Add equity candle aggregation pipeline
This commit is contained in:
dirtydishes
parent
f889a2597b
commit
a87df21baa
13 changed files with 1188 additions and 10 deletions
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@ -3,6 +3,7 @@ import { createLogger } from "@islandflow/observability";
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import {
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SUBJECT_ALERTS,
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SUBJECT_CLASSIFIER_HITS,
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SUBJECT_EQUITY_CANDLES,
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SUBJECT_EQUITY_JOINS,
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SUBJECT_EQUITY_PRINTS,
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SUBJECT_EQUITY_QUOTES,
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@ -12,6 +13,7 @@ import {
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SUBJECT_OPTION_PRINTS,
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STREAM_ALERTS,
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STREAM_CLASSIFIER_HITS,
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STREAM_EQUITY_CANDLES,
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STREAM_EQUITY_JOINS,
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STREAM_EQUITY_PRINTS,
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STREAM_EQUITY_QUOTES,
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@ -28,6 +30,7 @@ import {
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createClickHouseClient,
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ensureAlertsTable,
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ensureClassifierHitsTable,
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ensureEquityCandlesTable,
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ensureEquityPrintJoinsTable,
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ensureEquityPrintsTable,
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ensureEquityQuotesTable,
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@ -41,6 +44,8 @@ import {
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fetchRecentFlowPackets,
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fetchRecentInferredDark,
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fetchRecentEquityQuotes,
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fetchEquityCandlesAfter,
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fetchEquityCandlesRange,
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fetchRecentOptionNBBO,
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fetchEquityPrintsAfter,
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fetchEquityPrintJoinsAfter,
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@ -54,6 +59,7 @@ import {
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import {
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AlertEventSchema,
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ClassifierHitEventSchema,
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EquityCandleSchema,
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EquityPrintSchema,
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EquityPrintJoinSchema,
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EquityQuoteSchema,
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@ -62,6 +68,7 @@ import {
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OptionNBBOSchema,
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OptionPrintSchema
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} from "@islandflow/types";
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import { createClient } from "redis";
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import { z } from "zod";
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const service = "api";
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@ -72,6 +79,7 @@ const envSchema = z.object({
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NATS_URL: z.string().default("nats://localhost:4222"),
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CLICKHOUSE_URL: z.string().default("http://localhost:8123"),
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CLICKHOUSE_DATABASE: z.string().default("default"),
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REDIS_URL: z.string().default("redis://localhost:6379"),
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REST_DEFAULT_LIMIT: z.coerce.number().int().positive().default(200)
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});
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@ -105,16 +113,30 @@ const retry = async <T>(
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};
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const limitSchema = z.coerce.number().int().positive().max(1000);
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const candleLimitSchema = z.coerce.number().int().positive().max(5000);
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const replayParamsSchema = z.object({
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after_ts: z.coerce.number().int().nonnegative().default(0),
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after_seq: z.coerce.number().int().nonnegative().default(0),
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limit: z.coerce.number().int().positive().max(1000).default(200)
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});
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const candleQuerySchema = z.object({
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underlying_id: z.string().min(1),
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interval_ms: z.coerce.number().int().positive(),
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start_ts: z.coerce.number().int().nonnegative().optional(),
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end_ts: z.coerce.number().int().nonnegative().optional(),
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limit: candleLimitSchema.optional(),
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cache: z.string().optional()
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});
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const candleReplaySchema = replayParamsSchema.extend({
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underlying_id: z.string().min(1),
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interval_ms: z.coerce.number().int().positive()
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});
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type Channel =
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| "options"
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| "options-nbbo"
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| "equities"
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| "equity-candles"
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| "equity-quotes"
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| "equity-joins"
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| "inferred-dark"
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@ -129,6 +151,7 @@ type WsData = {
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const optionSockets = new Set<WebSocket<WsData>>();
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const optionNbboSockets = new Set<WebSocket<WsData>>();
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const equitySockets = new Set<WebSocket<WsData>>();
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const equityCandleSockets = new Set<WebSocket<WsData>>();
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const equityQuoteSockets = new Set<WebSocket<WsData>>();
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const equityJoinSockets = new Set<WebSocket<WsData>>();
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const inferredDarkSockets = new Set<WebSocket<WsData>>();
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@ -167,6 +190,70 @@ const parseReplayParams = (url: URL): { afterTs: number; afterSeq: number; limit
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};
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};
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const parseBooleanParam = (value: string | null | undefined): boolean => {
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if (!value) {
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return false;
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}
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const normalized = value.trim().toLowerCase();
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return ["1", "true", "yes", "on"].includes(normalized);
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};
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const parseCandleParams = (
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url: URL
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): {
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underlyingId: string;
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intervalMs: number;
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startTs: number;
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endTs: number;
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limit: number;
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useCache: boolean;
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} => {
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const params = candleQuerySchema.parse({
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underlying_id: url.searchParams.get("underlying_id") ?? undefined,
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interval_ms: url.searchParams.get("interval_ms") ?? undefined,
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start_ts: url.searchParams.get("start_ts") ?? undefined,
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end_ts: url.searchParams.get("end_ts") ?? undefined,
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limit: url.searchParams.get("limit") ?? undefined,
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cache: url.searchParams.get("cache") ?? undefined
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});
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const endTs = params.end_ts ?? Date.now();
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const limit = params.limit ?? env.REST_DEFAULT_LIMIT;
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const startTs =
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params.start_ts ?? Math.max(0, Math.floor(endTs - params.interval_ms * limit));
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const rangeStart = Math.min(startTs, endTs);
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const rangeEnd = Math.max(startTs, endTs);
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return {
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underlyingId: params.underlying_id,
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intervalMs: params.interval_ms,
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startTs: rangeStart,
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endTs: rangeEnd,
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limit,
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useCache: parseBooleanParam(params.cache)
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};
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};
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const parseCandleReplayParams = (
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url: URL
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): { underlyingId: string; intervalMs: number; afterTs: number; afterSeq: number; limit: number } => {
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const params = candleReplaySchema.parse({
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underlying_id: url.searchParams.get("underlying_id") ?? undefined,
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interval_ms: url.searchParams.get("interval_ms") ?? undefined,
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after_ts: url.searchParams.get("after_ts") ?? undefined,
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after_seq: url.searchParams.get("after_seq") ?? undefined,
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limit: url.searchParams.get("limit") ?? undefined
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});
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return {
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underlyingId: params.underlying_id,
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intervalMs: params.interval_ms,
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afterTs: params.after_ts,
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afterSeq: params.after_seq,
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limit: params.limit
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};
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};
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const broadcast = (sockets: Set<WebSocket<WsData>>, payload: unknown): void => {
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const message = JSON.stringify(payload);
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@ -182,6 +269,40 @@ const broadcast = (sockets: Set<WebSocket<WsData>>, payload: unknown): void => {
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}
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};
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const buildCandleCacheKey = (underlyingId: string, intervalMs: number): string => {
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return `candles:equity:${intervalMs}:${underlyingId}`;
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};
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const fetchEquityCandlesFromCache = async (
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client: ReturnType<typeof createClient>,
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underlyingId: string,
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intervalMs: number,
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startTs: number,
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endTs: number
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): Promise<unknown[]> => {
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const key = buildCandleCacheKey(underlyingId, intervalMs);
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const payloads = await client.zRangeByScore(key, startTs, endTs);
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const parsed = payloads
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.map((payload) => {
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try {
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return JSON.parse(payload) as unknown;
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} catch {
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return null;
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}
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})
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.filter((value): value is unknown => value !== null);
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const validated: unknown[] = [];
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for (const entry of parsed) {
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const result = EquityCandleSchema.safeParse(entry);
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if (result.success) {
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validated.push(result.data);
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}
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}
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return validated;
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};
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const run = async () => {
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logger.info("service starting");
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@ -245,6 +366,19 @@ const run = async () => {
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num_replicas: 1
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});
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await ensureStream(jsm, {
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name: STREAM_EQUITY_CANDLES,
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subjects: [SUBJECT_EQUITY_CANDLES],
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retention: "limits",
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storage: "file",
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discard: "old",
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max_msgs_per_subject: -1,
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max_msgs: -1,
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max_bytes: -1,
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max_age: 0,
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num_replicas: 1
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});
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await ensureStream(jsm, {
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name: STREAM_EQUITY_JOINS,
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subjects: [SUBJECT_EQUITY_JOINS],
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@ -320,6 +454,7 @@ const run = async () => {
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await ensureOptionNBBOTable(clickhouse);
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await ensureEquityPrintsTable(clickhouse);
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await ensureEquityQuotesTable(clickhouse);
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await ensureEquityCandlesTable(clickhouse);
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await ensureEquityPrintJoinsTable(clickhouse);
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await ensureInferredDarkTable(clickhouse);
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await ensureFlowPacketsTable(clickhouse);
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@ -327,6 +462,27 @@ const run = async () => {
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await ensureAlertsTable(clickhouse);
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});
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let redis: ReturnType<typeof createClient> | null = null;
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try {
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redis = createClient({ url: env.REDIS_URL });
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redis.on("error", (error) => {
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logger.warn("redis client error", {
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error: error instanceof Error ? error.message : String(error)
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});
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});
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await retry("redis connect", 5, 500, async () => {
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if (!redis) {
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return;
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}
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await redis.connect();
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});
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} catch (error) {
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logger.warn("redis unavailable, skipping candle cache", {
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error: error instanceof Error ? error.message : String(error)
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});
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redis = null;
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}
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const subscribeWithReset = async <T>(
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subject: string,
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stream: string,
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@ -389,6 +545,12 @@ const run = async () => {
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"api-equity-quotes"
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);
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const equityCandleSubscription = await subscribeWithReset(
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SUBJECT_EQUITY_CANDLES,
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STREAM_EQUITY_CANDLES,
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"api-equity-candles"
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);
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const equityJoinSubscription = await subscribeWithReset(
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SUBJECT_EQUITY_JOINS,
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STREAM_EQUITY_JOINS,
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@ -479,6 +641,21 @@ const run = async () => {
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}
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};
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const pumpEquityCandles = async () => {
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for await (const msg of equityCandleSubscription.messages) {
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try {
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const payload = EquityCandleSchema.parse(equityCandleSubscription.decode(msg));
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broadcast(equityCandleSockets, { type: "equity-candle", payload });
