Add Databento historical replay adapter + symbol mapping; speed up replay UI + completion state
- add Databento options adapter (TS) with Python sidecar and env wiring - add to stream historical trades and resolve instrument_id -> raw_symbol via symbology - include Databento + typing_extensions in ingest-options Python requirements - expose Databento env settings in ingest-options index (dataset/schema/start/end/stype/limit/price scale/python bin) - update README with Databento replay usage and env docs - speed up UI replay polling/drain, add per-card replay time display - stop replay at end and prevent fallback to synthetic by pinning replay to initial trace source
This commit is contained in:
dirtydishes
parent
6dc279099f
commit
baaadcf105
6 changed files with 799 additions and 33 deletions
278
services/ingest-options/py/databento_replay.py
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278
services/ingest-options/py/databento_replay.py
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@ -0,0 +1,278 @@
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#!/usr/bin/env python3
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import argparse
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import datetime as dt
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import inspect
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import json
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import os
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import sys
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def parse_args() -> argparse.Namespace:
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parser = argparse.ArgumentParser(description="Replay Databento option trades as JSON lines.")
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parser.add_argument("--dataset", required=True)
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parser.add_argument("--schema", default="trades")
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parser.add_argument("--start", required=True)
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parser.add_argument("--end", default="")
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parser.add_argument("--symbols", default="ALL")
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parser.add_argument("--stype-in", dest="stype_in", default="raw_symbol")
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parser.add_argument("--stype-out", dest="stype_out", default="raw_symbol")
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parser.add_argument("--limit", type=int, default=0)
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parser.add_argument("--api-key", dest="api_key", default="")
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return parser.parse_args()
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def resolve_client(db_module, api_key: str):
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try:
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return db_module.Historical(api_key)
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except TypeError:
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return db_module.Historical(key=api_key)
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def normalize_symbols(value: str):
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if not value or value.strip().upper() == "ALL":
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return None
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return [symbol.strip() for symbol in value.split(",") if symbol.strip()]
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def parse_date(value: str | None) -> dt.date | None:
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if not value:
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return None
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try:
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parsed = dt.datetime.fromisoformat(value)
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return parsed.date()
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except ValueError:
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try:
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return dt.date.fromisoformat(value)
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except ValueError:
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return None
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def normalize_ts(ts_value):
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if ts_value is None:
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return None
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if isinstance(ts_value, dt.datetime):
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return int(ts_value.timestamp() * 1000)
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if isinstance(ts_value, dt.date):
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return int(dt.datetime.combine(ts_value, dt.time()).timestamp() * 1000)
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if isinstance(ts_value, (int, float)):
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if ts_value > 1_000_000_000_000_000:
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return int(ts_value / 1_000_000)
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return int(ts_value)
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return None
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def stringify(value):
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if value is None:
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return None
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if isinstance(value, bytes):
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return value.decode("utf-8", errors="ignore")
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return str(value)
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def is_numeric_symbol(value: object) -> bool:
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if isinstance(value, int):
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return True
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if isinstance(value, str):
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return value.isdigit()
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return False
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class SymbolResolver:
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def __init__(self, client, dataset: str, start_date: dt.date | None, end_date: dt.date | None):
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from databento.common.symbology import InstrumentMap
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self._client = client
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self._dataset = dataset
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self._start_date = start_date
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self._end_date = end_date
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self._map = InstrumentMap()
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self._pending: list[int] = []
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self._pending_set: set[int] = set()
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def queue(self, instrument_id: int) -> None:
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if instrument_id in self._pending_set:
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return
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self._pending_set.add(instrument_id)
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self._pending.append(instrument_id)
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def resolve_pending(self) -> None:
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if not self._pending:
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return
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pending = self._pending
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self._pending = []
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self._pending_set.clear()
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for i in range(0, len(pending), 2000):
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chunk = pending[i : i + 2000]
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response = self._client.symbology.resolve(
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dataset=self._dataset,
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symbols=chunk,
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stype_in="instrument_id",
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stype_out="raw_symbol",
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start_date=self._start_date or dt.date.today(),
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end_date=self._end_date,
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)
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self._map.insert_json(response)
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def lookup(self, instrument_id: int, date: dt.date) -> str | None:
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if instrument_id is None:
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return None
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return self._map.resolve(instrument_id, date)
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def pending_count(self) -> int:
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return len(self._pending)
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def build_payload(record, symbol_override: str | None = None) -> dict | None:
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ts_event = getattr(record, "ts_event", None)
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price = getattr(record, "price", None)
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size = getattr(record, "size", None)
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symbol = symbol_override or (
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getattr(record, "symbol", None)
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or getattr(record, "raw_symbol", None)
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or getattr(record, "instrument_id", None)
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)
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if ts_event is None or price is None or size is None or symbol is None:
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return None
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ts_ms = normalize_ts(ts_event)
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if ts_ms is None:
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return None
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exchange = (
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getattr(record, "exchange", None)
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or getattr(record, "publisher_id", None)
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or getattr(record, "exchange_id", None)
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)
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conditions = getattr(record, "conditions", None) or getattr(record, "condition", None)
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if isinstance(conditions, str):
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conditions = [conditions]
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payload = {
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"ts": ts_ms,
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"price": float(price),
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"size": int(size),
