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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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10
protobuf/ohlc.proto
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@@ -5,11 +5,11 @@ option java_package = "com.dexorder.proto";
// Single OHLC row
message OHLC {
// Timestamp in microseconds since epoch
// Timestamp in nanoseconds since epoch
uint64 timestamp = 1;
// The prices and volumes must be adjusted by the rational denominator provided
// by the market metadata. Optional to support null bars for periods with no trades.
// Prices are stored as doubles (Nautilus-aligned, no denominator needed).
// Optional to support null bars for periods with no trades.
optional int64 open = 2;
optional int64 high = 3;
optional int64 low = 4;
@@ -22,7 +22,7 @@ message OHLC {
optional int64 low_time = 11;
optional int64 close_time = 12;
optional int64 open_interest = 13;
string ticker = 14;
string ticker = 14; // Nautilus format: "BTC/USDT.BINANCE"
}
// Batch of OHLC rows with metadata for historical request tracking
@@ -49,7 +49,7 @@ message OHLCBatchMetadata {
// OHLC period in seconds
uint32 period_seconds = 4;
// Time range requested (microseconds since epoch)
// Time range requested (nanoseconds since epoch)
uint64 start_time = 5;
uint64 end_time = 6;