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::validate_required_instrument_columns;
37use crate::arrow::{
38    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
39    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name,
40    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
41    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
42    timestamp_data_type,
43};
44
45impl ArrowSchemaProvider for BinaryOption {
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("asset_class", DataType::Utf8, false),
51            Field::new("currency", DataType::Utf8, false),
52            Field::new("price_precision", DataType::UInt8, false),
53            Field::new("size_precision", DataType::UInt8, false),
54            Field::new("price_increment", DataType::Utf8, false),
55            Field::new("size_increment", DataType::Utf8, false),
56            Field::new("activation_ns", timestamp_data_type(), false),
57            Field::new("expiration_ns", timestamp_data_type(), false),
58            Field::new("outcome", DataType::Utf8, true), // nullable
59            Field::new("description", DataType::Utf8, true), // nullable
60            Field::new("max_quantity", DataType::Utf8, true), // nullable
61            Field::new("min_quantity", DataType::Utf8, true), // nullable
62            Field::new("max_notional", DataType::Utf8, true), // nullable
63            Field::new("min_notional", DataType::Utf8, true), // nullable
64            Field::new("max_price", DataType::Utf8, true), // nullable
65            Field::new("min_price", DataType::Utf8, true), // nullable
66            Field::new("margin_init", DataType::Utf8, false),
67            Field::new("margin_maint", DataType::Utf8, false),
68            Field::new("tick_scheme", DataType::Utf8, true),
69            json_string_field("info", true),
70            Field::new("ts_event", timestamp_data_type(), false),
71            Field::new("ts_init", timestamp_data_type(), false),
72            Field::new("event_id", DataType::Utf8, true),
73        ];
74
75        Schema::new_with_metadata(fields, metadata_with_type_name("BinaryOption", metadata))
76    }
77}
78
79impl EncodeToRecordBatch for BinaryOption {
80    fn encode_batch<T>(
81        #[allow(unused)] metadata: &HashMap<String, String>,
82        data: &[T],
83    ) -> Result<RecordBatch, ArrowError>
84    where
85        T: std::borrow::Borrow<Self>,
86    {
87        let mut id_builder = StringBuilder::new();
88        let mut raw_symbol_builder = StringBuilder::new();
89        let mut asset_class_builder = StringBuilder::new();
90        let mut currency_builder = StringBuilder::new();
91        let mut price_precision_builder = UInt8Array::builder(data.len());
92        let mut size_precision_builder = UInt8Array::builder(data.len());
93        let mut price_increment_builder = StringBuilder::new();
94        let mut size_increment_builder = StringBuilder::new();
95        let mut activation_ns_builder = UInt64Array::builder(data.len());
96        let mut expiration_ns_builder = UInt64Array::builder(data.len());
97        let mut outcome_builder = StringBuilder::new();
98        let mut event_id_builder = StringBuilder::new();
99        let mut description_builder = StringBuilder::new();
100        let mut max_quantity_builder = StringBuilder::new();
101        let mut min_quantity_builder = StringBuilder::new();
102        let mut max_notional_builder = StringBuilder::new();
103        let mut min_notional_builder = StringBuilder::new();
104        let mut max_price_builder = StringBuilder::new();
105        let mut min_price_builder = StringBuilder::new();
106        let mut margin_init_builder = StringBuilder::new();
107        let mut margin_maint_builder = StringBuilder::new();
108        let mut tick_scheme_builder = StringBuilder::new();
109        let mut info_builder = StringBuilder::new();
110        let mut ts_event_builder = UInt64Array::builder(data.len());
111        let mut ts_init_builder = UInt64Array::builder(data.len());
112
113        for bo in data.iter().map(Borrow::borrow) {
114            id_builder.append_value(bo.id.to_string());
115            raw_symbol_builder.append_value(bo.raw_symbol);
116            asset_class_builder.append_value(bo.asset_class);
117            currency_builder.append_value(bo.currency.to_string());
118            price_precision_builder.append_value(bo.price_precision);
119            size_precision_builder.append_value(bo.size_precision);
120            price_increment_builder.append_value(bo.price_increment.to_string());
121            size_increment_builder.append_value(bo.size_increment.to_string());
122            activation_ns_builder.append_value(bo.activation_ns.as_u64());
123            expiration_ns_builder.append_value(bo.expiration_ns.as_u64());
124
125            if let Some(outcome) = bo.outcome {
126                outcome_builder.append_value(outcome);
127            } else {
128                outcome_builder.append_null();
129            }
130
131            if let Some(desc) = bo.description {
132                description_builder.append_value(desc);
133            } else {
134                description_builder.append_null();
135            }
136
137            if let Some(max_qty) = bo.max_quantity {
138                max_quantity_builder.append_value(max_qty.to_string());
139            } else {
140                max_quantity_builder.append_null();
141            }
142
143            if let Some(min_qty) = bo.min_quantity {
144                min_quantity_builder.append_value(min_qty.to_string());
145            } else {
146                min_quantity_builder.append_null();
147            }
148
149            if let Some(max_notional) = bo.max_notional {
150                max_notional_builder.append_value(max_notional.to_string());
151            } else {
152                max_notional_builder.append_null();
153            }
154
155            if let Some(min_notional) = bo.min_notional {
156                min_notional_builder.append_value(min_notional.to_string());
157            } else {
158                min_notional_builder.append_null();
159            }
160
161            if let Some(max_price) = bo.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) = bo.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(bo.margin_init.to_string());
174            margin_maint_builder.append_value(bo.margin_maint.to_string());
175
176            if let Some(tick_scheme) = bo.tick_scheme {
177                tick_scheme_builder.append_value(tick_scheme);
178            } else {
179                tick_scheme_builder.append_null();
180            }
181
182            event_id_builder.append_option(bo.event_id.as_ref().map(Ustr::as_str));
183
184            if let Some(ref info) = bo.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(bo.ts_event.as_u64());
200            ts_init_builder.append_value(bo.ts_init.as_u64());
201        }
202
203        record_batch_with_timestamps(
204            Self::get_schema(Some(metadata.clone())).into(),
