Implement server-backed live history
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10 changed files with 402 additions and 44 deletions
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@ -92,6 +92,7 @@ REPLAY_LOG_EVERY=1000
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LIVE_LIMIT_OPTIONS=10000
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LIVE_LIMIT_NBBO=10000
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LIVE_LIMIT_EQUITIES=10000
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LIVE_LIMIT_EQUITY_QUOTES=10000
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LIVE_LIMIT_EQUITY_JOINS=10000
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LIVE_LIMIT_FLOW=10000
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LIVE_LIMIT_CLASSIFIER_HITS=10000
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@ -261,6 +261,7 @@ Default `smart-money` policy rejects lower-information prints and keeps high-con
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| `LIVE_LIMIT_OPTIONS` | `10000` | In-memory/Redis live cache depth for options channel (clamped `1..100000`). |
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| `LIVE_LIMIT_NBBO` | `10000` | Live cache depth for options NBBO channel (clamped `1..100000`). |
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| `LIVE_LIMIT_EQUITIES` | `10000` | Live cache depth for equities channel (clamped `1..100000`). |
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| `LIVE_LIMIT_EQUITY_QUOTES` | `10000` | Live cache depth for equity quotes channel (clamped `1..100000`). |
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| `LIVE_LIMIT_EQUITY_JOINS` | `10000` | Live cache depth for equity join channel (clamped `1..100000`). |
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| `LIVE_LIMIT_FLOW` | `10000` | Live cache depth for flow packet channel (clamped `1..100000`). |
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| `LIVE_LIMIT_CLASSIFIER_HITS` | `10000` | Live cache depth for classifier hits channel (clamped `1..100000`). |
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@ -303,7 +304,10 @@ Default `smart-money` policy rejects lower-information prints and keeps high-con
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- `view=raw` — audit/debug path that preserves every stored print.
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- The default Tape page options/packets posture is now stock-only, hides `B` / `BB`, keeps calls and puts visible, and applies in-memory min-notional controls immediately.
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- Live retention uses a two-tier model:
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- API/Redis maintain a bounded hot cache per live generic channel.
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- ClickHouse is durable server history; Redis is a bounded hot cache per live generic channel.
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- `LIVE_LIMIT_*` controls initial snapshot/hot-cache depth, not total persisted history.
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- Browser state is only a rendering window and UI preferences, not a market-data database.
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- Devices connected to the same API hydrate from the same server-seen history.
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- UI keeps a bounded hot window for rendering performance around the signal view rather than raw noise.
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- Options prints can use a deeper dedicated cap via `NEXT_PUBLIC_LIVE_HOT_WINDOW_OPTIONS` without raising every other feed.
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- Alert/drawer evidence is pinned and hydrated by id/trace so details remain inspectable after hot-window eviction.
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@ -783,6 +783,30 @@ h3 {
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white-space: nowrap;
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}
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.load-older {
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display: flex;
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flex: 0 0 auto;
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align-items: center;
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justify-content: center;
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gap: 10px;
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padding: 4px 0 0;
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font-size: 0.76rem;
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color: var(--muted);
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}
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.load-older button {
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min-width: 112px;
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white-space: nowrap;
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}
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.load-older span {
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max-width: 260px;
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overflow: hidden;
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text-overflow: ellipsis;
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white-space: nowrap;
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color: var(--danger);
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}
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.missed-count {
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width: 86px;
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font-size: 0.72rem;
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@ -23,6 +23,7 @@ import type {
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EquityCandle,
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EquityPrint,
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EquityPrintJoin,
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EquityQuote,
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FlowPacket,
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InferredDarkEvent,
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LiveServerMessage,
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@ -2173,9 +2174,15 @@ type LiveSessionState = {
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connectedAt: number | null;
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lastUpdate: number | null;
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lastEventByChannel: Partial<Record<LiveSubscription["channel"], number>>;
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manifest: LiveSubscription[];
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historyCursors: Partial<Record<string, Cursor | null>>;
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historyLoading: Partial<Record<string, boolean>>;
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historyErrors: Partial<Record<string, string | null>>;
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loadOlder: (channel: LiveSubscription["channel"]) => Promise<void>;
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options: OptionPrint[];
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nbbo: OptionNBBO[];
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equities: EquityPrint[];
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equityQuotes: EquityQuote[];
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equityJoins: EquityPrintJoin[];
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flow: FlowPacket[];
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classifierHits: ClassifierHitEvent[];
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@ -2185,6 +2192,46 @@ type LiveSessionState = {
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chartOverlay: EquityPrint[];
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};
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type LiveHistoryResponse<T> = {
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data: T[];
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next_before: Cursor | null;
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};
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const LIVE_HISTORY_ENDPOINTS: Partial<Record<LiveSubscription["channel"], string>> = {
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options: "/history/options",
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nbbo: "/history/nbbo",
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equities: "/history/equities",
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"equity-quotes": "/history/equity-quotes",
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"equity-joins": "/history/equity-joins",
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flow: "/history/flow",
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"classifier-hits": "/history/classifier-hits",
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alerts: "/history/alerts",
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"inferred-dark": "/history/inferred-dark"
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};
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const appendOptionFlowFilters = (params: URLSearchParams, filters: OptionFlowFilters | undefined): void => {
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if (!filters) {
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return;
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}
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if (filters.view) {
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params.set("view", filters.view);
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}
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if (filters.securityTypes?.length === 1) {
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params.set("security", filters.securityTypes[0]);
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} else if (filters.securityTypes && filters.securityTypes.length > 1) {
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params.set("security", "all");
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}
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if (filters.nbboSides?.length) {
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params.set("side", filters.nbboSides.join(","));
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}
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if (filters.optionTypes?.length) {
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params.set("type", filters.optionTypes.join(","));
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}
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if (typeof filters.minNotional === "number") {
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params.set("min_notional", String(filters.minNotional));
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}
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};
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const dedupeLiveSubscriptions = (subscriptions: LiveSubscription[]): LiveSubscription[] => {
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const seen = new Set<string>();
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return subscriptions.filter((subscription) => {
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@ -2266,9 +2313,13 @@ const useLiveSession = (
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const [lastEventByChannel, setLastEventByChannel] = useState<
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Partial<Record<LiveSubscription["channel"], number>>
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>({});
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const [historyCursors, setHistoryCursors] = useState<Partial<Record<string, Cursor | null>>>({});
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const [historyLoading, setHistoryLoading] = useState<Partial<Record<string, boolean>>>({});
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const [historyErrors, setHistoryErrors] = useState<Partial<Record<string, string | null>>>({});
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const [options, setOptions] = useState<OptionPrint[]>([]);
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const [nbbo, setNbbo] = useState<OptionNBBO[]>([]);
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const [equities, setEquities] = useState<EquityPrint[]>([]);
