@usherlabs/cex-broker 0.2.49 → 0.2.51
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/commands/cex-canonical-orderbook-export.js +7747 -883
- package/dist/commands/cex-canonical-orderbook-export.js.map +41 -10
- package/dist/commands/cli.js +127 -34
- package/dist/commands/market-data-vendor-backfill.js +8284 -6391
- package/dist/commands/market-data-vendor-backfill.js.map +16 -15
- package/dist/helpers/canonical-orderbook-export/parquet-projection.d.ts +19 -0
- package/dist/helpers/market-data-archive/canonical-orderbook.d.ts +1 -1
- package/dist/helpers/market-data-preparation/conformance-fixtures.d.ts +114 -2
- package/dist/helpers/market-data-preparation/contracts.d.ts +1298 -18
- package/dist/helpers/market-data-preparation/required-clock-qualification.d.ts +43 -0
- package/dist/helpers/market-data-preparation/source-tape-dependencies.d.ts +19 -0
- package/dist/helpers/market-data-preparation/source-tape-operation.d.ts +109 -0
- package/dist/helpers/market-data-source-forensics.d.ts +400 -0
- package/dist/helpers/market-data-vendor-backfill/conformance-fixtures.d.ts +3 -5
- package/dist/helpers/market-data-vendor-backfill/contracts.d.ts +21 -56
- package/dist/helpers/market-data-vendor-backfill/core.d.ts +1 -0
- package/dist/helpers/market-data-vendor-backfill/cryptohftdata.d.ts +45 -5
- package/dist/helpers/market-data-vendor-backfill/manifests.d.ts +31 -1083
- package/dist/helpers/market-data-vendor-backfill/promotion.d.ts +1 -0
- package/dist/helpers/source-tape-sandbox.d.ts +82 -0
- package/dist/helpers/source-tape.d.ts +165 -0
- package/dist/helpers/trace-context.d.ts +8 -0
- package/dist/index.js +128 -35
- package/dist/index.js.map +7 -6
- package/dist/market-data-preparation/fixtures/{conformance-v2.json → conformance-v3.json} +257 -60
- package/dist/market-data-preparation/policies/capability-policy.json +15 -4
- package/dist/market-data-preparation/policies/resource-policy.json +3 -3
- package/dist/market-data-preparation/policies/source-tape-capability-v1.json +35 -0
- package/dist/market-data-preparation/schema-manifest.json +30 -10
- package/dist/market-data-preparation/schemas/canonical-orderbook-export-request-v1.schema.json +5 -1
- package/dist/market-data-preparation/schemas/{canonical-orderbook-export-result-v1.schema.json → canonical-orderbook-export-result-v2.schema.json} +20 -6
- package/dist/market-data-preparation/schemas/order-book-depth-summary-parquet-projection-v1.schema.json +256 -0
- package/dist/market-data-preparation/schemas/order-book-levels-parquet-projection-v1.schema.json +220 -0
- package/dist/market-data-preparation/schemas/{preparation-product-pin-v1.schema.json → preparation-product-pin-v2.schema.json} +59 -9
- package/dist/market-data-preparation/schemas/promotion-receipt-v1.schema.json +5 -1
- package/dist/market-data-preparation/schemas/source-forensics-ledger-v1.schema.json +463 -0
- package/dist/market-data-preparation/schemas/source-qualification-record-v1.schema.json +394 -0
- package/dist/market-data-preparation.d.ts +7 -0
- package/dist/market-data-preparation.js +35443 -25203
- package/dist/market-data-preparation.js.map +118 -78
- package/dist/market-data-vendor-backfill.d.ts +8 -5
- package/dist/market-data-vendor-backfill.js +19444 -15553
- package/dist/market-data-vendor-backfill.js.map +65 -60
- package/package.json +1 -5
- package/dist/market-data-preparation/policies/capability-policy-v1.json +0 -28
- package/dist/market-data-vendor-backfill/fixtures/conformance-v1.json +0 -448
- package/dist/market-data-vendor-backfill/policies/capability-policy-v2.json +0 -28
- package/dist/market-data-vendor-backfill/policies/capability-policy.json +0 -28
- package/dist/market-data-vendor-backfill/policies/resource-policy.json +0 -16
- package/dist/market-data-vendor-backfill/schema-manifest.json +0 -31
- package/dist/market-data-vendor-backfill/schemas/archive-selection.schema.json +0 -224
- package/dist/market-data-vendor-backfill/schemas/promotion-receipt.schema.json +0 -171
- package/dist/market-data-vendor-backfill/schemas/request.schema.json +0 -166
- package/dist/market-data-vendor-backfill/schemas/required-clock.schema.json +0 -47
- package/dist/market-data-vendor-backfill/schemas/result.schema.json +0 -198
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{
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"fixture_id": "cex-market-data-preparation-conformance/
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"legacy_fixture_id": "market-data-vendor-backfill-conformance/v1",
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"fixture_id": "cex-market-data-preparation-conformance/v3",
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"documents": {
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"backfill_result": {
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"schema_id": "https://schemas.usher.so/market-data-vendor-backfill-result/v2",
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"job_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f120",
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"request_file_sha256": "7777777777777777777777777777777777777777777777777777777777777777",
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"schema_manifest_sha256": "
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"schema_manifest_sha256": "00fda4a5f67dff1e142af7cf7e37f641a3a960acd6e995530aaf99f8b2f5c7bb",
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"producer": {
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"product_id": "market-data-vendor-backfill",
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"product_version": "market-data-vendor-backfill/v1",
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"package": {
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"name": "@usherlabs/cex-broker",
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"version": "0.2.
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"version": "0.2.50",
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"git_head": "aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa"
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"executable_sha256": "bbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbb",
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}
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"capability_policy": {
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"policy_id": "market-data-vendor-backfill-capabilities/
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"policy_sha256": "
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"policy_id": "market-data-vendor-backfill-capabilities/v3",
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"policy_sha256": "5fc751f9823c118a9f168bb6c258cd6dfb57c2a45cdbdbf5efe8e75f54426f78"
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"resource_policy": {
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"policy_id": "market-data-vendor-backfill-resources/
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"policy_sha256": "
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"policy_id": "market-data-vendor-backfill-resources/v2",
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"policy_sha256": "5c095c9af4450a0dd110cae04215b9188c6522ab16f4524a41b6122b154160a2"
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},
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"started_at": "2026-08-20T12:00:01.000Z",
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"completed_at": "2026-08-20T12:00:03.000Z",
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"outcome": {
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"status": "
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"reason_code": "
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"status": "already_covered",
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"reason_code": "qualified_coverage_complete",
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"reason_subcode": null,
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"request_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f100",
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"idempotency_key": "2108b6e712cd118bbd1acaff2cd7f481e230b6818048a3973b0a5bcbe3305c95",
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"qualification": {
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"qualification_event_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f104",
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"state": "qualified",
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"receipt_id": "
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"promotion_identity_sha256": "
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"receipt_id": "d0f810b0695f318a4167be6b221a932e06f42c5bdb3b62ab79d7811a3892fa62",
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"promotion_identity_sha256": "2a33d6c70f02056d41034634b6da91dbea60fa5cd5fca7b85177ecf338001d25"
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"metadata_ref": {
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"capture_origin": "vendor_historical_backfill",
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"qualification_event_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f104",
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"receipt_id": "
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"receipt_id": "d0f810b0695f318a4167be6b221a932e06f42c5bdb3b62ab79d7811a3892fa62"
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"receipt_ids": [
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"qualification_event_ids": [
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],
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"resolved_at": "2026-08-20T12:00:02.000Z",
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"selection_sha256": "
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"selection_sha256": "9506a245eb2c0825490a23b630b649c0b8f2d681bf7c047865bd356e1d69dcd3"
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"receipt": {
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"schema_id": "https://schemas.usher.so/market-data-vendor-backfill-promotion-receipt/v1",
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"adapter_version": "cryptohftdata-orderbook/v2",
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"effective_policies": {
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"capability_policy": {
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"policy_id": "market-data-vendor-backfill-capabilities/
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"policy_sha256": "
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"policy_id": "market-data-vendor-backfill-capabilities/v3",
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"policy_sha256": "5fc751f9823c118a9f168bb6c258cd6dfb57c2a45cdbdbf5efe8e75f54426f78"
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"resource_policy": {
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"policy_id": "market-data-vendor-backfill-resources/
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"policy_sha256": "
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"policy_id": "market-data-vendor-backfill-resources/v2",
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"policy_sha256": "5c095c9af4450a0dd110cae04215b9188c6522ab16f4524a41b6122b154160a2"
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"adapter_policy": {
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"policy_id": "cryptohftdata-orderbook-adapter/v1",
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"policy_sha256": "b71eec2948593eb3f9f43371a23ec6a37fd186177c6e368f7f792113e907a737"
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"acquisition_policy": {
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"policy_id": "cryptohftdata-hourly-acquisition/
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"policy_id": "cryptohftdata-hourly-acquisition/v2",
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"policy_sha256": "bc70353efd09ec49db97320f831da358191429c1eac42d053cce3ff4e61e320c"
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"capture_bundle_id": "dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd",
