Add equity candle aggregation pipeline
This commit is contained in:
dirtydishes
parent
f889a2597b
commit
a87df21baa
13 changed files with 1188 additions and 10 deletions
253
services/candles/src/aggregator.ts
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253
services/candles/src/aggregator.ts
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import type { EquityCandle, EquityPrint } from "@islandflow/types";
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export type CandleAggregationConfig = {
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intervalsMs: number[];
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maxLateMs: number;
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};
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export type CandleAggregationResult = {
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emitted: EquityCandle[];
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droppedLate: number;
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};
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type CandleBuilder = {
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windowStart: number;
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intervalMs: number;
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underlyingId: string;
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open: number;
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high: number;
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low: number;
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close: number;
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volume: number;
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tradeCount: number;
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openTs: number;
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openSeq: number;
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openSourceTs: number;
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closeTs: number;
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closeSeq: number;
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closeIngestTs: number;
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};
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type IntervalState = {
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intervalMs: number;
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underlyingId: string;
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lastTsSeen: number;
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windows: Map<number, CandleBuilder>;
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};
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const toPositiveInt = (value: number): number | null => {
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if (!Number.isFinite(value)) {
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return null;
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}
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const normalized = Math.floor(value);
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if (normalized <= 0) {
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return null;
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}
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return normalized;
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};
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export const normalizeIntervals = (intervals: number[]): number[] => {
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const unique = new Set<number>();
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for (const interval of intervals) {
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const normalized = toPositiveInt(interval);
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if (normalized) {
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unique.add(normalized);
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}
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}
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return Array.from(unique).sort((a, b) => a - b);
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};
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export const parseIntervals = (value: string | undefined, fallback: number[]): number[] => {
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if (!value) {
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return normalizeIntervals(fallback);
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}
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const parsed = value
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.split(",")
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.map((entry) => Number(entry.trim()))
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.filter((entry) => Number.isFinite(entry));
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const normalized = normalizeIntervals(parsed);
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return normalized.length > 0 ? normalized : normalizeIntervals(fallback);
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};
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const buildStateKey = (underlyingId: string, intervalMs: number): string => {
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return `${underlyingId}:${intervalMs}`;
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};
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const getWindowStart = (ts: number, intervalMs: number): number => {
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return Math.floor(ts / intervalMs) * intervalMs;
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};
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const isEarlier = (ts: number, seq: number, otherTs: number, otherSeq: number): boolean => {
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if (ts !== otherTs) {
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return ts < otherTs;
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}
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return seq < otherSeq;
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};
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const isLater = (ts: number, seq: number, otherTs: number, otherSeq: number): boolean => {
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if (ts !== otherTs) {
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return ts > otherTs;
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}
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return seq > otherSeq;
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};
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const createBuilder = (
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print: EquityPrint,
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intervalMs: number,
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windowStart: number
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): CandleBuilder => {
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return {
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windowStart,
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intervalMs,
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underlyingId: print.underlying_id,
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open: print.price,
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high: print.price,
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low: print.price,
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close: print.price,
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volume: print.size,
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tradeCount: 1,
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openTs: print.ts,
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openSeq: print.seq,
