@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.
Files changed (55) hide show
  1. package/dist/commands/cex-canonical-orderbook-export.js +7747 -883
  2. package/dist/commands/cex-canonical-orderbook-export.js.map +41 -10
  3. package/dist/commands/cli.js +127 -34
  4. package/dist/commands/market-data-vendor-backfill.js +8284 -6391
  5. package/dist/commands/market-data-vendor-backfill.js.map +16 -15
  6. package/dist/helpers/canonical-orderbook-export/parquet-projection.d.ts +19 -0
  7. package/dist/helpers/market-data-archive/canonical-orderbook.d.ts +1 -1
  8. package/dist/helpers/market-data-preparation/conformance-fixtures.d.ts +114 -2
  9. package/dist/helpers/market-data-preparation/contracts.d.ts +1298 -18
  10. package/dist/helpers/market-data-preparation/required-clock-qualification.d.ts +43 -0
  11. package/dist/helpers/market-data-preparation/source-tape-dependencies.d.ts +19 -0
  12. package/dist/helpers/market-data-preparation/source-tape-operation.d.ts +109 -0
  13. package/dist/helpers/market-data-source-forensics.d.ts +400 -0
  14. package/dist/helpers/market-data-vendor-backfill/conformance-fixtures.d.ts +3 -5
  15. package/dist/helpers/market-data-vendor-backfill/contracts.d.ts +21 -56
  16. package/dist/helpers/market-data-vendor-backfill/core.d.ts +1 -0
  17. package/dist/helpers/market-data-vendor-backfill/cryptohftdata.d.ts +45 -5
  18. package/dist/helpers/market-data-vendor-backfill/manifests.d.ts +31 -1083
  19. package/dist/helpers/market-data-vendor-backfill/promotion.d.ts +1 -0
  20. package/dist/helpers/source-tape-sandbox.d.ts +82 -0
  21. package/dist/helpers/source-tape.d.ts +165 -0
  22. package/dist/helpers/trace-context.d.ts +8 -0
  23. package/dist/index.js +128 -35
  24. package/dist/index.js.map +7 -6
  25. package/dist/market-data-preparation/fixtures/{conformance-v2.json → conformance-v3.json} +257 -60
  26. package/dist/market-data-preparation/policies/capability-policy.json +15 -4
  27. package/dist/market-data-preparation/policies/resource-policy.json +3 -3
  28. package/dist/market-data-preparation/policies/source-tape-capability-v1.json +35 -0
  29. package/dist/market-data-preparation/schema-manifest.json +30 -10
  30. package/dist/market-data-preparation/schemas/canonical-orderbook-export-request-v1.schema.json +5 -1
  31. package/dist/market-data-preparation/schemas/{canonical-orderbook-export-result-v1.schema.json → canonical-orderbook-export-result-v2.schema.json} +20 -6
  32. package/dist/market-data-preparation/schemas/order-book-depth-summary-parquet-projection-v1.schema.json +256 -0
  33. package/dist/market-data-preparation/schemas/order-book-levels-parquet-projection-v1.schema.json +220 -0
  34. package/dist/market-data-preparation/schemas/{preparation-product-pin-v1.schema.json → preparation-product-pin-v2.schema.json} +59 -9
  35. package/dist/market-data-preparation/schemas/promotion-receipt-v1.schema.json +5 -1
  36. package/dist/market-data-preparation/schemas/source-forensics-ledger-v1.schema.json +463 -0
  37. package/dist/market-data-preparation/schemas/source-qualification-record-v1.schema.json +394 -0
  38. package/dist/market-data-preparation.d.ts +7 -0
  39. package/dist/market-data-preparation.js +35443 -25203
  40. package/dist/market-data-preparation.js.map +118 -78
  41. package/dist/market-data-vendor-backfill.d.ts +8 -5
  42. package/dist/market-data-vendor-backfill.js +19444 -15553
  43. package/dist/market-data-vendor-backfill.js.map +65 -60
  44. package/package.json +1 -5
  45. package/dist/market-data-preparation/policies/capability-policy-v1.json +0 -28
  46. package/dist/market-data-vendor-backfill/fixtures/conformance-v1.json +0 -448
  47. package/dist/market-data-vendor-backfill/policies/capability-policy-v2.json +0 -28
  48. package/dist/market-data-vendor-backfill/policies/capability-policy.json +0 -28
  49. package/dist/market-data-vendor-backfill/policies/resource-policy.json +0 -16
  50. package/dist/market-data-vendor-backfill/schema-manifest.json +0 -31
  51. package/dist/market-data-vendor-backfill/schemas/archive-selection.schema.json +0 -224
  52. package/dist/market-data-vendor-backfill/schemas/promotion-receipt.schema.json +0 -171
  53. package/dist/market-data-vendor-backfill/schemas/request.schema.json +0 -166
  54. package/dist/market-data-vendor-backfill/schemas/required-clock.schema.json +0 -47
  55. package/dist/market-data-vendor-backfill/schemas/result.schema.json +0 -198
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
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  "name": "@usherlabs/cex-broker",
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- "version": "0.2.49",
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+ "version": "0.2.51",
4
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  "description": "Unified gRPC API to CEXs by Usher Labs.",
5
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  "repository": {
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  "type": "git",
@@ -22,10 +22,6 @@
22
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  "import": "./dist/market-data-vendor-backfill.js",
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  "types": "./dist/market-data-vendor-backfill.d.ts"
24
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  },
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- "./market-data-vendor-backfill/schema-manifest.json": "./dist/market-data-vendor-backfill/schema-manifest.json",
26
- "./market-data-vendor-backfill/schemas/*": "./dist/market-data-vendor-backfill/schemas/*",
27
- "./market-data-vendor-backfill/policies/*": "./dist/market-data-vendor-backfill/policies/*",
28
- "./market-data-vendor-backfill/fixtures/*": "./dist/market-data-vendor-backfill/fixtures/*",
29
25
  "./market-data-preparation": {
30
26
  "import": "./dist/market-data-preparation.js",
31
27
  "types": "./dist/market-data-preparation.d.ts"
@@ -1,28 +0,0 @@
1
- {
2
- "policy_id": "market-data-vendor-backfill-capabilities/v1",
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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": {
9
- "policy_id": "cryptohftdata-hourly-acquisition/v1",
10
- "object_granularity": "utc_hour",
11
- "authentication": "bearer",
12
- "initialization_lookback_ms": 0
13
- },
14
- "profiles": [
15
- {
16
- "exchange": "okx",
17
- "market_type": "spot",
18
- "feed": "ORDERBOOK",
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- "canonical_trading_pair": "ARB-USDT",
20
- "provider_exchange_id": "okx_spot",
21
- "resolved_symbol": "ARB-USDT",
22
- "construction_modes": ["sampled_top_n_snapshot"],
23
- "source_policies": ["authoritative_window"],
24
- "max_depth": 400
25
- }
26
- ],
27
- "policy_sha256": "51f522286ad24ec55525c19cad5c2c37043f9325a5a8f20d838adb7fd71191bf"
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- }
@@ -1,448 +0,0 @@
1
- {
2
- "fixture_id": "market-data-vendor-backfill-conformance/v1",
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- "documents": {
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- "required_clock": {
5
- "schema_id": "https://schemas.usher.so/market-data-vendor-backfill-required-clock/v1",
6
- "clock_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f102",
7
- "created_at": "2026-08-20T12:00:00.000Z",
8
- "targets": [
9
- {
10
- "target_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f105",
11
- "target_at": "2026-08-18T09:27:16.000Z"
12
- }
13
- ],
14
- "clock_sha256": "1934fd40540efffee5f5e862cea676f65e398c129db9a3f988acd28765ff0600"
15
- },
16
- "archive_selection": {
17
- "schema_id": "https://schemas.usher.so/market-data-vendor-backfill-archive-selection/v1",
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- "scope": {
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- "exchange": "okx",
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- "trading_pair": "ARB-USDT",
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- "market_type": "spot",
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- "feed": "ORDERBOOK"
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- },
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- "required_clock": {
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- "clock_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f102",
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- "clock_sha256": "1934fd40540efffee5f5e862cea676f65e398c129db9a3f988acd28765ff0600",
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- "event_count": 1
28
- },
29
- "coverage_policy": {
30
- "policy_id": "prior-asof-strict/v1",
31
- "max_asof_lag_ms": 5000,
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- "future_rows": "reject",
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- "missing_required_event": "fail"
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- },
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- "source_policy": "authoritative_window",
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- "coverage_class": "complete",
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- "requested_intervals": [
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- {
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- "start_at": "2026-08-18T09:27:15.000Z",
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- "end_at": "2026-08-18T09:27:17.000Z"
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- }
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- ],
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- "selected_intervals": [
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- {
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- "start_at": "2026-08-18T09:27:15.000Z",
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- "end_at": "2026-08-18T09:27:17.000Z",
47
- "capture_bundle_id": "dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd",
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- "capture_origin": "vendor_historical_backfill"
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- }
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- ],
51
- "precedence": ["vendor"],
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- "bundles": [
53
- {
54
- "capture_bundle_id": "dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd",
55
- "capture_origin": "vendor_historical_backfill",
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- "interval": {
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- "start_at": "2026-08-18T09:27:15.000Z",
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- "end_at": "2026-08-18T09:27:17.000Z"
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- },
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- "qualification": {
61
- "qualification_event_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f104",
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- "state": "qualified",
63
- "receipt_id": "69705f79f1a12ef550949b6aceb8b4a1c49230a87022b080e77cb91145525663",
64
- "promotion_identity_sha256": "e1993e99a7aefae1a2c56248d2c6ff35c5755f8840d474aaa792abe4ab2c22b5"
65
- }
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- }
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- ],
68
- "support_anchors": [
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- {
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- "capture_bundle_id": "dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd",
71
- "raw_capture_id": "4444444444444444444444444444444444444444444444444444444444444444",
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- "snapshot_id": "5555555555555555555555555555555555555555555555555555555555555555",
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- "source_time": "2026-08-18T09:27:15.308Z",
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- "normalized_summary_checksum": "6666666666666666666666666666666666666666666666666666666666666666",
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- "metadata_ref": {
76
- "capture_origin": "vendor_historical_backfill",
77
- "qualification_event_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f104",
78
- "receipt_id": "69705f79f1a12ef550949b6aceb8b4a1c49230a87022b080e77cb91145525663"
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- }
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- }
81
- ],
82
- "receipt_ids": [
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- "69705f79f1a12ef550949b6aceb8b4a1c49230a87022b080e77cb91145525663"
84
- ],
85
- "qualification_event_ids": ["018f0f4d-7b32-7a30-8f4d-1d2a6e40f104"],
86
- "resolved_at": "2026-08-20T12:00:02.000Z",
87
- "selection_sha256": "cc4869df6d08c79d030c8407e7a55e5c534e6a96da7c1ac3f726e814c66a108e"
88
- },
89
- "request": {
90
- "schema_id": "https://schemas.usher.so/market-data-vendor-backfill-request/v1",
91
- "request_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f100",
92
- "attempt_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f101",
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- "scope": {
94
- "exchange": "okx",
95
- "trading_pair": "ARB-USDT",
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- "market_type": "spot",
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- "feed": "ORDERBOOK"
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- },
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- "window": {
100
- "start_at": "2026-08-18T09:27:15.000Z",
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- "end_at": "2026-08-18T09:27:17.000Z"
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- },
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- "depth": 20,
104
- "construction_mode": "sampled_top_n_snapshot",
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- "source_policy": "authoritative_window",
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- "target": {
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- "environment": "production",
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- "cluster": "cex-archive-primary"
109
- },
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- "coverage_policy": {
111
- "policy_id": "prior-asof-strict/v1",
112
- "max_asof_lag_ms": 5000,
113
- "future_rows": "reject",
114
- "missing_required_event": "fail"
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- },
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- "required_clock": {
117
- "schema_id": "https://schemas.usher.so/market-data-vendor-backfill-required-clock/v1",
118
- "clock_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f102",
119
- "file_name": "required-clock.json",
120
- "clock_sha256": "1934fd40540efffee5f5e862cea676f65e398c129db9a3f988acd28765ff0600",
121
- "event_count": 1
122
- },
123
- "initial_selection": {
124
- "schema_id": "https://schemas.usher.so/market-data-vendor-backfill-archive-selection/v1",
125
- "scope": {
126
- "exchange": "okx",
127
- "trading_pair": "ARB-USDT",
128
- "market_type": "spot",
129
- "feed": "ORDERBOOK"
130
- },
131
- "required_clock": {
132
- "clock_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f102",
133
- "clock_sha256": "1934fd40540efffee5f5e862cea676f65e398c129db9a3f988acd28765ff0600",
134
- "event_count": 1
135
- },
136
- "coverage_policy": {
137
- "policy_id": "prior-asof-strict/v1",
138
- "max_asof_lag_ms": 5000,
139
- "future_rows": "reject",
140
- "missing_required_event": "fail"
141
- },
142
- "source_policy": "authoritative_window",
143
- "coverage_class": "missing",
144
- "requested_intervals": [
145
- {
146
- "start_at": "2026-08-18T09:27:15.000Z",
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- "end_at": "2026-08-18T09:27:17.000Z"
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- }
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- ],
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- "selected_intervals": [],
151
- "precedence": ["vendor"],
152
- "bundles": [],
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- "support_anchors": [],
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- "receipt_ids": [],
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- "qualification_event_ids": [],
156
- "resolved_at": "2026-08-20T12:00:00.000Z",
157
- "selection_sha256": "7f9a03dbf3dd3c600ffe7a28bd2b2211a69509c26c06d5e11ad926faeb82f895"
158
- },
159
- "expected_canonical_schema": {
160
- "schema_id": "cex-order-book-canonical/v1",
161
- "schema_sha256": "aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa"
162
- },
163
- "product_pins": {
164
- "capability_policy": {
165
- "policy_id": "market-data-vendor-backfill-capabilities/v1",
166
- "policy_sha256": "51f522286ad24ec55525c19cad5c2c37043f9325a5a8f20d838adb7fd71191bf"
167
- },
168
- "resource_policy": {
169
- "policy_id": "market-data-vendor-backfill-resources/v1",
170
- "policy_sha256": "38d4f47cbd15794efed570801556a95f724561a8b45567d518c044da9d454142"
171
- }
172
- },
173
- "production_authorization_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f103",
174
- "idempotency_key": "2108b6e712cd118bbd1acaff2cd7f481e230b6818048a3973b0a5bcbe3305c95"
175
- },
176
- "promotion_receipt": {
177
- "schema_id": "https://schemas.usher.so/market-data-vendor-backfill-promotion-receipt/v1",
178
- "verified_at": "2026-08-20T12:00:02.000Z",
179
- "request_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f100",
180
- "idempotency_key": "2108b6e712cd118bbd1acaff2cd7f481e230b6818048a3973b0a5bcbe3305c95",
181
- "source": "external_backfill",
182
- "capture_origin": "vendor_historical_backfill",
183
- "source_mode": "vendor_historical_backfill_v1",
184
- "provider": "cryptohftdata",
185
- "adapter_version": "cryptohftdata-orderbook/v2",
186
- "effective_policies": {
187
- "capability_policy": {
188
- "policy_id": "market-data-vendor-backfill-capabilities/v1",
189
- "policy_sha256": "51f522286ad24ec55525c19cad5c2c37043f9325a5a8f20d838adb7fd71191bf"
190
- },
191
- "resource_policy": {
192
- "policy_id": "market-data-vendor-backfill-resources/v1",
193
- "policy_sha256": "38d4f47cbd15794efed570801556a95f724561a8b45567d518c044da9d454142"
194
- },
195
- "adapter_policy": {
196
- "policy_id": "cryptohftdata-orderbook-adapter/v1",
197
- "policy_sha256": "b71eec2948593eb3f9f43371a23ec6a37fd186177c6e368f7f792113e907a737"
198
- },
199
- "acquisition_policy": {
200
- "policy_id": "cryptohftdata-hourly-acquisition/v1",
201
- "policy_sha256": "dd3b94d6fdeed161580735673913e3483dada4725ee4fb7add461b74e20713d5"
202
- }
203
- },
204
- "capture_bundle_id": "dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd",
205
- "scope": {
206
- "exchange": "okx",
207
- "trading_pair": "ARB-USDT",
208
- "market_type": "spot",
209
- "feed": "ORDERBOOK"
210
- },
211
- "window": {
212
- "start_at": "2026-08-18T09:27:15.000Z",
213
- "end_at": "2026-08-18T09:27:17.000Z"
214
- },
215
- "depth": 20,
216
- "construction_mode": "sampled_top_n_snapshot",
217
- "canonical_schema": {
218
- "schema_id": "cex-order-book-canonical/v1",
219
- "schema_sha256": "aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa"
220
- },
221
- "coverage_policy": {
222
- "policy_id": "prior-asof-strict/v1",
223
- "max_asof_lag_ms": 5000,
224
- "future_rows": "reject",
225
- "missing_required_event": "fail"
226
- },
227
- "selection_sha256": "7f9a03dbf3dd3c600ffe7a28bd2b2211a69509c26c06d5e11ad926faeb82f895",
228
- "vendor_semantic_digest": "eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee",
229
- "canonical_semantic_digest": "ffffffffffffffffffffffffffffffffffffffffffffffffffffffffffffffff",
230
- "prefix_digest": "1111111111111111111111111111111111111111111111111111111111111111",
231
- "suffix_digest": "2222222222222222222222222222222222222222222222222222222222222222",
232
- "seam_verified": true,
233
- "coverage_verified": true,
234
- "dataset_objects": [
235
- {
236
- "identity": "okx/spot/orderbook/hour/arb-usdt/2026-08-18t09",
237
- "checksum": "3333333333333333333333333333333333333333333333333333333333333333",
238
- "bytes": 1000,
239
- "rows": 50
240
- }
241
- ],
242
- "promotion_identity_sha256": "e1993e99a7aefae1a2c56248d2c6ff35c5755f8840d474aaa792abe4ab2c22b5",
243
- "receipt_id": "69705f79f1a12ef550949b6aceb8b4a1c49230a87022b080e77cb91145525663"
244
- },
245
- "result": {
246
- "schema_id": "https://schemas.usher.so/market-data-vendor-backfill-result/v1",
247
- "job_id": "018f0f4d-7b32-7a30-8f4d-1d2a6e40f120",
248
- "request_file_sha256": "7777777777777777777777777777777777777777777777777777777777777777",
249
- "executable_sha256": "8888888888888888888888888888888888888888888888888888888888888888",
250
- "schema_manifest_sha256": "48e5e91d33caafd930b45552c799a9fb0c2ccd9a676106fbab2543f231dba1b7",
251
- "cex_package": {
252
- "name": "@usherlabs/cex-broker",
253
- "version": "0.2.46",
254
- "package_sha256": "9999999999999999999999999999999999999999999999999999999999999999"
255
- },
256
- "capability_policy": {
257
- "policy_id": "market-data-vendor-backfill-capabilities/v1",
258
- "policy_sha256": "51f522286ad24ec55525c19cad5c2c37043f9325a5a8f20d838adb7fd71191bf"
259
- },
260
- "resource_policy": {
261
- "policy_id": "market-data-vendor-backfill-resources/v1",
262
- "policy_sha256": "38d4f47cbd15794efed570801556a95f724561a8b45567d518c044da9d454142"
263
- },
264
- "build": {
265
- "fiet_tee_commit": "aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa",
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