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Implement server-backed live history

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dirtydishes 2026-05-04 03:29:38 -04:00
parent b4f87b50d2
commit ba0daf5208
10 changed files with 402 additions and 44 deletions
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14
services/api/src/index.ts
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@ -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);