205            vec![
206                Arc::new(id_builder.finish()),
207                Arc::new(raw_symbol_builder.finish()),
208                Arc::new(asset_class_builder.finish()),
209                Arc::new(currency_builder.finish()),
210                Arc::new(price_precision_builder.finish()),
211                Arc::new(size_precision_builder.finish()),
212                Arc::new(price_increment_builder.finish()),
213                Arc::new(size_increment_builder.finish()),
214                Arc::new(activation_ns_builder.finish()),
215                Arc::new(expiration_ns_builder.finish()),
216                Arc::new(outcome_builder.finish()),
217                Arc::new(description_builder.finish()),
218                Arc::new(max_quantity_builder.finish()),
219                Arc::new(min_quantity_builder.finish()),
220                Arc::new(max_notional_builder.finish()),
221                Arc::new(min_notional_builder.finish()),
222                Arc::new(max_price_builder.finish()),
223                Arc::new(min_price_builder.finish()),
224                Arc::new(margin_init_builder.finish()),
225                Arc::new(margin_maint_builder.finish()),
226                Arc::new(tick_scheme_builder.finish()),
227                Arc::new(info_builder.finish()),
228                Arc::new(ts_event_builder.finish()),
229                Arc::new(ts_init_builder.finish()),
230                Arc::new(event_id_builder.finish()),
231            ],
232        )
233    }
234
235    fn metadata(&self) -> HashMap<String, String> {
236        let mut metadata = HashMap::new();
237        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
238        metadata.insert(
239            KEY_PRICE_PRECISION.to_string(),
240            self.price_precision.to_string(),
241        );
242        metadata.insert(
243            KEY_SIZE_PRECISION.to_string(),
244            self.size_precision.to_string(),
245        );
246        metadata
247    }
248}
249
250/// Decodes [`BinaryOption`] instruments from a record batch.
251///
252/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
253///
254/// # Errors
255///
256/// Returns an error if the record batch cannot be decoded.
257///
258/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
259pub fn decode_binary_option_batch(
260    metadata: &HashMap<String, String>,
261    record_batch: &RecordBatch,
262) -> Result<Vec<BinaryOption>, EncodingError> {
263    validate_required_instrument_columns::<BinaryOption>(metadata, record_batch)?;
264    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
265    let record_batch = &record_batch;
266    let event_id_values = extract_optional_string_column_by_name(record_batch, "event_id")?;
267    let cols = record_batch.columns();
268    let num_rows = record_batch.num_rows();
269
270    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
271    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
272    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
273    let currency_values = extract_column::<StringArray>(cols, "currency", 3, DataType::Utf8)?;
274    let price_precision_values =
275        extract_column::<UInt8Array>(cols, "price_precision", 4, DataType::UInt8)?;
276    let size_precision_values =
277        extract_column::<UInt8Array>(cols, "size_precision", 5, DataType::UInt8)?;
278    let price_increment_values =
279        extract_column::<StringArray>(cols, "price_increment", 6, DataType::Utf8)?;
280    let size_increment_values =
281        extract_column::<StringArray>(cols, "size_increment", 7, DataType::Utf8)?;
282    let activation_ns_values =
283        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
284    let expiration_ns_values =
285        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
286    let outcome_values = cols
287        .get(10)
288        .ok_or_else(|| EncodingError::MissingColumn("outcome", 10))?;
289    let description_values = cols
290        .get(11)
291        .ok_or_else(|| EncodingError::MissingColumn("description", 11))?;
292    let max_quantity_values = cols
293        .get(12)
294        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 12))?;
295    let min_quantity_values = cols
296        .get(13)
297        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 13))?;
298    let max_notional_values = extract_optional_string_column_by_name(record_batch, "max_notional")?;
299    let min_notional_values = extract_optional_string_column_by_name(record_batch, "min_notional")?;
300    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
301    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
302    let margin_init_values =
303        extract_column::<StringArray>(cols, "margin_init", 18, DataType::Utf8)?;
304    let margin_maint_values =
305        extract_column::<StringArray>(cols, "margin_maint", 19, DataType::Utf8)?;
306    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
307    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
308    let ts_event_values =
309        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
310    let ts_init_values =
311        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
312
313    let mut result = Vec::with_capacity(num_rows);
314
315    for i in 0..num_rows {
316        let id = InstrumentId::from_str(id_values.value(i))
317            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
318        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
319        let asset_class = AssetClass::from_str(asset_class_values.value(i))
320            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
321        let currency = super::decode_currency(
322            currency_values.value(i),
323            "currency",
324            "binary_option.currency",
325            i,
326        )?;
327        let price_prec = price_precision_values.value(i);
328        let size_prec = size_precision_values.value(i);
329
330        let price_increment = Price::from_str(price_increment_values.value(i))
331            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
332        let size_increment = Quantity::from_str(size_increment_values.value(i))
333            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
334
335        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
336        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
337
338        let margin_init = Decimal::from_str(margin_init_values.value(i))
339            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
340        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
341            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
342
343        let max_quantity =
344            if max_quantity_values.is_null(i) {
345                None
346            } else {
347                let max_qty_str = max_quantity_values
348                    .as_any()
349                    .downcast_ref::<StringArray>()
350                    .ok_or_else(|| {
351                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
352                    })?
