nautilus_serialization/arrow/instrument/
crypto_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 CryptoOptionSpread 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    identifiers::{InstrumentId, Symbol},
31    instruments::crypto_option_spread::CryptoOptionSpread,
32    types::{money::Money, price::Price, quantity::Quantity},
33};
34use rust_decimal::Decimal;
35use ustr::Ustr;
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 CryptoOptionSpread {
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("strategy_type", 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),
65            Field::new("min_quantity", DataType::Utf8, true),
66            Field::new("max_notional", DataType::Utf8, true),
67            Field::new("min_notional", DataType::Utf8, true),
68            Field::new("max_price", DataType::Utf8, true),
69            Field::new("min_price", DataType::Utf8, true),
70            Field::new("margin_init", DataType::Utf8, false),
71            Field::new("margin_maint", DataType::Utf8, false),
72            Field::new("tick_scheme", DataType::Utf8, true),
73            json_string_field("info", true),
74            Field::new("ts_event", timestamp_data_type(), false),
75            Field::new("ts_init", timestamp_data_type(), false),
76        ];
77
78        Schema::new_with_metadata(
79            fields,
80            metadata_with_type_name("CryptoOptionSpread", metadata),
81        )
82    }
83}
84
85impl EncodeToRecordBatch for CryptoOptionSpread {
86    fn encode_batch<T>(
87        #[allow(unused)] metadata: &HashMap<String, String>,
88        data: &[T],
89    ) -> Result<RecordBatch, ArrowError>
90    where
91        T: std::borrow::Borrow<Self>,
92    {
93        let mut id_builder = StringBuilder::new();
94        let mut raw_symbol_builder = StringBuilder::new();
95        let mut underlying_builder = StringBuilder::new();
96        let mut quote_currency_builder = StringBuilder::new();
97        let mut settlement_currency_builder = StringBuilder::new();
98        let mut is_inverse_builder = BooleanBuilder::new();
99        let mut strategy_type_builder = StringBuilder::new();
100        let mut activation_ns_builder = UInt64Array::builder(data.len());
101        let mut expiration_ns_builder = UInt64Array::builder(data.len());
102        let mut price_precision_builder = UInt8Array::builder(data.len());
103        let mut size_precision_builder = UInt8Array::builder(data.len());
104        let mut price_increment_builder = StringBuilder::new();
105        let mut size_increment_builder = StringBuilder::new();
106        let mut multiplier_builder = StringBuilder::new();
107        let mut lot_size_builder = StringBuilder::new();
108        let mut max_quantity_builder = StringBuilder::new();
109        let mut min_quantity_builder = StringBuilder::new();
110        let mut max_notional_builder = StringBuilder::new();
111        let mut min_notional_builder = StringBuilder::new();
112        let mut max_price_builder = StringBuilder::new();
113        let mut min_price_builder = StringBuilder::new();
114        let mut margin_init_builder = StringBuilder::new();
115        let mut margin_maint_builder = StringBuilder::new();
116        let mut tick_scheme_builder = StringBuilder::new();
117        let mut info_builder = StringBuilder::new();
118        let mut ts_event_builder = UInt64Array::builder(data.len());
119        let mut ts_init_builder = UInt64Array::builder(data.len());
120
121        for co in data.iter().map(Borrow::borrow) {
122            id_builder.append_value(co.id.to_string());
123            raw_symbol_builder.append_value(co.raw_symbol);
124            underlying_builder.append_value(co.underlying.to_string());
125            quote_currency_builder.append_value(co.quote_currency.to_string());
126            settlement_currency_builder.append_value(co.settlement_currency.to_string());
127            is_inverse_builder.append_value(co.is_inverse);
128            strategy_type_builder.append_value(co.strategy_type.as_str());
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) => info_builder.append_value(json),
186                    Err(e) => {
187                        return Err(ArrowError::InvalidArgumentError(format!(
188                            "Failed to serialize info dict to JSON: {e}"
189                        )));
190                    }
191                }
192            } else {
193                info_builder.append_null();
194            }
195
196            ts_event_builder.append_value(co.ts_event.as_u64());
197            ts_init_builder.append_value(co.ts_init.as_u64());
198        }
199
200        record_batch_with_timestamps(
201            Self::get_schema(Some(metadata.clone())).into(),
202            vec![
203                Arc::new(id_builder.finish()),
204                Arc::new(raw_symbol_builder.finish()),
205                Arc::new(underlying_builder.finish()),
206                Arc::new(quote_currency_builder.finish()),
207                Arc::new(settlement_currency_builder.finish()),
208                Arc::new(is_inverse_builder.finish()),
209                Arc::new(strategy_type_builder.finish()),
210                Arc::new(activation_ns_builder.finish()),
211                Arc::new(expiration_ns_builder.finish()),
212                Arc::new(price_precision_builder.finish()),
213                Arc::new(size_precision_builder.finish()),
214                Arc::new(price_increment_builder.finish()),
215                Arc::new(size_increment_builder.finish()),
216                Arc::new(multiplier_builder.finish()),
217                Arc::new(lot_size_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            ],
231        )
232    }
233
234    fn metadata(&self) -> HashMap<String, String> {
235        let mut metadata = HashMap::new();
236        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
237        metadata.insert(
238            KEY_PRICE_PRECISION.to_string(),
239            self.price_precision.to_string(),
240        );
241        metadata.insert(
242            KEY_SIZE_PRECISION.to_string(),
243            self.size_precision.to_string(),
244        );
245        metadata
246    }
247}
248
249/// Decodes [`CryptoOptionSpread`] instruments from a record batch.
250///
251/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
252///
253/// # Errors
254///
255/// Returns an error if the record batch cannot be decoded.
256///
257/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
258pub fn decode_crypto_option_spread_batch(
259    metadata: &HashMap<String, String>,
260    record_batch: &RecordBatch,
261) -> Result<Vec<CryptoOptionSpread>, EncodingError> {
262    validate_required_instrument_columns::<CryptoOptionSpread>(metadata, record_batch)?;
263    let record_batch = record_batch_with_u64_timestamps(record_batch)?;
264    let record_batch = &record_batch;
265    let cols = record_batch.columns();
266    let num_rows = record_batch.num_rows();
267
268    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
269    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
270    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
271    let quote_currency_values =
272        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
273    let settlement_currency_values =
274        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
275    let is_inverse_values =
276        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
277    let strategy_type_values =
278        extract_column::<StringArray>(cols, "strategy_type", 6, DataType::Utf8)?;
279    let activation_ns_values =
280        extract_column::<UInt64Array>(cols, "activation_ns", 7, DataType::UInt64)?;
281    let expiration_ns_values =
282        extract_column::<UInt64Array>(cols, "expiration_ns", 8, DataType::UInt64)?;
283    let price_precision_values =
284        extract_column::<UInt8Array>(cols, "price_precision", 9, DataType::UInt8)?;
285    let size_precision_values =
286        extract_column::<UInt8Array>(cols, "size_precision", 10, DataType::UInt8)?;
287    let price_increment_values =
288        extract_column::<StringArray>(cols, "price_increment", 11, DataType::Utf8)?;
289    let size_increment_values =
290        extract_column::<StringArray>(cols, "size_increment", 12, DataType::Utf8)?;
291    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 13, DataType::Utf8)?;
292    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 14, DataType::Utf8)?;
293    let max_quantity_values = cols
294        .get(15)
295        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 15))?;
296    let min_quantity_values = cols
297        .get(16)
298        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 16))?;
299    let max_notional_values = cols
300        .get(17)
301        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 17))?;
302    let min_notional_values = cols
303        .get(18)
304        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 18))?;
305    let max_price_values = cols
306        .get(19)
307        .ok_or_else(|| EncodingError::MissingColumn("max_price", 19))?;
308    let min_price_values = cols
309        .get(20)
310        .ok_or_else(|| EncodingError::MissingColumn("min_price", 20))?;
311    let margin_init_values =
312        extract_column::<StringArray>(cols, "margin_init", 21, DataType::Utf8)?;
313    let margin_maint_values =
314        extract_column::<StringArray>(cols, "margin_maint", 22, DataType::Utf8)?;
315    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
316    let info_values = extract_column_by_name::<StringArray>(record_batch, "info", DataType::Utf8)?;
317    let ts_event_values =
318        extract_column_by_name::<UInt64Array>(record_batch, "ts_event", DataType::UInt64)?;
319    let ts_init_values =
320        extract_column_by_name::<UInt64Array>(record_batch, "ts_init", DataType::UInt64)?;
321
322    let mut result = Vec::with_capacity(num_rows);
323
324    for i in 0..num_rows {
325        let id = InstrumentId::from_str(id_values.value(i))
326            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
327        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
328        let underlying = super::decode_currency(
329            underlying_values.value(i),
330            "underlying",
331            "crypto_option_spread.underlying",
332            i,
333        )?;
334        let quote_currency = super::decode_currency(
335            quote_currency_values.value(i),
336            "quote_currency",
337            "crypto_option_spread.quote_currency",
338            i,
339        )?;
340        let settlement_currency = super::decode_currency(
341            settlement_currency_values.value(i),
342            "settlement_currency",
343            "crypto_option_spread.settlement_currency",
344            i,
345        )?;
346        let is_inverse = is_inverse_values.value(i);
347        let strategy_type = Ustr::from(strategy_type_values.value(i));
348        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
349        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
350        let price_prec = price_precision_values.value(i);
351        let size_prec = size_precision_values.value(i);
352
353        let price_increment = Price::from_str(price_increment_values.value(i))
354            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
355        let size_increment = Quantity::from_str(size_increment_values.value(i))
356            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
357        let multiplier = Quantity::from_str(multiplier_values.value(i))
358            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
359        let lot_size = Quantity::from_str(lot_size_values.value(i))
360            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
361
362        let max_quantity =
363            if max_quantity_values.is_null(i) {
364                None
365            } else {
366                let value = max_quantity_values
367                    .as_any()
368                    .downcast_ref::<StringArray>()
369                    .ok_or_else(|| {
370                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
371                    })?
372                    .value(i);
373                Some(Quantity::from_str(value).map_err(|e| {
374                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
375                })?)
376            };
377
378        let min_quantity =
379            if min_quantity_values.is_null(i) {
380                None
381            } else {
382                let value = min_quantity_values
383                    .as_any()
384                    .downcast_ref::<StringArray>()
385                    .ok_or_else(|| {
386                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
387                    })?
388                    .value(i);
389                Some(Quantity::from_str(value).map_err(|e| {
390                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
391                })?)
392            };
393
394        let max_notional =
395            if max_notional_values.is_null(i) {
396                None
397            } else {
398                let value = max_notional_values
399                    .as_any()
400                    .downcast_ref::<StringArray>()
401                    .ok_or_else(|| {
402                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
403                    })?
404                    .value(i);
405
406                Some(Money::from_str_exact(value).map_err(|e| {
407                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
408                })?)
409            };
410
411        let min_notional =
412            if min_notional_values.is_null(i) {
413                None
414            } else {
415                let value = min_notional_values
416                    .as_any()
417                    .downcast_ref::<StringArray>()
418                    .ok_or_else(|| {
419                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
420                    })?
421                    .value(i);
422
423                Some(Money::from_str_exact(value).map_err(|e| {
424                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
425                })?)
426            };
427
428        let max_price = if max_price_values.is_null(i) {
429            None
430        } else {
431            let value = max_price_values
432                .as_any()
433                .downcast_ref::<StringArray>()
434                .ok_or_else(|| {
435                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
436                })?
437                .value(i);
438            Some(
439                Price::from_str(value)
440                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
441            )
442        };
443
444        let min_price = if min_price_values.is_null(i) {
445            None
446        } else {
447            let value = min_price_values
448                .as_any()
449                .downcast_ref::<StringArray>()
450                .ok_or_else(|| {
451                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
452                })?
453                .value(i);
454            Some(
455                Price::from_str(value)
456                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
457            )
458        };
459
460        let margin_init = Decimal::from_str(margin_init_values.value(i))
461            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
462        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
463            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
464
465        let info = if info_values.is_null(i) {
466            None
467        } else {
468            let info_json = info_values
469                .as_any()
470                .downcast_ref::<StringArray>()
471                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
472                .value(i);
473
474            match serde_json::from_str::<Params>(info_json) {
475                Ok(info_dict) => Some(info_dict),
476                Err(e) => {
477                    return Err(EncodingError::ParseError(
478                        "info",
479                        format!("row {i}: failed to deserialize JSON: {e}"),
480                    ));
481                }
482            }
483        };
484
485        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
486        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
487
488        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
489
490        let crypto_option_spread = CryptoOptionSpread::builder()
491            .instrument_id(id)
492            .raw_symbol(raw_symbol)
493            .underlying(underlying)
494            .quote_currency(quote_currency)
495            .settlement_currency(settlement_currency)
496            .is_inverse(is_inverse)
497            .strategy_type(strategy_type)
498            .activation_ns(activation_ns)
499            .expiration_ns(expiration_ns)
500            .price_precision(price_prec)
501            .size_precision(size_prec)
502            .price_increment(price_increment)
503            .size_increment(size_increment)
504            .multiplier(multiplier)
505            .lot_size(lot_size)
506            .maybe_max_quantity(max_quantity)
507            .maybe_min_quantity(min_quantity)
508            .maybe_max_notional(max_notional)
509            .maybe_min_notional(min_notional)
510            .maybe_max_price(max_price)
511            .maybe_min_price(min_price)
512            .margin_init(margin_init)
513            .margin_maint(margin_maint)
514            .maybe_tick_scheme(tick_scheme)
515            .maybe_info(info)
516            .ts_event(ts_event)
517            .ts_init(ts_init)
518            .build()
519            .map_err(|e| super::instrument_validation_error::<CryptoOptionSpread>(i, e))?;
520
521        result.push(crypto_option_spread);
522    }
523
524    Ok(result)
525}
nautilus_serialization/arrow/instrument/crypto_option_spread.rs

nautilus_serialization/arrow/instrument/
crypto_option_spread.rs
