Add Databento NBBO replay ingestion
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dirtydishes
parent
c8c8094594
commit
4f743437d1
3 changed files with 200 additions and 76 deletions
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@ -122,17 +122,32 @@ class SymbolResolver:
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return len(self._pending)
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def _first_attr(record, names: list[str]):
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for name in names:
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if not name:
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continue
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value = getattr(record, name, None)
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if value is not None:
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return value
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return None
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def _to_int(value, default: int = 0) -> int:
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try:
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return int(value)
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except (TypeError, ValueError):
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return default
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def build_payload(record, symbol_override: str | None = None) -> dict | None:
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ts_event = getattr(record, "ts_event", None)
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price = getattr(record, "price", None)
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size = getattr(record, "size", None)
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symbol = symbol_override or (
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getattr(record, "symbol", None)
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or getattr(record, "raw_symbol", None)
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or getattr(record, "instrument_id", None)
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)
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if ts_event is None or price is None or size is None or symbol is None:
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if ts_event is None or symbol is None:
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return None
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ts_ms = normalize_ts(ts_event)
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@ -144,11 +159,16 @@ def build_payload(record, symbol_override: str | None = None) -> dict | None:
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or getattr(record, "publisher_id", None)
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or getattr(record, "exchange_id", None)
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)
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price = getattr(record, "price", None)
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size = getattr(record, "size", None)
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if price is not None and size is not None:
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conditions = getattr(record, "conditions", None) or getattr(record, "condition", None)
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if isinstance(conditions, str):
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conditions = [conditions]
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payload = {
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"type": "trade",
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"ts": ts_ms,
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"price": float(price),
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"size": int(size),
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@ -162,6 +182,29 @@ def build_payload(record, symbol_override: str | None = None) -> dict | None:
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return payload
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bid = _first_attr(record, ["bid_px", "bid_price", "bid"])
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ask = _first_attr(record, ["ask_px", "ask_price", "ask"])
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if bid is None or ask is None:
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return None
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bid_size = _first_attr(record, ["bid_sz", "bid_size", "bid_qty", "bid_q"])
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ask_size = _first_attr(record, ["ask_sz", "ask_size", "ask_qty", "ask_q"])
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payload = {
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"type": "nbbo",
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"ts": ts_ms,
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"bid": float(bid),
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"ask": float(ask),
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"bidSize": int(bid_size) if bid_size is not None else 0,
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"askSize": int(ask_size) if ask_size is not None else 0,
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"symbol": stringify(symbol),
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}
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if exchange is not None:
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payload["exchange"] = stringify(exchange)
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return payload
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def emit_payload(payload: dict | None) -> None:
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if payload is None:
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@ -239,7 +282,10 @@ def main() -> int:
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date = dt.datetime.utcfromtimestamp(ts_ms / 1000).date()
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if is_numeric_symbol(symbol):
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instrument_id = int(symbol)
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instrument_id = _to_int(symbol, default=-1)
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if instrument_id < 0:
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return
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mapped = resolver.lookup(instrument_id, date)
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if mapped:
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emit_payload(build_payload(record, mapped))
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@ -5,6 +5,7 @@ type DatabentoOptionsAdapterConfig = {
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apiKey: string;
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dataset: string;
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schema: string;
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nbboSchema: string;
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start: string;
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end?: string;
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symbols: string;
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@ -16,6 +17,7 @@ type DatabentoOptionsAdapterConfig = {
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};
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type DatabentoTradeMessage = {
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type: "trade";
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ts: number;
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price: number;
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size: number;
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@ -24,6 +26,19 @@ type DatabentoTradeMessage = {
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conditions?: string[] | string;
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};
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type DatabentoNbboMessage = {
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type: "nbbo";
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ts: number;
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bid: number;
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ask: number;
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bidSize?: number;
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askSize?: number;
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symbol: string;
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exchange?: string;
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};
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type DatabentoReplayMessage = DatabentoTradeMessage | DatabentoNbboMessage;
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type OptionContract = {
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root: string;
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expiry: string;
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@ -139,13 +154,15 @@ export const createDatabentoOptionsAdapter = (
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}
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const scriptPath = new URL("../../py/databento_replay.py", import.meta.url).pathname;
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const buildArgs = (schema: string): string[] => {
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const args = [
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config.pythonBin,
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scriptPath,
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"--dataset",
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config.dataset,
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"--schema",
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config.schema,
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schema,
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"--start",
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config.start,
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"--symbols",
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@ -164,20 +181,12 @@ export const createDatabentoOptionsAdapter = (
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args.push("--limit", String(config.limit));
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}
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const child = Bun.spawn(args, {
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stdout: "pipe",
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stderr: "inherit",
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env: {
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...Bun.env,
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DATABENTO_API_KEY: config.apiKey
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}
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});
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return args;
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};
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if (!child.stdout) {
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throw new Error("Databento adapter failed to attach stdout.");
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}
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let seq = 0;
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const children: Bun.Subprocess[] = [];
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let tradeSeq = 0;
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let nbboSeq = 0;
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const contractIdCache = new Map<string, string>();
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const warnedSymbols = new Set<string>();
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@ -201,27 +210,33 @@ export const createDatabentoOptionsAdapter = (
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const handleLine = (line: string) => {
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try {
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const payload = JSON.parse(line) as DatabentoTradeMessage;
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if (!payload) {
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const payload = JSON.parse(line) as DatabentoReplayMessage;
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if (!payload || typeof payload !== "object") {
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return;
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}
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const symbol = String((payload as { symbol?: unknown }).symbol ?? "").trim();
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if (!symbol) {
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return;
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}
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const sourceTs = normalizeTimestamp(Number((payload as { ts?: unknown }).ts));
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if (!Number.isFinite(sourceTs)) {
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return;
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}
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const ingestTs = Date.now();
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const contractId = resolveContractId(symbol);
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if (payload.type === "trade") {
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const price = Number(payload.price);
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const size = Number(payload.size);
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if (!Number.isFinite(price) || !Number.isFinite(size)) {
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return;
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}
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const symbol = String(payload.symbol ?? "").trim();
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if (!symbol) {
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return;
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}
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const sourceTs = normalizeTimestamp(Number(payload.ts));
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const ingestTs = Date.now();
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seq += 1;
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const scaledPrice = config.priceScale === 1 ? price : price / config.priceScale;
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const scaledPrice =
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config.priceScale === 1 ? price : price / config.priceScale;
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const conditions = Array.isArray(payload.conditions)
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? payload.conditions.map((entry) => String(entry))
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@ -229,27 +244,88 @@ export const createDatabentoOptionsAdapter = (
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? [payload.conditions]
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: undefined;
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tradeSeq += 1;
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void handlers.onTrade({
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source_ts: sourceTs,
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ingest_ts: ingestTs,
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seq,
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trace_id: `databento-${seq}`,
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seq: tradeSeq,
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trace_id: `databento-${tradeSeq}`,
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ts: sourceTs,
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option_contract_id: resolveContractId(symbol),
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option_contract_id: contractId,
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price: scaledPrice,
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size,
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exchange: payload.exchange ? String(payload.exchange) : "OPRA",
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conditions
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});
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return;
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}
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if (payload.type === "nbbo") {
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if (!handlers.onNBBO) {
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return;
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}
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const bid = Number(payload.bid);
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const ask = Number(payload.ask);
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if (!Number.isFinite(bid) || !Number.isFinite(ask)) {
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return;
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}
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const scaledBid = config.priceScale === 1 ? bid : bid / config.priceScale;
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const scaledAsk = config.priceScale === 1 ? ask : ask / config.priceScale;
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const bidSize = Math.max(0, Math.floor(Number(payload.bidSize ?? 0)));
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const askSize = Math.max(0, Math.floor(Number(payload.askSize ?? 0)));
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nbboSeq += 1;
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void handlers.onNBBO({
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source_ts: sourceTs,
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ingest_ts: ingestTs,
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seq: nbboSeq,
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trace_id: `databento-${nbboSeq}`,
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ts: sourceTs,
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option_contract_id: contractId,
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bid: scaledBid,
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ask: scaledAsk,
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bidSize,
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askSize
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});
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}
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} catch {
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// Ignore malformed lines to keep replay streaming.
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}
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};
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const spawnStream = (schema: string): void => {
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const trimmed = schema.trim();
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if (!trimmed) {
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return;
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}
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const child = Bun.spawn(buildArgs(trimmed), {
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stdout: "pipe",
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stderr: "inherit",
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env: {
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...Bun.env,
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DATABENTO_API_KEY: config.apiKey
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}
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});
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if (!child.stdout) {
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throw new Error("Databento adapter failed to attach stdout.");
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}
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children.push(child);
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void readLines(child.stdout, handleLine);
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};
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spawnStream(config.schema);
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spawnStream(config.nbboSchema);
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return () => {
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for (const child of children) {
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child.kill();
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}
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};
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}
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};
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@ -46,6 +46,7 @@ const envSchema = z.object({
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DATABENTO_API_KEY: z.string().default(""),
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DATABENTO_DATASET: z.string().default("OPRA.PILLAR"),
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DATABENTO_SCHEMA: z.string().default("trades"),
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DATABENTO_NBBO_SCHEMA: z.string().default("tbbo"),
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DATABENTO_START: z.string().default(""),
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DATABENTO_END: z.string().default(""),
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DATABENTO_SYMBOLS: z.string().default("ALL"),
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@ -188,6 +189,7 @@ const selectAdapter = (name: string): OptionIngestAdapter => {
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apiKey: env.DATABENTO_API_KEY,
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dataset: env.DATABENTO_DATASET,
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schema: env.DATABENTO_SCHEMA,
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nbboSchema: env.DATABENTO_NBBO_SCHEMA,
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start: env.DATABENTO_START,
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end: env.DATABENTO_END || undefined,
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symbols: env.DATABENTO_SYMBOLS,
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