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openSourceTs: print.source_ts,
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closeTs: print.ts,
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closeSeq: print.seq,
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closeIngestTs: print.ingest_ts
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};
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};
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const updateBuilder = (builder: CandleBuilder, print: EquityPrint): CandleBuilder => {
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builder.volume += print.size;
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builder.tradeCount += 1;
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builder.high = Math.max(builder.high, print.price);
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builder.low = Math.min(builder.low, print.price);
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if (isEarlier(print.ts, print.seq, builder.openTs, builder.openSeq)) {
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builder.open = print.price;
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builder.openTs = print.ts;
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builder.openSeq = print.seq;
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builder.openSourceTs = print.source_ts;
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}
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if (isLater(print.ts, print.seq, builder.closeTs, builder.closeSeq)) {
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builder.close = print.price;
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builder.closeTs = print.ts;
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builder.closeSeq = print.seq;
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builder.closeIngestTs = print.ingest_ts;
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}
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return builder;
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};
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const toEquityCandle = (builder: CandleBuilder): EquityCandle => {
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return {
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source_ts: builder.openSourceTs,
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ingest_ts: builder.closeIngestTs,
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seq: builder.closeSeq,
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trace_id: `candle:${builder.underlyingId}:${builder.intervalMs}:${builder.windowStart}`,
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ts: builder.windowStart,
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interval_ms: builder.intervalMs,
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underlying_id: builder.underlyingId,
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open: builder.open,
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high: builder.high,
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low: builder.low,
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close: builder.close,
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volume: builder.volume,
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trade_count: builder.tradeCount
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};
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};
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const flushState = (state: IntervalState, watermark: number): EquityCandle[] => {
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const eligibleStarts: number[] = [];
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for (const start of state.windows.keys()) {
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if (start + state.intervalMs <= watermark) {
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eligibleStarts.push(start);
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}
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}
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if (eligibleStarts.length === 0) {
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return [];
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}
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eligibleStarts.sort((a, b) => a - b);
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const emitted: EquityCandle[] = [];
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for (const start of eligibleStarts) {
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const builder = state.windows.get(start);
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if (!builder) {
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continue;
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}
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state.windows.delete(start);
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emitted.push(toEquityCandle(builder));
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}
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return emitted;
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};
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export class CandleAggregator {
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private readonly intervalsMs: number[];
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private readonly maxLateMs: number;
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private readonly stateByKey = new Map<string, IntervalState>();
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constructor(config: CandleAggregationConfig) {
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this.intervalsMs = normalizeIntervals(config.intervalsMs);
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this.maxLateMs = Math.max(0, Math.floor(config.maxLateMs));
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}
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ingest(print: EquityPrint): CandleAggregationResult {
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const emitted: EquityCandle[] = [];
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let droppedLate = 0;
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for (const intervalMs of this.intervalsMs) {
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const key = buildStateKey(print.underlying_id, intervalMs);
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const state =
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this.stateByKey.get(key) ??
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({
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intervalMs,
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underlyingId: print.underlying_id,
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lastTsSeen: 0,
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windows: new Map()
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} satisfies IntervalState);
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state.lastTsSeen = Math.max(state.lastTsSeen, print.ts);
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this.stateByKey.set(key, state);
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const windowStart = getWindowStart(print.ts, intervalMs);
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const windowEnd = windowStart + intervalMs;
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const watermark = Math.max(0, state.lastTsSeen - this.maxLateMs);
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if (windowEnd <= watermark && !state.windows.has(windowStart)) {
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droppedLate += 1;
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} else {
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const existing = state.windows.get(windowStart);
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if (existing) {
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updateBuilder(existing, print);
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} else {
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state.windows.set(windowStart, createBuilder(print, intervalMs, windowStart));
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}
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}
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emitted.push(...flushState(state, watermark));
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}
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return { emitted, droppedLate };
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}
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drain(): EquityCandle[] {
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const emitted: EquityCandle[] = [];
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for (const state of this.stateByKey.values()) {
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const starts = Array.from(state.windows.keys()).sort((a, b) => a - b);
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for (const start of starts) {
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const builder = state.windows.get(start);
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if (!builder) {
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continue;
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}
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state.windows.delete(start);
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emitted.push(toEquityCandle(builder));
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}
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}
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return emitted;
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}
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}
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@ -1,17 +1,387 @@
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import { createLogger } from "@islandflow/observability";
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import { readEnv } from "@islandflow/config";
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import { createLogger, createMetrics } from "@islandflow/observability";
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import {
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SUBJECT_EQUITY_CANDLES,
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SUBJECT_EQUITY_PRINTS,
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STREAM_EQUITY_CANDLES,
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STREAM_EQUITY_PRINTS,
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buildDurableConsumer,
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connectJetStreamWithRetry,
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ensureStream,
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publishJson,
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subscribeJson
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} from "@islandflow/bus";
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import {
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createClickHouseClient,
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ensureEquityCandlesTable,
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insertEquityCandle
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} from "@islandflow/storage";
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import { EquityCandleSchema, EquityPrintSchema, type EquityCandle } from "@islandflow/types";
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import { createClient } from "redis";
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import { z } from "zod";
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import { CandleAggregator, parseIntervals } from "./aggregator";
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const service = "candles";
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const logger = createLogger({ service });
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const metrics = createMetrics({ service });
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logger.info("service starting");
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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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CANDLE_INTERVALS_MS: z.string().default("1000,5000,60000"),
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CANDLE_MAX_LATE_MS: z.coerce.number().int().nonnegative().default(0),
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CANDLE_CACHE_LIMIT: z.coerce.number().int().nonnegative().default(2000),
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CANDLE_DELIVER_POLICY: z
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.enum(["new", "all", "last", "last_per_subject"])
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.default("new"),
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CANDLE_CONSUMER_RESET: z
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.preprocess((value) => {
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if (typeof value === "string") {
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const normalized = value.trim().toLowerCase();
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if (["1", "true", "yes", "on"].includes(normalized)) {
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return true;
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}
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if (["0", "false", "no", "off"].includes(normalized)) {
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return false;
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}
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}
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return value;
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}, z.boolean())
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.default(false)
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});
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const shutdown = (signal: string) => {
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logger.info("service stopping", { signal });
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process.exit(0);
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const env = readEnv(envSchema);
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const retry = async <T>(
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label: string,
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attempts: number,
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delayMs: number,
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task: () => Promise<T>
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): Promise<T> => {
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let lastError: unknown;
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for (let attempt = 1; attempt <= attempts; attempt += 1) {
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try {
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return await task();
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} catch (error) {
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lastError = error;
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logger.warn(`${label} attempt failed`, {
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attempt,
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error: error instanceof Error ? error.message : String(error)
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});
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if (attempt < attempts) {
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await new Promise((resolve) => setTimeout(resolve, delayMs));
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}
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}
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}
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throw lastError ?? new Error(`${label} failed after retries`);
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};
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process.on("SIGINT", () => shutdown("SIGINT"));
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process.on("SIGTERM", () => shutdown("SIGTERM"));
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const applyDeliverPolicy = (
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opts: ReturnType<typeof buildDurableConsumer>,
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policy: typeof env.CANDLE_DELIVER_POLICY
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) => {
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switch (policy) {
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case "all":
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opts.deliverAll();
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break;
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case "last":
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opts.deliverLast();
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break;
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case "last_per_subject":
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opts.deliverLastPerSubject();
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break;
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case "new":
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default:
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opts.deliverNew();
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break;
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}
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};
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// Keep the process alive until real listeners are wired.
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setInterval(() => {}, 60_000);
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const createRedisClient = (url: string) => {
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return createClient({ url });
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};
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const buildCacheKey = (underlyingId: string, intervalMs: number): string => {
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return `candles:equity:${intervalMs}:${underlyingId}`;
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};
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const cacheCandle = async (
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client: ReturnType<typeof createClient>,
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candle: EquityCandle,
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cacheLimit: number
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): Promise<void> => {
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if (cacheLimit <= 0) {
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return;
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}
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const key = buildCacheKey(candle.underlying_id, candle.interval_ms);
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const payload = JSON.stringify(candle);
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const maxAgeMs = candle.interval_ms * cacheLimit;
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const trimBefore = Math.max(0, candle.ts - maxAgeMs);
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const multi = client.multi();
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multi.zAdd(key, { score: candle.ts, value: payload });
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if (trimBefore > 0) {
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multi.zRemRangeByScore(key, 0, trimBefore);
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}
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await multi.exec();
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};
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const emitCandle = async (
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clickhouse: ReturnType<typeof createClickHouseClient>,
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js: Awaited<ReturnType<typeof connectJetStreamWithRetry>>["js"],
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redis: ReturnType<typeof createClient> | null,
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candle: EquityCandle,
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cacheLimit: number
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): Promise<void> => {
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try {
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await insertEquityCandle(clickhouse, candle);
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} catch (error) {
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metrics.count("candles.persist_failed", 1);
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logger.error("failed to persist candle", {
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error: error instanceof Error ? error.message : String(error),
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trace_id: candle.trace_id,
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underlying_id: candle.underlying_id,
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interval_ms: candle.interval_ms
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});
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return;
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}
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metrics.count("candles.emitted", 1, {
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interval_ms: String(candle.interval_ms)
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});
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try {
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await publishJson(js, SUBJECT_EQUITY_CANDLES, candle);
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} catch (error) {
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metrics.count("candles.publish_failed", 1);
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logger.error("failed to publish candle", {
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error: error instanceof Error ? error.message : String(error),
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trace_id: candle.trace_id,
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underlying_id: candle.underlying_id,
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interval_ms: candle.interval_ms
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});
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}
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if (redis && redis.isOpen) {
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try {
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await cacheCandle(redis, candle, cacheLimit);
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} catch (error) {
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metrics.count("candles.cache_failed", 1);
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logger.warn("failed to cache candle", {
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error: error instanceof Error ? error.message : String(error),
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trace_id: candle.trace_id,
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underlying_id: candle.underlying_id,
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interval_ms: candle.interval_ms
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});
