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};
28use nautilus_core::Params;
29use nautilus_model::{
30    enums::AssetClass,
31    identifiers::{InstrumentId, Symbol},
32    instruments::binary_option::BinaryOption,
33    types::{money::Money, price::Price, quantity::Quantity},
34};
35use rust_decimal::Decimal;
36use ustr::Ustr;
37
38use super::KEY_CLASS;
39use crate::arrow::{
40    ArrowSchemaProvider, EncodeToRecordBatch, EncodingError, KEY_INSTRUMENT_ID,
41    KEY_PRICE_PRECISION, KEY_SIZE_PRECISION, extract_column, extract_column_by_name_or_index,
42    extract_optional_string_column_by_name, optional_ustr_value,
43};
44
45impl ArrowSchemaProvider for BinaryOption {
46    fn get_schema(metadata: Option<HashMap<String, String>>) -> Schema {
47        let fields = vec![
48            Field::new("id", DataType::Utf8, false),
49            Field::new("raw_symbol", DataType::Utf8, false),
50            Field::new("asset_class", DataType::Utf8, false),
51            Field::new("currency", DataType::Utf8, false),
52            Field::new("price_precision", DataType::UInt8, false),
53            Field::new("size_precision", DataType::UInt8, false),
54            Field::new("price_increment", DataType::Utf8, false),
55            Field::new("size_increment", DataType::Utf8, false),
56            Field::new("activation_ns", DataType::UInt64, false),
57            Field::new("expiration_ns", DataType::UInt64, false),
58            Field::new("outcome", DataType::Utf8, true), // nullable
59            Field::new("description", DataType::Utf8, true), // nullable
60            Field::new("max_quantity", DataType::Utf8, true), // nullable
61            Field::new("min_quantity", DataType::Utf8, true), // nullable
62            Field::new("max_notional", DataType::Utf8, true), // nullable
63            Field::new("min_notional", DataType::Utf8, true), // nullable
64            Field::new("max_price", DataType::Utf8, true), // nullable
65            Field::new("min_price", DataType::Utf8, true), // nullable
66            Field::new("margin_init", DataType::Utf8, false),
67            Field::new("margin_maint", DataType::Utf8, false),
68            Field::new("maker_fee", DataType::Utf8, false),
69            Field::new("taker_fee", DataType::Utf8, false),
70            Field::new("tick_scheme", DataType::Utf8, true),
71            Field::new("info", DataType::Binary, true), // nullable
72            Field::new("ts_event", DataType::UInt64, false),
73            Field::new("ts_init", DataType::UInt64, false),
74            Field::new("event_id", DataType::Utf8, true),
75        ];
76
77        let mut final_metadata = HashMap::new();
78        final_metadata.insert(KEY_CLASS.to_string(), "BinaryOption".to_string());
79
80        if let Some(meta) = metadata {
81            final_metadata.extend(meta);
82        }
83
84        Schema::new_with_metadata(fields, final_metadata)
85    }
86}
87
88impl EncodeToRecordBatch for BinaryOption {
89    fn encode_batch(
90        #[allow(unused)] metadata: &HashMap<String, String>,
91        data: &[Self],
92    ) -> Result<RecordBatch, ArrowError> {
93        let mut id_builder = StringBuilder::new();
94        let mut raw_symbol_builder = StringBuilder::new();
95        let mut asset_class_builder = StringBuilder::new();
96        let mut currency_builder = StringBuilder::new();
97        let mut price_precision_builder = UInt8Array::builder(data.len());
98        let mut size_precision_builder = UInt8Array::builder(data.len());
99        let mut price_increment_builder = StringBuilder::new();
100        let mut size_increment_builder = StringBuilder::new();
101        let mut activation_ns_builder = UInt64Array::builder(data.len());
102        let mut expiration_ns_builder = UInt64Array::builder(data.len());
103        let mut outcome_builder = StringBuilder::new();
104        let mut event_id_builder = StringBuilder::new();
105        let mut description_builder = StringBuilder::new();
106        let mut max_quantity_builder = StringBuilder::new();
107        let mut min_quantity_builder = StringBuilder::new();
108        let mut max_notional_builder = StringBuilder::new();
109        let mut min_notional_builder = StringBuilder::new();
110        let mut max_price_builder = StringBuilder::new();
111        let mut min_price_builder = StringBuilder::new();
112        let mut margin_init_builder = StringBuilder::new();
113        let mut margin_maint_builder = StringBuilder::new();
114        let mut maker_fee_builder = StringBuilder::new();
115        let mut taker_fee_builder = StringBuilder::new();
116        let mut tick_scheme_builder = StringBuilder::new();
117        let mut info_builder = BinaryBuilder::new();
118        let mut ts_event_builder = UInt64Array::builder(data.len());
119        let mut ts_init_builder = UInt64Array::builder(data.len());
120
121        for bo in data {
122            id_builder.append_value(bo.id.to_string());
123            raw_symbol_builder.append_value(bo.raw_symbol);
124            asset_class_builder.append_value(bo.asset_class);
125            currency_builder.append_value(bo.currency.to_string());
126            price_precision_builder.append_value(bo.price_precision);
127            size_precision_builder.append_value(bo.size_precision);
128            price_increment_builder.append_value(bo.price_increment.to_string());
129            size_increment_builder.append_value(bo.size_increment.to_string());
130            activation_ns_builder.append_value(bo.activation_ns.as_u64());
131            expiration_ns_builder.append_value(bo.expiration_ns.as_u64());
132
133            if let Some(outcome) = bo.outcome {
134                outcome_builder.append_value(outcome);
135            } else {
136                outcome_builder.append_null();
137            }
138
139            if let Some(desc) = bo.description {
140                description_builder.append_value(desc);
141            } else {
142                description_builder.append_null();
143            }
144
145            if let Some(max_qty) = bo.max_quantity {
146                max_quantity_builder.append_value(max_qty.to_string());
147            } else {
148                max_quantity_builder.append_null();
149            }
150
151            if let Some(min_qty) = bo.min_quantity {
152                min_quantity_builder.append_value(min_qty.to_string());
153            } else {
154                min_quantity_builder.append_null();
155            }
156
157            if let Some(max_notional) = bo.max_notional {
158                max_notional_builder.append_value(max_notional.to_string());
159            } else {
160                max_notional_builder.append_null();
161            }
162
163            if let Some(min_notional) = bo.min_notional {
164                min_notional_builder.append_value(min_notional.to_string());
165            } else {
166                min_notional_builder.append_null();
167            }
168
169            if let Some(max_price) = bo.max_price {
170                max_price_builder.append_value(max_price.to_string());
171            } else {
172                max_price_builder.append_null();
173            }
174
175            if let Some(min_price) = bo.min_price {
176                min_price_builder.append_value(min_price.to_string());
177            } else {
178                min_price_builder.append_null();
179            }
180
181            margin_init_builder.append_value(bo.margin_init.to_string());
182            margin_maint_builder.append_value(bo.margin_maint.to_string());
183            maker_fee_builder.append_value(bo.maker_fee.to_string());
184            taker_fee_builder.append_value(bo.taker_fee.to_string());
185
186            if let Some(tick_scheme) = bo.tick_scheme {
187                tick_scheme_builder.append_value(tick_scheme);
188            } else {
189                tick_scheme_builder.append_null();
190            }
191
192            event_id_builder.append_option(bo.event_id.as_ref().map(Ustr::as_str));
193
194            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
195            if let Some(ref info) = bo.info {
196                match serde_json::to_vec(info) {
197                    Ok(json_bytes) => {
198                        info_builder.append_value(json_bytes);
199                    }
200                    Err(e) => {
201                        return Err(ArrowError::InvalidArgumentError(format!(
202                            "Failed to serialize info dict to JSON: {e}"
203                        )));
204                    }
205                }
206            } else {
207                info_builder.append_null();
208            }
209
210            ts_event_builder.append_value(bo.ts_event.as_u64());
211            ts_init_builder.append_value(bo.ts_init.as_u64());
212        }
213
214        let mut final_metadata = metadata.clone();
215        final_metadata.insert(KEY_CLASS.to_string(), "BinaryOption".to_string());
216
217        RecordBatch::try_new(
218            Self::get_schema(Some(final_metadata)).into(),
219            vec![
220                Arc::new(id_builder.finish()),
221                Arc::new(raw_symbol_builder.finish()),
222                Arc::new(asset_class_builder.finish()),
223                Arc::new(currency_builder.finish()),
224                Arc::new(price_precision_builder.finish()),
225                Arc::new(size_precision_builder.finish()),
226                Arc::new(price_increment_builder.finish()),
227                Arc::new(size_increment_builder.finish()),
228                Arc::new(activation_ns_builder.finish()),
229                Arc::new(expiration_ns_builder.finish()),
230                Arc::new(outcome_builder.finish()),
231                Arc::new(description_builder.finish()),
232                Arc::new(max_quantity_builder.finish()),
233                Arc::new(min_quantity_builder.finish()),
234                Arc::new(max_notional_builder.finish()),
235                Arc::new(min_notional_builder.finish()),
236                Arc::new(max_price_builder.finish()),
237                Arc::new(min_price_builder.finish()),
238                Arc::new(margin_init_builder.finish()),
239                Arc::new(margin_maint_builder.finish()),
240                Arc::new(maker_fee_builder.finish()),
241                Arc::new(taker_fee_builder.finish()),
242                Arc::new(tick_scheme_builder.finish()),
243                Arc::new(info_builder.finish()),
244                Arc::new(ts_event_builder.finish()),
245                Arc::new(ts_init_builder.finish()),
246                Arc::new(event_id_builder.finish()),
247            ],
248        )
249    }
250
251    fn metadata(&self) -> HashMap<String, String> {
252        let mut metadata = HashMap::new();
253        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
254        metadata.insert(
255            KEY_PRICE_PRECISION.to_string(),
256            self.price_precision.to_string(),
257        );
258        metadata.insert(
259            KEY_SIZE_PRECISION.to_string(),
260            self.size_precision.to_string(),
261        );
262        metadata
263    }
264}
265
266/// Decodes [`BinaryOption`] instruments from a record batch.
267///
268/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
269///
270/// # Errors
271///
272/// Returns an `EncodingError` if the record batch cannot be decoded.
273///
274/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
275pub fn decode_binary_option_batch(
276    #[allow(unused)] metadata: &HashMap<String, String>,
277    record_batch: &RecordBatch,
278) -> Result<Vec<BinaryOption>, EncodingError> {
279    let event_id_values = extract_optional_string_column_by_name(record_batch, "event_id")?;
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 asset_class_values = extract_column::<StringArray>(cols, "asset_class", 2, DataType::Utf8)?;
286    let currency_values = extract_column::<StringArray>(cols, "currency", 3, DataType::Utf8)?;
287    let price_precision_values =
288        extract_column::<UInt8Array>(cols, "price_precision", 4, DataType::UInt8)?;
289    let size_precision_values =
290        extract_column::<UInt8Array>(cols, "size_precision", 5, DataType::UInt8)?;
291    let price_increment_values =
292        extract_column::<StringArray>(cols, "price_increment", 6, DataType::Utf8)?;
293    let size_increment_values =
294        extract_column::<StringArray>(cols, "size_increment", 7, DataType::Utf8)?;
295    let activation_ns_values =
296        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
297    let expiration_ns_values =
298        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
299    let outcome_values = cols
300        .get(10)
301        .ok_or_else(|| EncodingError::MissingColumn("outcome", 10))?;
302    let description_values = cols
303        .get(11)
304        .ok_or_else(|| EncodingError::MissingColumn("description", 11))?;
305    let max_quantity_values = cols
306        .get(12)
307        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 12))?;
308    let min_quantity_values = cols
309        .get(13)
310        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 13))?;
311    let max_notional_values = extract_optional_string_column_by_name(record_batch, "max_notional")?;
312    let min_notional_values = extract_optional_string_column_by_name(record_batch, "min_notional")?;
313    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
314    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
315    let margin_init_values =
316        extract_column::<StringArray>(cols, "margin_init", 18, DataType::Utf8)?;
317    let margin_maint_values =
318        extract_column::<StringArray>(cols, "margin_maint", 19, DataType::Utf8)?;
319    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 20, DataType::Utf8)?;
320    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 21, DataType::Utf8)?;
321    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
322    let info_values =
323        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 23, DataType::Binary)?;
324    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
325        record_batch,
326        "ts_event",
327        24,
328        DataType::UInt64,
329    )?;
330    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
331        record_batch,
332        "ts_init",
333        25,
334        DataType::UInt64,
335    )?;
336
337    let mut result = Vec::with_capacity(num_rows);
338
339    for i in 0..num_rows {
340        let id = InstrumentId::from_str(id_values.value(i))
341            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
342        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
343        let asset_class = AssetClass::from_str(asset_class_values.value(i))
344            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
345        let currency = super::decode_currency(
346            currency_values.value(i),
347            "currency",
348            "binary_option.currency",
349            i,
350        )?;
351        let price_prec = price_precision_values.value(i);
352        let size_prec = size_precision_values.value(i);
353
354        let price_increment = Price::from_str(price_increment_values.value(i))
355            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
356        let size_increment = Quantity::from_str(size_increment_values.value(i))
357            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
358
359        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
360        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
361
362        let margin_init = Decimal::from_str(margin_init_values.value(i))
363            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
364        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
365            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
366        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
367            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
368        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
369            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
370
371        let max_quantity =
372            if max_quantity_values.is_null(i) {
373                None
374            } else {
375                let max_qty_str = max_quantity_values
376                    .as_any()
377                    .downcast_ref::<StringArray>()
378                    .ok_or_else(|| {
379                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
380                    })?
381                    .value(i);
382                Some(Quantity::from_str(max_qty_str).map_err(|e| {
383                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
384                })?)
385            };
386
387        let min_quantity =
388            if min_quantity_values.is_null(i) {
389                None
390            } else {
391                let min_qty_str = min_quantity_values
392                    .as_any()
393                    .downcast_ref::<StringArray>()
394                    .ok_or_else(|| {
395                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
396                    })?
397                    .value(i);
398                Some(Quantity::from_str(min_qty_str).map_err(|e| {
399                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
400                })?)
401            };
402
403        let outcome = if outcome_values.is_null(i) {
404            None
405        } else {
406            let outcome_str = outcome_values
407                .as_any()
408                .downcast_ref::<StringArray>()
409                .ok_or_else(|| {
410                    EncodingError::ParseError("outcome", format!("row {i}: invalid type"))
411                })?
412                .value(i);
413            Some(Ustr::from(outcome_str))
414        };
415
416        let description = if description_values.is_null(i) {
417            None
418        } else {
419            let desc_str = description_values
420                .as_any()
421                .downcast_ref::<StringArray>()
422                .ok_or_else(|| {
423                    EncodingError::ParseError("description", format!("row {i}: invalid type"))
424                })?
425                .value(i);
426            Some(Ustr::from(desc_str))
427        };
428
429        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
430        let info = if info_values.is_null(i) {
431            None
432        } else {
433            let info_bytes = info_values
434                .as_any()
435                .downcast_ref::<BinaryArray>()
436                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
437                .value(i);
438
439            match serde_json::from_slice::<Params>(info_bytes) {
440                Ok(info_dict) => Some(info_dict),
441                Err(e) => {
442                    return Err(EncodingError::ParseError(
443                        "info",
444                        format!("row {i}: failed to deserialize JSON: {e}"),
445                    ));
446                }
447            }
448        };
449
450        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
451        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
452
453        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
454
455        let max_notional = match max_notional_values {
456            Some(column) if !column.is_null(i) => {
457                Some(Money::from_str(column.value(i)).map_err(|e| {
458                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
459                })?)
460            }
461            _ => None,
462        };
463
464        let min_notional = match min_notional_values {
465            Some(column) if !column.is_null(i) => {
466                Some(Money::from_str(column.value(i)).map_err(|e| {
467                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
468                })?)
469            }
470            _ => None,
471        };
472
473        let binary_option = BinaryOption::builder()
474            .instrument_id(id)
475            .raw_symbol(raw_symbol)
476            .asset_class(asset_class)
477            .currency(currency)
478            .activation_ns(activation_ns)
479            .expiration_ns(expiration_ns)
480            .price_precision(price_prec)
481            .size_precision(size_prec)
482            .price_increment(price_increment)
483            .size_increment(size_increment)
484            .maybe_outcome(outcome)
485            .maybe_description(description)
486            .maybe_max_quantity(max_quantity)
487            .maybe_min_quantity(min_quantity)
488            .maybe_max_notional(max_notional)
489            .maybe_min_notional(min_notional)
490            .maybe_max_price(super::optional_price_value(
491                max_price_values,
492                "max_price",
493                i,
494            )?)
495            .maybe_min_price(super::optional_price_value(
496                min_price_values,
497                "min_price",
498                i,
499            )?)
500            .margin_init(margin_init)
501            .margin_maint(margin_maint)
502            .maker_fee(maker_fee)
503            .taker_fee(taker_fee)
504            .maybe_tick_scheme(tick_scheme)
505            .maybe_event_id(optional_ustr_value(event_id_values, i))
506            .maybe_info(info)
507            .ts_event(ts_event)
508            .ts_init(ts_init)
509            .build()
510            .map_err(|e| super::instrument_validation_error::<BinaryOption>(i, e))?;
511
512        result.push(binary_option);
513    }
514
515    Ok(result)
516}
nautilus_serialization/arrow/instrument/binary_option.rs

nautilus_serialization/arrow/instrument/
binary_option.rs