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const [equityQuotes, setEquityQuotes] = useState<EquityQuote[]>([]);
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const [equityJoins, setEquityJoins] = useState<EquityPrintJoin[]>([]);
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const [flow, setFlow] = useState<FlowPacket[]>([]);
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const [classifierHits, setClassifierHits] = useState<ClassifierHitEvent[]>([]);
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@ -2291,9 +2342,13 @@ const useLiveSession = (
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setConnectedAt(null);
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setLastUpdate(null);
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setLastEventByChannel({});
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setHistoryCursors({});
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setHistoryLoading({});
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setHistoryErrors({});
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setOptions([]);
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setNbbo([]);
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setEquities([]);
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setEquityQuotes([]);
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setEquityJoins([]);
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setFlow([]);
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setClassifierHits([]);
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@ -2347,6 +2402,7 @@ const useLiveSession = (
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const subscription = message.op === "snapshot" ? message.snapshot.subscription : message.subscription;
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const items = message.op === "snapshot" ? message.snapshot.items : [message.item];
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const subscriptionKey = getLiveSubscriptionKey(subscription);
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const updateAt = Date.now();
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const mergeItems = <T extends SortableItem>(
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@ -2380,6 +2436,9 @@ const useLiveSession = (
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case "equities":
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mergeItems(setEquities, items as EquityPrint[]);
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break;
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case "equity-quotes":
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mergeItems(setEquityQuotes, items as EquityQuote[]);
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break;
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case "equity-joins":
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mergeItems(setEquityJoins, items as EquityPrintJoin[]);
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break;
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@ -2403,6 +2462,17 @@ const useLiveSession = (
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break;
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}
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if (message.op === "snapshot") {
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setHistoryCursors((current) => ({
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...current,
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[subscriptionKey]: message.snapshot.next_before
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}));
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setHistoryErrors((current) => ({
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...current,
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[subscriptionKey]: null
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}));
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}
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if (items.length > 0) {
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setLastEventByChannel((current) => ({
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...current,
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@ -2503,14 +2573,114 @@ const useLiveSession = (
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subscribedMapRef.current = nextMap;
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}, [enabled, manifest]);
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const loadOlder = useCallback(
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async (channel: LiveSubscription["channel"]) => {
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const subscription = manifest.find((candidate) => candidate.channel === channel);
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if (!enabled || !subscription) {
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return;
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}
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const endpoint = LIVE_HISTORY_ENDPOINTS[subscription.channel];
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if (!endpoint) {
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return;
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}
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const key = getLiveSubscriptionKey(subscription);
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const cursor = historyCursors[key];
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if (!cursor || historyLoading[key]) {
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return;
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}
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setHistoryLoading((current) => ({ ...current, [key]: true }));
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setHistoryErrors((current) => ({ ...current, [key]: null }));
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try {
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const params = new URLSearchParams({
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before_ts: String(cursor.ts),
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before_seq: String(cursor.seq),
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limit: String(subscription.channel === "options" ? 500 : 200)
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});
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if (subscription.channel === "options" || subscription.channel === "flow") {
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appendOptionFlowFilters(params, subscription.filters);
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}
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const response = await fetch(buildApiUrl(`${endpoint}?${params.toString()}`));
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if (!response.ok) {
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const detail = await readErrorDetail(response);
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throw new Error(detail || `HTTP ${response.status}`);
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}
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const payload = (await response.json()) as LiveHistoryResponse<SortableItem>;
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const older = payload.data ?? [];
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const mergeOlder = <T extends SortableItem>(
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setter: Dispatch<SetStateAction<T[]>>,
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limit: number
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) => {
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setter((prev) =>
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mergeNewest(older as T[], prev, limit, (evicted) =>
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incrementRetentionMetric("hotWindowEvictions", evicted)
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)
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);
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};
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switch (subscription.channel) {
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case "options":
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mergeOlder(setOptions, LIVE_HOT_WINDOW_OPTIONS);
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break;
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case "nbbo":
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mergeOlder(setNbbo, LIVE_HOT_WINDOW);
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break;
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case "equities":
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mergeOlder(setEquities, LIVE_HOT_WINDOW);
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break;
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case "equity-quotes":
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mergeOlder(setEquityQuotes, LIVE_HOT_WINDOW);
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break;
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case "equity-joins":
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mergeOlder(setEquityJoins, LIVE_HOT_WINDOW);
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break;
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case "flow":
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mergeOlder(setFlow, LIVE_HOT_WINDOW);
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break;
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case "classifier-hits":
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mergeOlder(setClassifierHits, LIVE_HOT_WINDOW);
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break;
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case "alerts":
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mergeOlder(setAlerts, LIVE_HOT_WINDOW);
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break;
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case "inferred-dark":
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mergeOlder(setInferredDark, LIVE_HOT_WINDOW);
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break;
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}
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setHistoryCursors((current) => ({
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...current,
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[key]: older.length > 0 ? payload.next_before : null
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}));
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setLastUpdate(Date.now());
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} catch (error) {
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setHistoryErrors((current) => ({
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...current,
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[key]: error instanceof Error ? error.message : String(error)
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}));
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} finally {
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setHistoryLoading((current) => ({ ...current, [key]: false }));
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}
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},
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[enabled, manifest, historyCursors, historyLoading]
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);
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return {
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status,
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connectedAt,
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lastUpdate,
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lastEventByChannel,
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manifest,
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historyCursors,
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historyLoading,
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historyErrors,
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loadOlder,
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options,
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nbbo,
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equities,
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equityQuotes,
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equityJoins,
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flow,
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classifierHits,
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@ -2582,6 +2752,39 @@ const TapeControls = ({ paused, onTogglePause, isAtTop, missed, onJump }: TapeCo
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);
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};
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type LoadOlderControlProps = {
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channel: LiveSubscription["channel"];
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};
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const LoadOlderControl = ({ channel }: LoadOlderControlProps) => {
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const state = useTerminal();
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const subscription = state.liveSession.manifest.find((candidate) => candidate.channel === channel);
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if (state.mode !== "live" || !subscription || !(subscription.channel in LIVE_HISTORY_ENDPOINTS)) {
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return null;
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}
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const key = getLiveSubscriptionKey(subscription);
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const cursor = state.liveSession.historyCursors[key];
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const loading = Boolean(state.liveSession.historyLoading[key]);
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const error = state.liveSession.historyErrors[key];
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if (!cursor && !loading && !error) {
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return null;
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}
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return (
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<div className="load-older">
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<button
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type="button"
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onClick={() => void state.liveSession.loadOlder(channel)}
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disabled={!cursor || loading}
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>
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{loading ? "Loading older" : cursor ? "Load older" : "No more history"}
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</button>
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{error ? <span>{error}</span> : null}
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</div>
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);
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};
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type CandleChartProps = {
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ticker: string;
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intervalMs: number;
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@ -5265,6 +5468,7 @@ const OptionsPane = ({ limit }: OptionsPaneProps) => {
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) : null}
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</div>
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)}
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{!limit ? <LoadOlderControl channel="options" /> : null}
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</div>
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</Pane>
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);
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@ -5342,6 +5546,7 @@ const EquitiesPane = ({ limit }: EquitiesPaneProps) => {
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{virtual.bottomSpacerHeight > 0 ? (
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<div style={{ height: `${virtual.bottomSpacerHeight}px` }} aria-hidden />
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) : null}
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{!limit ? <LoadOlderControl channel="equities" /> : null}
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</>
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)}
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</div>
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@ -5481,6 +5686,7 @@ const FlowPane = ({ limit, title = "Flow" }: FlowPaneProps) => {
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{virtual.bottomSpacerHeight > 0 ? (
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<div style={{ height: `${virtual.bottomSpacerHeight}px` }} aria-hidden />
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) : null}
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{!limit ? <LoadOlderControl channel="flow" /> : null}
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</>
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)}
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</div>
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@ -5576,6 +5782,7 @@ const AlertsPane = ({ limit, withStrip = false, className }: AlertsPaneProps) =>
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{virtual.bottomSpacerHeight > 0 ? (
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<div style={{ height: `${virtual.bottomSpacerHeight}px` }} aria-hidden />
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) : null}
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{!limit ? <LoadOlderControl channel="alerts" /> : null}
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</>
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)}
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</div>
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@ -5656,6 +5863,7 @@ const ClassifierPane = ({ limit, className }: ClassifierPaneProps) => {
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{virtual.bottomSpacerHeight > 0 ? (
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<div style={{ height: `${virtual.bottomSpacerHeight}px` }} aria-hidden />
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) : null}
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{!limit ? <LoadOlderControl channel="classifier-hits" /> : null}
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</>