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}
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}
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};
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const run = async () => {
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logger.info("service starting");
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const intervalsMs = parseIntervals(env.CANDLE_INTERVALS_MS, [1000, 5000, 60000]);
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if (intervalsMs.length === 0) {
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throw new Error("CANDLE_INTERVALS_MS produced no valid intervals");
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}
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const aggregator = new CandleAggregator({
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intervalsMs,
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maxLateMs: env.CANDLE_MAX_LATE_MS
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});
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const { nc, js, jsm } = await connectJetStreamWithRetry(
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{
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servers: env.NATS_URL,
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name: service
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},
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{ attempts: 20, delayMs: 500 }
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);
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await ensureStream(jsm, {
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name: STREAM_EQUITY_PRINTS,
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subjects: [SUBJECT_EQUITY_PRINTS],
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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_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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const clickhouse = createClickHouseClient({
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url: env.CLICKHOUSE_URL,
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database: env.CLICKHOUSE_DATABASE
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});
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await retry("clickhouse table init", 20, 500, async () => {
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await ensureEquityCandlesTable(clickhouse);
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});
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let redis: ReturnType<typeof createClient> | null = null;
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try {
|
||||
redis = createRedisClient(env.REDIS_URL);
|
||||
redis.on("error", (error) => {
|
||||
logger.warn("redis client error", {
|
||||
error: error instanceof Error ? error.message : String(error)
|
||||
});
|
||||
});
|
||||
await retry("redis connect", 20, 500, async () => {
|
||||
if (!redis) {
|
||||
return;
|
||||
}
|
||||
await redis.connect();
|
||||
});
|
||||
} catch (error) {
|
||||
logger.warn("redis unavailable, skipping hot cache", {
|
||||
error: error instanceof Error ? error.message : String(error)
|
||||
});
|
||||
redis = null;
|
||||
}
|
||||
|
||||
const durableName = "candles-equity-prints";
|
||||
if (env.CANDLE_CONSUMER_RESET) {
|
||||
try {
|
||||
await jsm.consumers.delete(STREAM_EQUITY_PRINTS, durableName);
|
||||
logger.warn("reset jetstream consumer", { durable: durableName });
|
||||
} catch (error) {
|
||||
const message = error instanceof Error ? error.message : String(error);
|
||||
if (!message.includes("not found")) {
|
||||
logger.warn("failed to reset jetstream consumer", { durable: durableName, error: message });
|
||||
}
|
||||
}
|
||||
} else {
|
||||
try {
|
||||
const info = await jsm.consumers.info(STREAM_EQUITY_PRINTS, durableName);
|
||||
if (info?.config?.deliver_policy && info.config.deliver_policy !== env.CANDLE_DELIVER_POLICY) {
|
||||
logger.warn("resetting consumer due to deliver policy change", {
|
||||
durable: durableName,
|
||||
current: info.config.deliver_policy,
|
||||
desired: env.CANDLE_DELIVER_POLICY
|
||||
});
|
||||
await jsm.consumers.delete(STREAM_EQUITY_PRINTS, durableName);
|
||||
}
|
||||
} catch (error) {
|
||||
const message = error instanceof Error ? error.message : String(error);
|
||||
if (!message.includes("not found")) {
|
||||
logger.warn("failed to inspect jetstream consumer", { durable: durableName, error: message });
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
const subscribeWithReset = async () => {
|
||||
const opts = buildDurableConsumer(durableName);
|
||||
applyDeliverPolicy(opts, env.CANDLE_DELIVER_POLICY);
|
||||
try {
|
||||
return await subscribeJson(js, SUBJECT_EQUITY_PRINTS, opts);
|
||||
} catch (error) {
|
||||
const message = error instanceof Error ? error.message : String(error);
|
||||
const shouldReset =
|
||||
message.includes("duplicate subscription") ||
|
||||
message.includes("durable requires") ||
|
||||
message.includes("subject does not match consumer");
|
||||
|
||||
if (!shouldReset) {
|
||||
throw error;
|
||||
}
|
||||
|
||||
logger.warn("resetting jetstream consumer", { durable: durableName, error: message });
|
||||
|
||||
try {
|
||||
await jsm.consumers.delete(STREAM_EQUITY_PRINTS, durableName);
|
||||
} catch (deleteError) {
|
||||
const deleteMessage = deleteError instanceof Error ? deleteError.message : String(deleteError);
|
||||
if (!deleteMessage.includes("not found")) {
|
||||
logger.warn("failed to delete jetstream consumer", {
|
||||
durable: durableName,
|
||||
error: deleteMessage
|
||||
});
|
||||
}
|
||||
}
|
||||
|
||||
const resetOpts = buildDurableConsumer(durableName);
|
||||
applyDeliverPolicy(resetOpts, env.CANDLE_DELIVER_POLICY);
|
||||
return await subscribeJson(js, SUBJECT_EQUITY_PRINTS, resetOpts);
|
||||
}
|
||||
};
|
||||
|
||||
const subscription = await subscribeWithReset();
|
||||
let droppedLate = 0;
|
||||
let lastLateLog = Date.now();
|
||||
|
||||
const loop = async () => {
|
||||
for await (const msg of subscription.messages) {
|
||||
try {
|
||||
const print = EquityPrintSchema.parse(subscription.decode(msg));
|
||||
metrics.count("candles.prints", 1);
|
||||
|
||||
const result = aggregator.ingest(print);
|
||||
if (result.droppedLate > 0) {
|
||||
droppedLate += result.droppedLate;
|
||||
metrics.count("candles.prints_late", result.droppedLate);
|
||||
const now = Date.now();
|
||||
if (now - lastLateLog > 5000) {
|
||||
logger.warn("late equity prints dropped", { dropped: droppedLate });
|
||||
droppedLate = 0;
|
||||
lastLateLog = now;
|
||||
}
|
||||
}
|
||||
|
||||
for (const candle of result.emitted) {
|
||||
const validated = EquityCandleSchema.parse(candle);
|
||||
await emitCandle(clickhouse, js, redis, validated, env.CANDLE_CACHE_LIMIT);
|
||||
}
|
||||
|
||||
msg.ack();
|
||||
} catch (error) {
|
||||
metrics.count("candles.prints_failed", 1);
|
||||
logger.error("failed to process equity print", {
|
||||
error: error instanceof Error ? error.message : String(error)
|
||||
});
|
||||
msg.term();
|
||||
}
|
||||
}
|
||||
};
|
||||
|
||||
const shutdown = async (signal: string) => {
|
||||
logger.info("service stopping", { signal });
|
||||
const remaining = aggregator.drain();
|
||||
for (const candle of remaining) {
|
||||
const validated = EquityCandleSchema.parse(candle);
|
||||
await emitCandle(clickhouse, js, redis, validated, env.CANDLE_CACHE_LIMIT);
|
||||
}
|
||||
if (redis && redis.isOpen) {
|
||||
await redis.quit();
|
||||
}
|
||||
await nc.drain();
|
||||
await clickhouse.close();
|
||||
process.exit(0);
|
||||
};
|
||||
|
||||
process.on("SIGINT", () => void shutdown("SIGINT"));
|
||||
process.on("SIGTERM", () => void shutdown("SIGTERM"));
|
||||
|
||||
void loop();
|
||||
};
|
||||
|
||||
await run();
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue