@usherlabs/cex-broker 0.2.52 → 0.3.0

package/dist/helpers/market-data-archive/legacy-migration.d.ts

@@ -1,37 +0,0 @@
-import type { BrokerArchiveRow, BrokerArchiveSource } from "../broker-execution-archive/types";
-export type LegacyOrderBookSnapshot = {
-    source?: BrokerArchiveSource;
-    deployment_id: string;
-    account_selector?: string;
-    exchange: string;
-    asset_type: "spot" | "swap" | "future";
-    symbol: string;
-    event_time_ms: number;
-    received_time_ms: number;
-    depth_limit: number;
-    bids_price: number[];
-    bids_size: number[];
-    asks_price: number[];
-    asks_size: number[];
-    sequence?: number;
-};
-export type LegacyCandle = {
-    source?: BrokerArchiveSource;
-    deployment_id: string;
-    account_selector?: string;
-    exchange: string;
-    asset_type: "spot" | "swap" | "future";
-    symbol: string;
-    timeframe: string;
-    open_time_ms: number;
-    open: number;
-    high: number;
-    low: number;
-    close: number;
-    volume: number;
-    quote_volume?: number;
-    is_closed: 0 | 1;
-    broker_version: number;
-};
-export declare function buildLegacyOrderBookMigrationRows(legacy: LegacyOrderBookSnapshot): BrokerArchiveRow[];
-export declare function buildLegacyOhlcvMigrationRow(legacy: LegacyCandle): BrokerArchiveRow;

package/dist/helpers/market-data-archive/ohlcv-bar-tracker.d.ts

@@ -1,11 +0,0 @@
-import type { OhlcvArchiveCandidate, ParsedOhlcvBar } from "./types";
-export declare function parseOhlcvBar(value: unknown): ParsedOhlcvBar | null;
-export declare function extractOhlcvBars(payload: unknown): ParsedOhlcvBar[];
-export declare function extractLatestOhlcvBar(payload: unknown): ParsedOhlcvBar | null;
-export declare class OhlcvBarTracker {
-    private lastOpenTimeMs;
-    private lastBar;
-    process(payload: unknown, brokerVersion: number): OhlcvArchiveCandidate[];
-    private processSingleBar;
-    private processBatch;
-}

package/dist/helpers/market-data-archive/ohlcv-bootstrap.d.ts

@@ -1 +0,0 @@
-export declare function resolveOhlcvBootstrapLimit(optionValue: string | undefined): number;

package/dist/helpers/market-data-archive/ohlcv-history.d.ts

@@ -1,8 +0,0 @@
-import type { Exchange } from "@usherlabs/ccxt";
-import type { BrokerExecutionArchiver } from "../broker-execution-archive/writer";
-import type { OtelMetrics } from "../otel";
-import type { OhlcvBarTracker } from "./ohlcv-bar-tracker";
-import type { OhlcvArchiveInput } from "./types";
-export declare function bootstrapOhlcvHistory(broker: Exchange, archiver: BrokerExecutionArchiver | undefined, otelMetrics: OtelMetrics | undefined, tracker: OhlcvBarTracker, input: OhlcvArchiveInput, options?: {
-    bootstrapLimit?: string;
-}): Promise<unknown | null>;

package/dist/helpers/market-data-archive/orderbook-depth.d.ts

@@ -1,5 +0,0 @@
-export declare function getOrderbookArchiveDepthLimit(): number;
-export declare function splitOrderBookSide(levels: number[][], limit: number): {
-    prices: number[];
-    sizes: number[];
-};

package/dist/helpers/market-data-archive/orderbook-sampler.d.ts

@@ -1,12 +0,0 @@
-export declare function getOrderbookIntervalMs(): number;
-export declare function isMarketArchiveEnabled(): boolean;
-export declare class OrderbookSampler {
-    private readonly intervalMs;
-    private lastEmitMs;
-    constructor(intervalMs?: number);
-    shouldEmit(nowMs?: number): boolean;
-}
-/** @deprecated Use getOrderbookIntervalMs */
-export declare const getOrderbookTobIntervalMs: typeof getOrderbookIntervalMs;
-/** @deprecated Use OrderbookSampler */
-export declare const OrderbookTobSampler: typeof OrderbookSampler;

package/dist/helpers/market-data-archive/parse-stream.d.ts

@@ -1,26 +0,0 @@
-export type ParsedTrade = {
-    tradeId: string;
-    eventTimeMs: number;
-    side: string;
-    price: number;
-    amount: number;
-    cost?: number;
-    takerOrMaker?: string;
-};
-export type ParsedTicker = {
-    eventTimeMs: number;
-    last?: number;
-    bid?: number;
-    ask?: number;
-    high?: number;
-    low?: number;
-    open?: number;
-    close?: number;
-    baseVolume?: number;
-    quoteVolume?: number;
-    change?: number;
-    percentage?: number;
-};
-export declare function parseTrade(value: unknown, fallbackMs?: number): ParsedTrade | null;
-export declare function extractTrades(payload: unknown, fallbackMs?: number): ParsedTrade[];
-export declare function parseTicker(value: unknown, fallbackMs: number): ParsedTicker | null;

