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Add Alpaca equities ingest adapter

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Adds an Alpaca-backed equities adapter with exchange metadata mapping for conservative off-exchange tagging and a small helper test suite.
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dirtydishes 2026-01-20 10:43:36 -05:00
parent debbc1046b
commit 1175dd00cc
4 changed files with 393 additions and 0 deletions
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28
services/ingest-equities/src/index.ts
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@ -22,6 +22,7 @@ import {
type EquityPrint,
type EquityQuote
} from "@islandflow/types";
import { createAlpacaEquitiesAdapter } from "./adapters/alpaca";
import { createSyntheticEquitiesAdapter } from "./adapters/synthetic";
import type { EquityIngestAdapter, StopHandler } from "./adapters/types";
import { z } from "zod";
@ -35,6 +36,15 @@ const envSchema = z.object({
CLICKHOUSE_DATABASE: z.string().default("default"),
EQUITIES_INGEST_ADAPTER: z.string().min(1).default("synthetic"),
EMIT_INTERVAL_MS: z.coerce.number().int().positive().default(1000),
// Alpaca (equities)
ALPACA_KEY_ID: z.string().default(""),
ALPACA_SECRET_KEY: z.string().default(""),
ALPACA_REST_URL: z.string().default("https://data.alpaca.markets"),
ALPACA_WS_BASE_URL: z.string().default("wss://stream.data.alpaca.markets"),
ALPACA_UNDERLYINGS: z.string().default("SPY,NVDA,AAPL"),
ALPACA_EQUITIES_FEED: z.enum(["iex", "sip"]).default("iex"),
TESTING_MODE: z
.preprocess((value) => {
if (typeof value === "string") {
@ -113,11 +123,29 @@ const retry = async <T>(
throw lastError ?? new Error(`${label} failed after retries`);
};
const parseSymbolList = (value: string): string[] => {
return value
.split(",")
.map((entry) => entry.trim())
.filter(Boolean);
};
const selectAdapter = (name: string): EquityIngestAdapter => {
if (name === "synthetic") {
return createSyntheticEquitiesAdapter({ emitIntervalMs: env.EMIT_INTERVAL_MS });
}
if (name === "alpaca") {
return createAlpacaEquitiesAdapter({
keyId: env.ALPACA_KEY_ID,
secretKey: env.ALPACA_SECRET_KEY,
restUrl: env.ALPACA_REST_URL,
wsBaseUrl: env.ALPACA_WS_BASE_URL,
feed: env.ALPACA_EQUITIES_FEED,
symbols: parseSymbolList(env.ALPACA_UNDERLYINGS)
});
}
throw new Error(`Unknown ingest adapter: ${name}`);
};