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"symbol": stringify(symbol),
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}
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if exchange is not None:
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payload["exchange"] = stringify(exchange)
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if conditions:
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payload["conditions"] = conditions
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return payload
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def emit_payload(payload: dict | None) -> None:
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if payload is None:
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return
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print(json.dumps(payload), flush=True)
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def main() -> int:
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args = parse_args()
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api_key = args.api_key or os.getenv("DATABENTO_API_KEY")
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if not api_key:
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sys.stderr.write("DATABENTO_API_KEY is required.\n")
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return 1
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try:
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import databento as db
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except ImportError:
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sys.stderr.write("Missing Python package 'databento'. Install with pip.\n")
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return 1
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client = resolve_client(db, api_key)
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start_date = parse_date(args.start)
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end_date = parse_date(args.end) if args.end else None
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resolver = SymbolResolver(client, args.dataset, start_date, end_date)
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buffered: list[tuple[object, int, dt.date]] = []
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kwargs = {
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"dataset": args.dataset,
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"schema": args.schema,
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"start": args.start,
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"end": args.end or None,
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"symbols": normalize_symbols(args.symbols),
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"stype_in": args.stype_in,
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"stype_out": args.stype_out,
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"limit": args.limit or None,
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}
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signature = inspect.signature(client.timeseries.get_range)
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filtered_kwargs = {
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key: value for key, value in kwargs.items() if key in signature.parameters and value is not None
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}
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data = client.timeseries.get_range(**filtered_kwargs)
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def flush_buffer(force: bool = False) -> None:
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if not buffered:
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return
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resolver.resolve_pending()
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remaining: list[tuple[object, int, dt.date]] = []
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for record, instrument_id, date in buffered:
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mapped = resolver.lookup(instrument_id, date)
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if mapped:
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emit_payload(build_payload(record, mapped))
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elif force:
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emit_payload(build_payload(record, str(instrument_id)))
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else:
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remaining.append((record, instrument_id, date))
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buffered[:] = remaining
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def handle_record(record) -> None:
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symbol = (
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getattr(record, "symbol", None)
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or getattr(record, "raw_symbol", None)
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or getattr(record, "instrument_id", None)
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)
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ts_event = getattr(record, "ts_event", None)
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ts_ms = normalize_ts(ts_event)
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if ts_ms is None:
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return
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date = dt.datetime.utcfromtimestamp(ts_ms / 1000).date()
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if is_numeric_symbol(symbol):
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instrument_id = int(symbol)
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mapped = resolver.lookup(instrument_id, date)
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if mapped:
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emit_payload(build_payload(record, mapped))
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return
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resolver.queue(instrument_id)
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buffered.append((record, instrument_id, date))
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if resolver.pending_count() >= 200:
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flush_buffer()
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return
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emit_payload(build_payload(record))
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if hasattr(data, "replay"):
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try:
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data.replay(callback=handle_record)
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except TypeError:
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data.replay(handle_record)
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flush_buffer(force=True)
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return 0
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if hasattr(data, "__iter__"):
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for record in data:
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handle_record(record)
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if len(buffered) >= 2000:
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flush_buffer()
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flush_buffer(force=True)
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return 0
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sys.stderr.write("Unsupported Databento response type.\n")
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return 1
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if __name__ == "__main__":
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raise SystemExit(main())
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@ -1 +1,3 @@
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ib_insync>=0.9.83
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databento
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typing_extensions
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256
services/ingest-options/src/adapters/databento.ts
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256
services/ingest-options/src/adapters/databento.ts
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import { createLogger } from "@islandflow/observability";
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import type { OptionIngestAdapter, OptionIngestHandlers } from "./types";
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type DatabentoOptionsAdapterConfig = {
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apiKey: string;
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dataset: string;
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schema: string;
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start: string;
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end?: string;
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symbols: string;
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stypeIn: string;
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stypeOut: string;
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limit: number;
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priceScale: number;
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pythonBin: string;
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};
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type DatabentoTradeMessage = {
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ts: number;
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price: number;
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size: number;
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symbol: string;
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exchange?: string;
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conditions?: string[] | string;
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};
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type OptionContract = {
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root: string;
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expiry: string;
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strike: number;
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right: "C" | "P";
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};
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const logger = createLogger({ service: "ingest-options" });
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const formatDate = (date: Date): string => date.toISOString().slice(0, 10);
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const parseOccSymbol = (symbol: string): OptionContract | null => {
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if (symbol.length < 15) {
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return null;
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}
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const tail = symbol.slice(-15);
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const rootRaw = symbol.slice(0, -15).trim();
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const expiryRaw = tail.slice(0, 6);
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const right = tail.slice(6, 7);
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const strikeRaw = tail.slice(7);
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if (!/^\d{6}$/.test(expiryRaw) || !/^\d{8}$/.test(strikeRaw)) {
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return null;
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}
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if (right !== "C" && right !== "P") {
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return null;
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}
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const year = 2000 + Number(expiryRaw.slice(0, 2));
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const month = Number(expiryRaw.slice(2, 4)) - 1;
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const day = Number(expiryRaw.slice(4, 6));
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const expiryDate = new Date(Date.UTC(year, month, day));
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const expiry = formatDate(expiryDate);
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const strike = Number(strikeRaw) / 1000;
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if (!rootRaw || !Number.isFinite(strike)) {
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return null;
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}
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return {
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root: rootRaw,
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expiry,
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strike,
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right
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};
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};
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const formatStrike = (strike: number): string => {
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const fixed = strike.toFixed(3);
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return fixed.replace(/\.?0+$/, "");
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};
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const formatContractId = (contract: OptionContract): string =>
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`${contract.root}-${contract.expiry}-${formatStrike(contract.strike)}-${contract.right}`;
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const normalizeTimestamp = (value: number): number => {
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if (!Number.isFinite(value)) {
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return Date.now();
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}
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if (value > 1_000_000_000_000_000) {
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return Math.floor(value / 1_000_000);
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}
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return value;
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};
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const readLines = async (
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stream: ReadableStream<Uint8Array>,
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onLine: (line: string) => void
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): Promise<void> => {
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const reader = stream.getReader();
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const decoder = new TextDecoder();
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let buffer = "";
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while (true) {
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const { value, done } = await reader.read();
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if (done) {
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break;
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}
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buffer += decoder.decode(value, { stream: true });
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const lines = buffer.split("\n");
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buffer = lines.pop() ?? "";
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for (const line of lines) {
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const trimmed = line.trim();
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if (trimmed.length > 0) {
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onLine(trimmed);
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}
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}
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}
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if (buffer.trim().length > 0) {
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onLine(buffer.trim());
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}
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};
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export const createDatabentoOptionsAdapter = (
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config: DatabentoOptionsAdapterConfig
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): OptionIngestAdapter => {
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return {
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name: "databento",
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start: (handlers: OptionIngestHandlers) => {
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if (!config.apiKey) {
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throw new Error("DATABENTO_API_KEY is required for the Databento adapter.");
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}
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if (!config.start) {
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throw new Error("DATABENTO_START is required for the Databento adapter.");
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}
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const scriptPath = new URL("../../py/databento_replay.py", import.meta.url).pathname;
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const args = [
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config.pythonBin,
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scriptPath,
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"--dataset",
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config.dataset,
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"--schema",
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config.schema,
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"--start",
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config.start,
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"--symbols",
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config.symbols,
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"--stype-in",
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config.stypeIn,
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"--stype-out",
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config.stypeOut
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];
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if (config.end) {
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args.push("--end", config.end);
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}
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if (config.limit > 0) {
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args.push("--limit", String(config.limit));
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}
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const child = Bun.spawn(args, {
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stdout: "pipe",
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stderr: "inherit",
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env: {
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...Bun.env,
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DATABENTO_API_KEY: config.apiKey
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}
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});
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if (!child.stdout) {
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throw new Error("Databento adapter failed to attach stdout.");
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}
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let seq = 0;
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const contractIdCache = new Map<string, string>();
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const warnedSymbols = new Set<string>();
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const resolveContractId = (symbol: string): string => {
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const cached = contractIdCache.get(symbol);
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if (cached) {
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return cached;
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}
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const parsed = parseOccSymbol(symbol);
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const contractId = parsed ? formatContractId(parsed) : symbol.trim() || symbol;
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contractIdCache.set(symbol, contractId);
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if (!parsed && !warnedSymbols.has(symbol)) {
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warnedSymbols.add(symbol);
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logger.warn("databento symbol parse failed; using raw symbol", { symbol });
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}
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return contractId;
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};
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const handleLine = (line: string) => {
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try {
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const payload = JSON.parse(line) as DatabentoTradeMessage;
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if (!payload) {
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return;
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}
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const price = Number(payload.price);
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const size = Number(payload.size);
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if (!Number.isFinite(price) || !Number.isFinite(size)) {
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return;
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}
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const symbol = String(payload.symbol ?? "").trim();
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if (!symbol) {
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return;
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}
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const sourceTs = normalizeTimestamp(Number(payload.ts));
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const ingestTs = Date.now();
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seq += 1;
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const scaledPrice = config.priceScale === 1 ? price : price / config.priceScale;
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const conditions = Array.isArray(payload.conditions)
|
||||
? payload.conditions.map((entry) => String(entry))
|
||||
: typeof payload.conditions === "string"
|
||||
? [payload.conditions]
|
||||
: undefined;
|
||||
|
||||
void handlers.onTrade({
|
||||
source_ts: sourceTs,
|
||||
ingest_ts: ingestTs,
|
||||
seq,
|
||||
trace_id: `databento-${seq}`,
|
||||
ts: sourceTs,
|
||||
option_contract_id: resolveContractId(symbol),
|
||||
price: scaledPrice,
|
||||
size,
|
||||
exchange: payload.exchange ? String(payload.exchange) : "OPRA",
|
||||
conditions
|
||||
});
|
||||
} catch {
|
||||
// Ignore malformed lines to keep replay streaming.
|
||||
}
|
||||
};
|
||||
|
||||
void readLines(child.stdout, handleLine);
|
||||
|
||||
return () => {
|
||||
child.kill();
|
||||
};
|
||||
}
|
||||
};
|
||||
};
|
||||
|
|
@ -14,6 +14,7 @@ import {
|
|||
} from "@islandflow/storage";
|
||||
import { OptionPrintSchema, type OptionPrint } from "@islandflow/types";
|
||||
import { createAlpacaOptionsAdapter } from "./adapters/alpaca";
|
||||
import { createDatabentoOptionsAdapter } from "./adapters/databento";
|
||||
import { createIbkrOptionsAdapter } from "./adapters/ibkr";
|
||||
import { createSyntheticOptionsAdapter } from "./adapters/synthetic";
|
||||
import type { OptionIngestAdapter, StopHandler } from "./adapters/types";
|
||||
|
|
@ -38,6 +39,17 @@ const envSchema = z.object({
|
|||
ALPACA_MONEYNESS_PCT: z.coerce.number().positive().default(0.06),
|
||||
ALPACA_MONEYNESS_FALLBACK_PCT: z.coerce.number().positive().default(0.1),
|
||||
ALPACA_MAX_QUOTES: z.coerce.number().int().positive().default(200),
|
||||
DATABENTO_API_KEY: z.string().default(""),
|
||||
DATABENTO_DATASET: z.string().default("OPRA.PILLAR"),
|
||||
DATABENTO_SCHEMA: z.string().default("trades"),
|
||||
DATABENTO_START: z.string().default(""),
|
||||
DATABENTO_END: z.string().default(""),
|
||||
DATABENTO_SYMBOLS: z.string().default("ALL"),
|
||||
DATABENTO_STYPE_IN: z.string().default("raw_symbol"),
|
||||
DATABENTO_STYPE_OUT: z.string().default("raw_symbol"),
|
||||
DATABENTO_LIMIT: z.coerce.number().int().nonnegative().default(0),
|
||||
DATABENTO_PRICE_SCALE: z.coerce.number().positive().default(1),
|
||||
DATABENTO_PYTHON_BIN: z.string().default("python3"),
|
||||
IBKR_HOST: z.string().default("127.0.0.1"),
|
||||
IBKR_PORT: z.coerce.number().int().positive().default(7497),
|
||||
IBKR_CLIENT_ID: z.coerce.number().int().nonnegative().default(0),
|
||||
|
|
@ -113,6 +125,30 @@ const selectAdapter = (name: string): OptionIngestAdapter => {
|
|||
});
|
||||
}
|
||||
|
||||
if (name === "databento") {
|
||||
if (!env.DATABENTO_API_KEY) {
|
||||
throw new Error("DATABENTO_API_KEY is required for the databento adapter.");
|
||||
}
|
||||
|
||||
if (!env.DATABENTO_START) {
|
||||
throw new Error("DATABENTO_START is required for the databento adapter.");
|
||||
}
|
||||
|
||||
return createDatabentoOptionsAdapter({
|
||||
apiKey: env.DATABENTO_API_KEY,
|
||||
dataset: env.DATABENTO_DATASET,
|
||||
schema: env.DATABENTO_SCHEMA,
|
||||
start: env.DATABENTO_START,
|
||||
end: env.DATABENTO_END || undefined,
|
||||
symbols: env.DATABENTO_SYMBOLS,
|
||||
stypeIn: env.DATABENTO_STYPE_IN,
|
||||
stypeOut: env.DATABENTO_STYPE_OUT,
|
||||
limit: env.DATABENTO_LIMIT,
|
||||
priceScale: env.DATABENTO_PRICE_SCALE,
|
||||
pythonBin: env.DATABENTO_PYTHON_BIN
|
||||
});
|
||||
}
|
||||
|
||||
if (name === "ibkr") {
|
||||
return createIbkrOptionsAdapter({
|
||||
host: env.IBKR_HOST,
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue