@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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"$schema": "https://json-schema.org/draft/2020-12/schema",
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"$id": "https://schemas.usher.so/market-data-vendor-backfill-archive-selection/v1",
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"title": "Market data vendor backfill archive selection v1",
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"type": "object",
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"additionalProperties": false,
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"required": [
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"schema_id",
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"selection_sha256",
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"scope",
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"required_clock",
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"coverage_policy",
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"source_policy",
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"coverage_class",
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"requested_intervals",
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"selected_intervals",
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"precedence",
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"bundles",
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"support_anchors",
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"receipt_ids",
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"qualification_event_ids",
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"resolved_at"
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],
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"properties": {
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"schema_id": {
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"const": "https://schemas.usher.so/market-data-vendor-backfill-archive-selection/v1"
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},
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"selection_sha256": { "$ref": "#/$defs/sha256" },
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"scope": { "$ref": "#/$defs/scope" },
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"required_clock": { "$ref": "#/$defs/clockReference" },
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"coverage_policy": { "$ref": "#/$defs/coveragePolicy" },
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"source_policy": { "enum": ["authoritative_window", "fill_gaps"] },
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"coverage_class": { "enum": ["complete", "partial", "missing"] },
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"requested_intervals": {
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"type": "array",
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"minItems": 1,
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"items": { "$ref": "#/$defs/interval" }
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"selected_intervals": {
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"items": {
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"additionalProperties": false,
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"required": [
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"start_at",
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"end_at",
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"capture_bundle_id",
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"capture_origin"
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],
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"properties": {
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"start_at": { "$ref": "#/$defs/timestamp" },
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"end_at": { "$ref": "#/$defs/timestamp" },
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"capture_bundle_id": { "$ref": "#/$defs/sha256" },
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"capture_origin": { "$ref": "#/$defs/captureOrigin" }
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}
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"precedence": {
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"type": "array",
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"minItems": 1,
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"maxItems": 2,
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"uniqueItems": true,
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"items": { "enum": ["archive", "vendor"] }
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"bundles": {
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"type": "array",
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"items": {
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"additionalProperties": false,
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"required": [
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"capture_bundle_id",
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"capture_origin",
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"interval",
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"qualification"
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],
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"properties": {
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"capture_bundle_id": { "$ref": "#/$defs/sha256" },
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"capture_origin": { "$ref": "#/$defs/captureOrigin" },
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"interval": { "$ref": "#/$defs/interval" },
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"qualification": {
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"oneOf": [
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"additionalProperties": false,
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"required": [
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"qualification_event_id",
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"state",
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"receipt_id",
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"promotion_identity_sha256"
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"properties": {
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"qualification_event_id": { "$ref": "#/$defs/uuid" },
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"state": { "const": "qualified" },
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"receipt_id": { "$ref": "#/$defs/sha256" },
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"promotion_identity_sha256": { "$ref": "#/$defs/sha256" }
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"support_anchors": {
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"items": {
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"additionalProperties": false,
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"required": [
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"capture_bundle_id",
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"raw_capture_id",
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"snapshot_id",
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"source_time",
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"normalized_summary_checksum",
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"properties": {
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"capture_bundle_id": { "$ref": "#/$defs/sha256" },
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"raw_capture_id": { "$ref": "#/$defs/sha256" },
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"snapshot_id": { "$ref": "#/$defs/sha256" },
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"source_time": { "$ref": "#/$defs/timestamp" },
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"normalized_summary_checksum": { "$ref": "#/$defs/sha256" },
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"metadata_ref": {
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"capture_origin",
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"receipt_id"
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"properties": {
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"capture_origin": { "$ref": "#/$defs/captureOrigin" },
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"qualification_event_id": {
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"oneOf": [{ "type": "null" }, { "$ref": "#/$defs/uuid" }]
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"receipt_id": {
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"oneOf": [{ "type": "null" }, { "$ref": "#/$defs/sha256" }]
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"receipt_ids": {
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"items": { "$ref": "#/$defs/sha256" }
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"qualification_event_ids": {
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"items": { "$ref": "#/$defs/uuid" }
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"resolved_at": { "$ref": "#/$defs/timestamp" }
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"pattern": "^[0-9a-f]{8}-[0-9a-f]{4}-[0-9a-f]{4}-[0-9a-f]{4}-[0-9a-f]{12}$"
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"sha256": { "type": "string", "pattern": "^[0-9a-f]{64}$" },
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"timestamp": {
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"pattern": "^[0-9]{4}-(0[1-9]|1[0-2])-([0-2][0-9]|3[01])T([01][0-9]|2[0-3]):[0-5][0-9]:[0-5][0-9]\\.[0-9]{3}Z$"
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"safeInteger": {
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"minimum": 0,
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"maximum": 9007199254740991
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"captureOrigin": {
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"enum": ["production_capture", "vendor_historical_backfill"]
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"scope": {
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"additionalProperties": false,
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"required": ["exchange", "trading_pair", "market_type", "feed"],
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"exchange": {
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"pattern": "^[a-z0-9][a-z0-9_-]{0,63}$"
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"trading_pair": { "type": "string", "minLength": 3, "maxLength": 128 },
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"market_type": { "enum": ["spot", "swap", "future"] },
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"feed": { "const": "ORDERBOOK" }
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"clockReference": {
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"required": ["clock_id", "clock_sha256", "event_count"],
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"properties": {
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"clock_id": { "$ref": "#/$defs/uuid" },
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"clock_sha256": { "$ref": "#/$defs/sha256" },
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"event_count": { "$ref": "#/$defs/safeInteger" }
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"coveragePolicy": {
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"required": [
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"properties": {
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"policy_id": { "const": "prior-asof-strict/v1" },
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"max_asof_lag_ms": { "$ref": "#/$defs/safeInteger" },
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"future_rows": { "const": "reject" },
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"interval": {
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"required": ["start_at", "end_at"],
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"properties": {
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"start_at": { "$ref": "#/$defs/timestamp" },
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}
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}
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"$id": "https://schemas.usher.so/market-data-vendor-backfill-promotion-receipt/v1",
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"title": "Market data vendor backfill promotion receipt v1",
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],
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"properties": {
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"schema_id": {
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"const": "https://schemas.usher.so/market-data-vendor-backfill-promotion-receipt/v1"
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},
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"receipt_id": { "$ref": "#/$defs/sha256" },
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"promotion_identity_sha256": { "$ref": "#/$defs/sha256" },
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"verified_at": { "$ref": "#/$defs/timestamp" },
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"source": { "const": "external_backfill" },
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"capture_origin": { "const": "vendor_historical_backfill" },
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"source_mode": { "const": "vendor_historical_backfill_v1" },
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"provider": { "type": "string", "minLength": 1, "maxLength": 128 },
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"capture_bundle_id": { "$ref": "#/$defs/sha256" },
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"coverage_policy": { "$ref": "#/$defs/coveragePolicy" },
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"selection_sha256": { "$ref": "#/$defs/sha256" },
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"vendor_semantic_digest": { "$ref": "#/$defs/sha256" },
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"sha256": { "type": "string", "pattern": "^[0-9a-f]{64}$" },
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"timestamp": {
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"pattern": "^[0-9]{4}-(0[1-9]|1[0-2])-([0-2][0-9]|3[01])T([01][0-9]|2[0-3]):[0-5][0-9]:[0-5][0-9]\\.[0-9]{3}Z$"
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"trading_pair": { "type": "string", "minLength": 3, "maxLength": 128 },
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"feed": { "const": "ORDERBOOK" }
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"interval": {
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"properties": {
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"start_at": { "$ref": "#/$defs/timestamp" },
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}
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"coveragePolicy": {
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"required": [
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],
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"properties": {
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"policy_id": { "const": "prior-asof-strict/v1" },
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"max_asof_lag_ms": { "$ref": "#/$defs/safeInteger" },
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"future_rows": { "const": "reject" },
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"missing_required_event": { "const": "fail" }
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}
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},
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"policyPin": {
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"required": ["policy_id", "policy_sha256"],
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"properties": {
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"policy_id": { "type": "string", "minLength": 1, "maxLength": 256 },
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"policy_sha256": { "$ref": "#/$defs/sha256" }
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}
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}
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@@ -1,166 +0,0 @@
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{
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"$schema": "https://json-schema.org/draft/2020-12/schema",
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"$id": "https://schemas.usher.so/market-data-vendor-backfill-request/v1",
|
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"title": "Market data vendor backfill request v1",
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"type": "object",
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"additionalProperties": false,
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"required": [
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"schema_id",
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"request_id",
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"attempt_id",
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"idempotency_key",
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"scope",
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"window",
|
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|
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"depth",
|
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"construction_mode",
|
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|
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"source_policy",
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"target",
|
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"coverage_policy",
|
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|
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"required_clock",
|
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"initial_selection",
|
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|
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"expected_canonical_schema",
|
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|
-
"product_pins",
|
|
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|
-
"production_authorization_id"
|
|
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|
-
],
|
|
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"properties": {
|
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"schema_id": {
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"const": "https://schemas.usher.so/market-data-vendor-backfill-request/v1"
|
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|
-
},
|
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|
-
"request_id": { "$ref": "#/$defs/uuid" },
|
|
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|
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"attempt_id": { "$ref": "#/$defs/uuid" },
|
|
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|
-
"idempotency_key": { "$ref": "#/$defs/sha256" },
|
|
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|
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"scope": { "$ref": "#/$defs/scope" },
|
|
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|
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"window": { "$ref": "#/$defs/interval" },
|
|
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|
-
"depth": { "type": "integer", "minimum": 1, "maximum": 500 },
|
|
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|
-
"construction_mode": {
|
|
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|
-
"enum": ["sampled_top_n_snapshot", "exact_l2_reconstruction"]
|
|
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|
-
},
|
|
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|
-
"source_policy": { "enum": ["authoritative_window", "fill_gaps"] },
|
|
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"target": {
|
|
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|
-
"type": "object",
|
|
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|
-
"additionalProperties": false,
|
|
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|
-
"required": ["environment", "cluster"],
|
|
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|
-
"properties": {
|
|
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-
"environment": {
|
|
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-
"type": "string",
|
|
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|
-
"pattern": "^[a-z0-9][a-z0-9_-]{0,63}$"
|
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|
-
},
|
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|
-
"cluster": {
|
|
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"type": "string",
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"pattern": "^[a-z0-9][a-z0-9_-]{0,127}$"
|
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-
}
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-
}
|
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-
},
|
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-
"coverage_policy": { "$ref": "#/$defs/coveragePolicy" },
|
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-
"required_clock": {
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"type": "object",
|
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"additionalProperties": false,
|
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"required": [
|
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"schema_id",
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"clock_id",
|
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-
"file_name",
|
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|
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"clock_sha256",
|
|
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|
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"event_count"
|
|
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|
-
],
|
|
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"properties": {
|
|
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"schema_id": {
|
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"const": "https://schemas.usher.so/market-data-vendor-backfill-required-clock/v1"
|
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},
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"clock_id": { "$ref": "#/$defs/uuid" },
|
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"file_name": {
|
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"type": "string",
|
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"pattern": "^[A-Za-z0-9][A-Za-z0-9._-]{0,254}$"
|
|
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|
-
},
|
|
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|
-
"clock_sha256": { "$ref": "#/$defs/sha256" },
|
|
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|
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"event_count": { "$ref": "#/$defs/safeInteger" }
|
|
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|
-
}
|
|
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|
-
},
|
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|
-
"initial_selection": {
|
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|
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"$ref": "https://schemas.usher.so/market-data-vendor-backfill-archive-selection/v1"
|
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|
-
},
|
|
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|
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"expected_canonical_schema": { "$ref": "#/$defs/artifactPin" },
|
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"product_pins": {
|
|
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-
"type": "object",
|
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-
"additionalProperties": false,
|
|
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|
-
"required": ["capability_policy", "resource_policy"],
|
|
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|
-
"properties": {
|
|
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|
-
"capability_policy": { "$ref": "#/$defs/policyPin" },
|
|
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|
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"resource_policy": { "$ref": "#/$defs/policyPin" }
|
|
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|
-
}
|
|
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|
-
},
|
|
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|
-
"production_authorization_id": { "$ref": "#/$defs/uuid" }
|
|
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|
-
},
|
|
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|
-
"$defs": {
|
|
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|
-
"uuid": {
|
|
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|
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"type": "string",
|
|
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|
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"pattern": "^[0-9a-f]{8}-[0-9a-f]{4}-[0-9a-f]{4}-[0-9a-f]{4}-[0-9a-f]{12}$"
|
|
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|
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},
|
|
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|
-
"sha256": { "type": "string", "pattern": "^[0-9a-f]{64}$" },
|
|
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|
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"timestamp": {
|
|
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"type": "string",
|
|
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|
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"pattern": "^[0-9]{4}-(0[1-9]|1[0-2])-([0-2][0-9]|3[01])T([01][0-9]|2[0-3]):[0-5][0-9]:[0-5][0-9]\\.[0-9]{3}Z$"
|
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},
|
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|
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|
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|
-
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|
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-
"maximum": 9007199254740991
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},
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|
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|
-
"required": ["exchange", "trading_pair", "market_type", "feed"],
|
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"properties": {
|
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"exchange": {
|
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|
|
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|
-
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|
|
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|
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},
|
|
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|
-
"trading_pair": { "type": "string", "minLength": 3, "maxLength": 128 },
|
|
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|
-
"market_type": { "enum": ["spot", "swap", "future"] },
|
|
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|
-
"feed": { "const": "ORDERBOOK" }
|
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}
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|
-
},
|
|
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-
"interval": {
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-
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"properties": {
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|
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"start_at": { "$ref": "#/$defs/timestamp" },
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|
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|
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}
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},
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|
-
"coveragePolicy": {
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|
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|
|
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|
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|
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-
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|
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|
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|
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|
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|
-
],
|
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|
-
"properties": {
|
|
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|
-
"policy_id": { "const": "prior-asof-strict/v1" },
|
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|
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"max_asof_lag_ms": { "$ref": "#/$defs/safeInteger" },
|
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|
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"future_rows": { "const": "reject" },
|
|
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|
-
"missing_required_event": { "const": "fail" }
|
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|
-
}
|
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},
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|
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"artifactPin": {
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|
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|
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|
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|
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|
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|
-
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|
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"schema_id": { "type": "string", "minLength": 1, "maxLength": 256 },
|
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|
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"schema_sha256": { "$ref": "#/$defs/sha256" }
|
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|
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}
|
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|
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},
|
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|
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"policyPin": {
|
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|
-
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|
|
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|
-
"additionalProperties": false,
|
|
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|
-
"required": ["policy_id", "policy_sha256"],
|
|
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|
-
"properties": {
|
|
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|
-
"policy_id": { "type": "string", "minLength": 1, "maxLength": 256 },
|
|
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|
-
"policy_sha256": { "$ref": "#/$defs/sha256" }
|
|
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|
-
}
|
|
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|
-
}
|
|
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|
-
}
|
|
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|
-
}
|
|
@@ -1,47 +0,0 @@
|
|
|
1
|
-
{
|
|
2
|
-
"$schema": "https://json-schema.org/draft/2020-12/schema",
|
|
3
|
-
"$id": "https://schemas.usher.so/market-data-vendor-backfill-required-clock/v1",
|
|
4
|
-
"title": "Market data vendor backfill required clock v1",
|
|
5
|
-
"type": "object",
|
|
6
|
-
"additionalProperties": false,
|
|
7
|
-
"required": [
|
|
8
|
-
"schema_id",
|
|
9
|
-
"clock_id",
|
|
10
|
-
"clock_sha256",
|
|
11
|
-
"created_at",
|
|
12
|
-
"targets"
|
|
13
|
-
],
|
|
14
|
-
"properties": {
|
|
15
|
-
"schema_id": {
|
|
16
|
-
"const": "https://schemas.usher.so/market-data-vendor-backfill-required-clock/v1"
|
|
17
|
-
},
|
|
18
|
-
"clock_id": { "$ref": "#/$defs/uuid" },
|
|
19
|
-
"clock_sha256": { "$ref": "#/$defs/sha256" },
|
|
20
|
-
"created_at": { "$ref": "#/$defs/timestamp" },
|
|
21
|
-
"targets": {
|
|
22
|
-
"type": "array",
|
|
23
|
-
"minItems": 1,
|
|
24
|
-
"maxItems": 100000,
|
|
25
|
-
"items": {
|
|
26
|
-
"type": "object",
|
|
27
|
-
"additionalProperties": false,
|
|
28
|
-
"required": ["target_id", "target_at"],
|
|
29
|
-
"properties": {
|
|
30
|
-
"target_id": { "$ref": "#/$defs/uuid" },
|
|
31
|
-
"target_at": { "$ref": "#/$defs/timestamp" }
|
|
32
|
-
}
|
|
33
|
-
}
|
|
34
|
-
}
|
|
35
|
-
},
|
|
36
|
-
"$defs": {
|
|
37
|
-
"uuid": {
|
|
38
|
-
"type": "string",
|
|
39
|
-
"pattern": "^[0-9a-f]{8}-[0-9a-f]{4}-[0-9a-f]{4}-[0-9a-f]{4}-[0-9a-f]{12}$"
|
|
40
|
-
},
|
|
41
|
-
"sha256": { "type": "string", "pattern": "^[0-9a-f]{64}$" },
|
|
42
|
-
"timestamp": {
|
|
43
|
-
"type": "string",
|
|
44
|
-
"pattern": "^[0-9]{4}-(0[1-9]|1[0-2])-([0-2][0-9]|3[01])T([01][0-9]|2[0-3]):[0-5][0-9]:[0-5][0-9]\\.[0-9]{3}Z$"
|
|
45
|
-
}
|
|
46
|
-
}
|
|
47
|
-
}
|