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"rows": 50
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"promotion_identity_sha256": "2a33d6c70f02056d41034634b6da91dbea60fa5cd5fca7b85177ecf338001d25",
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"receipt_id": "d0f810b0695f318a4167be6b221a932e06f42c5bdb3b62ab79d7811a3892fa62"
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"diagnostics": {}
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"result_sha256": "22a07a36ed103b70676d3fa57f2ff944e25e994138fe48aee8092eadb344ab03"
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"canonical_orderbook_export_request": {
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"schema_id": "https://schemas.usher.so/cex-canonical-orderbook-export-request/v1",
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"qualification": {
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"promotion_identity_sha256": "2a33d6c70f02056d41034634b6da91dbea60fa5cd5fca7b85177ecf338001d25"
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"depth": 20,
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"construction_mode": "sampled_top_n_snapshot",
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"schema_id": "https://schemas.usher.so/cex-canonical-orderbook-export-result/v2",
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"job_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f122",
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"request_file_sha256": "dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd",
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"query_sha256": "eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee",
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"projection_schema_id": "https://schemas.usher.so/cex-order-book-levels-parquet-projection/v1",
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"projection_schema_sha256": "dbf98aabe22f715388d7fa8d791935a3131fe8d372cfe7041296fd3ace501ffc"
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"acquisition_policy": {
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"policy_id": "cryptohftdata-hourly-acquisition/v2",
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"policy_sha256": "bc70353efd09ec49db97320f831da358191429c1eac42d053cce3ff4e61e320c"
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}
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},
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"artifacts": {
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"ledger_file_name": "source-tape-ledger.json",
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"qualification_record_file_name": "source-tape-qualification.json",
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"exporter_result_file_name": "source-tape-export-result.json"
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}
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}
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}
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},
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"identities": {
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"manifest_sha256": "
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"backfill_result_sha256": "
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"selection_sha256": "
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"export_result_sha256": "
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"manifest_sha256": "00fda4a5f67dff1e142af7cf7e37f641a3a960acd6e995530aaf99f8b2f5c7bb",
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+
"backfill_result_sha256": "22a07a36ed103b70676d3fa57f2ff944e25e994138fe48aee8092eadb344ab03",
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+
"selection_sha256": "9506a245eb2c0825490a23b630b649c0b8f2d681bf7c047865bd356e1d69dcd3",
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+
"export_result_sha256": "4037956a82b3727acc6e373041de30f937c874c98d90cbd5e8533c11757d33d4",
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+
"product_pin_sha256": "888afea6a5748146882f2b2fad87838a4b854aad9b047296064e84f8eb0418a2",
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"library_operations_sha256": "2dba0231b99379a317db35e6200e0469991bc97cacce0da3a245014b491167d5"
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}
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}
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@@ -1,15 +1,15 @@
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1
1
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{
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2
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-
"policy_id": "market-data-vendor-backfill-capabilities/
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+
"policy_id": "market-data-vendor-backfill-capabilities/v3",
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"provider": "cryptohftdata",
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"adapter_policy": {
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"policy_id": "cryptohftdata-orderbook-adapter/v1",
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"adapter_version": "cryptohftdata-orderbook/v2"
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},
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"acquisition_policy": {
|
|
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-
"policy_id": "cryptohftdata-hourly-acquisition/
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+
"policy_id": "cryptohftdata-hourly-acquisition/v2",
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"object_granularity": "utc_hour",
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"authentication": "bearer",
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"initialization_lookback_ms":
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"initialization_lookback_ms": 604800000
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},
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"profiles": [
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{
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|
@@ -22,7 +22,18 @@
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"construction_modes": ["sampled_top_n_snapshot"],
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"source_policies": ["authoritative_window", "fill_gaps"],
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"max_depth": 400
|
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},
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{
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"exchange": "okx",
|
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"market_type": "spot",
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"feed": "ORDERBOOK",
|
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"canonical_trading_pair": "ARB-USDC",
|
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"provider_exchange_id": "okx_spot",
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"resolved_symbol": "ARB-USDC",
|
|
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"construction_modes": ["sampled_top_n_snapshot"],
|
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"source_policies": ["authoritative_window", "fill_gaps"],
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"max_depth": 400
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|
}
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],
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"policy_sha256": "
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"policy_sha256": "5fc751f9823c118a9f168bb6c258cd6dfb57c2a45cdbdbf5efe8e75f54426f78"
|
|
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|
}
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|
@@ -1,5 +1,5 @@
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1
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{
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"policy_id": "market-data-vendor-backfill-resources/
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"policy_id": "market-data-vendor-backfill-resources/v2",
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"limits": {
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"max_files": 10000,
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"max_bytes": 107374182400,
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@@ -9,8 +9,8 @@
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},
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"request_bounds": {
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"max_depth": 500,
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-
"max_window_ms":
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|
+
"max_window_ms": 2678400000,
|
|
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"max_required_events": 100000
|
|
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|
},
|
|
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|
-
"policy_sha256": "
|
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+
"policy_sha256": "5c095c9af4450a0dd110cae04215b9188c6522ab16f4524a41b6122b154160a2"
|
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|
}
|
|
@@ -0,0 +1,35 @@
|
|
|
1
|
+
{
|
|
2
|
+
"policy_id": "market-data-source-tape-capability/v1",
|
|
3
|
+
"provider": "cryptohftdata",
|
|
4
|
+
"adapter_version": "cryptohftdata-orderbook/v2",
|
|
5
|
+
"acquisition_policy_id": "cryptohftdata-hourly-acquisition/v2",
|
|
6
|
+
"exchange": "okx",
|
|
7
|
+
"market_type": "spot",
|
|
8
|
+
"feed": "ORDERBOOK",
|
|
9
|
+
"trading_pairs": ["ARB-USDC", "ARB-USDT"],
|
|
10
|
+
"construction_mode": "policy_neutral_top_n_state_change_tape/v1",
|
|
11
|
+
"canonical_schema_id": "cex-order-book-canonical/v1",
|
|
12
|
+
"depth": 100,
|
|
13
|
+
"source_window_scan": "complete_independent_of_required_clock",
|
|
14
|
+
"provider_object_inventory": "positive_expected_observed_equality",
|
|
15
|
+
"state_emission": "initialization_then_every_sequence_valid_state_or_freshness_change",
|
|
16
|
+
"state_window": "one_support_state_then_changes_in_half_open_window",
|
|
17
|
+
"archive_target": {
|
|
18
|
+
"environment": "sandbox",
|
|
19
|
+
"cluster": "cex-archive-local"
|
|
20
|
+
},
|
|
21
|
+
"archive_path": "normal_forwarder_promotion_qualification_selection_exporter_v2",
|
|
22
|
+
"submission_bounds": {
|
|
23
|
+
"max_states_per_yield": 4,
|
|
24
|
+
"max_rows_per_batch": 1000,
|
|
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|
+
"max_bytes_per_batch": 5242880,
|
|
26
|
+
"max_in_flight": 1
|
|
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|
+
},
|
|
28
|
+
"clickhouse_image": "clickhouse/clickhouse-server:24.8.14.39@sha256:1ffa82edee000a42c09313bd9f1293d94c570aee74babc1b3ca9983a35fa597b",
|
|
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|
+
"clickhouse_server_version": "24.8.14.39",
|
|
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|
+
"projection_schema_ids": [
|
|
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|
+
"https://schemas.usher.so/cex-order-book-levels-parquet-projection/v1",
|
|
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|
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"https://schemas.usher.so/cex-order-book-depth-summary-parquet-projection/v1"
|
|
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|
+
],
|
|
34
|
+
"policy_sha256": "203300cc7060f018de073fa96eee7ba8210bbd5a768063166c1a7c2b2adcbe05"
|
|
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|
+
}
|
|
@@ -1,5 +1,5 @@
|
|
|
1
1
|
{
|
|
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|
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"schema_id": "https://schemas.usher.so/market-data-vendor-backfill-schema-manifest/
|
|
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|
+
"schema_id": "https://schemas.usher.so/market-data-vendor-backfill-schema-manifest/v3",
|
|
3
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|
"artifacts": [
|
|
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|
{
|
|
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|
"schema_id": "https://schemas.usher.so/market-data-vendor-backfill-request/v1",
|
|
@@ -24,23 +24,43 @@
|
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|
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|
{
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|
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|
"schema_id": "https://schemas.usher.so/market-data-vendor-backfill-promotion-receipt/v1",
|
|
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|
"path": "schemas/promotion-receipt-v1.schema.json",
|
|
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|
-
"schema_sha256": "
|
|
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|
+
"schema_sha256": "95629b9d6d8544f84d42caac4e40c7995f4933836fbb974cb186d11293739438"
|
|
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|
},
|
|
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|
{
|
|
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|
"schema_id": "https://schemas.usher.so/cex-canonical-orderbook-export-request/v1",
|
|
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|
"path": "schemas/canonical-orderbook-export-request-v1.schema.json",
|
|
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|
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"schema_sha256": "
|
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|
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"schema_sha256": "f82096cd3e0fb8d513ad5a9dbdb817d1c6e3e56dbbde745d4d8ff3be7c1528eb"
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|
},
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|
{
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|
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"schema_id": "https://schemas.usher.so/cex-canonical-orderbook-export-result/
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|
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"path": "schemas/canonical-orderbook-export-result-
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|
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|
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"schema_sha256": "
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"schema_id": "https://schemas.usher.so/cex-canonical-orderbook-export-result/v2",
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+
"path": "schemas/canonical-orderbook-export-result-v2.schema.json",
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"schema_sha256": "315dc2c6e00d5504c1152ddf00b1e8eabd18008293eb6aca3e696adc8b0e11d6"
|
|
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|
},
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|
{
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|
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|
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"schema_id": "cex-market-data-preparation-product-pin/
|
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|
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"path": "schemas/preparation-product-pin-
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|
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|
-
"schema_sha256": "
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|
+
"schema_id": "cex-market-data-preparation-product-pin/v2",
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+
"path": "schemas/preparation-product-pin-v2.schema.json",
|
|
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"schema_sha256": "03bb7b0ffc5293a6a2dbceb871ff75fc83e54a979cd22bc2c99e7751b761c833"
|
|
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|
+
},
|
|
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|
+
{
|
|
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|
+
"schema_id": "https://schemas.usher.so/cex-order-book-levels-parquet-projection/v1",
|
|
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|
+
"path": "schemas/order-book-levels-parquet-projection-v1.schema.json",
|
|
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|
+
"schema_sha256": "dbf98aabe22f715388d7fa8d791935a3131fe8d372cfe7041296fd3ace501ffc"
|
|
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|
+
},
|
|
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{
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"schema_id": "https://schemas.usher.so/cex-order-book-depth-summary-parquet-projection/v1",
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|
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+
"path": "schemas/order-book-depth-summary-parquet-projection-v1.schema.json",
|
|
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"schema_sha256": "7fca0794401e0a8de767c4f70bd3b258e20eee94565060c0749ebcb75588e9d1"
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+
},
|
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{
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|
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"schema_id": "https://schemas.usher.so/market-data-source-forensics-ledger/v1",
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+
"path": "schemas/source-forensics-ledger-v1.schema.json",
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|
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"schema_sha256": "a0fbe689cb309acaadf8ae432890fc572b4db37763e8cdcf00c06e7307d08e97"
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+
},
|
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{
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"schema_id": "https://schemas.usher.so/market-data-source-qualification-record/v1",
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"path": "schemas/source-qualification-record-v1.schema.json",
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"schema_sha256": "2a9fa7c0b005bcfa79bc03714e0b7dc145cde7ebf071b8ed4ce48bb2ad53abd5"
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|
}
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|
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|
],
|
|
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|
-
"manifest_sha256": "
|
|
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|
+
"manifest_sha256": "00fda4a5f67dff1e142af7cf7e37f641a3a960acd6e995530aaf99f8b2f5c7bb"
|
|
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|
}
|