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};
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 OptionContract {
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("asset_class", DataType::Utf8, false),
52            Field::new("exchange", DataType::Utf8, true), // nullable
53            Field::new("option_kind", DataType::Utf8, false),
54            Field::new("strike_price", DataType::Utf8, false),
55            Field::new("currency", DataType::Utf8, false),
56            Field::new("activation_ns", DataType::UInt64, false),
57            Field::new("expiration_ns", DataType::UInt64, false),
58            Field::new("price_precision", DataType::UInt8, false),
59            Field::new("size_precision", DataType::UInt8, false),
60            Field::new("price_increment", DataType::Utf8, false),
61            Field::new("size_increment", DataType::Utf8, false),
62            Field::new("multiplier", DataType::Utf8, false),
63            Field::new("lot_size", DataType::Utf8, false),
64            Field::new("max_quantity", DataType::Utf8, true), // nullable
65            Field::new("min_quantity", DataType::Utf8, true), // nullable
66            Field::new("max_price", DataType::Utf8, true),    // nullable
67            Field::new("min_price", DataType::Utf8, true),    // nullable
68            Field::new("margin_init", DataType::Utf8, false),
69            Field::new("margin_maint", DataType::Utf8, false),
70            Field::new("maker_fee", DataType::Utf8, false),
71            Field::new("taker_fee", DataType::Utf8, false),
72            Field::new("tick_scheme", DataType::Utf8, true),
73            Field::new("info", DataType::Binary, true), // nullable
74            Field::new("ts_event", DataType::UInt64, false),
75            Field::new("ts_init", DataType::UInt64, false),
76        ];
77
78        let mut final_metadata = HashMap::new();
79        final_metadata.insert(KEY_CLASS.to_string(), "OptionContract".to_string());
80
81        if let Some(meta) = metadata {
82            final_metadata.extend(meta);
83        }
84
85        Schema::new_with_metadata(fields, final_metadata)
86    }
87}
88
89impl EncodeToRecordBatch for OptionContract {
90    fn encode_batch(
91        #[allow(unused)] metadata: &HashMap<String, String>,
92        data: &[Self],
93    ) -> Result<RecordBatch, ArrowError> {
94        let mut id_builder = StringBuilder::new();
95        let mut raw_symbol_builder = StringBuilder::new();
96        let mut underlying_builder = StringBuilder::new();
97        let mut asset_class_builder = StringBuilder::new();
98        let mut exchange_builder = StringBuilder::new();
99        let mut option_kind_builder = StringBuilder::new();
100        let mut strike_price_builder = StringBuilder::new();
101        let mut currency_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_price_builder = StringBuilder::new();
113        let mut min_price_builder = StringBuilder::new();
114        let mut margin_init_builder = StringBuilder::new();
115        let mut margin_maint_builder = StringBuilder::new();
116        let mut maker_fee_builder = StringBuilder::new();
117        let mut taker_fee_builder = StringBuilder::new();
118        let mut tick_scheme_builder = StringBuilder::new();
119        let mut info_builder = BinaryBuilder::new();
120        let mut ts_event_builder = UInt64Array::builder(data.len());
121        let mut ts_init_builder = UInt64Array::builder(data.len());
122
123        for oc in data {
124            id_builder.append_value(oc.id.to_string());
125            raw_symbol_builder.append_value(oc.raw_symbol);
126            underlying_builder.append_value(oc.underlying);
127            asset_class_builder.append_value(oc.asset_class);
128
129            if let Some(exchange) = oc.exchange {
130                exchange_builder.append_value(exchange);
131            } else {
132                exchange_builder.append_null();
133            }
134
135            option_kind_builder.append_value(oc.option_kind);
136            strike_price_builder.append_value(oc.strike_price.to_string());
137            currency_builder.append_value(oc.currency.to_string());
138            activation_ns_builder.append_value(oc.activation_ns.as_u64());
139            expiration_ns_builder.append_value(oc.expiration_ns.as_u64());
140            price_precision_builder.append_value(oc.price_precision);
141            size_precision_builder.append_value(oc.size_precision);
142            price_increment_builder.append_value(oc.price_increment.to_string());
143            size_increment_builder.append_value(oc.size_increment.to_string());
144            multiplier_builder.append_value(oc.multiplier.to_string());
145            lot_size_builder.append_value(oc.lot_size.to_string());
146
147            if let Some(max_quantity) = oc.max_quantity {
