nautilus_serialization/arrow/instrument/
option_spread.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16//! Arrow serialization for OptionSpread 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::option_spread::OptionSpread,
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 OptionSpread {
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("strategy_type", DataType::Utf8, false),
52            Field::new("asset_class", DataType::Utf8, false),
53            Field::new("exchange", DataType::Utf8, true), // nullable
54            Field::new("currency", DataType::Utf8, false),
55            Field::new("price_precision", DataType::UInt8, false),
56            Field::new("size_precision", DataType::UInt8, false),
57            Field::new("price_increment", DataType::Utf8, false),
58            Field::new("size_increment", DataType::Utf8, false),
59            Field::new("multiplier", DataType::Utf8, false),
60            Field::new("lot_size", DataType::Utf8, false),
61            Field::new("max_quantity", DataType::Utf8, true), // nullable
62            Field::new("min_quantity", DataType::Utf8, true), // nullable
63            Field::new("max_price", DataType::Utf8, true),    // nullable
64            Field::new("min_price", DataType::Utf8, true),    // nullable
65            Field::new("activation_ns", timestamp_data_type(), false),
66            Field::new("expiration_ns", timestamp_data_type(), false),
67            Field::new("margin_init", DataType::Utf8, false),
68            Field::new("margin_maint", DataType::Utf8, false),
69            Field::new("tick_scheme", DataType::Utf8, true),
70            json_string_field("info", true),
71            Field::new("ts_event", timestamp_data_type(), false),
72            Field::new("ts_init", timestamp_data_type(), false),
73        ];
74
75        Schema::new_with_metadata(fields, metadata_with_type_name("OptionSpread", metadata))
76    }
77}
78
79impl EncodeToRecordBatch for OptionSpread {
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 underlying_builder = StringBuilder::new();
90        let mut strategy_type_builder = StringBuilder::new();
91        let mut asset_class_builder = StringBuilder::new();
92        let mut exchange_builder = StringBuilder::new();
93        let mut currency_builder = StringBuilder::new();
94        let mut price_precision_builder = UInt8Array::builder(data.len());
95        let mut size_precision_builder = UInt8Array::builder(data.len());
96        let mut price_increment_builder = StringBuilder::new();
97        let mut size_increment_builder = StringBuilder::new();
98        let mut multiplier_builder = StringBuilder::new();
99        let mut lot_size_builder = StringBuilder::new();
100        let mut max_quantity_builder = StringBuilder::new();
101        let mut min_quantity_builder = StringBuilder::new();
102        let mut max_price_builder = StringBuilder::new();
103        let mut min_price_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 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 os in data.iter().map(Borrow::borrow) {
114            id_builder.append_value(os.id.to_string());
115            raw_symbol_builder.append_value(os.raw_symbol);
116            underlying_builder.append_value(os.underlying);
117            strategy_type_builder.append_value(os.strategy_type);
118            asset_class_builder.append_value(os.asset_class);
119
120            if let Some(exchange) = os.exchange {
121                exchange_builder.append_value(exchange);
122            } else {
123                exchange_builder.append_null();
124            }
125
126            currency_builder.append_value(os.currency.to_string());
127            price_precision_builder.append_value(os.price_precision);
128            size_precision_builder.append_value(os.size_precision);
129            price_increment_builder.append_value(os.price_increment.to_string());
130            size_increment_builder.append_value(os.size_increment.to_string());
131            multiplier_builder.append_value(os.multiplier.to_string());
132            lot_size_builder.append_value(os.lot_size.to_string());
133
134            if let Some(max_qty) = os.max_quantity {
135                max_quantity_builder.append_value(max_qty.to_string());
136            } else {
137                max_quantity_builder.append_null();
138            }
139
140            if let Some(min_qty) = os.min_quantity {
141                min_quantity_builder.append_value(min_qty.to_string());
142            } else {
143                min_quantity_builder.append_null();
144            }
145
146            if let Some(max_p) = os.max_price {
147                max_price_builder.append_value(max_p.to_string());
148            } else {
149                max_price_builder.append_null();
150            }
151
152            if let Some(min_p) = os.min_price {
153                min_price_builder.append_value(min_p.to_string());
154            } else {
155                min_price_builder.append_null();
156            }
157
158            activation_ns_builder.append_value(os.activation_ns.as_u64());
159            expiration_ns_builder.append_value(os.expiration_ns.as_u64());
160            margin_init_builder.append_value(os.margin_init.to_string());
161            margin_maint_builder.append_value(os.margin_maint.to_string());
162
163            if let Some(tick_scheme) = os.tick_scheme {
164                tick_scheme_builder.append_value(tick_scheme);
165            } else {
166                tick_scheme_builder.append_null();
167            }
168
169            if let Some(ref info) = os.info {
170                match serde_json::to_string(info) {
171                    Ok(json) => {
172                        info_builder.append_value(json);
173                    }
174                    Err(e) => {
175                        return Err(ArrowError::InvalidArgumentError(format!(
176                            "Failed to serialize info dict to JSON: {e}"
177                        )));
178                    }
179                }
180            } else {
181                info_builder.append_null();
182            }
183
184            ts_event_builder.append_value(os.ts_event.as_u64());
185            ts_init_builder.append_value(os.ts_init.as_u64());
186        }
187