353                    .value(i);
354                Some(Quantity::from_str(max_qty_str).map_err(|e| {
355                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
356                })?)
357            };
358
359        let min_quantity =
360            if min_quantity_values.is_null(i) {
361                None
362            } else {
363                let min_qty_str = min_quantity_values
364                    .as_any()
365                    .downcast_ref::<StringArray>()
366                    .ok_or_else(|| {
367                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
368                    })?
369                    .value(i);
370                Some(Quantity::from_str(min_qty_str).map_err(|e| {
371                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
372                })?)
373            };
374
375        let outcome = if outcome_values.is_null(i) {
376            None
377        } else {
378            let outcome_str = outcome_values
379                .as_any()
380                .downcast_ref::<StringArray>()
381                .ok_or_else(|| {
382                    EncodingError::ParseError("outcome", format!("row {i}: invalid type"))
383                })?
384                .value(i);
385            Some(Ustr::from(outcome_str))
386        };
387
388        let description = if description_values.is_null(i) {
389            None
390        } else {
391            let desc_str = description_values
392                .as_any()
393                .downcast_ref::<StringArray>()
394                .ok_or_else(|| {
395                    EncodingError::ParseError("description", format!("row {i}: invalid type"))
396                })?
397                .value(i);
398            Some(Ustr::from(desc_str))
399        };
400
401        let info = if info_values.is_null(i) {
402            None
403        } else {
404            let info_json = info_values
405                .as_any()
406                .downcast_ref::<StringArray>()
407                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
408                .value(i);
409
410            match serde_json::from_str::<Params>(info_json) {
411                Ok(info_dict) => Some(info_dict),
412                Err(e) => {
413                    return Err(EncodingError::ParseError(
414                        "info",
415                        format!("row {i}: failed to deserialize JSON: {e}"),
416                    ));
417                }
418            }
419        };
420
421        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
422        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
423
424        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
425
426        let max_notional = match max_notional_values {
427            Some(column) if !column.is_null(i) => {
428                Some(Money::from_str_exact(column.value(i)).map_err(|e| {
429                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
430                })?)
431            }
432            _ => None,
433        };
434
435        let min_notional = match min_notional_values {
436            Some(column) if !column.is_null(i) => {
437                Some(Money::from_str_exact(column.value(i)).map_err(|e| {
438                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
439                })?)
440            }
441            _ => None,
442        };
443
444        let binary_option = BinaryOption::builder()
445            .instrument_id(id)
446            .raw_symbol(raw_symbol)
447            .asset_class(asset_class)
448            .currency(currency)
449            .activation_ns(activation_ns)
450            .expiration_ns(expiration_ns)
451            .price_precision(price_prec)
452            .size_precision(size_prec)
453            .price_increment(price_increment)
454            .size_increment(size_increment)
455            .maybe_outcome(outcome)
456            .maybe_description(description)
457            .maybe_max_quantity(max_quantity)
458            .maybe_min_quantity(min_quantity)
459            .maybe_max_notional(max_notional)
460            .maybe_min_notional(min_notional)
461            .maybe_max_price(super::optional_price_value(
462                max_price_values,
463                "max_price",
464                i,
465            )?)
466            .maybe_min_price(super::optional_price_value(
467                min_price_values,
468                "min_price",
469                i,
470            )?)
471            .margin_init(margin_init)
472            .margin_maint(margin_maint)
473            .maybe_tick_scheme(tick_scheme)
474            .maybe_event_id(optional_ustr_value(event_id_values, i))
475            .maybe_info(info)
476            .ts_event(ts_event)
477            .ts_init(ts_init)
478            .build()
479            .map_err(|e| super::instrument_validation_error::<BinaryOption>(i, e))?;
480
481        result.push(binary_option);
482    }
483
484    Ok(result)
485}
nautilus_serialization/arrow/instrument/binary_option.rs

nautilus_serialization/arrow/instrument/
binary_option.rs
