nautilus_serialization/arrow/instrument/
binary_option.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16//! Arrow serialization for BinaryOption instruments.
17
18use std::{collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        Array, BinaryArray, BinaryBuilder, StringArray, StringBuilder, UInt8Array, UInt64Array,
23    },
24    datatypes::{DataType, Field, Schema},
25    error::ArrowError,
26    record_batch::RecordBatch,
27};
28#[allow(unused_imports)]
29use nautilus_core::Params;
30use nautilus_model::{
31    enums::AssetClass,
32    identifiers::{InstrumentId, Symbol},
33    instruments::binary_option::BinaryOption,
34    types::{price::Price, quantity::Quantity},
35};
36#[allow(unused)]
37use rust_decimal::Decimal;
38#[allow(unused)]
39use serde_json::Value;
40use ustr::Ustr;
41
42use crate::arrow::{
43    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
44    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name_or_index,
45    extract_optional_string_column_by_name, optional_ustr_value,
46};
47
48// Helper function to convert AssetClass to string
49fn asset_class_to_string(ac: AssetClass) -> String {
50    match ac {
51        AssetClass::FX => "FX".to_string(),
52        AssetClass::Equity => "Equity".to_string(),
53        AssetClass::Commodity => "Commodity".to_string(),
54        AssetClass::Debt => "Debt".to_string(),
55        AssetClass::Index => "Index".to_string(),
56        AssetClass::Cryptocurrency => "Cryptocurrency".to_string(),
57        AssetClass::Alternative => "Alternative".to_string(),
58    }
59}
60
61// Helper function to parse AssetClass from string
62fn asset_class_from_str(s: &str) -> Result<AssetClass, EncodingError> {
63    match s {
64        "FX" => Ok(AssetClass::FX),
65        "Equity" => Ok(AssetClass::Equity),
66        "Commodity" => Ok(AssetClass::Commodity),
67        "Debt" => Ok(AssetClass::Debt),
68        "Index" => Ok(AssetClass::Index),
69        "Cryptocurrency" => Ok(AssetClass::Cryptocurrency),
70        "Alternative" => Ok(AssetClass::Alternative),
71        _ => Err(EncodingError::ParseError(
72            "asset_class",
73            format!("Unknown asset class: {s}"),
74        )),
75    }
76}
77
78impl ArrowSchemaProvider for BinaryOption {
79    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
80        let fields = vec![
81            Field::new("id", DataType::Utf8, false),
82            Field::new("raw_symbol", DataType::Utf8, false),
83            Field::new("asset_class", DataType::Utf8, false),
84            Field::new("currency", DataType::Utf8, false),
85            Field::new("price_precision", DataType::UInt8, false),
86            Field::new("size_precision", DataType::UInt8, false),
87            Field::new("price_increment", DataType::Utf8, false),
88            Field::new("size_increment", DataType::Utf8, false),
89            Field::new("activation_ns", DataType::UInt64, false),
90            Field::new("expiration_ns", DataType::UInt64, false),
91            Field::new("maker_fee", DataType::Utf8, false),
92            Field::new("taker_fee", DataType::Utf8, false),
93            Field::new("max_quantity", DataType::Utf8, true), // nullable
94            Field::new("min_quantity", DataType::Utf8, true), // nullable
95            Field::new("outcome", DataType::Utf8, true),      // nullable
96            Field::new("description", DataType::Utf8, true),  // nullable
97            Field::new("tick_scheme", DataType::Utf8, true),
98            Field::new("info", DataType::Binary, true), // nullable
99            Field::new("ts_event", DataType::UInt64, false),
100            Field::new("ts_init", DataType::UInt64, false),
101        ];
102
103        let mut final_metadata = HashMap::new();
104        final_metadata.insert("class".to_string(), "BinaryOption".to_string());
105
106        if let Some(meta) = metadata {
107            final_metadata.extend(meta);
108        }
109
110        Schema::new_with_metadata(fields, final_metadata)
111    }
112}
113
114impl EncodeToRecordBatch for BinaryOption {
115    fn encode_batch(
116        #[allow(unused)] metadata: &HashMap<String, String>,
117        data: &[Self],
118    ) -> Result<RecordBatch, ArrowError> {
119        let mut id_builder = StringBuilder::new();
120        let mut raw_symbol_builder = StringBuilder::new();
121        let mut asset_class_builder = StringBuilder::new();
122        let mut currency_builder = StringBuilder::new();
123        let mut price_precision_builder = UInt8Array::builder(data.len());
124        let mut size_precision_builder = UInt8Array::builder(data.len());
125        let mut price_increment_builder = StringBuilder::new();
126        let mut size_increment_builder = StringBuilder::new();
127        let mut activation_ns_builder = UInt64Array::builder(data.len());
128        let mut expiration_ns_builder = UInt64Array::builder(data.len());
129        let mut maker_fee_builder = StringBuilder::new();
130        let mut taker_fee_builder = StringBuilder::new();
131        let mut max_quantity_builder = StringBuilder::new();
132        let mut min_quantity_builder = StringBuilder::new();
133        let mut outcome_builder = StringBuilder::new();
134        let mut description_builder = StringBuilder::new();
135        let mut tick_scheme_builder = StringBuilder::new();
136        let mut info_builder = BinaryBuilder::new();
137        let mut ts_event_builder = UInt64Array::builder(data.len());
138        let mut ts_init_builder = UInt64Array::builder(data.len());
139
140        for bo in data {
141            id_builder.append_value(bo.id.to_string());
142            raw_symbol_builder.append_value(bo.raw_symbol);
143            asset_class_builder.append_value(asset_class_to_string(bo.asset_class));
144            currency_builder.append_value(bo.currency.to_string());
145            price_precision_builder.append_value(bo.price_precision);
146            size_precision_builder.append_value(bo.size_precision);
