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

nautilus_serialization/arrow/instrument/
option_contract.rs
