nautilus_serialization/arrow/instrument/
crypto_option_spread.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 CryptoOptionSpread instruments.
17
18use std::{collections::HashMap, str::FromStr, sync::Arc};
19
20use arrow::{
21    array::{
22        Array, BinaryArray, BinaryBuilder, BooleanArray, BooleanBuilder, StringArray,
23        StringBuilder, UInt8Array, UInt64Array,
24    },
25    datatypes::{DataType, Field, Schema},
26    error::ArrowError,
27    record_batch::RecordBatch,
28};
29use nautilus_core::Params;
30use nautilus_model::{
31    identifiers::{InstrumentId, Symbol},
32    instruments::crypto_option_spread::CryptoOptionSpread,
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 CryptoOptionSpread {
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("underlying", DataType::Utf8, false),
51            Field::new("quote_currency", DataType::Utf8, false),
52            Field::new("settlement_currency", DataType::Utf8, false),
53            Field::new("is_inverse", DataType::Boolean, false),
54            Field::new("strategy_type", DataType::Utf8, false),
55            Field::new("activation_ns", DataType::UInt64, false),
56            Field::new("expiration_ns", DataType::UInt64, false),
57            Field::new("price_precision", DataType::UInt8, false),
58            Field::new("size_precision", DataType::UInt8, false),
59            Field::new("price_increment", DataType::Utf8, false),
60            Field::new("size_increment", DataType::Utf8, false),
61            Field::new("multiplier", DataType::Utf8, false),
62            Field::new("lot_size", DataType::Utf8, false),
63            Field::new("max_quantity", DataType::Utf8, true),
64            Field::new("min_quantity", DataType::Utf8, true),
65            Field::new("max_notional", DataType::Utf8, true),
66            Field::new("min_notional", DataType::Utf8, true),
67            Field::new("max_price", DataType::Utf8, true),
68            Field::new("min_price", DataType::Utf8, true),
69            Field::new("margin_init", DataType::Utf8, false),
70            Field::new("margin_maint", DataType::Utf8, false),
71            Field::new("maker_fee", DataType::Utf8, false),
72            Field::new("taker_fee", DataType::Utf8, false),
73            Field::new("tick_scheme", DataType::Utf8, true),
74            Field::new("info", DataType::Binary, true),
75            Field::new("ts_event", DataType::UInt64, false),
76            Field::new("ts_init", DataType::UInt64, false),
77        ];
78
79        let mut final_metadata = HashMap::new();
80        final_metadata.insert(KEY_CLASS.to_string(), "CryptoOptionSpread".to_string());
81
82        if let Some(meta) = metadata {
83            final_metadata.extend(meta);
84        }
85
86        Schema::new_with_metadata(fields, final_metadata)
87    }
88}
89
90impl EncodeToRecordBatch for CryptoOptionSpread {
91    fn encode_batch(
92        #[allow(unused)] metadata: &HashMap<String, String>,
93        data: &[Self],
94    ) -> Result<RecordBatch, ArrowError> {
95        let mut id_builder = StringBuilder::new();
96        let mut raw_symbol_builder = StringBuilder::new();
97        let mut underlying_builder = StringBuilder::new();
98        let mut quote_currency_builder = StringBuilder::new();
99        let mut settlement_currency_builder = StringBuilder::new();
100        let mut is_inverse_builder = BooleanBuilder::new();
101        let mut strategy_type_builder = StringBuilder::new();
102        let mut activation_ns_builder = UInt64Array::builder(data.len());
103        let mut expiration_ns_builder = UInt64Array::builder(data.len());
104        let mut price_precision_builder = UInt8Array::builder(data.len());
105        let mut size_precision_builder = UInt8Array::builder(data.len());
106        let mut price_increment_builder = StringBuilder::new();
107        let mut size_increment_builder = StringBuilder::new();
108        let mut multiplier_builder = StringBuilder::new();
109        let mut lot_size_builder = StringBuilder::new();
110        let mut max_quantity_builder = StringBuilder::new();
111        let mut min_quantity_builder = StringBuilder::new();
112        let mut max_notional_builder = StringBuilder::new();
113        let mut min_notional_builder = StringBuilder::new();
114        let mut max_price_builder = StringBuilder::new();
115        let mut min_price_builder = StringBuilder::new();
116        let mut margin_init_builder = StringBuilder::new();
117        let mut margin_maint_builder = StringBuilder::new();
118        let mut maker_fee_builder = StringBuilder::new();
119        let mut taker_fee_builder = StringBuilder::new();
120        let mut tick_scheme_builder = StringBuilder::new();
121        let mut info_builder = BinaryBuilder::new();
122        let mut ts_event_builder = UInt64Array::builder(data.len());
123        let mut ts_init_builder = UInt64Array::builder(data.len());
124
125        for co in data {
126            id_builder.append_value(co.id.to_string());
127            raw_symbol_builder.append_value(co.raw_symbol);
128            underlying_builder.append_value(co.underlying.to_string());
129            quote_currency_builder.append_value(co.quote_currency.to_string());
130            settlement_currency_builder.append_value(co.settlement_currency.to_string());
131            is_inverse_builder.append_value(co.is_inverse);
132            strategy_type_builder.append_value(co.strategy_type.as_str());
133            activation_ns_builder.append_value(co.activation_ns.as_u64());
134            expiration_ns_builder.append_value(co.expiration_ns.as_u64());
135            price_precision_builder.append_value(co.price_precision);
136            size_precision_builder.append_value(co.size_precision);
137            price_increment_builder.append_value(co.price_increment.to_string());
138            size_increment_builder.append_value(co.size_increment.to_string());
139            multiplier_builder.append_value(co.multiplier.to_string());
140            lot_size_builder.append_value(co.lot_size.to_string());
141
142            if let Some(max_qty) = co.max_quantity {
143                max_quantity_builder.append_value(max_qty.to_string());
144            } else {
145                max_quantity_builder.append_null();
146            }
147
148            if let Some(min_qty) = co.min_quantity {
149                min_quantity_builder.append_value(min_qty.to_string());
150            } else {
151                min_quantity_builder.append_null();
152            }
153
154            if let Some(max_not) = co.max_notional {
155                max_notional_builder.append_value(max_not.to_string());
156            } else {
157                max_notional_builder.append_null();
158            }
159
160            if let Some(min_not) = co.min_notional {
161                min_notional_builder.append_value(min_not.to_string());
162            } else {
163                min_notional_builder.append_null();
164            }
165
166            if let Some(max_p) = co.max_price {
167                max_price_builder.append_value(max_p.to_string());
168            } else {
169                max_price_builder.append_null();
170            }
171
172            if let Some(min_p) = co.min_price {
173                min_price_builder.append_value(min_p.to_string());
174            } else {
175                min_price_builder.append_null();
176            }
177
178            margin_init_builder.append_value(co.margin_init.to_string());
179            margin_maint_builder.append_value(co.margin_maint.to_string());
180            maker_fee_builder.append_value(co.maker_fee.to_string());
181            taker_fee_builder.append_value(co.taker_fee.to_string());
182
183            if let Some(tick_scheme) = co.tick_scheme {
184                tick_scheme_builder.append_value(tick_scheme);
185            } else {
186                tick_scheme_builder.append_null();
187            }
188
189            if let Some(ref info) = co.info {
190                match serde_json::to_vec(info) {
191                    Ok(json_bytes) => info_builder.append_value(json_bytes),
192                    Err(e) => {
193                        return Err(ArrowError::InvalidArgumentError(format!(
194                            "Failed to serialize info dict to JSON: {e}"
195                        )));
196                    }
197                }
198            } else {
199                info_builder.append_null();
200            }
201
202            ts_event_builder.append_value(co.ts_event.as_u64());
203            ts_init_builder.append_value(co.ts_init.as_u64());
204        }
205
206        let mut final_metadata = metadata.clone();
207        final_metadata.insert(KEY_CLASS.to_string(), "CryptoOptionSpread".to_string());
208
209        RecordBatch::try_new(
210            Self::get_schema(Some(final_metadata)).into(),
211            vec![
212                Arc::new(id_builder.finish()),
213                Arc::new(raw_symbol_builder.finish()),
214                Arc::new(underlying_builder.finish()),
215                Arc::new(quote_currency_builder.finish()),
216                Arc::new(settlement_currency_builder.finish()),
217                Arc::new(is_inverse_builder.finish()),
218                Arc::new(strategy_type_builder.finish()),
219                Arc::new(activation_ns_builder.finish()),
220                Arc::new(expiration_ns_builder.finish()),
221                Arc::new(price_precision_builder.finish()),
222                Arc::new(size_precision_builder.finish()),
223                Arc::new(price_increment_builder.finish()),
224                Arc::new(size_increment_builder.finish()),
225                Arc::new(multiplier_builder.finish()),
226                Arc::new(lot_size_builder.finish()),
227                Arc::new(max_quantity_builder.finish()),
228                Arc::new(min_quantity_builder.finish()),
229                Arc::new(max_notional_builder.finish()),
230                Arc::new(min_notional_builder.finish()),
231                Arc::new(max_price_builder.finish()),
232                Arc::new(min_price_builder.finish()),
233                Arc::new(margin_init_builder.finish()),
234                Arc::new(margin_maint_builder.finish()),
235                Arc::new(maker_fee_builder.finish()),
236                Arc::new(taker_fee_builder.finish()),
237                Arc::new(tick_scheme_builder.finish()),
238                Arc::new(info_builder.finish()),
239                Arc::new(ts_event_builder.finish()),
240                Arc::new(ts_init_builder.finish()),
241            ],
242        )
243    }
244
245    fn metadata(&self) -> HashMap<String, String> {
246        let mut metadata = HashMap::new();
247        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
248        metadata.insert(
249            KEY_PRICE_PRECISION.to_string(),
250            self.price_precision.to_string(),
251        );
252        metadata.insert(
253            KEY_SIZE_PRECISION.to_string(),
254            self.size_precision.to_string(),
255        );
256        metadata
257    }
258}
259
260/// Decodes [`CryptoOptionSpread`] instruments from a record batch.
261///
262/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
263///
264/// # Errors
265///
266/// Returns an `EncodingError` if the record batch cannot be decoded.
267///
268/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
269pub fn decode_crypto_option_spread_batch(
270    #[allow(unused)] metadata: &HashMap<String, String>,
271    record_batch: &RecordBatch,
272) -> Result<Vec<CryptoOptionSpread>, EncodingError> {
273    let cols = record_batch.columns();
274    let num_rows = record_batch.num_rows();
275
276    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
277    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
278    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
279    let quote_currency_values =
280        extract_column::<StringArray>(cols, "quote_currency", 3, DataType::Utf8)?;
281    let settlement_currency_values =
282        extract_column::<StringArray>(cols, "settlement_currency", 4, DataType::Utf8)?;
283    let is_inverse_values =
284        extract_column::<BooleanArray>(cols, "is_inverse", 5, DataType::Boolean)?;
285    let strategy_type_values =
286        extract_column::<StringArray>(cols, "strategy_type", 6, DataType::Utf8)?;
287    let activation_ns_values =
288        extract_column::<UInt64Array>(cols, "activation_ns", 7, DataType::UInt64)?;
289    let expiration_ns_values =
290        extract_column::<UInt64Array>(cols, "expiration_ns", 8, DataType::UInt64)?;
291    let price_precision_values =
292        extract_column::<UInt8Array>(cols, "price_precision", 9, DataType::UInt8)?;
293    let size_precision_values =
294        extract_column::<UInt8Array>(cols, "size_precision", 10, DataType::UInt8)?;
295    let price_increment_values =
296        extract_column::<StringArray>(cols, "price_increment", 11, DataType::Utf8)?;
297    let size_increment_values =
298        extract_column::<StringArray>(cols, "size_increment", 12, DataType::Utf8)?;
299    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 13, DataType::Utf8)?;
300    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 14, DataType::Utf8)?;
301    let max_quantity_values = cols
302        .get(15)
303        .ok_or_else(|| EncodingError::MissingColumn("max_quantity", 15))?;
304    let min_quantity_values = cols
305        .get(16)
306        .ok_or_else(|| EncodingError::MissingColumn("min_quantity", 16))?;
307    let max_notional_values = cols
308        .get(17)
309        .ok_or_else(|| EncodingError::MissingColumn("max_notional", 17))?;
310    let min_notional_values = cols
311        .get(18)
312        .ok_or_else(|| EncodingError::MissingColumn("min_notional", 18))?;
313    let max_price_values = cols
314        .get(19)
315        .ok_or_else(|| EncodingError::MissingColumn("max_price", 19))?;
316    let min_price_values = cols
317        .get(20)
318        .ok_or_else(|| EncodingError::MissingColumn("min_price", 20))?;
319    let margin_init_values =
320        extract_column::<StringArray>(cols, "margin_init", 21, DataType::Utf8)?;
321    let margin_maint_values =
322        extract_column::<StringArray>(cols, "margin_maint", 22, DataType::Utf8)?;
323    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 23, DataType::Utf8)?;
324    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 24, DataType::Utf8)?;
325    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
326    let info_values =
327        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 25, DataType::Binary)?;
328    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
329        record_batch,
330        "ts_event",
331        26,
332        DataType::UInt64,
333    )?;
334    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
335        record_batch,
336        "ts_init",
337        27,
338        DataType::UInt64,
339    )?;
340
341    let mut result = Vec::with_capacity(num_rows);
342
343    for i in 0..num_rows {
344        let id = InstrumentId::from_str(id_values.value(i))
345            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
346        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
347        let underlying = super::decode_currency(
348            underlying_values.value(i),
349            "underlying",
350            "crypto_option_spread.underlying",
351            i,
352        )?;
353        let quote_currency = super::decode_currency(
354            quote_currency_values.value(i),
355            "quote_currency",
356            "crypto_option_spread.quote_currency",
357            i,
358        )?;
359        let settlement_currency = super::decode_currency(
360            settlement_currency_values.value(i),
361            "settlement_currency",
362            "crypto_option_spread.settlement_currency",
363            i,
364        )?;
365        let is_inverse = is_inverse_values.value(i);
366        let strategy_type = Ustr::from(strategy_type_values.value(i));
367        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
368        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
369        let price_prec = price_precision_values.value(i);
370        let size_prec = size_precision_values.value(i);
371
372        let price_increment = Price::from_str(price_increment_values.value(i))
373            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
374        let size_increment = Quantity::from_str(size_increment_values.value(i))
375            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?;
376        let multiplier = Quantity::from_str(multiplier_values.value(i))
377            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
378        let lot_size = Quantity::from_str(lot_size_values.value(i))
379            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
380
381        let max_quantity =
382            if max_quantity_values.is_null(i) {
383                None
384            } else {
385                let value = max_quantity_values
386                    .as_any()
387                    .downcast_ref::<StringArray>()
388                    .ok_or_else(|| {
389                        EncodingError::ParseError("max_quantity", format!("row {i}: invalid type"))
390                    })?
391                    .value(i);
392                Some(Quantity::from_str(value).map_err(|e| {
393                    EncodingError::ParseError("max_quantity", format!("row {i}: {e}"))
394                })?)
395            };
396
397        let min_quantity =
398            if min_quantity_values.is_null(i) {
399                None
400            } else {
401                let value = min_quantity_values
402                    .as_any()
403                    .downcast_ref::<StringArray>()
404                    .ok_or_else(|| {
405                        EncodingError::ParseError("min_quantity", format!("row {i}: invalid type"))
406                    })?
407                    .value(i);
408                Some(Quantity::from_str(value).map_err(|e| {
409                    EncodingError::ParseError("min_quantity", format!("row {i}: {e}"))
410                })?)
411            };
412
413        let max_notional =
414            if max_notional_values.is_null(i) {
415                None
416            } else {
417                let value = max_notional_values
418                    .as_any()
419                    .downcast_ref::<StringArray>()
420                    .ok_or_else(|| {
421                        EncodingError::ParseError("max_notional", format!("row {i}: invalid type"))
422                    })?
423                    .value(i);
424                Some(Money::from_str(value).map_err(|e| {
425                    EncodingError::ParseError("max_notional", format!("row {i}: {e}"))
426                })?)
427            };
428
429        let min_notional =
430            if min_notional_values.is_null(i) {
431                None
432            } else {
433                let value = min_notional_values
434                    .as_any()
435                    .downcast_ref::<StringArray>()
436                    .ok_or_else(|| {
437                        EncodingError::ParseError("min_notional", format!("row {i}: invalid type"))
438                    })?
439                    .value(i);
440                Some(Money::from_str(value).map_err(|e| {
441                    EncodingError::ParseError("min_notional", format!("row {i}: {e}"))
442                })?)
443            };
444
445        let max_price = if max_price_values.is_null(i) {
446            None
447        } else {
448            let value = max_price_values
449                .as_any()
450                .downcast_ref::<StringArray>()
451                .ok_or_else(|| {
452                    EncodingError::ParseError("max_price", format!("row {i}: invalid type"))
453                })?
454                .value(i);
455            Some(
456                Price::from_str(value)
457                    .map_err(|e| EncodingError::ParseError("max_price", format!("row {i}: {e}")))?,
458            )
459        };
460
461        let min_price = if min_price_values.is_null(i) {
462            None
463        } else {
464            let value = min_price_values
465                .as_any()
466                .downcast_ref::<StringArray>()
467                .ok_or_else(|| {
468                    EncodingError::ParseError("min_price", format!("row {i}: invalid type"))
469                })?
470                .value(i);
471            Some(
472                Price::from_str(value)
473                    .map_err(|e| EncodingError::ParseError("min_price", format!("row {i}: {e}")))?,
474            )
475        };
476
477        let margin_init = Decimal::from_str(margin_init_values.value(i))
478            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
479        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
480            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
481        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
482            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
483        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
484            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
485
486        let info = if info_values.is_null(i) {
487            None
488        } else {
489            let info_bytes = info_values
490                .as_any()
491                .downcast_ref::<BinaryArray>()
492                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
493                .value(i);
494
495            match serde_json::from_slice::<Params>(info_bytes) {
496                Ok(info_dict) => Some(info_dict),
497                Err(e) => {
498                    return Err(EncodingError::ParseError(
499                        "info",
500                        format!("row {i}: failed to deserialize JSON: {e}"),
501                    ));
502                }
503            }
504        };
505
506        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
507        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
508
509        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
510
511        let crypto_option_spread = CryptoOptionSpread::builder()
512            .instrument_id(id)
513            .raw_symbol(raw_symbol)
514            .underlying(underlying)
515            .quote_currency(quote_currency)
516            .settlement_currency(settlement_currency)
517            .is_inverse(is_inverse)
518            .strategy_type(strategy_type)
519            .activation_ns(activation_ns)
520            .expiration_ns(expiration_ns)
521            .price_precision(price_prec)
522            .size_precision(size_prec)
523            .price_increment(price_increment)
524            .size_increment(size_increment)
525            .multiplier(multiplier)
526            .lot_size(lot_size)
527            .maybe_max_quantity(max_quantity)
528            .maybe_min_quantity(min_quantity)
529            .maybe_max_notional(max_notional)
530            .maybe_min_notional(min_notional)
531            .maybe_max_price(max_price)
532            .maybe_min_price(min_price)
533            .margin_init(margin_init)
534            .margin_maint(margin_maint)
535            .maker_fee(maker_fee)
536            .taker_fee(taker_fee)
537            .maybe_tick_scheme(tick_scheme)
538            .maybe_info(info)
539            .ts_event(ts_event)
540            .ts_init(ts_init)
541            .build()
542            .map_err(|e| super::instrument_validation_error::<CryptoOptionSpread>(i, e))?;
543
544        result.push(crypto_option_spread);
545    }
546
547    Ok(result)
548}
nautilus_serialization/arrow/instrument/crypto_option_spread.rs

nautilus_serialization/arrow/instrument/
crypto_option_spread.rs
