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Add hosted synthetic control plane

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dirtydishes 2026-05-13 22:10:05 -04:00
parent af04875107
commit 8dcbcd2201
21 changed files with 3695 additions and 772 deletions
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1792
services/ingest-options/src/adapters/synthetic.ts
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41
services/ingest-options/src/index.ts
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@ -11,9 +11,12 @@ import {
STREAM_OPTION_SIGNAL_PRINTS,
buildDurableConsumer,
connectJetStreamWithRetry,
ensureSyntheticControlState,
ensureKnownStreams,
openSyntheticControlKv,
publishJson,
subscribeJson
subscribeJson,
watchSyntheticControlState
} from "@islandflow/bus";
import {
createClickHouseClient,
@ -26,12 +29,14 @@ import {
OptionNBBOSchema,
OptionPrintSchema,
EquityQuoteSchema,
DEFAULT_SYNTHETIC_CONTROL_STATE,
deriveOptionPrintMetadata,
resolveSyntheticMarketModes,
type EquityQuote,
type OptionNBBO,
type OptionPrint,
type OptionsSignalConfig
type OptionsSignalConfig,
type SyntheticControlState
} from "@islandflow/types";
import { createAlpacaOptionsAdapter } from "./adapters/alpaca";
import { createDatabentoOptionsAdapter } from "./adapters/databento";
@ -259,11 +264,15 @@ const retry = async <T>(
throw lastError ?? new Error(`${label} failed after retries`);
};
const selectAdapter = (name: string): OptionIngestAdapter => {
const selectAdapter = (
name: string,
getSyntheticControl: () => SyntheticControlState
): OptionIngestAdapter => {
if (name === "synthetic") {
return createSyntheticOptionsAdapter({
emitIntervalMs: env.EMIT_INTERVAL_MS,
mode: syntheticModes.options
mode: syntheticModes.options,
getControl: getSyntheticControl
});
}
@ -351,6 +360,24 @@ const run = async () => {
{ logger }
);
let syntheticControl = DEFAULT_SYNTHETIC_CONTROL_STATE;
let stopSyntheticControlWatch = async () => {};
if (env.OPTIONS_INGEST_ADAPTER === "synthetic") {
const syntheticControlKv = await openSyntheticControlKv(js);
syntheticControl = await ensureSyntheticControlState(syntheticControlKv);
stopSyntheticControlWatch = await watchSyntheticControlState(
syntheticControlKv,
(nextControl) => {
syntheticControl = nextControl;
},
(error) => {
logger.warn("synthetic control watch failed", {
error: getErrorMessage(error)
});
}
);
}
const clickhouse = createClickHouseClient({
url: env.CLICKHOUSE_URL,
database: env.CLICKHOUSE_DATABASE
@ -361,7 +388,10 @@ const run = async () => {
await ensureOptionNBBOTable(clickhouse);
});
const adapter = selectAdapter(env.OPTIONS_INGEST_ADAPTER);
const adapter = selectAdapter(
env.OPTIONS_INGEST_ADAPTER,
() => syntheticControl
);
logger.info("ingest adapter selected", { adapter: adapter.name });
const allowPublish = buildThrottle(env.TESTING_MODE, env.TESTING_THROTTLE_MS);
const allowNbboPublish = buildThrottle(env.TESTING_MODE, env.TESTING_THROTTLE_MS);
@ -482,6 +512,7 @@ const run = async () => {
state.shutdownPromise = (async () => {
logger.info("service stopping", { signal });
clearInterval(pruneTimer);
await stopSyntheticControlWatch();
await stopAdapter();
try {