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::{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};
28use nautilus_core::Params;
29use nautilus_model::{
30    enums::{AssetClass, OptionKind},
31    identifiers::{InstrumentId, Symbol},
32    instruments::option_contract::OptionContract,
33    types::{price::Price, quantity::Quantity},
34};
35#[allow(unused)]
36use rust_decimal::Decimal;
37#[allow(unused)]
38use serde_json::Value;
39use ustr::Ustr;
40
41use crate::arrow::{
42    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
43    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name_or_index,
44    extract_optional_string_column_by_name, optional_ustr_value,
45};
46
47// Helper function to convert AssetClass to string
48fn asset_class_to_string(ac: AssetClass) -> String {
49    match ac {
50        AssetClass::FX => "FX".to_string(),
51        AssetClass::Equity => "Equity".to_string(),
52        AssetClass::Commodity => "Commodity".to_string(),
53        AssetClass::Debt => "Debt".to_string(),
54        AssetClass::Index => "Index".to_string(),
55        AssetClass::Cryptocurrency => "Cryptocurrency".to_string(),
56        AssetClass::Alternative => "Alternative".to_string(),
57    }
58}
59
60// Helper function to parse AssetClass from string
61fn asset_class_from_str(s: &str) -> Result<AssetClass, EncodingError> {
62    match s {
63        "FX" => Ok(AssetClass::FX),
64        "Equity" => Ok(AssetClass::Equity),
65        "Commodity" => Ok(AssetClass::Commodity),
66        "Debt" => Ok(AssetClass::Debt),
67        "Index" => Ok(AssetClass::Index),
68        "Cryptocurrency" => Ok(AssetClass::Cryptocurrency),
69        "Alternative" => Ok(AssetClass::Alternative),
70        _ => Err(EncodingError::ParseError(
71            "asset_class",
72            format!("Unknown asset class: {s}"),
73        )),
74    }
75}
76
77// Helper function to convert OptionKind to string
78fn option_kind_to_string(ok: OptionKind) -> String {
79    match ok {
80        OptionKind::Call => "Call".to_string(),
81        OptionKind::Put => "Put".to_string(),
82    }
83}
84
85// Helper function to parse OptionKind from string
86fn option_kind_from_str(s: &str) -> Result<OptionKind, EncodingError> {
87    match s {
88        "Call" => Ok(OptionKind::Call),
89        "Put" => Ok(OptionKind::Put),
90        _ => Err(EncodingError::ParseError(
91            "option_kind",
92            format!("Unknown option kind: {s}"),
93        )),
94    }
95}
96
97impl ArrowSchemaProvider for OptionContract {
98    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
99        let fields = vec![
100            Field::new("id", DataType::Utf8, false),
101            Field::new("raw_symbol", DataType::Utf8, false),
102            Field::new("underlying", DataType::Utf8, false),
103            Field::new("asset_class", DataType::Utf8, false),
104            Field::new("exchange", DataType::Utf8, true), // nullable
105            Field::new("option_kind", DataType::Utf8, false),
106            Field::new("strike_price", DataType::Utf8, false),
107            Field::new("currency", DataType::Utf8, false),
108            Field::new("activation_ns", DataType::UInt64, false),
109            Field::new("expiration_ns", DataType::UInt64, false),
110            Field::new("price_precision", DataType::UInt8, false),
111            Field::new("size_precision", DataType::UInt8, false),
112            Field::new("price_increment", DataType::Utf8, false),
113            Field::new("size_increment", DataType::Utf8, false),
114            Field::new("multiplier", DataType::Utf8, false),
115            Field::new("lot_size", DataType::Utf8, false),
116            Field::new("margin_init", DataType::Utf8, false),
117            Field::new("margin_maint", DataType::Utf8, false),
118            Field::new("maker_fee", DataType::Utf8, false),
119            Field::new("taker_fee", DataType::Utf8, false),
120            Field::new("tick_scheme", DataType::Utf8, true),
121            Field::new("info", DataType::Binary, true), // nullable
122            Field::new("ts_event", DataType::UInt64, false),
123            Field::new("ts_init", DataType::UInt64, false),
124        ];
125
126        let mut final_metadata = HashMap::new();
127        final_metadata.insert("class".to_string(), "OptionContract".to_string());
128
129        if let Some(meta) = metadata {
130            final_metadata.extend(meta);
131        }
132
133        Schema::new_with_metadata(fields, final_metadata)
134    }
135}
136
137impl EncodeToRecordBatch for OptionContract {
138    fn encode_batch(
139        #[allow(unused)] metadata: &HashMap<String, String>,
140        data: &[Self],
141    ) -> Result<RecordBatch, ArrowError> {
142        let mut id_builder = StringBuilder::new();
143        let mut raw_symbol_builder = StringBuilder::new();
144        let mut underlying_builder = StringBuilder::new();
145        let mut asset_class_builder = StringBuilder::new();
146        let mut exchange_builder = StringBuilder::new();
147        let mut option_kind_builder = StringBuilder::new();
148        let mut strike_price_builder = StringBuilder::new();
149        let mut currency_builder = StringBuilder::new();
150        let mut activation_ns_builder = UInt64Array::builder(data.len());
151        let mut expiration_ns_builder = UInt64Array::builder(data.len());
152        let mut price_precision_builder = UInt8Array::builder(data.len());
153        let mut size_precision_builder = UInt8Array::builder(data.len());
154        let mut price_increment_builder = StringBuilder::new();
155        let mut size_increment_builder = StringBuilder::new();
156        let mut multiplier_builder = StringBuilder::new();
157        let mut lot_size_builder = StringBuilder::new();
158        let mut margin_init_builder = StringBuilder::new();
159        let mut margin_maint_builder = StringBuilder::new();
160        let mut maker_fee_builder = StringBuilder::new();
161        let mut taker_fee_builder = StringBuilder::new();
162        let mut tick_scheme_builder = StringBuilder::new();
163        let mut info_builder = BinaryBuilder::new();
164        let mut ts_event_builder = UInt64Array::builder(data.len());
165        let mut ts_init_builder = UInt64Array::builder(data.len());
166
167        for oc in data {
168            id_builder.append_value(oc.id.to_string());
169            raw_symbol_builder.append_value(oc.raw_symbol);
170            underlying_builder.append_value(oc.underlying);
171            asset_class_builder.append_value(asset_class_to_string(oc.asset_class));
172
173            if let Some(exchange) = oc.exchange {
174                exchange_builder.append_value(exchange);
175            } else {
176                exchange_builder.append_null();
177            }
178
179            option_kind_builder.append_value(option_kind_to_string(oc.option_kind));
180            strike_price_builder.append_value(oc.strike_price.to_string());
181            currency_builder.append_value(oc.currency.to_string());
182            activation_ns_builder.append_value(oc.activation_ns.as_u64());
183            expiration_ns_builder.append_value(oc.expiration_ns.as_u64());
184            price_precision_builder.append_value(oc.price_precision);
185            size_precision_builder.append_value(oc.size_precision);
186            price_increment_builder.append_value(oc.price_increment.to_string());
187            size_increment_builder.append_value(oc.size_increment.to_string());
188            multiplier_builder.append_value(oc.multiplier.to_string());
189            lot_size_builder.append_value(oc.lot_size.to_string());
190            margin_init_builder.append_value(oc.margin_init.to_string());
191            margin_maint_builder.append_value(oc.margin_maint.to_string());
192            maker_fee_builder.append_value(oc.maker_fee.to_string());
193            taker_fee_builder.append_value(oc.taker_fee.to_string());
194
195            if let Some(tick_scheme) = oc.tick_scheme {
196                tick_scheme_builder.append_value(tick_scheme);
197            } else {
198                tick_scheme_builder.append_null();
199            }
200
201            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
202            if let Some(ref info) = oc.info {
203                match serde_json::to_vec(info) {
204                    Ok(json_bytes) => {
205                        info_builder.append_value(json_bytes);
206                    }
207                    Err(e) => {
208                        return Err(ArrowError::InvalidArgumentError(format!(
209                            "Failed to serialize info dict to JSON: {e}"
210                        )));
211                    }
212                }
213            } else {
214                info_builder.append_null();
215            }
216
217            ts_event_builder.append_value(oc.ts_event.as_u64());
218            ts_init_builder.append_value(oc.ts_init.as_u64());
219        }
220
221        let mut final_metadata = metadata.clone();
222        final_metadata.insert("class".to_string(), "OptionContract".to_string());
223
224        RecordBatch::try_new(
225            Self::get_schema(Some(final_metadata)).into(),
226            vec![
227                Arc::new(id_builder.finish()),
228                Arc::new(raw_symbol_builder.finish()),
229                Arc::new(underlying_builder.finish()),
230                Arc::new(asset_class_builder.finish()),
231                Arc::new(exchange_builder.finish()),
232                Arc::new(option_kind_builder.finish()),
233                Arc::new(strike_price_builder.finish()),
234                Arc::new(currency_builder.finish()),
235                Arc::new(activation_ns_builder.finish()),
236                Arc::new(expiration_ns_builder.finish()),
237                Arc::new(price_precision_builder.finish()),
238                Arc::new(size_precision_builder.finish()),
239                Arc::new(price_increment_builder.finish()),
240                Arc::new(size_increment_builder.finish()),
241                Arc::new(multiplier_builder.finish()),
242                Arc::new(lot_size_builder.finish()),
243                Arc::new(margin_init_builder.finish()),
244                Arc::new(margin_maint_builder.finish()),
245                Arc::new(maker_fee_builder.finish()),
246                Arc::new(taker_fee_builder.finish()),
247                Arc::new(tick_scheme_builder.finish()),
248                Arc::new(info_builder.finish()),
249                Arc::new(ts_event_builder.finish()),
250                Arc::new(ts_init_builder.finish()),
251            ],
252        )
253    }
254
255    fn metadata(&self) -> HashMap<String, String> {
256        let mut metadata = HashMap::new();
257        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
258        metadata.insert(
259            KEY_PRICE_PRECISION.to_string(),
260            self.price_precision.to_string(),
261        );
262        metadata.insert(
263            KEY_SIZE_PRECISION.to_string(),
264            self.size_precision.to_string(),
265        );
266        metadata
267    }
268}
269
270/// Helper function to decode OptionContract from RecordBatch
271/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
272///
273/// # Errors
274///
275/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
276pub fn decode_option_contract_batch(
277    #[allow(unused)] metadata: &HashMap<String, String>,
278    record_batch: &RecordBatch,
279) -> Result<Vec<OptionContract>, EncodingError> {
280    let cols = record_batch.columns();
281    let num_rows = record_batch.num_rows();
282
283    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
284    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
285    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
286    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
287    let exchange_values = cols
288        .get(4)
289        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
290    let option_kind_values = extract_column::<StringArray>(cols, "option_kind", 5, DataType::Utf8)?;
291    let strike_price_values =
292        extract_column::<StringArray>(cols, "strike_price", 6, DataType::Utf8)?;
293    let currency_values = extract_column::<StringArray>(cols, "currency", 7, DataType::Utf8)?;
294    let activation_ns_values =
295        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
296    let expiration_ns_values =
297        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
298    let price_precision_values =
299        extract_column::<UInt8Array>(cols, "price_precision", 10, DataType::UInt8)?;
300    let size_precision_values =
301        extract_column::<UInt8Array>(cols, "size_precision", 11, DataType::UInt8)?;
302    let price_increment_values =
303        extract_column::<StringArray>(cols, "price_increment", 12, DataType::Utf8)?;
304    let size_increment_values =
305        extract_column::<StringArray>(cols, "size_increment", 13, DataType::Utf8)?;
306    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 14, DataType::Utf8)?;
307    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 15, DataType::Utf8)?;
308    let margin_init_values =
309        extract_column::<StringArray>(cols, "margin_init", 16, DataType::Utf8)?;
310    let margin_maint_values =
311        extract_column::<StringArray>(cols, "margin_maint", 17, DataType::Utf8)?;
312    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 18, DataType::Utf8)?;
313    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 19, DataType::Utf8)?;
314    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
315    let info_values =
316        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 20, DataType::Binary)?;
317    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
318        record_batch,
319        "ts_event",
320        21,
321        DataType::UInt64,
322    )?;
323    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
324        record_batch,
325        "ts_init",
326        22,
327        DataType::UInt64,
328    )?;
329
330    let mut result = Vec::with_capacity(num_rows);
331
332    for i in 0..num_rows {
333        let id = InstrumentId::from_str(id_values.value(i))
334            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
335        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
336        let underlying = Ustr::from(underlying_values.value(i));
337        let asset_class = asset_class_from_str(asset_class_values.value(i))?;
338
339        let exchange = if exchange_values.is_null(i) {
340            None
341        } else {
342            let exchange_str = exchange_values
343                .as_any()
344                .downcast_ref::<StringArray>()
345                .ok_or_else(|| {
346                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
347                })?
348                .value(i);
349            Some(Ustr::from(exchange_str))
350        };
351
352        let option_kind = option_kind_from_str(option_kind_values.value(i))?;
353        let strike_price = Price::from_str(strike_price_values.value(i))
354            .map_err(|e| EncodingError::ParseError("strike_price", format!("row {i}: {e}")))?;
355        let currency = super::decode_currency(
356            currency_values.value(i),
357            "currency",
358            "option_contract.currency",
359            i,
360        )?;
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); // Not used in constructor, set to default
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}")))?; // Not used in constructor, set to default
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 = Quantity::from_str(lot_size_values.value(i))
373            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
374
375        let margin_init = Decimal::from_str(margin_init_values.value(i))
376            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
377        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
378            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
379        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
380            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
381        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
382            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
383
384        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
385        let info = if info_values.is_null(i) {
386            None
387        } else {
388            let info_bytes = info_values
389                .as_any()
390                .downcast_ref::<BinaryArray>()
391                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
392                .value(i);
393
394            match serde_json::from_slice::<Params>(info_bytes) {
395                Ok(info_dict) => Some(info_dict),
396                Err(e) => {
397                    return Err(EncodingError::ParseError(
398                        "info",
399                        format!("row {i}: failed to deserialize JSON: {e}"),
400                    ));
401                }
402            }
403        };
404
405        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
406        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
407
408        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
409
410        let option_contract = OptionContract::new_checked(
411            id,
412            raw_symbol,
413            asset_class,
414            exchange,
415            underlying,
416            option_kind,
417            strike_price,
418            currency,
419            activation_ns,
420            expiration_ns,
421            price_prec,
422            price_increment,
423            multiplier,
424            lot_size,
425            None, // max_quantity - not in Python schema
426            None, // min_quantity - not in Python schema
427            None, // max_price - not in Python schema
428            None, // min_price - not in Python schema
429            Some(margin_init),
430            Some(margin_maint),
431            Some(maker_fee),
432            Some(taker_fee),
433            tick_scheme,
434            info,
435            ts_event,
436            ts_init,
437        )
438        .map_err(|e| super::instrument_validation_error::<OptionContract>(i, e))?;
439
440        result.push(option_contract);
441    }
442
443    Ok(result)
444}
nautilus_serialization/arrow/instrument/option_contract.rs

nautilus_serialization/arrow/instrument/
option_contract.rs