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)}
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</div>
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@ -5743,6 +5951,7 @@ const DarkPane = ({ limit, className }: DarkPaneProps) => {
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{virtual.bottomSpacerHeight > 0 ? (
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<div style={{ height: `${virtual.bottomSpacerHeight}px` }} aria-hidden />
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) : null}
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{!limit ? <LoadOlderControl channel="inferred-dark" /> : null}
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</>
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)}
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</div>
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@ -1264,6 +1264,22 @@ export const fetchEquityPrintsBefore = async (
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return EquityPrintSchema.array().parse(rows.map(normalizeEquityRow));
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};
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export const fetchEquityQuotesBefore = async (
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client: ClickHouseClient,
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beforeTs: number,
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beforeSeq: number,
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limit: number
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): Promise<EquityQuote[]> => {
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const safeLimit = clampLimit(limit);
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const result = await client.query({
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query: `SELECT * FROM ${EQUITY_QUOTES_TABLE} WHERE ${buildBeforeTupleCondition("ts", "seq", beforeTs, beforeSeq)} ORDER BY ts DESC, seq DESC LIMIT ${safeLimit}`,
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format: "JSONEachRow"
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});
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const rows = await result.json<unknown[]>();
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return EquityQuoteSchema.array().parse(rows.map(normalizeEquityQuoteRow));
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};
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export const fetchEquityPrintJoinsBefore = async (
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client: ClickHouseClient,
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beforeTs: number,
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@ -4,6 +4,7 @@ import {
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EQUITY_QUOTES_TABLE,
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normalizeEquityQuote
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} from "../src/equity-quotes";
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import { fetchEquityQuotesBefore, type ClickHouseClient } from "../src/clickhouse";
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const baseQuote = {
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source_ts: 100,
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@ -27,4 +28,35 @@ describe("equity-quotes storage helpers", () => {
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expect(ddl).toContain(EQUITY_QUOTES_TABLE);
|
||||
expect(ddl).toContain("CREATE TABLE IF NOT EXISTS");
|
||||
});
|
||||
|
||||
it("fetches older quotes with tuple cursor ordering", async () => {
|
||||
let queryText = "";
|
||||
const client = {
|
||||
query: async ({ query }: { query: string }) => {
|
||||
queryText = query;
|
||||
return {
|
||||
async json<T>() {
|
||||
return [
|
||||
{
|
||||
...baseQuote,
|
||||
source_ts: 90,
|
||||
ingest_ts: 201,
|
||||
seq: 2,
|
||||
trace_id: "trace-2",
|
||||
ts: 90
|
||||
}
|
||||
] as T;
|
||||
}
|
||||
};
|
||||
}
|
||||
} as unknown as ClickHouseClient;
|
||||
|
||||
const rows = await fetchEquityQuotesBefore(client, 100, 3, 25);
|
||||
|
||||
expect(rows).toHaveLength(1);
|
||||
expect(rows[0]?.trace_id).toBe("trace-2");
|
||||
expect(queryText).toContain(EQUITY_QUOTES_TABLE);
|
||||
expect(queryText).toContain("WHERE (ts, seq) < (100, 3)");
|
||||
expect(queryText).toContain("ORDER BY ts DESC, seq DESC LIMIT 25");
|
||||
});
|
||||
});
|
||||
|
|
|
|||
|
|
@ -5,6 +5,7 @@ import {
|
|||
EquityCandleSchema,
|
||||
EquityPrintJoinSchema,
|
||||
EquityPrintSchema,
|
||||
EquityQuoteSchema,
|
||||
FlowPacketSchema,
|
||||
InferredDarkEventSchema,
|
||||
OptionNBBOSchema,
|
||||
|
|
@ -26,6 +27,7 @@ export const LiveGenericChannelSchema = z.enum([
|
|||
"options",
|
||||
"nbbo",
|
||||
"equities",
|
||||
"equity-quotes",
|
||||
"equity-joins",
|
||||
"flow",
|
||||
"classifier-hits",
|
||||
|
|
@ -37,6 +39,7 @@ export const LiveChannelSchema = z.enum([
|
|||
"options",
|
||||
"nbbo",
|
||||
"equities",
|
||||
"equity-quotes",
|
||||
"equity-joins",
|
||||
"flow",
|
||||
"classifier-hits",
|
||||
|
|
@ -59,7 +62,7 @@ export const LiveSubscriptionSchema = z.discriminatedUnion("channel", [
|
|||
filters: OptionFlowFiltersSchema.optional()
|
||||
}),
|
||||
z.object({
|
||||
channel: z.enum(["nbbo", "equities", "equity-joins", "classifier-hits", "alerts", "inferred-dark"])
|
||||
channel: z.enum(["nbbo", "equities", "equity-quotes", "equity-joins", "classifier-hits", "alerts", "inferred-dark"])
|
||||
}),
|
||||
z.object({
|
||||
channel: z.literal("equity-candles"),
|
||||
|
|
@ -78,6 +81,7 @@ const livePayloadSchemas = {
|
|||
options: OptionPrintSchema,
|
||||
nbbo: OptionNBBOSchema,
|
||||
equities: EquityPrintSchema,
|
||||
"equity-quotes": EquityQuoteSchema,
|
||||
"equity-joins": EquityPrintJoinSchema,
|
||||
flow: FlowPacketSchema,
|
||||
"classifier-hits": ClassifierHitEventSchema,
|
||||
|
|
|
|||
|
|
@ -60,6 +60,7 @@ import {
|
|||
fetchEquityPrintsBefore,
|
||||
fetchEquityPrintsRange,
|
||||
fetchEquityPrintJoinsAfter,
|
||||
fetchEquityQuotesBefore,
|
||||
fetchEquityQuotesAfter,
|
||||
fetchInferredDarkBefore,
|
||||
fetchInferredDarkAfter,
|
||||
|
|
@ -977,19 +978,21 @@ const run = async () => {
|
|||
const fanoutLive = async (
|
||||
subscription: LiveSubscription,
|
||||
item: unknown,
|
||||
ingestChannel: "options" | "nbbo" | "equities" | "equity-candles" | "equity-overlay" | "equity-joins" | "flow" | "classifier-hits" | "alerts" | "inferred-dark"
|
||||
ingestChannel: "options" | "nbbo" | "equities" | "equity-quotes" | "equity-candles" | "equity-overlay" | "equity-joins" | "flow" | "classifier-hits" | "alerts" | "inferred-dark"
|
||||
) => {
|
||||
const watermark = await liveState.ingest(ingestChannel, item);
|
||||
|
||||
if (
|
||||
(ingestChannel === "options" ||
|
||||
ingestChannel === "nbbo" ||
|
||||
ingestChannel === "equities" ||
|
||||
ingestChannel === "equity-quotes" ||
|
||||
ingestChannel === "flow") &&
|
||||
!isLiveItemFresh(ingestChannel, item)
|
||||
) {
|
||||
return;
|
||||
}
|
||||
|
||||
const watermark = await liveState.ingest(ingestChannel, item);
|
||||
const matchingSubscriptions =
|
||||
subscription.channel === "options" || subscription.channel === "flow"
|
||||
? [...subscriptionDefinitions.entries()].filter(([, candidate]) => candidate.channel === subscription.channel)
|
||||
|
|
@ -1088,6 +1091,7 @@ const run = async () => {
|
|||
try {
|
||||
const payload = EquityQuoteSchema.parse(equityQuoteSubscription.decode(msg));
|
||||
broadcast(equityQuoteSockets, { type: "equity-quote", payload });
|
||||
await fanoutLive({ channel: "equity-quotes" }, payload, "equity-quotes");
|
||||
msg.ack();
|
||||
} catch (error) {
|
||||
logger.error("failed to process equity quote", {
|
||||
|
|
@ -1380,6 +1384,12 @@ const run = async () => {
|
|||
return jsonResponse(buildHistoryResponse(data, (item) => ({ ts: item.ts, seq: item.seq })));
|
||||
}
|
||||
|
||||
if (req.method === "GET" && url.pathname === "/history/equity-quotes") {
|
||||
const { beforeTs, beforeSeq, limit } = parseBeforeParams(url);
|
||||
const data = await fetchEquityQuotesBefore(clickhouse, beforeTs, beforeSeq, limit);
|
||||
return jsonResponse(buildHistoryResponse(data, (item) => ({ ts: item.ts, seq: item.seq })));
|
||||
}
|
||||
|
||||
if (req.method === "GET" && url.pathname === "/history/equity-joins") {
|
||||
const { beforeTs, beforeSeq, limit } = parseBeforeParams(url);
|
||||
const data = await fetchEquityPrintJoinsBefore(clickhouse, beforeTs, beforeSeq, limit);
|
||||
|
|
|
|||
|
|
@ -5,6 +5,7 @@ import {
|
|||
fetchRecentEquityCandles,
|
||||
fetchRecentEquityPrintJoins,
|
||||
fetchRecentEquityPrints,
|
||||
fetchRecentEquityQuotes,
|
||||
fetchRecentFlowPackets,
|
||||
fetchRecentInferredDark,
|
||||
fetchRecentOptionNBBO,
|
||||
|
|
@ -18,6 +19,7 @@ import {
|
|||
EquityCandleSchema,
|
||||
EquityPrintJoinSchema,
|
||||
EquityPrintSchema,
|
||||
EquityQuoteSchema,
|
||||
FeedSnapshot,
|
||||
FlowPacketSchema,
|
||||
InferredDarkEventSchema,
|
||||
|
|
@ -44,6 +46,7 @@ const GENERIC_LIMIT_ENV_KEYS: Record<LiveGenericChannel, string> = {
|
|||
options: "LIVE_LIMIT_OPTIONS",
|
||||
nbbo: "LIVE_LIMIT_NBBO",
|
||||
equities: "LIVE_LIMIT_EQUITIES",
|
||||
"equity-quotes": "LIVE_LIMIT_EQUITY_QUOTES",
|
||||
"equity-joins": "LIVE_LIMIT_EQUITY_JOINS",
|
||||
flow: "LIVE_LIMIT_FLOW",
|
||||
"classifier-hits": "LIVE_LIMIT_CLASSIFIER_HITS",
|
||||
|
|
@ -69,6 +72,7 @@ export const LIVE_FRESHNESS_THRESHOLDS: Partial<Record<LiveGenericChannel, numbe
|
|||
options: 15_000,
|
||||
nbbo: 15_000,
|
||||
equities: 15_000,
|
||||
"equity-quotes": 15_000,
|
||||
flow: 30_000
|
||||
};
|
||||
|
||||
|
|
@ -102,6 +106,7 @@ export const resolveGenericLiveLimits = (env: NodeJS.ProcessEnv = process.env):
|
|||
options: parseGenericLimit(env, "options", DEFAULT_GENERIC_LIMIT),
|
||||
nbbo: parseGenericLimit(env, "nbbo", DEFAULT_GENERIC_LIMIT),
|
||||
equities: parseGenericLimit(env, "equities", DEFAULT_GENERIC_LIMIT),
|
||||
"equity-quotes": parseGenericLimit(env, "equity-quotes", DEFAULT_GENERIC_LIMIT),
|
||||
"equity-joins": parseGenericLimit(env, "equity-joins", DEFAULT_GENERIC_LIMIT),
|
||||
flow: parseGenericLimit(env, "flow", DEFAULT_GENERIC_LIMIT),
|
||||
"classifier-hits": parseGenericLimit(env, "classifier-hits", DEFAULT_GENERIC_LIMIT),
|
||||
|
|
@ -154,6 +159,14 @@ const getGenericConfig = (limits: GenericLiveLimits): {
|
|||
cursor: (item) => ({ ts: item.ts, seq: item.seq }),
|
||||
fetchRecent: fetchRecentEquityPrints
|
||||
},
|
||||
"equity-quotes": {
|
||||
redisKey: "live:equity-quotes",
|
||||
cursorField: "equity-quotes",
|
||||
limit: limits["equity-quotes"],
|
||||
parse: (value) => EquityQuoteSchema.parse(value),
|
||||
cursor: (item) => ({ ts: item.ts, seq: item.seq }),
|
||||
fetchRecent: fetchRecentEquityQuotes
|
||||
},
|
||||
"equity-joins": {
|
||||
redisKey: "live:equity-joins",
|
||||
cursorField: "equity-joins",
|
||||
|
|
@ -251,6 +264,7 @@ const extractFreshnessTs = (channel: LiveGenericChannel, item: any): number | nu
|
|||
case "options":
|
||||
case "nbbo":
|
||||
case "equities":
|
||||
case "equity-quotes":
|
||||
return typeof item.ts === "number" ? item.ts : null;
|
||||
case "flow":
|
||||
return typeof item.source_ts === "number" ? item.source_ts : null;
|
||||
|
|
@ -275,19 +289,6 @@ export const isLiveItemFresh = (
|
|||
return now - ts <= thresholdMs;
|
||||
};
|
||||
|
||||
const filterFreshGenericItems = <T>(
|
||||
channel: LiveGenericChannel,
|
||||
items: T[],
|
||||
now = Date.now()
|
||||
): T[] => {
|
||||
const thresholdMs = LIVE_FRESHNESS_THRESHOLDS[channel];
|
||||
if (!thresholdMs) {
|
||||
return items;
|
||||
}
|
||||
|
||||
return items.filter((item) => isLiveItemFresh(channel, item, now));
|
||||
};
|
||||
|
||||
const nextBeforeForItems = <T>(items: T[], cursorOf: (item: T) => Cursor): Cursor | null => {
|
||||
const last = items.at(-1);
|
||||
return last ? cursorOf(last) : null;
|
||||
|
|
@ -396,21 +397,17 @@ export class LiveStateManager {
|
|||
undefined,
|
||||
storageFilters
|
||||
);
|
||||
const freshItems = filterFreshGenericItems("options", items);
|
||||
return {
|
||||
subscription,
|
||||
items: freshItems,
|
||||
items,
|
||||
watermark: items[0] ? { ts: items[0].ts, seq: items[0].seq } : null,
|
||||
next_before: nextBeforeForItems(freshItems, (item) => ({ ts: item.ts, seq: item.seq }))
|
||||
next_before: nextBeforeForItems(items, (item) => ({ ts: item.ts, seq: item.seq }))
|
||||
};
|
||||
}
|
||||
|
||||
const config = this.generic.options;
|
||||
const items = filterFreshGenericItems(
|
||||
"options",
|
||||