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msg.ack();
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} catch (error) {
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logger.error("failed to process equity candle", {
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error: error instanceof Error ? error.message : String(error)
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});
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msg.term();
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}
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}
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};
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const pumpEquityJoins = async () => {
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for await (const msg of equityJoinSubscription.messages) {
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try {
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@ -558,6 +735,7 @@ const run = async () => {
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void pumpOptionNbbo();
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void pumpEquities();
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void pumpEquityQuotes();
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void pumpEquityCandles();
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void pumpEquityJoins();
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void pumpInferredDark();
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void pumpFlow();
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@ -597,6 +775,43 @@ const run = async () => {
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return jsonResponse({ data });
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}
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if (req.method === "GET" && url.pathname === "/candles/equities") {
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try {
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const { underlyingId, intervalMs, startTs, endTs, limit, useCache } =
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parseCandleParams(url);
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if (useCache && redis && redis.isOpen) {
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const cached = await fetchEquityCandlesFromCache(
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redis,
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underlyingId,
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intervalMs,
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startTs,
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endTs
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);
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if (cached.length > 0) {
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return jsonResponse({ data: cached });
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}
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}
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const data = await fetchEquityCandlesRange(
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clickhouse,
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underlyingId,
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intervalMs,
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startTs,
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endTs,
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limit
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);
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return jsonResponse({ data });
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} catch (error) {
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return jsonResponse(
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{
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error: "invalid candle query",
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detail: error instanceof Error ? error.message : String(error)
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},
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400
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);
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}
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}
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if (req.method === "GET" && url.pathname === "/joins/equities") {
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const limit = parseLimit(url.searchParams.get("limit"));
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const data = await fetchRecentEquityPrintJoins(clickhouse, limit);
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@ -659,6 +874,32 @@ const run = async () => {
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return jsonResponse({ data, next });
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}
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if (req.method === "GET" && url.pathname === "/replay/equity-candles") {
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try {
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const { underlyingId, intervalMs, afterTs, afterSeq, limit } =
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parseCandleReplayParams(url);
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const data = await fetchEquityCandlesAfter(
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clickhouse,
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underlyingId,
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intervalMs,
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afterTs,
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afterSeq,
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limit
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);
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const last = data.at(-1);
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const next = last ? { ts: last.ts, seq: last.seq } : null;
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return jsonResponse({ data, next });
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} catch (error) {
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return jsonResponse(
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{
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error: "invalid candle replay query",
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detail: error instanceof Error ? error.message : String(error)
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},
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400
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);
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}
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}
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if (req.method === "GET" && url.pathname === "/replay/equity-joins") {
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const { afterTs, afterSeq, limit } = parseReplayParams(url);
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const data = await fetchEquityPrintJoinsAfter(clickhouse, afterTs, afterSeq, limit);
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@ -699,6 +940,14 @@ const run = async () => {
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return jsonResponse({ error: "websocket upgrade failed" }, 400);
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}
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if (req.method === "GET" && url.pathname === "/ws/equity-candles") {
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if (serverRef.upgrade(req, { data: { channel: "equity-candles" } })) {
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return new Response(null, { status: 101 });
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}
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return jsonResponse({ error: "websocket upgrade failed" }, 400);
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}
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if (req.method === "GET" && url.pathname === "/ws/equity-quotes") {
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if (serverRef.upgrade(req, { data: { channel: "equity-quotes" } })) {
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return new Response(null, { status: 101 });
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@ -757,6 +1006,8 @@ const run = async () => {
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optionNbboSockets.add(socket);
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} else if (socket.data.channel === "equities") {
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equitySockets.add(socket);
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} else if (socket.data.channel === "equity-candles") {
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equityCandleSockets.add(socket);
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} else if (socket.data.channel === "equity-quotes") {
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equityQuoteSockets.add(socket);
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} else if (socket.data.channel === "equity-joins") {
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@ -780,6 +1031,8 @@ const run = async () => {
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optionNbboSockets.delete(socket);
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} else if (socket.data.channel === "equities") {
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equitySockets.delete(socket);
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} else if (socket.data.channel === "equity-candles") {
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equityCandleSockets.delete(socket);
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} else if (socket.data.channel === "equity-quotes") {
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equityQuoteSockets.delete(socket);
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} else if (socket.data.channel === "equity-joins") {
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@ -804,6 +1057,9 @@ const run = async () => {
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const shutdown = async (signal: string) => {
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logger.info("service stopping", { signal });
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server.stop();
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if (redis && redis.isOpen) {
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await redis.quit();
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}
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await nc.drain();
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await clickhouse.close();
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process.exit(0);
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