From 58d2d8ddee6a2ba63a942d05f092ab23d20cb3c9 Mon Sep 17 00:00:00 2001
From: jgrusewski <jgrusewski@localhost>
Date: Sat, 21 Feb 2026 15:32:02 +0100
Subject: [PATCH] fix(data): return None for unsupported DBN event types
 instead of placeholder trades

The catch-all match arm in convert_to_common_event was creating synthetic
TradeEvent objects with symbol "UNKNOWN", price zero, and trade_id "placeholder"
for any MarketDataEvent variant not explicitly handled (Bar, OrderBook, News, etc.).
These fake trades corrupt downstream analytics pipelines. Now returns None and
logs at debug level instead, allowing callers to filter unsupported types cleanly.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
---
 data/src/providers/databento/mod.rs | 25 ++++++++-----------------
 1 file changed, 8 insertions(+), 17 deletions(-)

diff --git a/data/src/providers/databento/mod.rs b/data/src/providers/databento/mod.rs
index 664a13e50..f1afaa5cd 100644
--- a/data/src/providers/databento/mod.rs
+++ b/data/src/providers/databento/mod.rs
@@ -136,7 +136,6 @@ use crate::types::TimeRange;
 use async_trait::async_trait;
 use chrono::Utc;
 use common::{MarketDataEvent, QuoteEvent, Symbol, TradeEvent};
-use rust_decimal::Decimal;
 use std::pin::Pin;
 use std::sync::Arc;
 use tokio_stream::Stream;
@@ -414,7 +413,10 @@ impl DatabentoHistoricalProvider {
     }
 
     /// Convert types::MarketDataEvent to providers::common::MarketDataEvent
-    fn convert_to_common_event(&self, event: MarketDataEvent) -> MarketDataEvent {
+    ///
+    /// Returns `None` for unsupported event types (e.g., Bar, OrderBook, News)
+    /// rather than synthesizing placeholder trades that would corrupt downstream analytics.
+    fn convert_to_common_event(&self, event: MarketDataEvent) -> Option<MarketDataEvent> {
         match event {
             MarketDataEvent::Trade(trade) => {
                 let common_trade = TradeEvent {
@@ -427,7 +429,7 @@ impl DatabentoHistoricalProvider {
                     conditions: vec![],
                     sequence: 0,
                 };
-                MarketDataEvent::Trade(common_trade)
+                Some(MarketDataEvent::Trade(common_trade))
             },
             MarketDataEvent::Quote(quote) => {
                 let common_quote = QuoteEvent {
@@ -443,22 +445,11 @@ impl DatabentoHistoricalProvider {
                     conditions: vec![],
                     sequence: 0,
                 };
-                MarketDataEvent::Quote(common_quote)
+                Some(MarketDataEvent::Quote(common_quote))
             },
-            // Add other event types as needed
             _ => {
-                // For unsupported event types, create a placeholder trade event
-                let placeholder_trade = TradeEvent {
-                    symbol: "UNKNOWN".into(),
-                    price: Decimal::ZERO,
-                    size: Decimal::ZERO,
-                    timestamp: Utc::now(),
-                    trade_id: Some("placeholder".to_string()),
-                    exchange: Some("UNKNOWN".to_string()),
-                    conditions: vec![],
-                    sequence: 0,
-                };
-                MarketDataEvent::Trade(placeholder_trade)
+                debug!("Unsupported DBN record type encountered, skipping conversion");
+                None
             },
         }
     }