188        record_batch_with_timestamps(
189            Self::get_schema(Some(metadata.clone())).into(),
190            vec![
191                Arc::new(id_builder.finish()),
192                Arc::new(raw_symbol_builder.finish()),
193                Arc::new(underlying_builder.finish()),
194                Arc::new(strategy_type_builder.finish()),
195                Arc::new(asset_class_builder.finish()),
196                Arc::new(exchange_builder.finish()),
197                Arc::new(currency_builder.finish()),
198                Arc::new(price_precision_builder.finish()),
199                Arc::new(size_precision_builder.finish()),
200                Arc::new(price_increment_builder.finish()),
201                Arc::new(size_increment_builder.finish()),
202                Arc::new(multiplier_builder.finish()),
203                Arc::new(lot_size_builder.finish()),
204                Arc::new(max_quantity_builder.finish()),
205                Arc::new(min_quantity_builder.finish()),
206                Arc::new(max_price_builder.finish()),
207                Arc::new(min_price_builder.finish()),
208                Arc::new(activation_ns_builder.finish()),
209                Arc::new(expiration_ns_builder.finish()),
210                Arc::new(margin_init_builder.finish()),
211                Arc::new(margin_maint_builder.finish()),
212                Arc::new(tick_scheme_builder.finish()),
213                Arc::new(info_builder.finish()),
214                Arc::new(ts_event_builder.finish()),
215                Arc::new(ts_init_builder.finish()),
216            ],
217        )
218    }
219
220    fn metadata(&self) -> HashMap<String, String> {
221        let mut metadata = HashMap::new();
222        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
223        metadata.insert(
224            KEY_PRICE_PRECISION.to_string(),
225            self.price_precision.to_string(),
226        );
227        metadata.insert(
228            KEY_SIZE_PRECISION.to_string(),
229            self.size_precision.to_string(),
230        );
231        metadata
232    }
233}
234
235/// Decodes [`OptionSpread`] instruments from a record batch.
236///
237/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
238///
239/// # Errors
240///
241/// Returns an error if the record batch cannot be decoded.
242///
243/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
244pub fn decode_option_spread_batch(
245    metadata: &HashMap<String, String>,
246    record_batch: &RecordBatch,
247) -> Result<Vec<OptionSpread>, EncodingError> {
248    validate_required_instrument_columns::<OptionSpread>(metadata, record_batch)?;
249    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
250    let record_batch = &record_batch;
251    let cols = record_batch.columns();
252    let num_rows = record_batch.num_rows();
253
254    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
255    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
256    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
257    let strategy_type_values =
258        extract_column::<StringArray>(cols, "strategy_type", 3, DataType::Utf8)?;
259    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 4, DataType::Utf8)?;
260    let exchange_values = cols
261        .get(5)
262        .ok_or_else(|| EncodingError::MissingColumn("exchange", 5))?;
263    let currency_values = extract_column::<StringArray>(cols, "currency", 6, DataType::Utf8)?;
264    let price_precision_values =
265        extract_column::<UInt8Array>(cols, "price_precision", 7, DataType::UInt8)?;
266    let size_precision_values =
267        extract_column::<UInt8Array>(cols, "size_precision", 8, DataType::UInt8)?;
268    let price_increment_values =
269        extract_column::<StringArray>(cols, "price_increment", 9, DataType::Utf8)?;
270    let size_increment_values =
271        extract_column::<StringArray>(cols, "size_increment", 10, DataType::Utf8)?;
272    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 11, DataType::Utf8)?;
273    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 12, DataType::Utf8)?;
274    let max_quantity_values = cols
275        .get(13)
276        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 13))?;
277    let min_quantity_values = cols
278        .get(14)
279        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 14))?;
280    let max_price_values = cols
281        .get(15)
282        .ok_or_else(|| EncodingError::MissingColumn("max_price", 15))?;
283    let min_price_values = cols
284        .get(16)
285        .ok_or_else(|| EncodingError::MissingColumn("min_price", 16))?;
286    let activation_ns_values =
287        extract_column::<UInt64Array>(cols, "activation_ns", 17, DataType::UInt64)?;
288    let expiration_ns_values =
289        extract_column::<UInt64Array>(cols, "expiration_ns", 18, DataType::UInt64)?;
290    let margin_init_values =
291        extract_column::<StringArray>(cols, "margin_init", 19, DataType::Utf8)?;
292    let margin_maint_values =
293        extract_column::<StringArray>(cols, "margin_maint", 20, DataType::Utf8)?;
294    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
295    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
296    let ts_event_values =
297        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
298    let ts_init_values =
299        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
300
301    let mut result = Vec::with_capacity(num_rows);
302
303    for i in 0..num_rows {
304        let id = InstrumentId::from_str(id_values.value(i))
305            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
306        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
307        let underlying = Ustr::from(underlying_values.value(i));
308        let strategy_type = Ustr::from(strategy_type_values.value(i));
309        let asset_class = AssetClass::from_str(asset_class_values.value(i))
310            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
311
312        let exchange = if exchange_values.is_null(i) {
313            None
314        } else {
315            let exchange_str = exchange_values
316                .as_any()
317                .downcast_ref::<StringArray>()
318                .ok_or_else(|| {
319                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
320                })?
321                .value(i);
322            Some(Ustr::from(exchange_str))
323        };
324
325        let currency = super::decode_currency(
326            currency_values.value(i),
327            "currency",
328            "option_spread.currency",
329            i,
330        )?;
331        let price_prec = price_precision_values.value(i);
332        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
333
334        let price_increment = Price::from_str(price_increment_values.value(i))
335            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
336        let _size_increment = Quantity::from_str(size_increment_values.value(i))
337            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
338        let multiplier = Quantity::from_str(multiplier_values.value(i))
339            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
340        let lot_size = Quantity::from_str(lot_size_values.value(i))
341            .map_err(|e| EncodingError::ParseError("lot_size", 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 max_price = if max_price_values.is_null(i) {
376            None
377        } else {
378            let max_p_str = max_price_values
379                .as_any()
380                .downcast_ref::<StringArray>()
381                .ok_or_else(|| {
382                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
383                })?
384                .value(i);
385            Some(
386                Price::from_str(max_p_str)
387                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
388            )
389        };
390
391        let min_price = if min_price_values.is_null(i) {
392            None
393        } else {
394            let min_p_str = min_price_values
395                .as_any()
396                .downcast_ref::<StringArray>()
397                .ok_or_else(|| {
398                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
399                })?
400                .value(i);
401            Some(
402                Price::from_str(min_p_str)
403                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
404            )
405        };
406
407        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
408        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
409
410        let margin_init = Decimal::from_str(margin_init_values.value(i))
411            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
412        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
413            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
414
415        let info = if info_values.is_null(i) {
416            None
417        } else {
418            let info_json = info_values
419                .as_any()
420                .downcast_ref::<StringArray>()
421                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
422                .value(i);
423
424            match serde_json::from_str::<Params>(info_json) {
425                Ok(info_dict) => Some(info_dict),
426                Err(e) => {
427                    return Err(EncodingError::ParseError(
428                        "info",
429                        format!("row {i}: failed to deserialize JSON: {e}"),
430                    ));
431                }
432            }
433        };
434
435        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
436        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
437
438        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
439
440        let option_spread = OptionSpread::builder()
441            .instrument_id(id)
442            .raw_symbol(raw_symbol)
443            .asset_class(asset_class)
444            .maybe_exchange(exchange)
445            .underlying(underlying)
446            .strategy_type(strategy_type)
447            .activation_ns(activation_ns)
448            .expiration_ns(expiration_ns)
449            .currency(currency)
450            .price_precision(price_prec)
451            .price_increment(price_increment)
452            .multiplier(multiplier)
453            .lot_size(lot_size)
454            .maybe_max_quantity(max_quantity)
455            .maybe_min_quantity(min_quantity)
456            .maybe_max_price(max_price)
457            .maybe_min_price(min_price)
458            .margin_init(margin_init)
459            .margin_maint(margin_maint)
460            .maybe_tick_scheme(tick_scheme)
461            .maybe_info(info)
462            .ts_event(ts_event)
463            .ts_init(ts_init)
464            .build()
465            .map_err(|e| super::instrument_validation_error::<OptionSpread>(i, e))?;
466
467        result.push(option_spread);
468    }
469
470    Ok(result)
471}
nautilus_serialization/arrow/instrument/option_spread.rs

nautilus_serialization/arrow/instrument/
option_spread.rs