148                max_quantity_builder.append_value(max_quantity.to_string());
149            } else {
150                max_quantity_builder.append_null();
151            }
152
153            if let Some(min_quantity) = oc.min_quantity {
154                min_quantity_builder.append_value(min_quantity.to_string());
155            } else {
156                min_quantity_builder.append_null();
157            }
158
159            if let Some(max_price) = oc.max_price {
160                max_price_builder.append_value(max_price.to_string());
161            } else {
162                max_price_builder.append_null();
163            }
164
165            if let Some(min_price) = oc.min_price {
166                min_price_builder.append_value(min_price.to_string());
167            } else {
168                min_price_builder.append_null();
169            }
170
171            margin_init_builder.append_value(oc.margin_init.to_string());
172            margin_maint_builder.append_value(oc.margin_maint.to_string());
173            maker_fee_builder.append_value(oc.maker_fee.to_string());
174            taker_fee_builder.append_value(oc.taker_fee.to_string());
175
176            if let Some(tick_scheme) = oc.tick_scheme {
177                tick_scheme_builder.append_value(tick_scheme);
178            } else {
179                tick_scheme_builder.append_null();
180            }
181
182            // Encode info dict as JSON bytes (matching Python's msgspec.json.encode)
183            if let Some(ref info) = oc.info {
184                match serde_json::to_vec(info) {
185                    Ok(json_bytes) => {
186                        info_builder.append_value(json_bytes);
187                    }
188                    Err(e) => {
189                        return Err(ArrowError::InvalidArgumentError(format!(
190                            "Failed to serialize info dict to JSON: {e}"
191                        )));
192                    }
193                }
194            } else {
195                info_builder.append_null();
196            }
197
198            ts_event_builder.append_value(oc.ts_event.as_u64());
199            ts_init_builder.append_value(oc.ts_init.as_u64());
200        }
201
202        let mut final_metadata = metadata.clone();
203        final_metadata.insert(KEY_CLASS.to_string(), "OptionContract".to_string());
204
205        RecordBatch::try_new(
206            Self::get_schema(Some(final_metadata)).into(),
207            vec![
208                Arc::new(id_builder.finish()),
209                Arc::new(raw_symbol_builder.finish()),
210                Arc::new(underlying_builder.finish()),
211                Arc::new(asset_class_builder.finish()),
212                Arc::new(exchange_builder.finish()),
213                Arc::new(option_kind_builder.finish()),
214                Arc::new(strike_price_builder.finish()),
215                Arc::new(currency_builder.finish()),
216                Arc::new(activation_ns_builder.finish()),
217                Arc::new(expiration_ns_builder.finish()),
218                Arc::new(price_precision_builder.finish()),
219                Arc::new(size_precision_builder.finish()),
220                Arc::new(price_increment_builder.finish()),
221                Arc::new(size_increment_builder.finish()),
222                Arc::new(multiplier_builder.finish()),
223                Arc::new(lot_size_builder.finish()),
224                Arc::new(max_quantity_builder.finish()),
225                Arc::new(min_quantity_builder.finish()),
226                Arc::new(max_price_builder.finish()),
227                Arc::new(min_price_builder.finish()),
228                Arc::new(margin_init_builder.finish()),
229                Arc::new(margin_maint_builder.finish()),
230                Arc::new(maker_fee_builder.finish()),
231                Arc::new(taker_fee_builder.finish()),
232                Arc::new(tick_scheme_builder.finish()),
233                Arc::new(info_builder.finish()),
234                Arc::new(ts_event_builder.finish()),
235                Arc::new(ts_init_builder.finish()),
236            ],
237        )
238    }
239
240    fn metadata(&self) -> HashMap<String, String> {
241        let mut metadata = HashMap::new();
242        metadata.insert(KEY_INSTRUMENT_ID.to_string(), self.id.to_string());
243        metadata.insert(
244            KEY_PRICE_PRECISION.to_string(),
245            self.price_precision.to_string(),
246        );
247        metadata.insert(
248            KEY_SIZE_PRECISION.to_string(),
249            self.size_precision.to_string(),
250        );
251        metadata
252    }
253}
254
255/// Decodes [`OptionContract`] instruments from a record batch.
256///
257/// Not a [`DecodeFromRecordBatch`] implementation because that trait requires `Into<Data>`.
258///
259/// # Errors
260///
261/// Returns an `EncodingError` if the record batch cannot be decoded.
