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Symbol & data refactoring for Nautilus

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This commit is contained in:
Tim Olson
2026-04-01 00:59:13 -04:00
parent cd28e18e52
commit 93bc8a3a4f
55 changed files with 537 additions and 600 deletions
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4
doc/protocol.md
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@@ -85,7 +85,7 @@ All sockets bind on **Relay** (well-known endpoint). Components connect to relay
- **Socket Type**: Relay uses PUB (bind), Ingestors use SUB (connect)
- **Endpoint**: `tcp://*:5555` (Relay binds)
- **Message Types**: `DataRequest` (historical or realtime)
- **Topic Prefix**: Exchange name (e.g., `BINANCE:`, `COINBASE:`)
- **Topic Prefix**: Market name (e.g., `BTC/USDT.`, `ETH/BTC.`)
- **Behavior**:
- Relay publishes work with exchange prefix from ticker
- Ingestors subscribe only to exchanges they support
@@ -100,7 +100,7 @@ All sockets bind on **Relay** (well-known endpoint). Components connect to relay
- Relay XSUB (connect) → Flink PUB (bind) - Port 5557
- **Message Types**: `Tick`, `OHLC`, `HistoryReadyNotification`, `SymbolMetadataUpdated`
- **Topic Formats**:
- Market data: `{ticker}|{data_type}` (e.g., `BINANCE:BTC/USDT|tick`)
- Market data: `{ticker}|{data_type}` (e.g., `BTC/USDT.BINANCE|tick`)
- Notifications: `RESPONSE:{client_id}` or `HISTORY_READY:{request_id}`
- System notifications: `METADATA_UPDATE` (for symbol metadata updates)
- **Behavior**: