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("max_quantity", DataType::Utf8, true), // nullable
117            Field::new("min_quantity", DataType::Utf8, true), // nullable
118            Field::new("max_price", DataType::Utf8, true),    // nullable
119            Field::new("min_price", DataType::Utf8, true),    // nullable
120            Field::new("margin_init", DataType::Utf8, false),
121            Field::new("margin_maint", DataType::Utf8, false),
122            Field::new("maker_fee", DataType::Utf8, false),
123            Field::new("taker_fee", DataType::Utf8, false),
124            Field::new("tick_scheme", DataType::Utf8, true),
125            Field::new("info", DataType::Binary, true), // nullable
126            Field::new("ts_event", DataType::UInt64, false),
127            Field::new("ts_init", DataType::UInt64, false),
128        ];
129
130        let mut final_metadata = HashMap::new();
131        final_metadata.insert("class".to_string(), "OptionContract".to_string());
132
133        if let Some(meta) = metadata {
134            final_metadata.extend(meta);
135        }
136
137        Schema::new_with_metadata(fields, final_metadata)
138    }
139}
140
141impl EncodeToRecordBatch for OptionContract {
142    fn encode_batch(
143        #[allow(unused)] metadata: &HashMap<String, String>,
144        data: &[Self],
145    ) -> Result<RecordBatch, ArrowError> {
146        let mut id_builder = StringBuilder::new();
147        let mut raw_symbol_builder = StringBuilder::new();
148        let mut underlying_builder = StringBuilder::new();
149        let mut asset_class_builder = StringBuilder::new();
150        let mut exchange_builder = StringBuilder::new();
151        let mut option_kind_builder = StringBuilder::new();
152        let mut strike_price_builder = StringBuilder::new();
153        let mut currency_builder = StringBuilder::new();
154        let mut activation_ns_builder = UInt64Array::builder(data.len());
155        let mut expiration_ns_builder = UInt64Array::builder(data.len());
156        let mut price_precision_builder = UInt8Array::builder(data.len());
157        let mut size_precision_builder = UInt8Array::builder(data.len());
158        let mut price_increment_builder = StringBuilder::new();
159        let mut size_increment_builder = StringBuilder::new();
160        let mut multiplier_builder = StringBuilder::new();
161        let mut lot_size_builder = StringBuilder::new();
162        let mut max_quantity_builder = StringBuilder::new();
163        let mut min_quantity_builder = StringBuilder::new();
164        let mut max_price_builder = StringBuilder::new();
165        let mut min_price_builder = StringBuilder::new();
166        let mut margin_init_builder = StringBuilder::new();
167        let mut margin_maint_builder = StringBuilder::new();
168        let mut maker_fee_builder = StringBuilder::new();
169        let mut taker_fee_builder = StringBuilder::new();
170        let mut tick_scheme_builder = StringBuilder::new();
171        let mut info_builder = BinaryBuilder::new();
172        let mut ts_event_builder = UInt64Array::builder(data.len());
173        let mut ts_init_builder = UInt64Array::builder(data.len());
174
175        for oc in data {
176            id_builder.append_value(oc.id.to_string());
177            raw_symbol_builder.append_value(oc.raw_symbol);
178            underlying_builder.append_value(oc.underlying);
179            asset_class_builder.append_value(asset_class_to_string(oc.asset_class));
180
181            if let Some(exchange) = oc.exchange {
182                exchange_builder.append_value(exchange);
183            } else {
184                exchange_builder.append_null();
185            }
186
187            option_kind_builder.append_value(option_kind_to_string(oc.option_kind));
188            strike_price_builder.append_value(oc.strike_price.to_string());
189            currency_builder.append_value(oc.currency.to_string());
190            activation_ns_builder.append_value(oc.activation_ns.as_u64());
191            expiration_ns_builder.append_value(oc.expiration_ns.as_u64());
192            price_precision_builder.append_value(oc.price_precision);
193            size_precision_builder.append_value(oc.size_precision);
194            price_increment_builder.append_value(oc.price_increment.to_string());
195            size_increment_builder.append_value(oc.size_increment.to_string());
196            multiplier_builder.append_value(oc.multiplier.to_string());
197            lot_size_builder.append_value(oc.lot_size.to_string());
198
199            if let Some(max_quantity) = oc.max_quantity {
200                max_quantity_builder.append_value(max_quantity.to_string());
201            } else {
202                max_quantity_builder.append_null();
203            }
204
205            if let Some(min_quantity) = oc.min_quantity {
206                min_quantity_builder.append_value(min_quantity.to_string());
207            } else {
208                min_quantity_builder.append_null();
209            }
210
211            if let Some(max_price) = oc.max_price {
212                max_price_builder.append_value(max_price.to_string());
213            } else {
214                max_price_builder.append_null();
215            }
216
217            if let Some(min_price) = oc.min_price {
218                min_price_builder.append_value(min_price.to_string());
219            } else {
220                min_price_builder.append_null();
221            }
222
223            margin_init_builder.append_value(oc.margin_init.to_string());
224            margin_maint_builder.append_value(oc.margin_maint.to_string());
225            maker_fee_builder.append_value(oc.maker_fee.to_string());
226            taker_fee_builder.append_value(oc.taker_fee.to_string());
227
228            if let Some(tick_scheme) = oc.tick_scheme {
229                tick_scheme_builder.append_value(tick_scheme);
230            } else {
231                tick_scheme_builder.append_null();
232            }
233
234            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
235            if let Some(ref info) = oc.info {
236                match serde_json::to_vec(info) {
237                    Ok(json_bytes) => {
238                        info_builder.append_value(json_bytes);
239                    }
240                    Err(e) => {
241                        return Err(ArrowError::InvalidArgumentError(format!(
242                            "Failed to serialize info dict to JSON: {e}"
243                        )));
244                    }
245                }
246            } else {
247                info_builder.append_null();
248            }
249
250            ts_event_builder.append_value(oc.ts_event.as_u64());
251            ts_init_builder.append_value(oc.ts_init.as_u64());
252        }
253
254        let mut final_metadata = metadata.clone();
255        final_metadata.insert("class".to_string(), "OptionContract".to_string());
256
257        RecordBatch::try_new(
258            Self::get_schema(Some(final_metadata)).into(),
259            vec![
260                Arc::new(id_builder.finish()),
261                Arc::new(raw_symbol_builder.finish()),
262                Arc::new(underlying_builder.finish()),
263                Arc::new(asset_class_builder.finish()),
264                Arc::new(exchange_builder.finish()),
265                Arc::new(option_kind_builder.finish()),
266                Arc::new(strike_price_builder.finish()),
267                Arc::new(currency_builder.finish()),
268                Arc::new(activation_ns_builder.finish()),
269                Arc::new(expiration_ns_builder.finish()),
270                Arc::new(price_precision_builder.finish()),
271                Arc::new(size_precision_builder.finish()),
272                Arc::new(price_increment_builder.finish()),
273                Arc::new(size_increment_builder.finish()),
274                Arc::new(multiplier_builder.finish()),
275                Arc::new(lot_size_builder.finish()),
276                Arc::new(max_quantity_builder.finish()),
277                Arc::new(min_quantity_builder.finish()),
278                Arc::new(max_price_builder.finish()),
279                Arc::new(min_price_builder.finish()),
280                Arc::new(margin_init_builder.finish()),
281                Arc::new(margin_maint_builder.finish()),
282                Arc::new(maker_fee_builder.finish()),
283                Arc::new(taker_fee_builder.finish()),
284                Arc::new(tick_scheme_builder.finish()),
285                Arc::new(info_builder.finish()),
286                Arc::new(ts_event_builder.finish()),
287                Arc::new(ts_init_builder.finish()),
288            ],
289        )
290    }
291
292    fn metadata(&self) -> HashMap<String, String> {
293        let mut metadata = HashMap::new();
294        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
295        metadata.insert(
296            KEY_PRICE_PRECISION.to_string(),
297            self.price_precision.to_string(),
298        );
299        metadata.insert(
300            KEY_SIZE_PRECISION.to_string(),
301            self.size_precision.to_string(),
302        );
303        metadata
304    }
305}
306
307/// Helper function to decode OptionContract from RecordBatch
308/// (Cannot implement DecodeFromRecordBatch trait due to `Into<Data>` bound)
309///
310/// # Errors
311///
312/// Returns an `EncodingError` if the RecordBatch cannot be decoded.
313pub fn decode_option_contract_batch(
314    #[allow(unused)] metadata: &HashMap<String, String>,
315    record_batch: &RecordBatch,
316) -> Result<Vec<OptionContract>, EncodingError> {
317    let cols = record_batch.columns();
318    let num_rows = record_batch.num_rows();
319
320    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
321    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
322    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
323    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
324    let exchange_values = cols
325        .get(4)
326        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
327    let option_kind_values = extract_column::<StringArray>(cols, "option_kind", 5, DataType::Utf8)?;
328    let strike_price_values =
329        extract_column::<StringArray>(cols, "strike_price", 6, DataType::Utf8)?;
330    let currency_values = extract_column::<StringArray>(cols, "currency", 7, DataType::Utf8)?;
331    let activation_ns_values =
332        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
333    let expiration_ns_values =
334        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
335    let price_precision_values =
336        extract_column::<UInt8Array>(cols, "price_precision", 10, DataType::UInt8)?;
337    let size_precision_values =
338        extract_column::<UInt8Array>(cols, "size_precision", 11, DataType::UInt8)?;
339    let price_increment_values =
340        extract_column::<StringArray>(cols, "price_increment", 12, DataType::Utf8)?;
341    let size_increment_values =
342        extract_column::<StringArray>(cols, "size_increment", 13, DataType::Utf8)?;
343    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 14, DataType::Utf8)?;
344    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 15, DataType::Utf8)?;
345    let max_quantity_values = extract_optional_string_column_by_name(record_batch, "max_quantity")?;
346    let min_quantity_values = extract_optional_string_column_by_name(record_batch, "min_quantity")?;
347    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
348    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
349    let margin_init_values =
350        extract_column::<StringArray>(cols, "margin_init", 20, DataType::Utf8)?;
351    let margin_maint_values =
352        extract_column::<StringArray>(cols, "margin_maint", 21, DataType::Utf8)?;
353    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 22, DataType::Utf8)?;
354    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 23, DataType::Utf8)?;
355    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
356    let info_values =
357        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 25, DataType::Binary)?;
358    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
359        record_batch,
360        "ts_event",
361        26,
362        DataType::UInt64,
363    )?;
364    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
365        record_batch,
366        "ts_init",
367        27,
368        DataType::UInt64,
369    )?;
370
371    let mut result = Vec::with_capacity(num_rows);
372
373    for i in 0..num_rows {
374        let id = InstrumentId::from_str(id_values.value(i))
375            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
376        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
377        let underlying = Ustr::from(underlying_values.value(i));
378        let asset_class = asset_class_from_str(asset_class_values.value(i))?;
379
380        let exchange = if exchange_values.is_null(i) {
381            None
382        } else {
383            let exchange_str = exchange_values
384                .as_any()
385                .downcast_ref::<StringArray>()
386                .ok_or_else(|| {
387                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
388                })?
389                .value(i);
390            Some(Ustr::from(exchange_str))
391        };
392
393        let option_kind = option_kind_from_str(option_kind_values.value(i))?;
394        let strike_price = Price::from_str(strike_price_values.value(i))
395            .map_err(|e| EncodingError::ParseError("strike_price", format!("row {i}: {e}")))?;
396        let currency = super::decode_currency(
397            currency_values.value(i),
398            "currency",
399            "option_contract.currency",
400            i,
401        )?;
402        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
403        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
404        let price_prec = price_precision_values.value(i);
405        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
406
407        let price_increment = Price::from_str(price_increment_values.value(i))
408            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
409        let _size_increment = Quantity::from_str(size_increment_values.value(i))
410            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
411        let multiplier = Quantity::from_str(multiplier_values.value(i))
412            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
413        let lot_size = Quantity::from_str(lot_size_values.value(i))
414            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
415
416        let margin_init = Decimal::from_str(margin_init_values.value(i))
417            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
418        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
419            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
420        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
421            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
422        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
423            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
424
425        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
426        let info = if info_values.is_null(i) {
427            None
428        } else {
429            let info_bytes = info_values
430                .as_any()
431                .downcast_ref::<BinaryArray>()
432                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
433                .value(i);
434
435            match serde_json::from_slice::<Params>(info_bytes) {
436                Ok(info_dict) => Some(info_dict),
437                Err(e) => {
438                    return Err(EncodingError::ParseError(
439                        "info",
440                        format!("row {i}: failed to deserialize JSON: {e}"),
441                    ));
442                }
443            }
444        };
445
446        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
447        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
448
449        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
450
451        let option_contract = OptionContract::new_checked(
452            id,
453            raw_symbol,
454            asset_class,
455            exchange,
456            underlying,
457            option_kind,
458            strike_price,
459            currency,
460            activation_ns,
461            expiration_ns,
462            price_prec,
463            price_increment,
464            multiplier,
465            lot_size,
466            super::optional_quantity_value(max_quantity_values, "max_quantity", i)?,
467            super::optional_quantity_value(min_quantity_values, "min_quantity", i)?,
468            super::optional_price_value(max_price_values, "max_price", i)?,
469            super::optional_price_value(min_price_values, "min_price", i)?,
470            Some(margin_init),
471            Some(margin_maint),
472            Some(maker_fee),
473            Some(taker_fee),
474            tick_scheme,
475            info,
476            ts_event,
477            ts_init,
478        )
479        .map_err(|e| super::instrument_validation_error::<OptionContract>(i, e))?;
480
481        result.push(option_contract);
482    }
483
484    Ok(result)
485}
nautilus_serialization/arrow/instrument/option_contract.rs

nautilus_serialization/arrow/instrument/
option_contract.rs