262///
263/// [`DecodeFromRecordBatch`]: crate::arrow::DecodeFromRecordBatch
264pub fn decode_option_contract_batch(
265    #[allow(unused)] metadata: &HashMap<String, String>,
266    record_batch: &RecordBatch,
267) -> Result<Vec<OptionContract>, EncodingError> {
268    let cols = record_batch.columns();
269    let num_rows = record_batch.num_rows();
270
271    let id_values = extract_column::<StringArray>(cols, "id", 0, DataType::Utf8)?;
272    let raw_symbol_values = extract_column::<StringArray>(cols, "raw_symbol", 1, DataType::Utf8)?;
273    let underlying_values = extract_column::<StringArray>(cols, "underlying", 2, DataType::Utf8)?;
274    let asset_class_values = extract_column::<StringArray>(cols, "asset_class", 3, DataType::Utf8)?;
275    let exchange_values = cols
276        .get(4)
277        .ok_or_else(|| EncodingError::MissingColumn("exchange", 4))?;
278    let option_kind_values = extract_column::<StringArray>(cols, "option_kind", 5, DataType::Utf8)?;
279    let strike_price_values =
280        extract_column::<StringArray>(cols, "strike_price", 6, DataType::Utf8)?;
281    let currency_values = extract_column::<StringArray>(cols, "currency", 7, DataType::Utf8)?;
282    let activation_ns_values =
283        extract_column::<UInt64Array>(cols, "activation_ns", 8, DataType::UInt64)?;
284    let expiration_ns_values =
285        extract_column::<UInt64Array>(cols, "expiration_ns", 9, DataType::UInt64)?;
286    let price_precision_values =
287        extract_column::<UInt8Array>(cols, "price_precision", 10, DataType::UInt8)?;
288    let size_precision_values =
289        extract_column::<UInt8Array>(cols, "size_precision", 11, DataType::UInt8)?;
290    let price_increment_values =
291        extract_column::<StringArray>(cols, "price_increment", 12, DataType::Utf8)?;
292    let size_increment_values =
293        extract_column::<StringArray>(cols, "size_increment", 13, DataType::Utf8)?;
294    let multiplier_values = extract_column::<StringArray>(cols, "multiplier", 14, DataType::Utf8)?;
295    let lot_size_values = extract_column::<StringArray>(cols, "lot_size", 15, DataType::Utf8)?;
296    let max_quantity_values = extract_optional_string_column_by_name(record_batch, "max_quantity")?;
297    let min_quantity_values = extract_optional_string_column_by_name(record_batch, "min_quantity")?;
298    let max_price_values = extract_optional_string_column_by_name(record_batch, "max_price")?;
299    let min_price_values = extract_optional_string_column_by_name(record_batch, "min_price")?;
300    let margin_init_values =
301        extract_column::<StringArray>(cols, "margin_init", 20, DataType::Utf8)?;
302    let margin_maint_values =
303        extract_column::<StringArray>(cols, "margin_maint", 21, DataType::Utf8)?;
304    let maker_fee_values = extract_column::<StringArray>(cols, "maker_fee", 22, DataType::Utf8)?;
305    let taker_fee_values = extract_column::<StringArray>(cols, "taker_fee", 23, DataType::Utf8)?;
306    let tick_scheme_values = extract_optional_string_column_by_name(record_batch, "tick_scheme")?;
307    let info_values =
308        extract_column_by_name_or_index::<BinaryArray>(record_batch, "info", 25, DataType::Binary)?;
309    let ts_event_values = extract_column_by_name_or_index::<UInt64Array>(
310        record_batch,
311        "ts_event",
312        26,
313        DataType::UInt64,
314    )?;
315    let ts_init_values = extract_column_by_name_or_index::<UInt64Array>(
316        record_batch,
317        "ts_init",
318        27,
319        DataType::UInt64,
320    )?;
321
322    let mut result = Vec::with_capacity(num_rows);
323
324    for i in 0..num_rows {
325        let id = InstrumentId::from_str(id_values.value(i))
326            .map_err(|e| EncodingError::ParseError("id", format!("row {i}: {e}")))?;
327        let raw_symbol = Symbol::from(raw_symbol_values.value(i));
328        let underlying = Ustr::from(underlying_values.value(i));
329        let asset_class = AssetClass::from_str(asset_class_values.value(i))
330            .map_err(|e| EncodingError::ParseError("asset_class", format!("row {i}: {e}")))?;
331
332        let exchange = if exchange_values.is_null(i) {
333            None
334        } else {
335            let exchange_str = exchange_values
336                .as_any()
337                .downcast_ref::<StringArray>()
338                .ok_or_else(|| {
339                    EncodingError::ParseError("exchange", format!("row {i}: invalid type"))
340                })?
