nautilus_serialization/arrow/instrument/
crypto_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 CryptoOption 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    enums::OptionKind,
31    identifiers::{InstrumentId, Symbol},
32    instruments::crypto_option::CryptoOption,
33    types::{money::Money, price::Price, quantity::Quantity},
34};
35use rust_decimal::Decimal;
36
37use super::validate_required_instrument_columns;
38use crate::arrow::{
39    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
40    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name,
41    extract_optional_string_column_by_name, json_string_field, metadata_with_type_name,
42    optional_ustr_value, record_batch_with_timestamps, record_batch_with_u64_timestamps,
43    timestamp_data_type,
44};
45
46impl ArrowSchemaProvider for CryptoOption {
47    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
48        let fields = vec![
49            Field::new("id", DataType::Utf8, false),
50            Field::new("raw_symbol", DataType::Utf8, false),
51            Field::new("underlying", DataType::Utf8, false),
52            Field::new("quote_currency", DataType::Utf8, false),
53            Field::new("settlement_currency", DataType::Utf8, false),
54            Field::new("is_inverse", DataType::Boolean, false),
55            Field::new("option_kind", DataType::Utf8, false),
56            Field::new("strike_price", DataType::Utf8, false),
57            Field::new("activation_ns", timestamp_data_type(), false),
58            Field::new("expiration_ns", timestamp_data_type(), false),
59            Field::new("price_precision", DataType::UInt8, false),
60            Field::new("size_precision", DataType::UInt8, false),
61            Field::new("price_increment", DataType::Utf8, false),
62            Field::new("size_increment", DataType::Utf8, false),
63            Field::new("multiplier", DataType::Utf8, false),
64            Field::new("lot_size", DataType::Utf8, true),
65            Field::new("max_quantity", DataType::Utf8, true), // nullable
66            Field::new("min_quantity", DataType::Utf8, true), // nullable
67            Field::new("max_notional", DataType::Utf8, true), // nullable
68            Field::new("min_notional", DataType::Utf8, true), // nullable
69            Field::new("max_price", DataType::Utf8, true),    // nullable
70            Field::new("min_price", DataType::Utf8, true),    // nullable
71            Field::new("margin_init", DataType::Utf8, false),
72            Field::new("margin_maint", 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        Schema::new_with_metadata(fields, metadata_with_type_name("CryptoOption", metadata))
80    }
81}
82
83impl EncodeToRecordBatch for CryptoOption {
84    fn encode_batch<T>(
85        #[allow(unused)] metadata: &HashMap<String, String>,
86        data: &[T],
87    ) -> Result<RecordBatch, ArrowError>
88    where
89        T: std::borrow::Borrow<Self>,
90    {
91        let mut id_builder = StringBuilder::new();
92        let mut raw_symbol_builder = StringBuilder::new();
93        let mut underlying_builder = StringBuilder::new();
94        let mut quote_currency_builder = StringBuilder::new();
95        let mut settlement_currency_builder = StringBuilder::new();
96        let mut is_inverse_builder = BooleanBuilder::new();
97        let mut option_kind_builder = StringBuilder::new();
98        let mut strike_price_builder = StringBuilder::new();
99        let mut activation_ns_builder = UInt64Array::builder(data.len());
100        let mut expiration_ns_builder = UInt64Array::builder(data.len());
101        let mut price_precision_builder = UInt8Array::builder(data.len());
102        let mut size_precision_builder = UInt8Array::builder(data.len());
103        let mut price_increment_builder = StringBuilder::new();
104        let mut size_increment_builder = StringBuilder::new();
105        let mut multiplier_builder = StringBuilder::new();
106        let mut lot_size_builder = StringBuilder::new();
107        let mut max_quantity_builder = StringBuilder::new();
108        let mut min_quantity_builder = StringBuilder::new();
109        let mut max_notional_builder = StringBuilder::new();
110        let mut min_notional_builder = StringBuilder::new();
111        let mut max_price_builder = StringBuilder::new();
112        let mut min_price_builder = StringBuilder::new();
113        let mut margin_init_builder = StringBuilder::new();
114        let mut margin_maint_builder = StringBuilder::new();
115        let mut tick_scheme_builder = StringBuilder::new();
116        let mut info_builder = StringBuilder::new();
117        let mut ts_event_builder = UInt64Array::builder(data.len());
118        let mut ts_init_builder = UInt64Array::builder(data.len());
119
120        for co in data.iter().map(Borrow::borrow) {
121            id_builder.append_value(co.id.to_string());
122            raw_symbol_builder.append_value(co.raw_symbol);
123            underlying_builder.append_value(co.underlying.to_string());
124            quote_currency_builder.append_value(co.quote_currency.to_string());
125            settlement_currency_builder.append_value(co.settlement_currency.to_string());
126            is_inverse_builder.append_value(co.is_inverse);
127            option_kind_builder.append_value(co.option_kind);
128            strike_price_builder.append_value(co.strike_price.to_string());
129            activation_ns_builder.append_value(co.activation_ns.as_u64());
130            expiration_ns_builder.append_value(co.expiration_ns.as_u64());
131            price_precision_builder.append_value(co.price_precision);
132            size_precision_builder.append_value(co.size_precision);
133            price_increment_builder.append_value(co.price_increment.to_string());
134            size_increment_builder.append_value(co.size_increment.to_string());
135            multiplier_builder.append_value(co.multiplier.to_string());
136            lot_size_builder.append_value(co.lot_size.to_string());
137
138            if let Some(max_qty) = co.max_quantity {
139                max_quantity_builder.append_value(max_qty.to_string());
140            } else {
141                max_quantity_builder.append_null();
142            }
143
144            if let Some(min_qty) = co.min_quantity {
145                min_quantity_builder.append_value(min_qty.to_string());
146            } else {
147                min_quantity_builder.append_null();
148            }
149
150            if let Some(max_not) = co.max_notional {
151                max_notional_builder.append_value(max_not.to_string());
152            } else {
153                max_notional_builder.append_null();
154            }
155
156            if let Some(min_not) = co.min_notional {
157                min_notional_builder.append_value(min_not.to_string());
158            } else {
159                min_notional_builder.append_null();
160            }
161
162            if let Some(max_p) = co.max_price {
163                max_price_builder.append_value(max_p.to_string());
164            } else {
165                max_price_builder.append_null();
166            }
167
168            if let Some(min_p) = co.min_price {
169                min_price_builder.append_value(min_p.to_string());
170            } else {
171                min_price_builder.append_null();
172            }
173
174            margin_init_builder.append_value(co.margin_init.to_string());
175            margin_maint_builder.append_value(co.margin_maint.to_string());
176
177            if let Some(tick_scheme) = co.tick_scheme {
178                tick_scheme_builder.append_value(tick_scheme);
179            } else {
180                tick_scheme_builder.append_null();
181            }
182
183            if let Some(ref info) = co.info {
184                match serde_json::to_string(info) {
185                    Ok(json) => {
186                        info_builder.append_value(json);
187                    }
188                    Err(e) => {
189                        return Err(ArrowError::InvalidArgumentError(format!(
190                            "Failed to serialize info dict to JSON: {e}"
191                        )));
192                    }
193                }
194            } else {
195                info_builder.append_null();
196            }
197
198            ts_event_builder.append_value(co.ts_event.as_u64());
199            ts_init_builder.append_value(co.ts_init.as_u64());
200        }
201
202        record_batch_with_timestamps(
203            Self::get_schema(Some(metadata.clone())).into(),
204            vec![
205                Arc::new(id_builder.finish()),
206                Arc::new(raw_symbol_builder.finish()),
207                Arc::new(underlying_builder.finish()),
208                Arc::new(quote_currency_builder.finish()),
209                Arc::new(settlement_currency_builder.finish()),
210                Arc::new(is_inverse_builder.finish()),
211                Arc::new(option_kind_builder.finish()),
212                Arc::new(strike_price_builder.finish()),
213                Arc::new(activation_ns_builder.finish()),
214                Arc::new(expiration_ns_builder.finish()),
215                Arc::new(price_precision_builder.finish()),
216                Arc::new(size_precision_builder.finish()),
217                Arc::new(price_increment_builder.finish()),
218                Arc::new(size_increment_builder.finish()),
219                Arc::new(multiplier_builder.finish()),
220                Arc::new(lot_size_builder.finish()),
221                Arc::new(max_quantity_builder.finish()),
222                Arc::new(min_quantity_builder.finish()),
223                Arc::new(max_notional_builder.finish()),
224                Arc::new(min_notional_builder.finish()),
225                Arc::new(max_price_builder.finish()),
226                Arc::new(min_price_builder.finish()),
227                Arc::new(margin_init_builder.finish()),
228                Arc::new(margin_maint_builder.finish()),
229                Arc::new(tick_scheme_builder.finish()),
230                Arc::new(info_builder.finish()),
231                Arc::new(ts_event_builder.finish()),
232                Arc::new(ts_init_builder.finish()),
233            ],
234        )
235    }
236
237    fn metadata(&self) -> HashMap<String, String> {
238        let mut metadata = HashMap::new();
239        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
240        metadata.insert(
241            KEY_PRICE_PRECISION.to_string(),
242            self.price_precision.to_string(),
243        );
244        metadata.insert(
245            KEY_SIZE_PRECISION.to_string(),
246            self.size_precision.to_string(),
247        );
248        metadata
249    }
250}
251
252/// Decodes [`CryptoOption`] instruments from a record batch.
253///
254/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
255///
256/// # Errors
257///
258/// Returns an error if the record batch cannot be decoded.
259///
260/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
261pub fn decode_crypto_option_batch(
262    metadata: &HashMap<String, String>,
263    record_batch: &RecordBatch,
264) -> Result<Vec<CryptoOption>, EncodingError> {
265    validate_required_instrument_columns::<CryptoOption>(metadata, record_batch)?;
266    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
267    let record_batch = &record_batch;
268    let cols = record_batch.columns();
269    let num_rows = record_batch.num_rows();
270
271    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
272    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
273    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
274    let quote_currency_values =
275        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
276    let settlement_currency_values =
277        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
278    let is_inverse_values =
279        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
280    let option_kind_values = extract_column::<StringArray>(cols, "option_kind", 6, DataType::Utf8)?;
281    let strike_price_values =
282        extract_column::<StringArray>(cols, "strike_price", 7, DataType::Utf8)?;
283    let activation_ns_values =
284        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
285    let expiration_ns_values =
286        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
287    let price_precision_values =
288        extract_column::<UInt8Array>(cols, "price_precision", 10, DataType::UInt8)?;
289    let size_precision_values =
290        extract_column::<UInt8Array>(cols, "size_precision", 11, DataType::UInt8)?;
291    let price_increment_values =
292        extract_column::<StringArray>(cols, "price_increment", 12, DataType::Utf8)?;
293    let size_increment_values =
294        extract_column::<StringArray>(cols, "size_increment", 13, DataType::Utf8)?;
295    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 14, DataType::Utf8)?;
296    let lot_size_values = record_batch
297        .schema()
298        .index_of("lot_size")
299        .ok()
300        .map(|index| extract_column::<StringArray>(cols, "lot_size", index, DataType::Utf8))
301        .transpose()?;
302    let lot_size_offset = usize::from(lot_size_values.is_some());
303    let max_quantity_values = cols
304        .get(15 + lot_size_offset)
305        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 15 + lot_size_offset))?;
306    let min_quantity_values = cols
307        .get(16 + lot_size_offset)
308        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 16 + lot_size_offset))?;
309    let max_notional_values = cols
310        .get(17 + lot_size_offset)
311        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 17 + lot_size_offset))?;
312    let min_notional_values = cols
313        .get(18 + lot_size_offset)
314        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 18 + lot_size_offset))?;
315    let max_price_values = cols
316        .get(19 + lot_size_offset)
317        .ok_or_else(|| EncodingError::MissingColumn("max_price", 19 + lot_size_offset))?;
318    let min_price_values = cols
319        .get(20 + lot_size_offset)
320        .ok_or_else(|| EncodingError::MissingColumn("min_price", 20 + lot_size_offset))?;
321    let margin_init_values =
322        extract_column::<StringArray>(cols, "margin_init", 21 + lot_size_offset, DataType::Utf8)?;
323    let margin_maint_values =
324        extract_column::<StringArray>(cols, "margin_maint", 22 + lot_size_offset, DataType::Utf8)?;
325    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
326    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
327    let ts_event_values =
328        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
329    let ts_init_values =
330        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
331
332    let mut result = Vec::with_capacity(num_rows);
333
334    for i in 0..num_rows {
335        let id = InstrumentId::from_str(id_values.value(i))
336            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
337        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
338        let underlying = super::decode_currency(
339            underlying_values.value(i),
340            "underlying",
341            "crypto_option.underlying",
342            i,
343        )?;
344        let quote_currency = super::decode_currency(
345            quote_currency_values.value(i),
346            "quote_currency",
347            "crypto_option.quote_currency",
348            i,
349        )?;
350        let settlement_currency = super::decode_currency(
351            settlement_currency_values.value(i),
352            "settlement_currency",
353            "crypto_option.settlement_currency",
354            i,
355        )?;
356        let is_inverse = is_inverse_values.value(i);
357        let option_kind = OptionKind::from_str(option_kind_values.value(i))
358            .map_err(|e| EncodingError::ParseError("option_kind", format!("row {i}: {e}")))?;
359        let strike_price = Price::from_str(strike_price_values.value(i))
360            .map_err(|e| EncodingError::ParseError("strike_price", format!("row {i}: {e}")))?;
361        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
362        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
363        let price_prec = price_precision_values.value(i);
364        let size_prec = size_precision_values.value(i);
365
366        let price_increment = Price::from_str(price_increment_values.value(i))
367            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
368        let size_increment = Quantity::from_str(size_increment_values.value(i))
369            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
370        let multiplier = Quantity::from_str(multiplier_values.value(i))
371            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
372        let lot_size =
373            if let Some(values) = lot_size_values {
374                if values.is_null(i) {
375                    None
376                } else {
377                    Some(Quantity::from_str(values.value(i)).map_err(|e| {
378                        EncodingError::ParseError("lot_size", format!("row {i}: {e}"))
379                    })?)
380                }
381            } else {
382                None
383            };
384
385        let max_quantity =
386            if max_quantity_values.is_null(i) {
387                None
388            } else {
389                let max_qty_str = max_quantity_values
390                    .as_any()
391                    .downcast_ref::<StringArray>()
392                    .ok_or_else(|| {
393                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
394                    })?
395                    .value(i);
396                Some(Quantity::from_str(max_qty_str).map_err(|e| {
397                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
398                })?)
399            };
400
401        let min_quantity =
402            if min_quantity_values.is_null(i) {
403                None
404            } else {
405                let min_qty_str = min_quantity_values
406                    .as_any()
407                    .downcast_ref::<StringArray>()
408                    .ok_or_else(|| {
409                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
410                    })?
411                    .value(i);
412                Some(Quantity::from_str(min_qty_str).map_err(|e| {
413                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
414                })?)
415            };
416
417        let max_notional =
418            if max_notional_values.is_null(i) {
419                None
420            } else {
421                let max_not_str = max_notional_values
422                    .as_any()
423                    .downcast_ref::<StringArray>()
424                    .ok_or_else(|| {
425                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
426                    })?
427                    .value(i);
428
429                Some(Money::from_str_exact(max_not_str).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 min_not_str = 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
446                Some(Money::from_str_exact(min_not_str).map_err(|e| {
447                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
448                })?)
449            };
450
451        let max_price = if max_price_values.is_null(i) {
452            None
453        } else {
454            let max_p_str = max_price_values
455                .as_any()
456                .downcast_ref::<StringArray>()
457                .ok_or_else(|| {
458                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
459                })?
460                .value(i);
461            Some(
462                Price::from_str(max_p_str)
463                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
464            )
465        };
466
467        let min_price = if min_price_values.is_null(i) {
468            None
469        } else {
470            let min_p_str = min_price_values
471                .as_any()
472                .downcast_ref::<StringArray>()
473                .ok_or_else(|| {
474                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
475                })?
476                .value(i);
477            Some(
478                Price::from_str(min_p_str)
479                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
480            )
481        };
482
483        let margin_init = Decimal::from_str(margin_init_values.value(i))
484            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
485        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
486            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
487
488        let info = if info_values.is_null(i) {
489            None
490        } else {
491            let info_json = info_values
492                .as_any()
493                .downcast_ref::<StringArray>()
494                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
495                .value(i);
496
497            match serde_json::from_str::<Params>(info_json) {
498                Ok(info_dict) => Some(info_dict),
499                Err(e) => {
500                    return Err(EncodingError::ParseError(
501                        "info",
502                        format!("row {i}: failed to deserialize JSON: {e}"),
503                    ));
504                }
505            }
506        };
507
508        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
509        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
510
511        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
512
513        let crypto_option = CryptoOption::builder()
514            .instrument_id(id)
515            .raw_symbol(raw_symbol)
516            .underlying(underlying)
517            .quote_currency(quote_currency)
518            .settlement_currency(settlement_currency)
519            .is_inverse(is_inverse)
520            .option_kind(option_kind)
521            .strike_price(strike_price)
522            .activation_ns(activation_ns)
523            .expiration_ns(expiration_ns)
524            .price_precision(price_prec)
525            .size_precision(size_prec)
526            .price_increment(price_increment)
527            .size_increment(size_increment)
528            .multiplier(multiplier)
529            .maybe_lot_size(lot_size)
530            .maybe_max_quantity(max_quantity)
531            .maybe_min_quantity(min_quantity)
532            .maybe_max_notional(max_notional)
533            .maybe_min_notional(min_notional)
534            .maybe_max_price(max_price)
535            .maybe_min_price(min_price)
536            .margin_init(margin_init)
537            .margin_maint(margin_maint)
538            .maybe_tick_scheme(tick_scheme)
539            .maybe_info(info)
540            .ts_event(ts_event)
541            .ts_init(ts_init)
542            .build()
543            .map_err(|e| super::instrument_validation_error::<CryptoOption>(i, e))?;
544
545        result.push(crypto_option);
546    }
547
548    Ok(result)
549}
nautilus_serialization/arrow/instrument/crypto_option.rs

nautilus_serialization/arrow/instrument/
crypto_option.rs
