Add equity print quote joins

This commit is contained in:
dirtydishes 2026-01-04 17:07:43 -05:00
parent 9908c431f0
commit 3164167bee
15 changed files with 1033 additions and 7 deletions

View file

@ -1,4 +1,4 @@
import { SP500_SYMBOLS, type EquityPrint } from "@islandflow/types";
import { SP500_SYMBOLS, type EquityPrint, type EquityQuote } from "@islandflow/types";
import type { EquityIngestAdapter, EquityIngestHandlers } from "./types";
type SyntheticEquitiesAdapterConfig = {
@ -38,6 +38,25 @@ const buildSyntheticPrint = (
};
};
const buildSyntheticQuote = (
seq: number,
now: number,
symbol: string,
bid: number,
ask: number
): EquityQuote => {
return {
source_ts: now,
ingest_ts: now,
seq,
trace_id: `synthetic-equity-quote-${seq}`,
ts: now,
underlying_id: symbol,
bid,
ask
};
};
export const createSyntheticEquitiesAdapter = (
config: SyntheticEquitiesAdapterConfig
): EquityIngestAdapter => {
@ -45,6 +64,7 @@ export const createSyntheticEquitiesAdapter = (
name: "synthetic",
start: (handlers: EquityIngestHandlers) => {
let seq = 0;
let quoteSeq = 0;
let timer: ReturnType<typeof setInterval> | null = null;
let stopped = false;
@ -65,8 +85,18 @@ export const createSyntheticEquitiesAdapter = (
const size = 10 + (seq % 600);
const exchange = EXCHANGES[(seq + symbolHash) % EXCHANGES.length];
const offExchangeFlag = (seq + i) % 6 === 0;
const print = buildSyntheticPrint(seq, now + i * 4, symbol, price, size, exchange, offExchangeFlag);
const eventTs = now + i * 4;
const print = buildSyntheticPrint(seq, eventTs, symbol, price, size, exchange, offExchangeFlag);
void handlers.onTrade(print);
if (handlers.onQuote) {
quoteSeq += 1;
const spread = Math.max(0.02, Number((price * 0.002).toFixed(2)));
const bid = Math.max(0.01, Number((price - spread / 2).toFixed(2)));
const ask = Math.max(bid + 0.01, Number((price + spread / 2).toFixed(2)));
const quote = buildSyntheticQuote(quoteSeq, eventTs, symbol, bid, ask);
void handlers.onQuote(quote);
}
}
};