147            price_increment_builder.append_value(bo.price_increment.to_string());
148            size_increment_builder.append_value(bo.size_increment.to_string());
149            activation_ns_builder.append_value(bo.activation_ns.as_u64());
150            expiration_ns_builder.append_value(bo.expiration_ns.as_u64());
151            maker_fee_builder.append_value(bo.maker_fee.to_string());
152            taker_fee_builder.append_value(bo.taker_fee.to_string());
153
154            if let Some(max_qty) = bo.max_quantity {
155                max_quantity_builder.append_value(max_qty.to_string());
156            } else {
157                max_quantity_builder.append_null();
158            }
159
160            if let Some(min_qty) = bo.min_quantity {
161                min_quantity_builder.append_value(min_qty.to_string());
162            } else {
163                min_quantity_builder.append_null();
164            }
165
166            if let Some(outcome) = bo.outcome {
167                outcome_builder.append_value(outcome);
168            } else {
169                outcome_builder.append_null();
170            }
171
172            if let Some(desc) = bo.description {
173                description_builder.append_value(desc);
174            } else {
175                description_builder.append_null();
176            }
177
178            if let Some(tick_scheme) = bo.tick_scheme {
179                tick_scheme_builder.append_value(tick_scheme);
180            } else {
181                tick_scheme_builder.append_null();
182            }
183
184            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
185            if let Some(ref info) = bo.info {
186                match serde_json::to_vec(info) {
187                    Ok(json_bytes) => {
188                        info_builder.append_value(json_bytes);
189                    }
190                    Err(e) => {
191                        return Err(ArrowError::InvalidArgumentError(format!(
192                            "Failed to serialize info dict to JSON: {e}"
193                        )));
194                    }
195                }
196            } else {
197                info_builder.append_null();
198            }
199
200            ts_event_builder.append_value(bo.ts_event.as_u64());
201            ts_init_builder.append_value(bo.ts_init.as_u64());
202        }
203
204        let mut final_metadata = metadata.clone();
205        final_metadata.insert("class".to_string(), "BinaryOption".to_string());
206
207        RecordBatch::try_new(
208            Self::get_schema(Some(final_metadata)).into(),
209            vec![
210                Arc::new(id_builder.finish()),
211                Arc::new(raw_symbol_builder.finish()),
212                Arc::new(asset_class_builder.finish()),
213                Arc::new(currency_builder.finish()),
214                Arc::new(price_precision_builder.finish()),
215                Arc::new(size_precision_builder.finish()),
216                Arc::new(price_increment_builder.finish()),
217                Arc::new(size_increment_builder.finish()),
218                Arc::new(activation_ns_builder.finish()),
219                Arc::new(expiration_ns_builder.finish()),
220                Arc::new(maker_fee_builder.finish()),
221                Arc::new(taker_fee_builder.finish()),
222                Arc::new(max_quantity_builder.finish()),
223                Arc::new(min_quantity_builder.finish()),
224                Arc::new(outcome_builder.finish()),
225                Arc::new(description_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/// Helper function to decode BinaryOption from RecordBatch
250/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
251///
252/// # Errors
253///
254/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
255pub fn decode_binary_option_batch(
256    #[allow(unused)] metadata: &HashMap<String, String>,
257    record_batch: &RecordBatch,
258) -> Result<Vec<BinaryOption>, EncodingError> {
259    let cols = record_batch.columns();
260    let num_rows = record_batch.num_rows();
261
262    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
263    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
264    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
265    let currency_values = extract_column::<StringArray>(cols, "currency", 3, DataType::Utf8)?;
266    let price_precision_values =
267        extract_column::<UInt8Array>(cols, "price_precision", 4, DataType::UInt8)?;
268    let size_precision_values =
269        extract_column::<UInt8Array>(cols, "size_precision", 5, DataType::UInt8)?;
270    let price_increment_values =
271        extract_column::<StringArray>(cols, "price_increment", 6, DataType::Utf8)?;
272    let size_increment_values =
273        extract_column::<StringArray>(cols, "size_increment", 7, DataType::Utf8)?;
274    let activation_ns_values =
275        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
276    let expiration_ns_values =
277        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
278    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 10, DataType::Utf8)?;
279    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 11, DataType::Utf8)?;
280    let max_quantity_values = cols
281        .get(12)
282        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 12))?;
283    let min_quantity_values = cols
284        .get(13)
285        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 13))?;
286    let outcome_values = cols
287        .get(14)
288        .ok_or_else(|| EncodingError::MissingColumn("outcome", 14))?;
289    let description_values = cols
290        .get(15)
291        .ok_or_else(|| EncodingError::MissingColumn("description", 15))?;
292    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
293    let info_values =
294        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 16, DataType::Binary)?;
295    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
296        record_batch,
297        "ts_event",
298        17,
299        DataType::UInt64,
300    )?;
301    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
302        record_batch,
303        "ts_init",
304        18,
305        DataType::UInt64,
306    )?;
307
308    let mut result = Vec::with_capacity(num_rows);
309
310    for i in 0..num_rows {
311        let id = InstrumentId::from_str(id_values.value(i))
312            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
313        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
314        let asset_class = asset_class_from_str(asset_class_values.value(i))?;
315        let currency = super::decode_currency(
316            currency_values.value(i),
317            "currency",
318            "binary_option.currency",
319            i,
320        )?;
321        let price_prec = price_precision_values.value(i);
322        let size_prec = size_precision_values.value(i);
323
324        let price_increment = Price::from_str(price_increment_values.value(i))
325            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
326        let size_increment = Quantity::from_str(size_increment_values.value(i))
327            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
328
329        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
330        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
331
332        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
333            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
334        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
335            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
336
337        let max_quantity =
338            if max_quantity_values.is_null(i) {
339                None
340            } else {
341                let max_qty_str = max_quantity_values
342                    .as_any()
343                    .downcast_ref::<StringArray>()
344                    .ok_or_else(|| {
345                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
346                    })?
347                    .value(i);
348                Some(Quantity::from_str(max_qty_str).map_err(|e| {
349                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
350                })?)
351            };
352
353        let min_quantity =
354            if min_quantity_values.is_null(i) {
355                None
356            } else {
357                let min_qty_str = min_quantity_values
358                    .as_any()
359                    .downcast_ref::<StringArray>()
360                    .ok_or_else(|| {
361                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
362                    })?
363                    .value(i);
364                Some(Quantity::from_str(min_qty_str).map_err(|e| {
365                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
366                })?)
367            };
368
369        let outcome = if outcome_values.is_null(i) {
370            None
371        } else {
372            let outcome_str = outcome_values
373                .as_any()
374                .downcast_ref::<StringArray>()
375                .ok_or_else(|| {
376                    EncodingError::ParseError("outcome", format!("row {i}: invalid type"))
377                })?
378                .value(i);
379            Some(Ustr::from(outcome_str))
380        };
381
382        let description = if description_values.is_null(i) {
383            None
384        } else {
385            let desc_str = description_values
386                .as_any()
387                .downcast_ref::<StringArray>()
388                .ok_or_else(|| {
389                    EncodingError::ParseError("description", format!("row {i}: invalid type"))
390                })?
391                .value(i);
392            Some(Ustr::from(desc_str))
393        };
394
395        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
396        let info = if info_values.is_null(i) {
397            None
398        } else {
399            let info_bytes = info_values
400                .as_any()
401                .downcast_ref::<BinaryArray>()
402                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
403                .value(i);
404
405            match serde_json::from_slice::<Params>(info_bytes) {
406                Ok(info_dict) => Some(info_dict),
407                Err(e) => {
408                    return Err(EncodingError::ParseError(
409                        "info",
410                        format!("row {i}: failed to deserialize JSON: {e}"),
411                    ));
412                }
413            }
414        };
415
416        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
417        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
418
419        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
420
421        let binary_option = BinaryOption::new_checked(
422            id,
423            raw_symbol,
424            asset_class,
425            currency,
426            activation_ns,
427            expiration_ns,
428            price_prec,
429            size_prec,
430            price_increment,
431            size_increment,
432            outcome,
433            description,
434            max_quantity,
435            min_quantity,
436            None, // max_notional - not in Python schema
437            None, // min_notional - not in Python schema
438            None, // max_price - not in Python schema
439            None, // min_price - not in Python schema
440            None, // margin_init - not in Python schema
441            None, // margin_maint - not in Python schema
442            Some(maker_fee),
443            Some(taker_fee),
444            tick_scheme,
445            info,
446            ts_event,
447            ts_init,
448        )
449        .map_err(|e| super::instrument_validation_error::<BinaryOption>(i, e))?;
450
451        result.push(binary_option);
452    }
453
454    Ok(result)
455}
nautilus_serialization/arrow/instrument/binary_option.rs

nautilus_serialization/arrow/instrument/
binary_option.rs
