Protobuf, nested maps?

Question

I'm using Protobuf 3. From the docs, it seems like it's not possible to define nested maps:

message MyMessage {
  map<string, map<string, string>> nestedMap = 1; // doesn't work
}

I'm trying to create a message type to represent pricing information (bid and ask prices) for an Option Chain. For those unfamiliar with these financial instruments, basically, I have a set of "expiration dates (YYYYMMDD)". In each of these expiration dates I have a set of "strikes (float numbers; could be represented as strings if necessary, I'm ok with that)". In each strike I have 2 options, one "put" and one "call" (this is called the "right" of the option). Each one of these options will contain a "bid" and an "ask" price.

Conceptually, I would like to have something like

message OptionChain {
  // doesn't work:
  map<Expiration, map<Strike, map<Right, BidAskData>>> whatever = 1;
}

The alternative I found is this:

message OptChain {
  map<string, OptChainExpirations> expirations = 1;
}
message OptChainExpirations {
  map<string, OptChainExpirationsStrikes> strikes = 1;
}
message OptChainExpirationsStrikes {
  OptBidAsk put = 1;
  OptBidAsk call = 2;
}
message OptBidAsk {
  double bid = 1;
  double ask = 2;
  // any other fields that might be necessary in the future
}

This seems to work. But this also seems to add unnecessary complexity to my system, by defining a ton of "intermediate" messages.

Are there any alternatives?

Thanks!

EDIT: for some extra context:

an option chain will typically contain no more than about 6-10 different expirations, each expiration will typically not contain more than about a few dozen strikes. In other words, we're talking of about take a few kilobytes of data at most, for each option chain.
I'll be using this as the return value of one gRPC call. Feel free to suggest alternative designs for this!

jpa · Accepted Answer · 2016-08-10 06:55:14Z

2

To me, your alternative with intermediate message types seems fine. It might be worth to simplify the naming a bit, e.g. Strike instead of OptChainExpirationsStrikes. If you fear name collisions, put it all in its own namespace/package.

Also consider whether you will be looking up strikes based on the string key, or if it would be better as a normal repeated field.

answered Aug 10, 2016 at 6:55

jpa

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