(this.genericItems.get("options") ?? []).filter((item) =>
|
||||
matchesOptionPrintFilters(item, subscription.filters)
|
||||
)
|
||||
const items = (this.genericItems.get("options") ?? []).filter((item) =>
|
||||
matchesOptionPrintFilters(item, subscription.filters)
|
||||
);
|
||||
return {
|
||||
subscription,
|
||||
|
|
@ -421,11 +418,8 @@ export class LiveStateManager {
|
|||
}
|
||||
case "flow": {
|
||||
const config = this.generic.flow;
|
||||
const items = filterFreshGenericItems(
|
||||
"flow",
|
||||
(this.genericItems.get("flow") ?? []).filter((item) =>
|
||||
matchesFlowPacketFilters(item, subscription.filters)
|
||||
)
|
||||
const items = (this.genericItems.get("flow") ?? []).filter((item) =>
|
||||
matchesFlowPacketFilters(item, subscription.filters)
|
||||
);
|
||||
return {
|
||||
subscription,
|
||||
|
|
@ -464,10 +458,7 @@ export class LiveStateManager {
|
|||
}
|
||||
default: {
|
||||
const config = this.generic[subscription.channel];
|
||||
const items = filterFreshGenericItems(
|
||||
subscription.channel,
|
||||
this.genericItems.get(subscription.channel) ?? []
|
||||
);
|
||||
const items = this.genericItems.get(subscription.channel) ?? [];
|
||||
return {
|
||||
subscription,
|
||||
items,
|
||||
|
|
@ -513,9 +504,6 @@ export class LiveStateManager {
|
|||
default: {
|
||||
const config = this.generic[channel];
|
||||
const parsed = config.parse(item);
|
||||
if (!isLiveItemFresh(channel, parsed)) {
|
||||
return this.genericCursors.get(config.cursorField) ?? null;
|
||||
}
|
||||
const items = this.genericItems.get(channel) ?? [];
|
||||
const next = normalizeGenericItems(channel, [parsed, ...items], config);
|
||||
this.genericItems.set(channel, next);
|
||||
|
|
|
|||
|
|
@ -58,6 +58,7 @@ describe("LiveStateManager", () => {
|
|||
expect(limits.options).toBe(777);
|
||||
expect(limits.nbbo).toBe(100000);
|
||||
expect(limits.flow).toBe(10000);
|
||||
expect(limits["equity-quotes"]).toBe(10000);
|
||||
expect(limits.alerts).toBe(10000);
|
||||
});
|
||||
|
||||
|
|
@ -145,6 +146,7 @@ describe("LiveStateManager", () => {
|
|||
options: 10000,
|
||||
nbbo: 10000,
|
||||
equities: 10000,
|
||||
"equity-quotes": 10000,
|
||||
"equity-joins": 10000,
|
||||
flow: 2,
|
||||
"classifier-hits": 10000,
|
||||
|
|
@ -277,7 +279,7 @@ describe("LiveStateManager", () => {
|
|||
expect(flowSnapshot.items).toHaveLength(1);
|
||||
});
|
||||
|
||||
it("suppresses stale items from live snapshots while preserving fresh ones", async () => {
|
||||
it("keeps stale persisted items in live snapshots", async () => {
|
||||
const manager = new LiveStateManager(makeClickHouse(), null);
|
||||
const now = Date.now();
|
||||
|
||||
|
|
@ -383,16 +385,20 @@ describe("LiveStateManager", () => {
|
|||
]);
|
||||
|
||||
expect((optionsSnapshot.items as Array<{ trace_id: string }>).map((item) => item.trace_id)).toEqual([
|
||||
"opt-fresh"
|
||||
"opt-fresh",
|
||||
"opt-stale"
|
||||
]);
|
||||
expect((nbboSnapshot.items as Array<{ trace_id: string }>).map((item) => item.trace_id)).toEqual([
|
||||
"nbbo-fresh"
|
||||
"nbbo-fresh",
|
||||
"nbbo-stale"
|
||||
]);
|
||||
expect((equitiesSnapshot.items as Array<{ trace_id: string }>).map((item) => item.trace_id)).toEqual([
|
||||
"eq-fresh"
|
||||
"eq-fresh",
|
||||
"eq-stale"
|
||||
]);
|
||||
expect((flowSnapshot.items as Array<{ id: string }>).map((item) => item.id)).toEqual([
|
||||
"flow-fresh"
|
||||
"flow-fresh",
|
||||
"flow-stale"
|
||||
]);
|
||||
});
|
||||
|
||||
|
|
@ -476,7 +482,7 @@ describe("LiveStateManager", () => {
|
|||
]);
|
||||
});
|
||||
|
||||
it("rejects stale ingest for freshness-gated channels", async () => {
|
||||
it("stores older valid ingest for freshness-gated channels", async () => {
|
||||
const manager = new LiveStateManager(makeClickHouse(), null);
|
||||
const now = Date.now();
|
||||
|
||||
|
|
@ -494,7 +500,71 @@ describe("LiveStateManager", () => {
|
|||
});
|
||||
|
||||
const snapshot = await manager.getSnapshot({ channel: "equities" });
|
||||
expect(snapshot.items).toHaveLength(0);
|
||||
expect(snapshot.items).toHaveLength(1);
|
||||
expect(snapshot.next_before).toEqual({ ts: now - 60_000, seq: 1 });
|
||||
});
|
||||
|
||||
it("hydrates equity quotes from redis", async () => {
|
||||
const redis = makeRedis();
|
||||
const now = Date.now();
|
||||
await redis.lPush(
|
||||
"live:equity-quotes",
|
||||
JSON.stringify({
|
||||
source_ts: now,
|
||||
ingest_ts: now + 1,
|
||||
seq: 1,
|
||||
trace_id: "quote-1",
|
||||
ts: now,
|
||||
underlying_id: "SPY",
|
||||
bid: 450,
|
||||
ask: 450.01
|
||||
})
|
||||
);
|
||||
await redis.hSet("live:cursors", "equity-quotes", JSON.stringify({ ts: now, seq: 1 }));
|
||||
|
||||
const manager = new LiveStateManager(makeClickHouse(), redis as never);
|
||||
await manager.hydrate();
|
||||
const snapshot = await manager.getSnapshot({ channel: "equity-quotes" });
|
||||
|
||||
expect(snapshot.items).toHaveLength(1);
|
||||
expect(snapshot.watermark).toEqual({ ts: now, seq: 1 });
|
||||
expect(snapshot.next_before).toEqual({ ts: now, seq: 1 });
|
||||
});
|
||||
|
||||
it("hydrates equity quotes from clickhouse when redis is empty and persists hot cache", async () => {
|
||||
const redis = makeRedis();
|
||||
const now = Date.now();
|
||||
const clickhouse = {
|
||||
...makeClickHouse(),
|
||||
query: async ({ query }: { query: string }) => ({
|
||||
async json<T>() {
|
||||
if (query.includes("equity_quotes")) {
|
||||
return [
|
||||
{
|
||||
source_ts: now,
|
||||
ingest_ts: now + 1,
|
||||
seq: 2,
|
||||
trace_id: "quote-2",
|
||||
ts: now,
|
||||
underlying_id: "SPY",
|
||||
bid: 451,
|
||||
ask: 451.01
|
||||
}
|
||||
] as T;
|
||||
}
|
||||
return [] as T;
|
||||
}
|
||||
})
|
||||
} as ClickHouseClient;
|
||||
|
||||
const manager = new LiveStateManager(clickhouse, redis as never);
|
||||
await manager.hydrate();
|
||||
const snapshot = await manager.getSnapshot({ channel: "equity-quotes" });
|
||||
const persisted = await redis.lRange("live:equity-quotes", 0, 10);
|
||||
|
||||
expect(snapshot.items).toHaveLength(1);
|
||||
expect(snapshot.watermark).toEqual({ ts: now, seq: 2 });
|
||||
expect(persisted).toHaveLength(1);
|
||||
});
|
||||
|
||||
it("exposes freshness helper for event fanout gating", () => {
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue