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::{money::Money, 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("outcome", DataType::Utf8, true), // nullable
92            Field::new("description", DataType::Utf8, true), // nullable
93            Field::new("max_quantity", DataType::Utf8, true), // nullable
94            Field::new("min_quantity", DataType::Utf8, true), // nullable
95            Field::new("max_notional", DataType::Utf8, true), // nullable
96            Field::new("min_notional", DataType::Utf8, true), // nullable
97            Field::new("max_price", DataType::Utf8, true), // nullable
98            Field::new("min_price", DataType::Utf8, true), // nullable
99            Field::new("margin_init", DataType::Utf8, false),
100            Field::new("margin_maint", DataType::Utf8, false),
101            Field::new("maker_fee", DataType::Utf8, false),
102            Field::new("taker_fee", DataType::Utf8, false),
103            Field::new("tick_scheme", DataType::Utf8, true),
104            Field::new("info", DataType::Binary, true), // nullable
105            Field::new("ts_event", DataType::UInt64, false),
106            Field::new("ts_init", DataType::UInt64, false),
107        ];
108
109        let mut final_metadata = HashMap::new();
110        final_metadata.insert("class".to_string(), "BinaryOption".to_string());
111
112        if let Some(meta) = metadata {
113            final_metadata.extend(meta);
114        }
115
116        Schema::new_with_metadata(fields, final_metadata)
117    }
118}
119
120impl EncodeToRecordBatch for BinaryOption {
121    fn encode_batch(
122        #[allow(unused)] metadata: &HashMap<String, String>,
123        data: &[Self],
124    ) -> Result<RecordBatch, ArrowError> {
125        let mut id_builder = StringBuilder::new();
126        let mut raw_symbol_builder = StringBuilder::new();
127        let mut asset_class_builder = StringBuilder::new();
128        let mut currency_builder = StringBuilder::new();
129        let mut price_precision_builder = UInt8Array::builder(data.len());
130        let mut size_precision_builder = UInt8Array::builder(data.len());
131        let mut price_increment_builder = StringBuilder::new();
132        let mut size_increment_builder = StringBuilder::new();
133        let mut activation_ns_builder = UInt64Array::builder(data.len());
134        let mut expiration_ns_builder = UInt64Array::builder(data.len());
135        let mut outcome_builder = StringBuilder::new();
136        let mut description_builder = StringBuilder::new();
137        let mut max_quantity_builder = StringBuilder::new();
138        let mut min_quantity_builder = StringBuilder::new();
139        let mut max_notional_builder = StringBuilder::new();
140        let mut min_notional_builder = StringBuilder::new();
141        let mut max_price_builder = StringBuilder::new();
142        let mut min_price_builder = StringBuilder::new();
143        let mut margin_init_builder = StringBuilder::new();
144        let mut margin_maint_builder = StringBuilder::new();
145        let mut maker_fee_builder = StringBuilder::new();
146        let mut taker_fee_builder = StringBuilder::new();
147        let mut tick_scheme_builder = StringBuilder::new();
148        let mut info_builder = BinaryBuilder::new();
149        let mut ts_event_builder = UInt64Array::builder(data.len());
150        let mut ts_init_builder = UInt64Array::builder(data.len());
151
152        for bo in data {
153            id_builder.append_value(bo.id.to_string());
154            raw_symbol_builder.append_value(bo.raw_symbol);
155            asset_class_builder.append_value(asset_class_to_string(bo.asset_class));
156            currency_builder.append_value(bo.currency.to_string());
157            price_precision_builder.append_value(bo.price_precision);
158            size_precision_builder.append_value(bo.size_precision);
159            price_increment_builder.append_value(bo.price_increment.to_string());
160            size_increment_builder.append_value(bo.size_increment.to_string());
161            activation_ns_builder.append_value(bo.activation_ns.as_u64());
162            expiration_ns_builder.append_value(bo.expiration_ns.as_u64());
163
164            if let Some(outcome) = bo.outcome {
165                outcome_builder.append_value(outcome);
166            } else {
167                outcome_builder.append_null();
168            }
169
170            if let Some(desc) = bo.description {
171                description_builder.append_value(desc);
172            } else {
173                description_builder.append_null();
174            }
175
176            if let Some(max_qty) = bo.max_quantity {
177                max_quantity_builder.append_value(max_qty.to_string());
178            } else {
179                max_quantity_builder.append_null();
180            }
181
182            if let Some(min_qty) = bo.min_quantity {
183                min_quantity_builder.append_value(min_qty.to_string());
184            } else {
185                min_quantity_builder.append_null();
186            }
187
188            if let Some(max_notional) = bo.max_notional {
189                max_notional_builder.append_value(max_notional.to_string());
190            } else {
191                max_notional_builder.append_null();
192            }
193
194            if let Some(min_notional) = bo.min_notional {
195                min_notional_builder.append_value(min_notional.to_string());
196            } else {
197                min_notional_builder.append_null();
198            }
199
200            if let Some(max_price) = bo.max_price {
201                max_price_builder.append_value(max_price.to_string());
202            } else {
203                max_price_builder.append_null();
204            }
205
206            if let Some(min_price) = bo.min_price {
207                min_price_builder.append_value(min_price.to_string());
208            } else {
209                min_price_builder.append_null();
210            }
211
212            margin_init_builder.append_value(bo.margin_init.to_string());
213            margin_maint_builder.append_value(bo.margin_maint.to_string());
214            maker_fee_builder.append_value(bo.maker_fee.to_string());
215            taker_fee_builder.append_value(bo.taker_fee.to_string());
216
217            if let Some(tick_scheme) = bo.tick_scheme {
218                tick_scheme_builder.append_value(tick_scheme);
219            } else {
220                tick_scheme_builder.append_null();
221            }
222
223            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
224            if let Some(ref info) = bo.info {
225                match serde_json::to_vec(info) {
226                    Ok(json_bytes) => {
227                        info_builder.append_value(json_bytes);
228                    }
229                    Err(e) => {
230                        return Err(ArrowError::InvalidArgumentError(format!(
231                            "Failed to serialize info dict to JSON: {e}"
232                        )));
233                    }
234                }
235            } else {
236                info_builder.append_null();
237            }
238
239            ts_event_builder.append_value(bo.ts_event.as_u64());
240            ts_init_builder.append_value(bo.ts_init.as_u64());
241        }
242
243        let mut final_metadata = metadata.clone();
244        final_metadata.insert("class".to_string(), "BinaryOption".to_string());
245
246        RecordBatch::try_new(
247            Self::get_schema(Some(final_metadata)).into(),
248            vec![
249                Arc::new(id_builder.finish()),
250                Arc::new(raw_symbol_builder.finish()),
251                Arc::new(asset_class_builder.finish()),
252                Arc::new(currency_builder.finish()),
253                Arc::new(price_precision_builder.finish()),
254                Arc::new(size_precision_builder.finish()),
255                Arc::new(price_increment_builder.finish()),
256                Arc::new(size_increment_builder.finish()),
257                Arc::new(activation_ns_builder.finish()),
258                Arc::new(expiration_ns_builder.finish()),
259                Arc::new(outcome_builder.finish()),
260                Arc::new(description_builder.finish()),
261                Arc::new(max_quantity_builder.finish()),
262                Arc::new(min_quantity_builder.finish()),
263                Arc::new(max_notional_builder.finish()),
264                Arc::new(min_notional_builder.finish()),
265                Arc::new(max_price_builder.finish()),
266                Arc::new(min_price_builder.finish()),
267                Arc::new(margin_init_builder.finish()),
268                Arc::new(margin_maint_builder.finish()),
269                Arc::new(maker_fee_builder.finish()),
270                Arc::new(taker_fee_builder.finish()),
271                Arc::new(tick_scheme_builder.finish()),
272                Arc::new(info_builder.finish()),
273                Arc::new(ts_event_builder.finish()),
274                Arc::new(ts_init_builder.finish()),
275            ],
276        )
277    }
278
279    fn metadata(&self) -> HashMap<String, String> {
280        let mut metadata = HashMap::new();
281        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
282        metadata.insert(
283            KEY_PRICE_PRECISION.to_string(),
284            self.price_precision.to_string(),
285        );
286        metadata.insert(
287            KEY_SIZE_PRECISION.to_string(),
288            self.size_precision.to_string(),
289        );
290        metadata
291    }
292}
293
294/// Helper function to decode BinaryOption from RecordBatch
295/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
296///
297/// # Errors
298///
299/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
300pub fn decode_binary_option_batch(
301    #[allow(unused)] metadata: &HashMap<String, String>,
302    record_batch: &RecordBatch,
303) -> Result<Vec<BinaryOption>, EncodingError> {
304    let cols = record_batch.columns();
305    let num_rows = record_batch.num_rows();
306
307    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
308    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
309    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
310    let currency_values = extract_column::<StringArray>(cols, "currency", 3, DataType::Utf8)?;
311    let price_precision_values =
312        extract_column::<UInt8Array>(cols, "price_precision", 4, DataType::UInt8)?;
313    let size_precision_values =
314        extract_column::<UInt8Array>(cols, "size_precision", 5, DataType::UInt8)?;
315    let price_increment_values =
316        extract_column::<StringArray>(cols, "price_increment", 6, DataType::Utf8)?;
317    let size_increment_values =
318        extract_column::<StringArray>(cols, "size_increment", 7, DataType::Utf8)?;
319    let activation_ns_values =
320        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
321    let expiration_ns_values =
322        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
323    let outcome_values = cols
324        .get(10)
325        .ok_or_else(|| EncodingError::MissingColumn("outcome", 10))?;
326    let description_values = cols
327        .get(11)
328        .ok_or_else(|| EncodingError::MissingColumn("description", 11))?;
329    let max_quantity_values = cols
330        .get(12)
331        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 12))?;
332    let min_quantity_values = cols
333        .get(13)
334        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 13))?;
335    let max_notional_values = extract_optional_string_column_by_name(record_batch, "max_notional")?;
336    let min_notional_values = extract_optional_string_column_by_name(record_batch, "min_notional")?;
337    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
338    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
339    let margin_init_values =
340        extract_column::<StringArray>(cols, "margin_init", 18, DataType::Utf8)?;
341    let margin_maint_values =
342        extract_column::<StringArray>(cols, "margin_maint", 19, DataType::Utf8)?;
343    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 20, DataType::Utf8)?;
344    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 21, DataType::Utf8)?;
345    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
346    let info_values =
347        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 23, DataType::Binary)?;
348    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
349        record_batch,
350        "ts_event",
351        24,
352        DataType::UInt64,
353    )?;
354    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
355        record_batch,
356        "ts_init",
357        25,
358        DataType::UInt64,
359    )?;
360
361    let mut result = Vec::with_capacity(num_rows);
362
363    for i in 0..num_rows {
364        let id = InstrumentId::from_str(id_values.value(i))
365            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
366        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
367        let asset_class = asset_class_from_str(asset_class_values.value(i))?;
368        let currency = super::decode_currency(
369            currency_values.value(i),
370            "currency",
371            "binary_option.currency",
372            i,
373        )?;
374        let price_prec = price_precision_values.value(i);
375        let size_prec = size_precision_values.value(i);
376
377        let price_increment = Price::from_str(price_increment_values.value(i))
378            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
379        let size_increment = Quantity::from_str(size_increment_values.value(i))
380            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
381
382        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
383        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
384
385        let margin_init = Decimal::from_str(margin_init_values.value(i))
386            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
387        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
388            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
389        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
390            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
391        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
392            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
393
394        let max_quantity =
395            if max_quantity_values.is_null(i) {
396                None
397            } else {
398                let max_qty_str = max_quantity_values
399                    .as_any()
400                    .downcast_ref::<StringArray>()
401                    .ok_or_else(|| {
402                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
403                    })?
404                    .value(i);
405                Some(Quantity::from_str(max_qty_str).map_err(|e| {
406                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
407                })?)
408            };
409
410        let min_quantity =
411            if min_quantity_values.is_null(i) {
412                None
413            } else {
414                let min_qty_str = min_quantity_values
415                    .as_any()
416                    .downcast_ref::<StringArray>()
417                    .ok_or_else(|| {
418                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
419                    })?
420                    .value(i);
421                Some(Quantity::from_str(min_qty_str).map_err(|e| {
422                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
423                })?)
424            };
425
426        let outcome = if outcome_values.is_null(i) {
427            None
428        } else {
429            let outcome_str = outcome_values
430                .as_any()
431                .downcast_ref::<StringArray>()
432                .ok_or_else(|| {
433                    EncodingError::ParseError("outcome", format!("row {i}: invalid type"))
434                })?
435                .value(i);
436            Some(Ustr::from(outcome_str))
437        };
438
439        let description = if description_values.is_null(i) {
440            None
441        } else {
442            let desc_str = description_values
443                .as_any()
444                .downcast_ref::<StringArray>()
445                .ok_or_else(|| {
446                    EncodingError::ParseError("description", format!("row {i}: invalid type"))
447                })?
448                .value(i);
449            Some(Ustr::from(desc_str))
450        };
451
452        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
453        let info = if info_values.is_null(i) {
454            None
455        } else {
456            let info_bytes = info_values
457                .as_any()
458                .downcast_ref::<BinaryArray>()
459                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
460                .value(i);
461
462            match serde_json::from_slice::<Params>(info_bytes) {
463                Ok(info_dict) => Some(info_dict),
464                Err(e) => {
465                    return Err(EncodingError::ParseError(
466                        "info",
467                        format!("row {i}: failed to deserialize JSON: {e}"),
468                    ));
469                }
470            }
471        };
472
473        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
474        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
475
476        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
477
478        let max_notional = match max_notional_values {
479            Some(column) if !column.is_null(i) => {
480                Some(Money::from_str(column.value(i)).map_err(|e| {
481                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
482                })?)
483            }
484            _ => None,
485        };
486
487        let min_notional = match min_notional_values {
488            Some(column) if !column.is_null(i) => {
489                Some(Money::from_str(column.value(i)).map_err(|e| {
490                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
491                })?)
492            }
493            _ => None,
494        };
495
496        let binary_option = BinaryOption::new_checked(
497            id,
498            raw_symbol,
499            asset_class,
500            currency,
501            activation_ns,
502            expiration_ns,
503            price_prec,
504            size_prec,
505            price_increment,
506            size_increment,
507            outcome,
508            description,
509            max_quantity,
510            min_quantity,
511            max_notional,
512            min_notional,
513            super::optional_price_value(max_price_values, "max_price", i)?,
514            super::optional_price_value(min_price_values, "min_price", i)?,
515            Some(margin_init),
516            Some(margin_maint),
517            Some(maker_fee),
518            Some(taker_fee),
519            tick_scheme,
520            info,
521            ts_event,
522            ts_init,
523        )
524        .map_err(|e| super::instrument_validation_error::<BinaryOption>(i, e))?;
525
526        result.push(binary_option);
527    }
528
529    Ok(result)
530}
nautilus_serialization/arrow/instrument/binary_option.rs

nautilus_serialization/arrow/instrument/
binary_option.rs
