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71 changed files with 2262 additions and 1173 deletions
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@ -52,11 +52,7 @@ type ReplayStreamKind = "options" | "nbbo" | "equities" | "equity-quotes";
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type ReplayEvent = OptionPrint | OptionNBBO | EquityPrint | EquityQuote;
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type FetchAfter = (
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afterTs: number,
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afterSeq: number,
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limit: number
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) => Promise<ReplayEvent[]>;
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type FetchAfter = (afterTs: number, afterSeq: number, limit: number) => Promise<ReplayEvent[]>;
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type ReplayStream = {
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kind: ReplayStreamKind;
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@ -79,7 +75,12 @@ const STREAM_DEFS: Record<
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subject: string;
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streamName: string;
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rank: number;
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fetchAfter: (client: ReturnType<typeof createClickHouseClient>, afterTs: number, afterSeq: number, limit: number) => Promise<ReplayEvent[]>;
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fetchAfter: (
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client: ReturnType<typeof createClickHouseClient>,
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afterTs: number,
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afterSeq: number,
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limit: number
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) => Promise<ReplayEvent[]>;
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}
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> = {
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options: {
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@ -196,7 +197,9 @@ const getEventIngestTs = (event: ReplayEvent): number =>
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const getEventSeq = (event: ReplayEvent): number => (Number.isFinite(event.seq) ? event.seq : 0);
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const pickNextEvent = (streams: ReplayStream[]): { stream: ReplayStream; event: ReplayEvent } | null => {
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const pickNextEvent = (
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streams: ReplayStream[]
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): { stream: ReplayStream; event: ReplayEvent } | null => {
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let choice: { stream: ReplayStream; event: ReplayEvent } | null = null;
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for (const stream of streams) {
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@ -313,7 +316,8 @@ const run = async () => {
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kind,
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subject: def.subject,
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streamName: def.streamName,
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fetchAfter: (afterTs, afterSeq, limit) => def.fetchAfter(clickhouse, afterTs, afterSeq, limit),
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fetchAfter: (afterTs, afterSeq, limit) =>
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def.fetchAfter(clickhouse, afterTs, afterSeq, limit),
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buffer: [],
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cursor: { ...startCursor },
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done: false,
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