builder.append_null();
135            }
136
137            option_kind_builder.append_value(oc.option_kind);
138            strike_price_builder.append_value(oc.strike_price.to_string());
139            currency_builder.append_value(oc.currency.to_string());
140            activation_ns_builder.append_value(oc.activation_ns.as_u64());
141            expiration_ns_builder.append_value(oc.expiration_ns.as_u64());
142            price_precision_builder.append_value(oc.price_precision);
143            size_precision_builder.append_value(oc.size_precision);
144            price_increment_builder.append_value(oc.price_increment.to_string());
145            size_increment_builder.append_value(oc.size_increment.to_string());
146            multiplier_builder.append_value(oc.multiplier.to_string());
147            lot_size_builder.append_value(oc.lot_size.to_string());
148
149            if let Some(max_quantity) = oc.max_quantity {
150                max_quantity_builder.append_value(max_quantity.to_string());
151            } else {
152                max_quantity_builder.append_null();
153            }
154
155            if let Some(min_quantity) = oc.min_quantity {
156                min_quantity_builder.append_value(min_quantity.to_string());
157            } else {
158                min_quantity_builder.append_null();
159            }
160
161            if let Some(max_price) = oc.max_price {
162                max_price_builder.append_value(max_price.to_string());
163            } else {
164                max_price_builder.append_null();
165            }
166
167            if let Some(min_price) = oc.min_price {
168                min_price_builder.append_value(min_price.to_string());
169            } else {
170                min_price_builder.append_null();
171            }
172
173            margin_init_builder.append_value(oc.margin_init.to_string());
174            margin_maint_builder.append_value(oc.margin_maint.to_string());
175            maker_fee_builder.append_value(oc.maker_fee.to_string());
176            taker_fee_builder.append_value(oc.taker_fee.to_string());
177
178            if let Some(tick_scheme) = oc.tick_scheme {
179                tick_scheme_builder.append_value(tick_scheme);
180            } else {
181                tick_scheme_builder.append_null();
182            }
183
184            if let Some(ref info) = oc.info {
185                match serde_json::to_string(info) {
186                    Ok(json) => {
187                        info_builder.append_value(json);
188                    }
189                    Err(e) => {
190                        return Err(ArrowError::InvalidArgumentError(format!(
191                            "Failed to serialize info dict to JSON: {e}"
192                        )));
193                    }
194                }
195            } else {
196                info_builder.append_null();
197            }
198
199            ts_event_builder.append_value(oc.ts_event.as_u64());
200            ts_init_builder.append_value(oc.ts_init.as_u64());
201        }
202
203        let mut final_metadata = metadata.clone();
204        final_metadata.insert(KEY_CLASS.to_string(), "OptionContract".to_string());
205
206        record_batch_with_timestamps(
207            Self::get_schema(Some(final_metadata)).into(),
208            vec![
209                Arc::new(id_builder.finish()),
210                Arc::new(raw_symbol_builder.finish()),
211                Arc::new(underlying_builder.finish()),
212                Arc::new(asset_class_builder.finish()),
213                Arc::new(exchange_builder.finish()),
214                Arc::new(option_kind_builder.finish()),
215                Arc::new(strike_price_builder.finish()),
216                Arc::new(currency_builder.finish()),
217                Arc::new(activation_ns_builder.finish()),
218                Arc::new(expiration_ns_builder.finish()),
219                Arc::new(price_precision_builder.finish()),
220                Arc::new(size_precision_builder.finish()),
221                Arc::new(price_increment_builder.finish()),
222                Arc::new(size_increment_builder.finish()),
223                Arc::new(multiplier_builder.finish()),
224                Arc::new(lot_size_builder.finish()),
225                Arc::new(max_quantity_builder.finish()),
226                Arc::new(min_quantity_builder.finish()),
227                Arc::new(max_price_builder.finish()),
228                Arc::new(min_price_builder.finish()),
229                Arc::new(margin_init_builder.finish()),
230                Arc::new(margin_maint_builder.finish()),
231                Arc::new(maker_fee_builder.finish()),
232                Arc::new(taker_fee_builder.finish()),
233                Arc::new(tick_scheme_builder.finish()),
234                Arc::new(info_builder.finish()),
235                Arc::new(ts_event_builder.finish()),
236                Arc::new(ts_init_builder.finish()),
237            ],
238        )
239    }
240
241    fn metadata(&self) -> HashMap<String, String> {
242        let mut metadata = HashMap::new();
243        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
244        metadata.insert(
245            KEY_PRICE_PRECISION.to_string(),
246            self.price_precision.to_string(),
247        );
248        metadata.insert(
249            KEY_SIZE_PRECISION.to_string(),
250            self.size_precision.to_string(),
251        );
252        metadata
253    }
254}
255
256/// Decodes [`OptionContract`] instruments from a record batch.
257///
258/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
259///
260/// # Errors
261///
262/// Returns an `EncodingError` if the record batch cannot be decoded.
263///
264/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
265pub fn decode_option_contract_batch(
266    #[allow(unused)] metadata: &HashMap<String, String>,
267    record_batch: &RecordBatch,
268) -> Result<Vec<OptionContract>, EncodingError> {
269    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
270    let record_batch = &record_batch;
271    let cols = record_batch.columns();
272    let num_rows = record_batch.num_rows();
273
274    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
275    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
276    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
277    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
278    let exchange_values = cols
279        .get(4)
280        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
281    let option_kind_values = extract_column::<StringArray>(cols, "option_kind", 5, DataType::Utf8)?;
282    let strike_price_values =
283        extract_column::<StringArray>(cols, "strike_price", 6, DataType::Utf8)?;
284    let currency_values = extract_column::<StringArray>(cols, "currency", 7, DataType::Utf8)?;
285    let activation_ns_values =
286        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
287    let expiration_ns_values =
288        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
289    let price_precision_values =
290        extract_column::<UInt8Array>(cols, "price_precision", 10, DataType::UInt8)?;
291    let size_precision_values =
292        extract_column::<UInt8Array>(cols, "size_precision", 11, DataType::UInt8)?;
293    let price_increment_values =
294        extract_column::<StringArray>(cols, "price_increment", 12, DataType::Utf8)?;
295    let size_increment_values =
296        extract_column::<StringArray>(cols, "size_increment", 13, DataType::Utf8)?;
297    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 14, DataType::Utf8)?;
298    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 15, DataType::Utf8)?;
299    let max_quantity_values = extract_optional_string_column_by_name(record_batch, "max_quantity")?;
300    let min_quantity_values = extract_optional_string_column_by_name(record_batch, "min_quantity")?;
301    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
302    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
303    let margin_init_values =
304        extract_column::<StringArray>(cols, "margin_init", 20, DataType::Utf8)?;
305    let margin_maint_values =
306        extract_column::<StringArray>(cols, "margin_maint", 21, DataType::Utf8)?;
307    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 22, DataType::Utf8)?;
308    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 23, DataType::Utf8)?;
309    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
310    let info_values =
311        extract_column_by_name_or_index::<StringArray>(record_batch, "info", 25, DataType::Utf8)?;
312    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
313        record_batch,
314        "ts_event",
315        26,
316        DataType::UInt64,
317    )?;
318    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
319        record_batch,
320        "ts_init",
321        27,
322        DataType::UInt64,
323    )?;
324
325    let mut result = Vec::with_capacity(num_rows);
326
327    for i in 0..num_rows {
328        let id = InstrumentId::from_str(id_values.value(i))
329            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
330        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
331        let underlying = Ustr::from(underlying_values.value(i));
332        let asset_class = AssetClass::from_str(asset_class_values.value(i))
333            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
334
335        let exchange = if exchange_values.is_null(i) {
336            None
337        } else {
338            let exchange_str = exchange_values
339                .as_any()
340                .downcast_ref::<StringArray>()
341                .ok_or_else(|| {
342                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
343                })?
344                .value(i);
345            Some(Ustr::from(exchange_str))
346        };
347
348        let option_kind = OptionKind::from_str(option_kind_values.value(i))
349            .map_err(|e| EncodingError::ParseError("option_kind", format!("row {i}: {e}")))?;
350        let strike_price = Price::from_str(strike_price_values.value(i))
351            .map_err(|e| EncodingError::ParseError("strike_price", format!("row {i}: {e}")))?;
352        let currency = super::decode_currency(
353            currency_values.value(i),
354            "currency",
355            "option_contract.currency",
356            i,
357        )?;
358        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
359        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
360        let price_prec = price_precision_values.value(i);
361        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
362
363        let price_increment = Price::from_str(price_increment_values.value(i))
364            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
365        let _size_increment = Quantity::from_str(size_increment_values.value(i))
366            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
367        let multiplier = Quantity::from_str(multiplier_values.value(i))
368            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
369        let lot_size = Quantity::from_str(lot_size_values.value(i))
370            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
371
372        let margin_init = Decimal::from_str(margin_init_values.value(i))
373            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
374        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
375            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
376        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
377            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
378        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
379            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
380
381        let info = if info_values.is_null(i) {
382            None
383        } else {
384            let info_json = info_values
385                .as_any()
386                .downcast_ref::<StringArray>()
387                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
388                .value(i);
389
390            match serde_json::from_str::<Params>(info_json) {
391                Ok(info_dict) => Some(info_dict),
392                Err(e) => {
393                    return Err(EncodingError::ParseError(
394                        "info",
395                        format!("row {i}: failed to deserialize JSON: {e}"),
396                    ));
397                }
398            }
399        };
400
401        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
402        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
403
404        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
405
406        let option_contract = OptionContract::builder()
407            .instrument_id(id)
408            .raw_symbol(raw_symbol)
409            .asset_class(asset_class)
410            .maybe_exchange(exchange)
411            .underlying(underlying)
412            .option_kind(option_kind)
413            .strike_price(strike_price)
414            .currency(currency)
415            .activation_ns(activation_ns)
416            .expiration_ns(expiration_ns)
417            .price_precision(price_prec)
418            .price_increment(price_increment)
419            .multiplier(multiplier)
420            .lot_size(lot_size)
421            .maybe_max_quantity(super::optional_quantity_value(
422                max_quantity_values,
423                "max_quantity",
424                i,
425            )?)
426            .maybe_min_quantity(super::optional_quantity_value(
427                min_quantity_values,
428                "min_quantity",
429                i,
430            )?)
431            .maybe_max_price(super::optional_price_value(
432                max_price_values,
433                "max_price",
434                i,
435            )?)
436            .maybe_min_price(super::optional_price_value(
437                min_price_values,
438                "min_price",
439                i,
440            )?)
441            .margin_init(margin_init)
442            .margin_maint(margin_maint)
443            .maker_fee(maker_fee)
444            .taker_fee(taker_fee)
445            .maybe_tick_scheme(tick_scheme)
446            .maybe_info(info)
447            .ts_event(ts_event)
448            .ts_init(ts_init)
449            .build()
450            .map_err(|e| super::instrument_validation_error::<OptionContract>(i, e))?;
451
452        result.push(option_contract);
453    }
454
455    Ok(result)
456}
nautilus_serialization/arrow/instrument/option_contract.rs

nautilus_serialization/arrow/instrument/
option_contract.rs
