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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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69
ingestor/src/ccxt-fetcher.js
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@@ -12,17 +12,17 @@ export class CCXTFetcher {
/**
* Parse ticker string to exchange and symbol
* Expected format: "EXCHANGE:SYMBOL" (e.g., "BINANCE:BTC/USDT")
* Expected format: "SYMBOL.EXCHANGE" (e.g., "BTC/USDT.BINANCE")
*/
parseTicker(ticker) {
const parts = ticker.split(':');
if (parts.length !== 2) {
throw new Error(`Invalid ticker format: ${ticker}. Expected "EXCHANGE:SYMBOL"`);
const lastDot = ticker.lastIndexOf('.');
if (lastDot === -1) {
throw new Error(`Invalid ticker format: ${ticker}. Expected "SYMBOL.EXCHANGE"`);
}
return {
exchange: parts[0].toLowerCase(),
symbol: parts[1]
exchange: ticker.slice(lastDot + 1).toLowerCase(),
symbol: ticker.slice(0, lastDot)
};
}
@@ -101,9 +101,9 @@ export class CCXTFetcher {
const { exchange: exchangeName, symbol } = this.parseTicker(ticker);
const exchange = this.getExchange(exchangeName);
// Convert microseconds to milliseconds
const startMs = Math.floor(parseInt(startTime) / 1000);
const endMs = Math.floor(parseInt(endTime) / 1000);
// Convert nanoseconds to milliseconds
const startMs = Math.floor(parseInt(startTime) / 1_000_000);
const endMs = Math.floor(parseInt(endTime) / 1_000_000);
// Map period seconds to CCXT timeframe
const timeframe = this.secondsToTimeframe(periodSeconds);
@@ -208,7 +208,7 @@ export class CCXTFetcher {
/**
* Fetch recent trades for realtime tick data
* @param {string} ticker - Ticker in format "EXCHANGE:SYMBOL"
* @param {string} since - Optional timestamp in microseconds to fetch from
* @param {string} since - Optional timestamp in nanoseconds to fetch from
* @returns {Promise<Array>} Array of trade ticks
*/
async fetchRecentTrades(ticker, since = null) {
@@ -216,8 +216,8 @@ export class CCXTFetcher {
const exchange = this.getExchange(exchangeName);
try {
// Convert microseconds to milliseconds if provided
const sinceMs = since ? Math.floor(parseInt(since) / 1000) : undefined;
// Convert nanoseconds to milliseconds if provided
const sinceMs = since ? Math.floor(parseInt(since) / 1_000_000) : undefined;
const trades = await exchange.fetchTrades(symbol, sinceMs, 1000);
@@ -243,25 +243,24 @@ export class CCXTFetcher {
/**
* Convert CCXT OHLCV array to our OHLC format
* CCXT format: [timestamp, open, high, low, close, volume]
* Uses denominators from market metadata for proper integer representation
* Uses precision fields from market metadata for proper integer representation
*/
convertToOHLC(candle, ticker, periodSeconds, metadata) {
const [timestamp, open, high, low, close, volume] = candle;
// Use denominators from metadata
const tickDenom = metadata.tickDenom || 100;
const baseDenom = metadata.baseDenom || 100000000;
const priceMult = Math.pow(10, metadata.pricePrecision ?? 2);
const sizeMult = Math.pow(10, metadata.sizePrecision ?? 8);
return {
ticker,
timestamp: (timestamp * 1000).toString(), // Convert ms to microseconds
open: Math.round(open * tickDenom).toString(),
high: Math.round(high * tickDenom).toString(),
low: Math.round(low * tickDenom).toString(),
close: Math.round(close * tickDenom).toString(),
volume: Math.round(volume * baseDenom).toString(),
open_time: (timestamp * 1000).toString(),
close_time: ((timestamp + periodSeconds * 1000) * 1000).toString()
timestamp: (timestamp * 1_000_000).toString(), // Convert ms to nanoseconds
open: Math.round(open * priceMult).toString(),
high: Math.round(high * priceMult).toString(),
low: Math.round(low * priceMult).toString(),
close: Math.round(close * priceMult).toString(),
volume: Math.round(volume * sizeMult).toString(),
open_time: (timestamp * 1_000_000).toString(),
close_time: ((timestamp + periodSeconds * 1000) * 1_000_000).toString()
};
}
@@ -272,35 +271,33 @@ export class CCXTFetcher {
createGapBar(timestampMs, ticker, periodSeconds, metadata) {
return {
ticker,
timestamp: (timestampMs * 1000).toString(), // Convert ms to microseconds
timestamp: (timestampMs * 1_000_000).toString(), // Convert ms to nanoseconds
open: null,
high: null,
low: null,
close: null,
volume: null,
open_time: (timestampMs * 1000).toString(),
close_time: ((timestampMs + periodSeconds * 1000) * 1000).toString()
open_time: (timestampMs * 1_000_000).toString(),
close_time: ((timestampMs + periodSeconds * 1000) * 1_000_000).toString()
};
}
/**
* Convert CCXT trade to our Tick format
* Uses denominators from market metadata for proper integer representation
* Uses precision fields from market metadata for proper integer representation
*/
convertToTick(trade, ticker, metadata) {
// Use denominators from metadata
const tickDenom = metadata.tickDenom || 100;
const baseDenom = metadata.baseDenom || 100000000;
const quoteDenom = metadata.quoteDenom || tickDenom;
const priceMult = Math.pow(10, metadata.pricePrecision ?? 2);
const sizeMult = Math.pow(10, metadata.sizePrecision ?? 8);
const price = Math.round(trade.price * tickDenom);
const amount = Math.round(trade.amount * baseDenom);
const quoteAmount = Math.round((trade.price * trade.amount) * quoteDenom);
const price = Math.round(trade.price * priceMult);
const amount = Math.round(trade.amount * sizeMult);
const quoteAmount = Math.round((trade.price * trade.amount) * priceMult);
return {
trade_id: trade.id || `${trade.timestamp}`,
ticker,
timestamp: (trade.timestamp * 1000).toString(), // Convert ms to microseconds
timestamp: (trade.timestamp * 1_000_000).toString(), // Convert ms to nanoseconds
price: price.toString(),
amount: amount.toString(),
quote_amount: quoteAmount.toString(),