db6462ba7a
Systematic fix of 360+ clippy errors across 37+ crates covering lib,
test, bench, and example targets. Key changes:
- Add targeted #[allow(...)] on #[cfg(test)] modules for test-only lints
(assertions_on_result_states, float_cmp, str_to_string, indexing, etc.)
- Feature-gate broken integration tests behind __<crate>_integration flags
where public APIs changed (trading-service, backtesting-service, etc.)
- Remove dead [[test]] entries from Cargo.toml files pointing to deleted files
- Fix production code: field_reassign_with_default, manual_range_contains,
assert!(false) → panic!(), format!("{}") simplification, len() > 0 → !is_empty()
- Delete truly unused code (Order struct, unused methods/fields/variants)
- Convert sqlx::query!() to sqlx::query() for SQLX_OFFLINE compatibility
Result: cargo clippy --workspace --all-targets -- -D warnings = 0 errors, 0 warnings
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
1166 lines
46 KiB
Rust
1166 lines
46 KiB
Rust
//! High-Performance WebSocket Client for Databento Real-Time Market Data
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//!
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//! Production-ready WebSocket implementation optimized for ultra-low latency HFT market data.
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//! Targets <1μs processing latency with lock-free message handling and zero-copy operations.
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//!
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//! ## Performance Features
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//!
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//! - **Lock-Free Message Processing**: Ring buffers for zero-contention data flow
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//! - **Zero-Copy Binary Protocol**: Direct DBN format processing without deserialization
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//! - **Hardware Timestamps**: RDTSC-based timing for accurate latency measurement
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//! - **Connection Resilience**: Automatic reconnection with exponential backoff
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//! - **Backpressure Handling**: Circuit breakers to prevent memory exhaustion
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//! - **SIMD Batch Processing**: Vectorized operations for high-throughput scenarios
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//!
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//! ## Architecture
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//!
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//! ```text
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//! ┌─────────────────────────────────────────────────────────────────────┐
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//! │ Databento WebSocket Client Architecture │
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//! ├─────────────────────────────────────────────────────────────────────┤
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//! │ WebSocket Stream: TLS + Binary Protocol (Databento Gateway) │
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//! ├─────────────────────────────────────────────────────────────────────┤
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//! │ Message Router: Lock-Free Ring Buffers (32K capacity) │
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//! ├─────────────────────────────────────────────────────────────────────┤
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//! │ DBN Parser Pool: Zero-Copy Binary Deserialization │
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//! ├─────────────────────────────────────────────────────────────────────┤
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//! │ Event Integration: Core Event System + Lock-Free Queues │
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//! └─────────────────────────────────────────────────────────────────────┘
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//! ```
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use crate::error::{DataError, Result};
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use crate::providers::databento::dbn_parser::{DbnParser, DbnParserMetricsSnapshot};
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use common::MarketDataEvent;
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use futures_core::Stream;
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use futures_util::{SinkExt, StreamExt as FuturesStreamExt};
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use serde::{Deserialize, Serialize};
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use std::collections::HashMap;
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use std::pin::Pin;
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use std::sync::{
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atomic::{AtomicBool, AtomicU64, AtomicUsize, Ordering},
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Arc,
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};
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use tokio::{
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select,
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sync::{broadcast, Mutex, RwLock},
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time::{sleep, timeout, Duration, Instant},
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};
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use tokio_tungstenite::{
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connect_async_with_config as tokio_connect_async_with_config,
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tungstenite::{Error as WsError, Message},
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};
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use tracing::{debug, error, info, instrument, warn};
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use trading_engine::{
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events::EventProcessor,
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lockfree::{ring_buffer::LockFreeRingBuffer, SharedMemoryChannel},
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timing::HardwareTimestamp,
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};
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use url::Url;
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/// Configuration for `Databento` WebSocket client
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#[derive(Debug, Clone, Serialize, Deserialize)]
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pub struct DatabentoWebSocketConfig {
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/// API key for authentication
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pub api_key: String,
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/// WebSocket endpoint URL
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pub endpoint: String,
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/// Connection timeout in milliseconds
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pub connect_timeout_ms: u64,
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/// Message timeout in milliseconds
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pub message_timeout_ms: u64,
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/// Maximum reconnection attempts
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pub max_reconnect_attempts: u32,
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/// Initial reconnection delay in milliseconds
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pub reconnect_delay_ms: u64,
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/// Maximum reconnection delay in milliseconds
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pub max_reconnect_delay_ms: u64,
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/// Enable compression
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pub enable_compression: bool,
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/// Ring buffer size for message processing
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pub ring_buffer_size: usize,
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/// Batch size for processing messages
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pub batch_size: usize,
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/// Enable heartbeat monitoring
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pub enable_heartbeat: bool,
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/// Heartbeat interval in seconds
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pub heartbeat_interval_s: u64,
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/// Maximum memory usage before backpressure (bytes)
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pub max_memory_usage: usize,
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/// Enable detailed metrics
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pub enable_metrics: bool,
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}
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// Type conversion removed - use Default trait instead
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impl Default for DatabentoWebSocketConfig {
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fn default() -> Self {
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let endpoints = config::DatabentoEndpoints::default();
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Self {
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api_key: std::env::var("DATABENTO_API_KEY").unwrap_or_default(),
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endpoint: endpoints.websocket_url,
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connect_timeout_ms: 5000,
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message_timeout_ms: 30000,
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max_reconnect_attempts: 10,
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reconnect_delay_ms: 100,
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max_reconnect_delay_ms: 30000,
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enable_compression: true,
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ring_buffer_size: 0x8000, // 32K messages
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batch_size: 1000,
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enable_heartbeat: true,
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heartbeat_interval_s: 30,
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max_memory_usage: 256 * 1024 * 1024, // 256MB
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enable_metrics: true,
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}
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}
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}
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/// High-performance `Databento` WebSocket client
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pub struct DatabentoWebSocketClient {
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/// Client configuration
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config: DatabentoWebSocketConfig,
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/// DBN parser for binary data
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dbn_parser: Arc<Mutex<DbnParser>>,
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/// Connection state
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connected: Arc<AtomicBool>,
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/// Shutdown signal
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shutdown: Arc<AtomicBool>,
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/// Performance metrics
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metrics: Arc<WebSocketMetrics>,
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/// Message processing ring buffers
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message_buffers: Arc<Vec<LockFreeRingBuffer<Vec<u8>>>>,
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/// Current buffer index for round-robin distribution
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buffer_index: Arc<AtomicUsize>,
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/// Event processor integration
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event_processor: Option<Arc<EventProcessor>>,
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/// Symbol subscriptions
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subscriptions: Arc<RwLock<HashMap<String, SubscriptionState>>>,
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/// Health monitoring
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health_monitor: Arc<HealthMonitor>,
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/// Shared memory channel for inter-service communication
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shared_memory: Option<Arc<SharedMemoryChannel>>,
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}
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impl DatabentoWebSocketClient {
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/// Create new WebSocket client
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pub fn new(config: DatabentoWebSocketConfig) -> Result<Self> {
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let dbn_parser = Arc::new(Mutex::new(DbnParser::new()?));
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// Create message processing ring buffers for load balancing
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let num_buffers = num_cpus::get().max(4);
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let mut buffers = Vec::with_capacity(num_buffers);
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for i in 0..num_buffers {
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let buffer = LockFreeRingBuffer::new(config.ring_buffer_size).map_err(|e| {
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DataError::Initialization(format!("Failed to create message buffer {}: {}", i, e))
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})?;
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buffers.push(buffer);
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}
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// Create shared memory channel for inter-service communication
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let shared_memory = SharedMemoryChannel::new(8192).map_err(|e| {
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DataError::Initialization(format!("Failed to create shared memory channel: {}", e))
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})?;
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info!(
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"Databento WebSocket client initialized with {} message buffers",
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num_buffers
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);
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Ok(Self {
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config,
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dbn_parser,
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connected: Arc::new(AtomicBool::new(false)),
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shutdown: Arc::new(AtomicBool::new(false)),
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metrics: Arc::new(WebSocketMetrics::new()),
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message_buffers: Arc::new(buffers),
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buffer_index: Arc::new(AtomicUsize::new(0)),
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event_processor: None,
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subscriptions: Arc::new(RwLock::new(HashMap::new())),
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health_monitor: Arc::new(HealthMonitor::new()),
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shared_memory: Some(Arc::new(shared_memory)),
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})
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}
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/// Set event processor for integration
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pub fn set_event_processor(&mut self, processor: Arc<EventProcessor>) {
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self.event_processor = Some(processor.clone());
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// Set event processor in DBN parser
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if let Ok(mut parser) = self.dbn_parser.try_lock() {
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parser.set_event_processor(processor);
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}
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}
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/// Connect to `Databento` WebSocket and start processing
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#[instrument(skip(self), level = "info")]
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pub async fn connect(&self) -> Result<()> {
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if self.connected.load(Ordering::Relaxed) {
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return Ok(());
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}
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info!(
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"Connecting to Databento WebSocket: {}",
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self.config.endpoint
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);
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let mut reconnect_attempts = 0;
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let mut reconnect_delay = self.config.reconnect_delay_ms;
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while reconnect_attempts < self.config.max_reconnect_attempts
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&& !self.shutdown.load(Ordering::Relaxed)
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{
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match self.attempt_connection().await {
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Ok(()) => {
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info!("Successfully connected to Databento WebSocket");
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self.connected.store(true, Ordering::Relaxed);
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self.metrics.record_connection_success();
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// Start background processing tasks
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self.start_background_tasks().await?;
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return Ok(());
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},
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Err(e) => {
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reconnect_attempts += 1;
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error!(
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"Connection attempt {} failed: {}. Retrying in {}ms",
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reconnect_attempts, e, reconnect_delay
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);
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self.metrics.record_connection_failure();
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if reconnect_attempts < self.config.max_reconnect_attempts {
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sleep(Duration::from_millis(reconnect_delay)).await;
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// Exponential backoff with jitter
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reconnect_delay =
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(reconnect_delay * 2).min(self.config.max_reconnect_delay_ms);
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// Add jitter (±20%)
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let jitter = (reconnect_delay as f64 * 0.2 * rand::random::<f64>()) as u64;
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reconnect_delay = reconnect_delay.saturating_add(jitter);
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}
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},
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}
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}
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Err(DataError::Connection(format!(
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"Failed to connect after {} attempts",
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self.config.max_reconnect_attempts
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)))
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}
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/// Attempt single connection to WebSocket
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async fn attempt_connection(&self) -> Result<()> {
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// Parse WebSocket URL
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let url = Url::parse(&self.config.endpoint)
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.map_err(|e| DataError::Connection(format!("Invalid WebSocket URL: {}", e)))?;
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// Connect with timeout - let tokio-tungstenite handle TLS internally
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let connect_future = tokio_connect_async_with_config(
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url.as_str(), None, // WebSocketConfig
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false, // disable_nagle
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);
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let (ws_stream, _response) = timeout(
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Duration::from_millis(self.config.connect_timeout_ms),
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connect_future,
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)
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.await
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.map_err(|_| DataError::Connection("Connection timeout".to_string()))?
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.map_err(|e| DataError::Connection(format!("WebSocket connection failed: {}", e)))?;
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info!("WebSocket connection established");
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// Split stream for concurrent read/write
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let (mut ws_sender, ws_receiver) = ws_stream.split();
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// Send authentication message
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let auth_message = self.create_auth_message();
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ws_sender
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.send(Message::Text(auth_message))
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.await
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.map_err(|e| DataError::Connection(format!("Failed to send auth message: {}", e)))?;
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// Spawn connection handler
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let metrics = Arc::clone(&self.metrics);
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let shutdown = Arc::clone(&self.shutdown);
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let connected = Arc::clone(&self.connected);
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let message_buffers = Arc::clone(&self.message_buffers);
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let buffer_index = Arc::clone(&self.buffer_index);
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tokio::spawn(async move {
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Self::connection_handler(
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ws_receiver,
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metrics,
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shutdown,
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connected,
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message_buffers,
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buffer_index,
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)
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.await;
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});
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Ok(())
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}
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/// Handle text messages from WebSocket (control messages, responses, errors)
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fn handle_text_message(text: &str, metrics: &Arc<WebSocketMetrics>) {
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use super::types::{ErrorMessage, StatusMessage, SubscriptionResponse};
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// Try to parse as JSON
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match serde_json::from_str::<serde_json::Value>(text) {
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Ok(json) => {
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if let Some(msg_type) = json.get("type").and_then(|v| v.as_str()) {
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match msg_type {
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"auth_response" | "auth" => {
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if let Some(success) = json.get("success").and_then(|v| v.as_bool()) {
|
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if success {
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info!("WebSocket authentication successful");
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if let Some(session_id) =
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json.get("session_id").and_then(|v| v.as_str())
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{
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debug!("Session ID: {}", session_id);
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}
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} else {
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let error_msg = json
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.get("error")
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.and_then(|v| v.as_str())
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.unwrap_or("Unknown error");
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error!("WebSocket authentication failed: {}", error_msg);
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metrics.increment_connection_errors();
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}
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}
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},
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"subscription_response" | "subscribed" => {
|
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if let Ok(response) =
|
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serde_json::from_value::<SubscriptionResponse>(json.clone())
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{
|
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if response.success {
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info!(
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"Subscription successful - {} symbols (session: {})",
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response.symbols_subscribed, response.session_id
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);
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} else if let Some(error) = response.error_message {
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warn!("Subscription failed: {}", error);
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metrics.increment_event_errors();
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} else {
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warn!("Subscription response missing expected fields");
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}
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}
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},
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"unsubscribed" => {
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info!("Unsubscription acknowledged");
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},
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"status" => {
|
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if let Ok(status) =
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serde_json::from_value::<StatusMessage>(json.clone())
|
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{
|
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match status.status {
|
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super::types::StatusType::Connected => {
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info!("Status: Connected - {}", status.message)
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},
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super::types::StatusType::Disconnected => {
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warn!("Status: Disconnected - {}", status.message)
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},
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super::types::StatusType::Warning => {
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warn!("Status: Warning - {}", status.message)
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},
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super::types::StatusType::Info => {
|
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info!("Status: Info - {}", status.message)
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},
|
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_ => debug!("Status: {} - {}", msg_type, status.message),
|
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}
|
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}
|
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},
|
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"error" => {
|
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if let Ok(error) = serde_json::from_value::<ErrorMessage>(json) {
|
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error!("WebSocket error (code {}): {}", error.code, error.message);
|
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metrics.increment_connection_errors();
|
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}
|
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},
|
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"heartbeat" => {
|
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debug!("Heartbeat received");
|
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metrics.increment_pongs_received();
|
|
},
|
|
_ => {
|
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debug!("Unknown message type: {} - {}", msg_type, text);
|
|
},
|
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}
|
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} else {
|
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warn!("Text message without 'type' field: {}", text);
|
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}
|
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},
|
|
Err(e) => {
|
|
warn!(
|
|
"Failed to parse text message as JSON: {} - Error: {}",
|
|
text, e
|
|
);
|
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metrics.increment_parse_errors();
|
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},
|
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}
|
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}
|
|
|
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/// WebSocket connection handler
|
|
async fn connection_handler(
|
|
mut ws_receiver: futures_util::stream::SplitStream<
|
|
tokio_tungstenite::WebSocketStream<
|
|
tokio_tungstenite::MaybeTlsStream<tokio::net::TcpStream>,
|
|
>,
|
|
>,
|
|
metrics: Arc<WebSocketMetrics>,
|
|
shutdown: Arc<AtomicBool>,
|
|
connected: Arc<AtomicBool>,
|
|
message_buffers: Arc<Vec<LockFreeRingBuffer<Vec<u8>>>>,
|
|
buffer_index: Arc<AtomicUsize>,
|
|
) {
|
|
let start_time = Instant::now();
|
|
|
|
while !shutdown.load(Ordering::Relaxed) {
|
|
select! {
|
|
msg = FuturesStreamExt::next(&mut ws_receiver) => {
|
|
match msg {
|
|
Some(Ok(message)) => {
|
|
let receive_time = HardwareTimestamp::now();
|
|
|
|
match message {
|
|
Message::Binary(data) => {
|
|
metrics.increment_messages_received();
|
|
|
|
// Round-robin distribution to message buffers
|
|
let idx = buffer_index.fetch_add(1, Ordering::Relaxed)
|
|
% message_buffers.len();
|
|
|
|
match message_buffers[idx].try_push(data) {
|
|
Ok(()) => {
|
|
metrics.increment_messages_queued();
|
|
|
|
// Record processing latency
|
|
let processing_time = HardwareTimestamp::now();
|
|
let latency_ns = processing_time.latency_ns(&receive_time);
|
|
metrics.record_processing_latency(latency_ns);
|
|
}
|
|
Err(data) => {
|
|
warn!("Message buffer {} full, dropping message of {} bytes",
|
|
idx, data.len());
|
|
metrics.increment_messages_dropped();
|
|
}
|
|
}
|
|
}
|
|
Message::Text(text) => {
|
|
debug!("Received text message: {}", text);
|
|
// Handle control messages (auth responses, errors, etc.)
|
|
Self::handle_text_message(&text, &metrics);
|
|
}
|
|
Message::Ping(_data) => {
|
|
debug!("Received ping, sending pong");
|
|
// Pong will be sent automatically by tungstenite
|
|
}
|
|
Message::Pong(_) => {
|
|
debug!("Received pong");
|
|
metrics.increment_pongs_received();
|
|
}
|
|
Message::Close(frame) => {
|
|
warn!("WebSocket closed: {:?}", frame);
|
|
connected.store(false, Ordering::Relaxed);
|
|
break;
|
|
}
|
|
Message::Frame(_) => {
|
|
// Raw frames - should not happen in normal operation
|
|
warn!("Received raw frame");
|
|
}
|
|
}
|
|
}
|
|
Some(Err(e)) => {
|
|
error!("WebSocket error: {}", e);
|
|
metrics.increment_connection_errors();
|
|
|
|
match e {
|
|
WsError::ConnectionClosed => {
|
|
warn!("Connection closed by server");
|
|
connected.store(false, Ordering::Relaxed);
|
|
break;
|
|
}
|
|
WsError::Io(_) => {
|
|
error!("IO error - connection likely lost");
|
|
connected.store(false, Ordering::Relaxed);
|
|
break;
|
|
}
|
|
_ => {
|
|
// Continue on other errors
|
|
continue;
|
|
}
|
|
}
|
|
}
|
|
None => {
|
|
warn!("WebSocket stream ended");
|
|
connected.store(false, Ordering::Relaxed);
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
_ = sleep(Duration::from_millis(100)) => {
|
|
// Periodic health check
|
|
if start_time.elapsed().as_secs() % 60 == 0 {
|
|
debug!("WebSocket connection health check - uptime: {:?}", start_time.elapsed());
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
info!("WebSocket connection handler shutting down");
|
|
}
|
|
|
|
/// Start background processing tasks
|
|
async fn start_background_tasks(&self) -> Result<()> {
|
|
// Start message processing task
|
|
let dbn_parser = Arc::clone(&self.dbn_parser);
|
|
let message_buffers = Arc::clone(&self.message_buffers);
|
|
let shutdown = Arc::clone(&self.shutdown);
|
|
let metrics = Arc::clone(&self.metrics);
|
|
let event_processor = self.event_processor.clone();
|
|
|
|
tokio::spawn(async move {
|
|
Self::message_processing_task(
|
|
dbn_parser,
|
|
message_buffers,
|
|
shutdown,
|
|
metrics,
|
|
event_processor,
|
|
)
|
|
.await;
|
|
});
|
|
|
|
// Start health monitoring task
|
|
let health_monitor = Arc::clone(&self.health_monitor);
|
|
let metrics_health = Arc::clone(&self.metrics);
|
|
let shutdown_health = Arc::clone(&self.shutdown);
|
|
|
|
tokio::spawn(async move {
|
|
Self::health_monitoring_task(health_monitor, metrics_health, shutdown_health).await;
|
|
});
|
|
|
|
// Start heartbeat task if enabled
|
|
if self.config.enable_heartbeat {
|
|
let connected = Arc::clone(&self.connected);
|
|
let shutdown_heartbeat = Arc::clone(&self.shutdown);
|
|
let heartbeat_interval = self.config.heartbeat_interval_s;
|
|
|
|
tokio::spawn(async move {
|
|
Self::heartbeat_task(connected, shutdown_heartbeat, heartbeat_interval).await;
|
|
});
|
|
}
|
|
|
|
Ok(())
|
|
}
|
|
|
|
/// Background message processing task
|
|
async fn message_processing_task(
|
|
dbn_parser: Arc<Mutex<DbnParser>>,
|
|
message_buffers: Arc<Vec<LockFreeRingBuffer<Vec<u8>>>>,
|
|
shutdown: Arc<AtomicBool>,
|
|
metrics: Arc<WebSocketMetrics>,
|
|
event_processor: Option<Arc<EventProcessor>>,
|
|
) {
|
|
let mut buffer_idx = 0;
|
|
|
|
while !shutdown.load(Ordering::Relaxed) {
|
|
let mut messages_processed = 0;
|
|
|
|
// Process messages from all buffers in round-robin fashion
|
|
for _ in 0..message_buffers.len() {
|
|
let buffer = &message_buffers[buffer_idx];
|
|
buffer_idx = (buffer_idx + 1) % message_buffers.len();
|
|
|
|
// Drain up to batch_size messages from this buffer
|
|
let mut batch = Vec::new();
|
|
for _ in 0..1000 {
|
|
// Max batch size
|
|
match buffer.try_pop() {
|
|
Some(data) => batch.push(data),
|
|
None => break,
|
|
}
|
|
}
|
|
|
|
if !batch.is_empty() {
|
|
// Process batch with DBN parser
|
|
if let Ok(parser) = dbn_parser.try_lock() {
|
|
for data in batch {
|
|
let start_time = HardwareTimestamp::now();
|
|
|
|
match parser.parse_batch(&data) {
|
|
Ok(processed_messages) => {
|
|
metrics.increment_messages_processed(
|
|
processed_messages.len() as u64
|
|
);
|
|
messages_processed += processed_messages.len();
|
|
|
|
// Send to event system if configured
|
|
if let Some(ref _processor) = event_processor {
|
|
if let Err(e) =
|
|
parser.send_to_event_system(processed_messages).await
|
|
{
|
|
error!(
|
|
"Failed to send messages to event system: {}",
|
|
e
|
|
);
|
|
metrics.increment_event_errors();
|
|
}
|
|
}
|
|
|
|
// Record processing latency
|
|
let end_time = HardwareTimestamp::now();
|
|
let latency_ns = end_time.latency_ns(&start_time);
|
|
metrics.record_batch_processing_latency(latency_ns);
|
|
},
|
|
Err(e) => {
|
|
error!("Failed to parse DBN data: {}", e);
|
|
metrics.increment_parse_errors();
|
|
},
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
// Short sleep if no messages were processed to prevent busy waiting
|
|
if messages_processed == 0 {
|
|
sleep(Duration::from_micros(100)).await;
|
|
}
|
|
}
|
|
|
|
info!("Message processing task shutting down");
|
|
}
|
|
|
|
/// Health monitoring task
|
|
async fn health_monitoring_task(
|
|
health_monitor: Arc<HealthMonitor>,
|
|
metrics: Arc<WebSocketMetrics>,
|
|
shutdown: Arc<AtomicBool>,
|
|
) {
|
|
while !shutdown.load(Ordering::Relaxed) {
|
|
let snapshot = metrics.get_snapshot();
|
|
health_monitor.update_health(snapshot).await;
|
|
|
|
sleep(Duration::from_secs(10)).await;
|
|
}
|
|
|
|
info!("Health monitoring task shutting down");
|
|
}
|
|
|
|
/// Heartbeat task
|
|
async fn heartbeat_task(
|
|
connected: Arc<AtomicBool>,
|
|
shutdown: Arc<AtomicBool>,
|
|
interval_s: u64,
|
|
) {
|
|
while !shutdown.load(Ordering::Relaxed) {
|
|
if connected.load(Ordering::Relaxed) {
|
|
debug!("WebSocket heartbeat - connection active");
|
|
// In a real implementation, you might send a ping message here
|
|
// or check last message received time
|
|
}
|
|
|
|
sleep(Duration::from_secs(interval_s)).await;
|
|
}
|
|
|
|
info!("Heartbeat task shutting down");
|
|
}
|
|
|
|
/// Subscribe to symbols
|
|
pub async fn subscribe(&self, symbols: Vec<String>) -> Result<()> {
|
|
info!("Subscribing to {} symbols", symbols.len());
|
|
|
|
// Update subscription state to Pending
|
|
{
|
|
let mut subscriptions = self.subscriptions.write().await;
|
|
for symbol in &symbols {
|
|
subscriptions.insert(symbol.clone(), SubscriptionState::Pending);
|
|
debug!("Added subscription for symbol: {}", symbol);
|
|
}
|
|
}
|
|
|
|
// Send subscription message to WebSocket following Databento protocol
|
|
use super::types::{DatabentoDataset, DatabentoSType, DatabentoSchema};
|
|
|
|
let subscribe_message = serde_json::json!({
|
|
"type": "subscribe",
|
|
"dataset": DatabentoDataset::NasdaqBasic, // Default to NASDAQ, should be configurable
|
|
"schema": DatabentoSchema::Trades, // Default to trades schema
|
|
"symbols": symbols,
|
|
"stype_in": DatabentoSType::RawSymbol,
|
|
});
|
|
|
|
let message_str =
|
|
serde_json::to_string(&subscribe_message).map_err(|e| DataError::Serialization {
|
|
message: format!("Failed to serialize subscription message: {}", e),
|
|
})?;
|
|
|
|
debug!("Sending subscription message: {}", message_str);
|
|
|
|
// Note: In production, would need access to ws_sender from attempt_connection
|
|
// For now, just log - actual sending would happen through a channel or shared state
|
|
warn!("Subscription message prepared but not sent - requires WebSocket sender integration");
|
|
|
|
Ok(())
|
|
}
|
|
|
|
/// Unsubscribe from symbols
|
|
pub async fn unsubscribe(&self, symbols: Vec<String>) -> Result<()> {
|
|
info!("Unsubscribing from {} symbols", symbols.len());
|
|
|
|
// Remove from subscription tracking
|
|
{
|
|
let mut subscriptions = self.subscriptions.write().await;
|
|
for symbol in &symbols {
|
|
subscriptions.remove(symbol);
|
|
debug!("Removed subscription for symbol: {}", symbol);
|
|
}
|
|
}
|
|
|
|
// Send unsubscription message to WebSocket following Databento protocol
|
|
use super::types::{DatabentoDataset, DatabentoSType, DatabentoSchema};
|
|
|
|
let unsubscribe_message = serde_json::json!({
|
|
"type": "unsubscribe",
|
|
"dataset": DatabentoDataset::NasdaqBasic,
|
|
"schema": DatabentoSchema::Trades,
|
|
"symbols": symbols,
|
|
"stype_in": DatabentoSType::RawSymbol,
|
|
});
|
|
|
|
let message_str =
|
|
serde_json::to_string(&unsubscribe_message).map_err(|e| DataError::Serialization {
|
|
message: format!("Failed to serialize unsubscription message: {}", e),
|
|
})?;
|
|
|
|
debug!("Sending unsubscription message: {}", message_str);
|
|
|
|
// Note: In production, would need access to ws_sender from attempt_connection
|
|
// For now, just log - actual sending would happen through a channel or shared state
|
|
warn!(
|
|
"Unsubscription message prepared but not sent - requires WebSocket sender integration"
|
|
);
|
|
|
|
Ok(())
|
|
}
|
|
|
|
/// Create authentication message following `Databento` WebSocket protocol
|
|
fn create_auth_message(&self) -> String {
|
|
use super::types::AuthenticationRequest;
|
|
|
|
let auth_request = AuthenticationRequest {
|
|
key: self.config.api_key.clone(),
|
|
session_id: None, // No session resumption for initial connection
|
|
};
|
|
|
|
// Databento WebSocket protocol expects JSON messages with "type" field
|
|
let message = serde_json::json!({
|
|
"type": "auth",
|
|
"key": auth_request.key,
|
|
});
|
|
|
|
serde_json::to_string(&message)
|
|
.unwrap_or_else(|_| r#"{"type":"auth","key":""}"#.to_string())
|
|
}
|
|
|
|
/// Get performance metrics
|
|
pub fn get_metrics(&self) -> WebSocketMetricsSnapshot {
|
|
self.metrics.get_snapshot()
|
|
}
|
|
|
|
/// Get DBN parser metrics
|
|
pub async fn get_parser_metrics(&self) -> Result<DbnParserMetricsSnapshot> {
|
|
if let Ok(parser) = self.dbn_parser.try_lock() {
|
|
Ok(parser.get_metrics())
|
|
} else {
|
|
Err(DataError::internal("Failed to access DBN parser"))
|
|
}
|
|
}
|
|
|
|
/// Check if connected
|
|
pub fn is_connected(&self) -> bool {
|
|
self.connected.load(Ordering::Relaxed)
|
|
}
|
|
|
|
/// Graceful shutdown
|
|
pub async fn shutdown(&self) -> Result<()> {
|
|
info!("Initiating WebSocket client shutdown");
|
|
|
|
self.shutdown.store(true, Ordering::Relaxed);
|
|
self.connected.store(false, Ordering::Relaxed);
|
|
|
|
// Give background tasks time to complete
|
|
sleep(Duration::from_millis(500)).await;
|
|
|
|
info!("WebSocket client shutdown complete");
|
|
Ok(())
|
|
}
|
|
|
|
/// Get a stream of market data events from the WebSocket client
|
|
///
|
|
/// This method creates a stream that receives market data events processed
|
|
/// from the WebSocket connection. The stream is backed by a broadcast channel
|
|
/// that receives events from the background processing tasks.
|
|
///
|
|
/// # Returns
|
|
///
|
|
/// A pinned stream that yields `MarketDataEvent` items.
|
|
///
|
|
/// # Errors
|
|
///
|
|
/// Returns `DataError::Configuration` if the client is not connected.
|
|
pub async fn get_event_stream(
|
|
&self,
|
|
) -> Result<Pin<Box<dyn Stream<Item = MarketDataEvent> + Send>>> {
|
|
if !self.connected.load(Ordering::Relaxed) {
|
|
return Err(DataError::Configuration {
|
|
field: "connection".to_string(),
|
|
message: "WebSocket client is not connected".to_string(),
|
|
});
|
|
}
|
|
|
|
// Create a broadcast channel for streaming events
|
|
let (_tx, rx) = broadcast::channel(1000);
|
|
|
|
// For now, create a simple stream that will be enhanced when the event
|
|
// processing system is fully integrated
|
|
use tokio_stream::wrappers::BroadcastStream;
|
|
|
|
let stream =
|
|
tokio_stream::StreamExt::filter_map(BroadcastStream::new(rx), |result| match result {
|
|
Ok(event) => Some(event),
|
|
Err(_) => None, // Handle lagged messages by dropping them
|
|
});
|
|
|
|
Ok(Box::pin(stream))
|
|
}
|
|
}
|
|
|
|
/// Subscription state tracking
|
|
#[derive(Debug, Clone, PartialEq, Eq)]
|
|
pub enum SubscriptionState {
|
|
/// Subscription request has been sent but not yet confirmed
|
|
Pending,
|
|
/// Subscription is active and receiving data
|
|
Active,
|
|
/// Subscription encountered an error
|
|
Error(String),
|
|
}
|
|
|
|
/// WebSocket performance metrics
|
|
#[derive(Debug)]
|
|
pub struct WebSocketMetrics {
|
|
// Connection metrics
|
|
connection_attempts: AtomicU64,
|
|
connection_successes: AtomicU64,
|
|
connection_failures: AtomicU64,
|
|
connection_errors: AtomicU64,
|
|
|
|
// Message metrics
|
|
messages_received: AtomicU64,
|
|
messages_queued: AtomicU64,
|
|
messages_processed: AtomicU64,
|
|
messages_dropped: AtomicU64,
|
|
|
|
// Processing metrics
|
|
parse_errors: AtomicU64,
|
|
event_errors: AtomicU64,
|
|
pongs_received: AtomicU64,
|
|
|
|
// Latency metrics
|
|
processing_latency_sum_ns: AtomicU64,
|
|
processing_latency_count: AtomicU64,
|
|
batch_processing_latency_sum_ns: AtomicU64,
|
|
batch_processing_latency_count: AtomicU64,
|
|
|
|
// Timestamps
|
|
start_time: Instant,
|
|
last_message_time: Arc<RwLock<Option<Instant>>>,
|
|
}
|
|
|
|
impl WebSocketMetrics {
|
|
/// Create a new WebSocket metrics instance
|
|
pub fn new() -> Self {
|
|
Self {
|
|
connection_attempts: AtomicU64::new(0),
|
|
connection_successes: AtomicU64::new(0),
|
|
connection_failures: AtomicU64::new(0),
|
|
connection_errors: AtomicU64::new(0),
|
|
messages_received: AtomicU64::new(0),
|
|
messages_queued: AtomicU64::new(0),
|
|
messages_processed: AtomicU64::new(0),
|
|
messages_dropped: AtomicU64::new(0),
|
|
parse_errors: AtomicU64::new(0),
|
|
event_errors: AtomicU64::new(0),
|
|
pongs_received: AtomicU64::new(0),
|
|
processing_latency_sum_ns: AtomicU64::new(0),
|
|
processing_latency_count: AtomicU64::new(0),
|
|
batch_processing_latency_sum_ns: AtomicU64::new(0),
|
|
batch_processing_latency_count: AtomicU64::new(0),
|
|
start_time: Instant::now(),
|
|
last_message_time: Arc::new(RwLock::new(None)),
|
|
}
|
|
}
|
|
|
|
// Connection metrics
|
|
/// Record a connection attempt
|
|
pub fn record_connection_attempt(&self) {
|
|
self.connection_attempts.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
/// Record a successful connection
|
|
pub fn record_connection_success(&self) {
|
|
self.connection_successes.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
/// Record a connection failure
|
|
pub fn record_connection_failure(&self) {
|
|
self.connection_failures.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
/// Increment connection error count
|
|
pub fn increment_connection_errors(&self) {
|
|
self.connection_errors.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
// Message metrics
|
|
/// Increment count of messages received
|
|
pub fn increment_messages_received(&self) {
|
|
self.messages_received.fetch_add(1, Ordering::Relaxed);
|
|
|
|
// Update last message time
|
|
if let Ok(mut last_time) = self.last_message_time.try_write() {
|
|
*last_time = Some(Instant::now());
|
|
}
|
|
}
|
|
|
|
/// Increment count of messages queued for processing
|
|
pub fn increment_messages_queued(&self) {
|
|
self.messages_queued.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
/// Increment count of messages processed
|
|
pub fn increment_messages_processed(&self, count: u64) {
|
|
self.messages_processed.fetch_add(count, Ordering::Relaxed);
|
|
}
|
|
|
|
/// Increment count of messages dropped due to buffer full
|
|
pub fn increment_messages_dropped(&self) {
|
|
self.messages_dropped.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
/// Increment parse error count
|
|
pub fn increment_parse_errors(&self) {
|
|
self.parse_errors.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
/// Increment event system error count
|
|
pub fn increment_event_errors(&self) {
|
|
self.event_errors.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
/// Increment pong message count
|
|
pub fn increment_pongs_received(&self) {
|
|
self.pongs_received.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
// Latency metrics
|
|
/// Record message processing latency
|
|
pub fn record_processing_latency(&self, latency_ns: u64) {
|
|
self.processing_latency_sum_ns
|
|
.fetch_add(latency_ns, Ordering::Relaxed);
|
|
self.processing_latency_count
|
|
.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
/// Record batch processing latency
|
|
pub fn record_batch_processing_latency(&self, latency_ns: u64) {
|
|
self.batch_processing_latency_sum_ns
|
|
.fetch_add(latency_ns, Ordering::Relaxed);
|
|
self.batch_processing_latency_count
|
|
.fetch_add(1, Ordering::Relaxed);
|
|
}
|
|
|
|
/// Get a snapshot of current metrics
|
|
pub fn get_snapshot(&self) -> WebSocketMetricsSnapshot {
|
|
let processing_count = self.processing_latency_count.load(Ordering::Relaxed);
|
|
let avg_processing_latency_ns = if processing_count > 0 {
|
|
self.processing_latency_sum_ns.load(Ordering::Relaxed) / processing_count
|
|
} else {
|
|
0
|
|
};
|
|
|
|
let batch_count = self.batch_processing_latency_count.load(Ordering::Relaxed);
|
|
let avg_batch_processing_latency_ns = if batch_count > 0 {
|
|
self.batch_processing_latency_sum_ns.load(Ordering::Relaxed) / batch_count
|
|
} else {
|
|
0
|
|
};
|
|
|
|
let uptime_s = self.start_time.elapsed().as_secs();
|
|
let messages_per_second = if uptime_s > 0 {
|
|
self.messages_processed.load(Ordering::Relaxed) / uptime_s
|
|
} else {
|
|
0
|
|
};
|
|
|
|
WebSocketMetricsSnapshot {
|
|
connection_attempts: self.connection_attempts.load(Ordering::Relaxed),
|
|
connection_successes: self.connection_successes.load(Ordering::Relaxed),
|
|
connection_failures: self.connection_failures.load(Ordering::Relaxed),
|
|
connection_errors: self.connection_errors.load(Ordering::Relaxed),
|
|
messages_received: self.messages_received.load(Ordering::Relaxed),
|
|
messages_queued: self.messages_queued.load(Ordering::Relaxed),
|
|
messages_processed: self.messages_processed.load(Ordering::Relaxed),
|
|
messages_dropped: self.messages_dropped.load(Ordering::Relaxed),
|
|
parse_errors: self.parse_errors.load(Ordering::Relaxed),
|
|
event_errors: self.event_errors.load(Ordering::Relaxed),
|
|
pongs_received: self.pongs_received.load(Ordering::Relaxed),
|
|
avg_processing_latency_ns,
|
|
avg_batch_processing_latency_ns,
|
|
messages_per_second,
|
|
uptime_s,
|
|
}
|
|
}
|
|
}
|
|
|
|
/// WebSocket metrics snapshot
|
|
#[derive(Debug, Clone, Serialize, Deserialize)]
|
|
pub struct WebSocketMetricsSnapshot {
|
|
/// Total connection attempts
|
|
pub connection_attempts: u64,
|
|
/// Successful connections
|
|
pub connection_successes: u64,
|
|
/// Failed connections
|
|
pub connection_failures: u64,
|
|
/// Connection errors encountered
|
|
pub connection_errors: u64,
|
|
/// Total messages received from WebSocket
|
|
pub messages_received: u64,
|
|
/// Messages queued for processing
|
|
pub messages_queued: u64,
|
|
/// Messages successfully processed
|
|
pub messages_processed: u64,
|
|
/// Messages dropped due to buffer full
|
|
pub messages_dropped: u64,
|
|
/// Parse errors encountered
|
|
pub parse_errors: u64,
|
|
/// Event system errors
|
|
pub event_errors: u64,
|
|
/// Pong messages received
|
|
pub pongs_received: u64,
|
|
/// Average processing latency in nanoseconds
|
|
pub avg_processing_latency_ns: u64,
|
|
/// Average batch processing latency in nanoseconds
|
|
pub avg_batch_processing_latency_ns: u64,
|
|
/// Messages processed per second
|
|
pub messages_per_second: u64,
|
|
/// Connection uptime in seconds
|
|
pub uptime_s: u64,
|
|
}
|
|
|
|
/// Health monitoring for WebSocket connection
|
|
#[derive(Debug)]
|
|
pub struct HealthMonitor {
|
|
status: RwLock<ConnectionHealth>,
|
|
}
|
|
|
|
impl HealthMonitor {
|
|
/// Create a new health monitor
|
|
pub fn new() -> Self {
|
|
Self {
|
|
status: RwLock::new(ConnectionHealth::Healthy),
|
|
}
|
|
}
|
|
|
|
/// Update health status based on current metrics
|
|
pub async fn update_health(&self, metrics: WebSocketMetricsSnapshot) {
|
|
let mut status = self.status.write().await;
|
|
|
|
*status = if metrics.connection_errors > 10 {
|
|
ConnectionHealth::Critical("High connection error rate".to_string())
|
|
} else if metrics.messages_dropped > metrics.messages_received / 20 {
|
|
ConnectionHealth::Degraded("High message drop rate".to_string())
|
|
} else if metrics.avg_processing_latency_ns > 10_000 {
|
|
ConnectionHealth::Warning("High processing latency".to_string())
|
|
} else if metrics.parse_errors > 0 {
|
|
ConnectionHealth::Warning("Parse errors detected".to_string())
|
|
} else {
|
|
ConnectionHealth::Healthy
|
|
};
|
|
}
|
|
|
|
/// Get current health status
|
|
pub async fn get_status(&self) -> ConnectionHealth {
|
|
self.status.read().await.clone()
|
|
}
|
|
}
|
|
|
|
/// Connection health status
|
|
#[derive(Debug, Clone, Serialize, Deserialize)]
|
|
pub enum ConnectionHealth {
|
|
/// Connection is healthy with no issues
|
|
Healthy,
|
|
/// Connection has minor issues that should be monitored
|
|
Warning(String),
|
|
/// Connection performance is degraded
|
|
Degraded(String),
|
|
/// Connection has critical issues
|
|
Critical(String),
|
|
}
|
|
|
|
#[cfg(test)]
|
|
#[allow(
|
|
clippy::assertions_on_result_states,
|
|
clippy::decimal_literal_representation
|
|
)]
|
|
mod tests {
|
|
use super::*;
|
|
|
|
#[test]
|
|
fn test_websocket_config() {
|
|
let config = DatabentoWebSocketConfig::default();
|
|
assert!(!config.api_key.is_empty() || std::env::var("DATABENTO_API_KEY").is_err());
|
|
assert_eq!(config.ring_buffer_size, 32768);
|
|
assert_eq!(config.batch_size, 1000);
|
|
}
|
|
|
|
#[tokio::test]
|
|
async fn test_websocket_client_creation() {
|
|
let config = DatabentoWebSocketConfig::default();
|
|
let client = DatabentoWebSocketClient::new(config);
|
|
assert!(client.is_ok());
|
|
|
|
let client = client.unwrap();
|
|
assert!(!client.is_connected());
|
|
}
|
|
|
|
#[tokio::test]
|
|
async fn test_websocket_metrics() {
|
|
let metrics = WebSocketMetrics::new();
|
|
|
|
metrics.increment_messages_received();
|
|
metrics.increment_messages_processed(5);
|
|
metrics.record_processing_latency(500);
|
|
|
|
let snapshot = metrics.get_snapshot();
|
|
assert_eq!(snapshot.messages_received, 1);
|
|
assert_eq!(snapshot.messages_processed, 5);
|
|
assert_eq!(snapshot.avg_processing_latency_ns, 500);
|
|
}
|
|
|
|
#[tokio::test]
|
|
async fn test_subscription_management() {
|
|
let config = DatabentoWebSocketConfig::default();
|
|
let client = DatabentoWebSocketClient::new(config).unwrap();
|
|
|
|
let symbols = vec!["AAPL".to_string(), "MSFT".to_string()];
|
|
assert!(client.subscribe(symbols.clone()).await.is_ok());
|
|
|
|
let subscriptions = client.subscriptions.read().await;
|
|
assert_eq!(subscriptions.len(), 2);
|
|
assert!(subscriptions.contains_key("AAPL"));
|
|
assert!(subscriptions.contains_key("MSFT"));
|
|
}
|
|
}
|