package/dist/helpers/market-data-archive/rows.d.ts

@@ -1,14 +0,0 @@
-import type { BrokerArchiveRow } from "../broker-execution-archive/types";
-import type { ParsedTicker, ParsedTrade } from "./parse-stream";
-import type { CexStreamArchiveInput, MarketCaptureContext, ParsedOhlcvBar, RawCapture } from "./types";
-export declare function buildCanonicalCexStreamEventRow(context: MarketCaptureContext, rawCapture: RawCapture): BrokerArchiveRow;
-export declare function buildCanonicalTickerEventRow(context: MarketCaptureContext, rawCapture: RawCapture, ticker: ParsedTicker): BrokerArchiveRow;
-export declare function buildCanonicalTradeRow(context: MarketCaptureContext, rawCapture: RawCapture, trade: ParsedTrade): BrokerArchiveRow;
-export declare function buildCanonicalOhlcvRow(input: {
-    context: MarketCaptureContext;
-    rawCapture: RawCapture;
-    bar: ParsedOhlcvBar;
-    isClosed: boolean;
-    brokerVersion: number;
-}): BrokerArchiveRow;
-export declare function buildCexStreamEventRow(input: CexStreamArchiveInput): BrokerArchiveRow;

package/dist/helpers/market-data-archive/types.d.ts

@@ -1,83 +0,0 @@
-import type { BrokerArchiveRow, BrokerArchiveSource } from "../broker-execution-archive/types";
-import type { BrokerMarketType } from "../market-type";
-import type { NormalizedOrderBookSnapshot } from "../order-book";
-export type MarketArchiveSource = BrokerArchiveSource | "external_backfill";
-export type MarketArchiveTable = "market_data.orderbook_snapshots" | "market_data.candles" | "market_data.cex_stream_events" | "market_data.cex_ticker_events" | "market_data.cex_trades" | "market_data.cex_ohlcv" | "market_data.cex_order_book_levels" | "market_data.cex_order_book_depth_summary";
-export type CexStreamType = "BALANCE" | "ORDERS" | "ORDERBOOK" | "TRADES" | "TICKER" | "OHLCV";
-export type ParsedOhlcvBar = {
-    openTimeMs: number;
-    open: number;
-    high: number;
-    low: number;
-    close: number;
-    volume: number;
-    quoteVolume?: number;
-};
-export type OhlcvArchiveCandidate = {
-    bar: ParsedOhlcvBar;
-    isClosed: boolean;
-    brokerVersion: number;
-};
-export type MarketArchiveContext = {
-    source?: BrokerArchiveSource;
-    exchange: string;
-    symbol: string;
-    assetType: BrokerMarketType;
-    timeframe?: string;
-    accountSelector?: string;
-    deploymentId: string;
-};
-export type CaptureFeed = "ORDERBOOK" | "TICKER" | "TRADES" | "OHLCV";
-export type CaptureSourceMode = "broker_live_stream_v1" | "broker_live_sampling_v1" | "broker_current_snapshot_v1" | "broker_bootstrap_fetch_v1" | "external_ccxt_fallback_v1" | "external_hummingbot_fallback_v1" | "legacy_migration_v1" | "historical_vendor_orderbook_v1" | "vendor_historical_backfill_v1";
-export type CaptureOrigin = "production_capture" | "vendor_historical_backfill";
-export type RawCaptureScope = "ccxt_normalized_object" | "broker_visible_payload" | "exchange_wire_frame" | "vendor_normalized_dataset_file";
-export type MarketCaptureContext = Omit<MarketArchiveContext, "source"> & {
-    source: MarketArchiveSource;
-    captureBundleId: string;
-    feed: CaptureFeed;
-    provider: string;
-    sourceMode: CaptureSourceMode;
-    schemaVersion: string;
-    checksumAlgorithm: string;
-    provenanceComplete: boolean;
-    tradingPair?: string;
-    sourceSymbol?: string;
-};
-export type RawCapture = {
-    rawCaptureId: string;
-    rawCaptureScope: RawCaptureScope;
-    rawChecksum: string;
-    redactedPayload: unknown;
-    eventTimeMs: number;
-    receivedTimeMs: number;
-    checksumAlgorithm: string;
-};
-export type OrderbookArchiveInput = MarketArchiveContext & {
-    snapshot: NormalizedOrderBookSnapshot;
-};
-/** @deprecated Use OrderbookArchiveInput */
-export type OrderbookSnapshotArchiveInput = OrderbookArchiveInput;
-/** @deprecated Use OrderbookArchiveInput */
-export type OrderbookTobArchiveInput = OrderbookArchiveInput;
-export type OhlcvArchiveInput = MarketArchiveContext & {
-    payload: unknown;
-    receivedTimestamp: number;
-    timeframe: string;
-    sourceMode?: "broker_live_stream_v1" | "broker_bootstrap_fetch_v1";
-};
-export type TradesArchiveInput = MarketArchiveContext & {
-    payload: unknown;
-    receivedTimestamp: number;
-};
-export type TickerArchiveInput = MarketArchiveContext & {
-    payload: unknown;
-    receivedTimestamp: number;
-};
-export type CexStreamArchiveInput = MarketArchiveContext & {
-    streamType: CexStreamType;
-    payload: unknown;
-    receivedTimestamp: number;
-    eventTimeMs?: number;
-};
-export declare function isMarketArchiveTable(table: string): table is MarketArchiveTable;
-export type { BrokerArchiveRow };

package/dist/helpers/market-data-preparation/conformance-fixtures.d.ts

@@ -1,128 +0,0 @@
-export declare const PREPARATION_CONFORMANCE_FIXTURES: Readonly<{
-    fixture_id: "cex-market-data-preparation-conformance/v3";
-    documents: Readonly<{
-        backfill_result: import("./contracts").BackfillJobResultV2Wire;
-        canonical_orderbook_export_request: import("./contracts").CanonicalOrderBookExportRequestWire;
-        canonical_orderbook_export_result: import("./contracts").CanonicalOrderBookExportResultWire;
-        preparation_product_pin: import("./contracts").PreparationProductPinWire;
-        library_operations: Readonly<{
-            required_clock_qualification: Readonly<{
-                operation_id: "market-data-required-clock-qualification/v1";
-                attempt_id: "arb-usdt-required-clock-conformance";
-                request: {
-                    idempotency_key: string;
-                    schema_id: string;
-                    request_id: string;
-                    attempt_id: string;
-                    scope: {
-                        exchange: string;
-                        trading_pair: string;
-                        market_type: "spot";
-                        feed: "ORDERBOOK";
-                    };
-                    window: {
-                        start_at: string;
-                        end_at: string;
-                    };
-                    depth: number;
-                    construction_mode: "sampled_top_n_snapshot";
-                    source_policy: "authoritative_window";
-                    target: {
-                        environment: string;
-                        cluster: string;
-                    };
-                    coverage_policy: {
-                        policy_id: "prior-asof-strict/v1";
-                        max_asof_lag_ms: number;
-                        future_rows: "reject";
-                        missing_required_event: "fail";
-                    };
-                    required_clock: {
-                        schema_id: string;
-                        clock_id: string;
-                        file_name: string;
-                        clock_sha256: string;
-                        event_count: number;
-                    };
-                    initial_selection: import("../market-data-vendor-backfill/contracts").ArchiveSelectionWire;
-                    expected_canonical_schema: {
-                        schema_id: string;
-                        schema_sha256: string;
-                    };
-                    product_pins: {
-                        capability_policy: {
-                            policy_id: "market-data-vendor-backfill-capabilities/v3";
-                            policy_sha256: string;
-                        };
-                        resource_policy: {
-                            policy_id: "market-data-vendor-backfill-resources/v2";
-                            policy_sha256: string;
-                        };
-                    };
-                    production_authorization_id: string;
-                };
-                required_clock: import("../market-data-vendor-backfill/contracts").RequiredClockWire;
-                artifacts: Readonly<{
-                    ledger_file_name: "required-clock-ledger.json";
-                    qualification_record_file_name: "required-clock-qualification.json";
-                }>;
-            }>;
-            source_tape: Readonly<{
-                operation_id: "market-data-source-tape/v1";
-                attempt_id: "arb-usdt-source-tape-conformance";
-                request_id: string;
-                scope: {
-                    exchange: string;
-                    trading_pair: string;
-                    market_type: "spot";
-                    feed: "ORDERBOOK";
-                };
-                window: {
-                    start_at: string;
-                    end_at: string;
-                };
-                depth: 100;
-                target: Readonly<{
-                    environment: "sandbox";
-                    cluster: "cex-archive-local";
-                }>;
-                production_authorization_id: string;
-                expected_canonical_schema: {
-                    schema_id: string;
-                    schema_sha256: string;
-                };
-                product_pins: Readonly<{
-                    source_tape_capability: Readonly<{
-                        policy_id: string;
-                        policy_sha256: string;
-                    }>;
-                    resource_policy: Readonly<{
-                        policy_id: "market-data-vendor-backfill-resources/v2";
-                        policy_sha256: string;
-                    }>;
-                    adapter_policy: Readonly<{
-                        policy_id: "cryptohftdata-orderbook-adapter/v1";
-                        policy_sha256: string;
-                    }>;
-                    acquisition_policy: Readonly<{
-                        policy_id: "cryptohftdata-hourly-acquisition/v2";
-                        policy_sha256: string;
-                    }>;
-                }>;
-                artifacts: Readonly<{
-                    ledger_file_name: "source-tape-ledger.json";
-                    qualification_record_file_name: "source-tape-qualification.json";
-                    exporter_result_file_name: "source-tape-export-result.json";
-                }>;
-            }>;
-        }>;
-    }>;
-    identities: Readonly<{
-        manifest_sha256: string;
-        backfill_result_sha256: string;
-        selection_sha256: string;
-        export_result_sha256: string;
-        product_pin_sha256: string;
-        library_operations_sha256: string;
-    }>;
-}>;