341                .value(i);
342            Some(Ustr::from(exchange_str))
343        };
344
345        let option_kind = OptionKind::from_str(option_kind_values.value(i))
346            .map_err(|e| EncodingError::ParseError("option_kind", format!("row {i}: {e}")))?;
347        let strike_price = Price::from_str(strike_price_values.value(i))
348            .map_err(|e| EncodingError::ParseError("strike_price", format!("row {i}: {e}")))?;
349        let currency = super::decode_currency(
350            currency_values.value(i),
351            "currency",
352            "option_contract.currency",
353            i,
354        )?;
355        let activation_ns = nautilus_core::UnixNanos::from(activation_ns_values.value(i));
356        let expiration_ns = nautilus_core::UnixNanos::from(expiration_ns_values.value(i));
357        let price_prec = price_precision_values.value(i);
358        let _size_prec = size_precision_values.value(i); // Not used in constructor, set to default
359
360        let price_increment = Price::from_str(price_increment_values.value(i))
361            .map_err(|e| EncodingError::ParseError("price_increment", format!("row {i}: {e}")))?;
362        let _size_increment = Quantity::from_str(size_increment_values.value(i))
363            .map_err(|e| EncodingError::ParseError("size_increment", format!("row {i}: {e}")))?; // Not used in constructor, set to default
364        let multiplier = Quantity::from_str(multiplier_values.value(i))
365            .map_err(|e| EncodingError::ParseError("multiplier", format!("row {i}: {e}")))?;
366        let lot_size = Quantity::from_str(lot_size_values.value(i))
367            .map_err(|e| EncodingError::ParseError("lot_size", format!("row {i}: {e}")))?;
368
369        let margin_init = Decimal::from_str(margin_init_values.value(i))
370            .map_err(|e| EncodingError::ParseError("margin_init", format!("row {i}: {e}")))?;
371        let margin_maint = Decimal::from_str(margin_maint_values.value(i))
372            .map_err(|e| EncodingError::ParseError("margin_maint", format!("row {i}: {e}")))?;
373        let maker_fee = Decimal::from_str(maker_fee_values.value(i))
374            .map_err(|e| EncodingError::ParseError("maker_fee", format!("row {i}: {e}")))?;
375        let taker_fee = Decimal::from_str(taker_fee_values.value(i))
376            .map_err(|e| EncodingError::ParseError("taker_fee", format!("row {i}: {e}")))?;
377
378        // Decode info dict from JSON bytes (matching Python's msgspec.json.decode)
379        let info = if info_values.is_null(i) {
380            None
381        } else {
382            let info_bytes = info_values
383                .as_any()
384                .downcast_ref::<BinaryArray>()
385                .ok_or_else(|| EncodingError::ParseError("info", format!("row {i}: invalid type")))?
386                .value(i);
387
388            match serde_json::from_slice::<Params>(info_bytes) {
389                Ok(info_dict) => Some(info_dict),
390                Err(e) => {
391                    return Err(EncodingError::ParseError(
392                        "info",
393                        format!("row {i}: failed to deserialize JSON: {e}"),
394                    ));
395                }
396            }
397        };
398
399        let ts_event = nautilus_core::UnixNanos::from(ts_event_values.value(i));
400        let ts_init = nautilus_core::UnixNanos::from(ts_init_values.value(i));
401
402        let tick_scheme = optional_ustr_value(tick_scheme_values, i);
403
404        let option_contract = OptionContract::builder()
405            .instrument_id(id)
406            .raw_symbol(raw_symbol)
407            .asset_class(asset_class)
408            .maybe_exchange(exchange)
409            .underlying(underlying)
410            .option_kind(option_kind)
411            .strike_price(strike_price)
412            .currency(currency)
413            .activation_ns(activation_ns)
414            .expiration_ns(expiration_ns)
415            .price_precision(price_prec)
416            .price_increment(price_increment)
417            .multiplier(multiplier)
418            .lot_size(lot_size)
419            .maybe_max_quantity(super::optional_quantity_value(
420                max_quantity_values,
421                "max_quantity",
422                i,
423            )?)
424            .maybe_min_quantity(super::optional_quantity_value(
425                min_quantity_values,
426                "min_quantity",
427                i,
428            )?)
429            .maybe_max_price(super::optional_price_value(
430                max_price_values,
431                "max_price",
432                i,
433            )?)
434            .maybe_min_price(super::optional_price_value(
435                min_price_values,
436                "min_price",
437                i,
438            )?)
439            .margin_init(margin_init)
440            .margin_maint(margin_maint)
441            .maker_fee(maker_fee)
442            .taker_fee(taker_fee)
443            .maybe_tick_scheme(tick_scheme)
444            .maybe_info(info)
445            .ts_event(ts_event)
446            .ts_init(ts_init)
447            .build()
448            .map_err(|e| super::instrument_validation_error::<OptionContract>(i, e))?;
449
450        result.push(option_contract);
451    }
452
453    Ok(result)
454}
nautilus_serialization/arrow/instrument/option_contract.rs

nautilus_serialization/arrow/instrument/
option_contract.rs
