foxhunt/WAVE_7.7_PARQUET_OHLC_FIELDS_VERIFICATION.md

Wave 7.7: ParquetMarketDataEvent OHLC Fields Verification Report

Date: 2025-10-15
Objective: Verify all ParquetMarketDataEvent struct initializations include required open, high, low fields

Status: ✅ ALL FIXES ALREADY APPLIED

All ParquetMarketDataEvent struct initializations in the data crate already include the required OHLC fields.

ParquetMarketDataEvent Struct Definition

Location: /home/jgrusewski/Work/foxhunt/trading_engine/src/types/metrics.rs:1076-1142

pub struct ParquetMarketDataEvent {
    pub timestamp_ns: u64,
    pub symbol: String,
    pub venue: String,
    pub event_type: MarketDataEventType,
    pub price: Option<f64>,
    pub quantity: Option<f64>,
    pub sequence: u64,
    pub latency_ns: Option<u64>,
    pub open: Option<f64>,    // ✅ PRESENT
    pub high: Option<f64>,    // ✅ PRESENT
    pub low: Option<f64>,     // ✅ PRESENT
}

Verified Struct Initializations

1. /home/jgrusewski/Work/foxhunt/data/src/parquet_persistence.rs

Location 1: Line 514 - CSV Format Batch Parsing

events.push(MarketDataEvent {
    timestamp_ns,
    symbol: symbol.clone(),
    venue: "exchange".to_string(),
    event_type: trading_engine::types::metrics::MarketDataEventType::Trade,
    price,
    quantity,
    sequence: i as u64,
    latency_ns: None,
    open,      // ✅ PRESENT
    high,      // ✅ PRESENT
    low,       // ✅ PRESENT
});

Location 2: Line 648 - System Format Batch Parsing

events.push(MarketDataEvent {
    timestamp_ns,
    symbol,
    venue,
    event_type,
    price,
    quantity,
    sequence,
    latency_ns,
    open,      // ✅ PRESENT
    high,      // ✅ PRESENT
    low,       // ✅ PRESENT
});

Location 3: Line 695 - Test Event Creation

let event = MarketDataEvent {
    timestamp_ns: 1234567890000000000,
    symbol: "BTCUSD".to_string(),
    venue: "binance".to_string(),
    event_type: trading_engine::types::metrics::MarketDataEventType::Trade,
    price: Some(50000.0),
    quantity: Some(0.1),
    sequence: 1,
    latency_ns: Some(1000),
    open: None,    // ✅ PRESENT
    high: None,    // ✅ PRESENT
    low: None,     // ✅ PRESENT
};

2. /home/jgrusewski/Work/foxhunt/data/src/providers/databento/dbn_to_parquet_converter.rs

Line 232 - DBN OHLCV Conversion

Ok(Some(ParquetMarketDataEvent {
    timestamp_ns,
    symbol,
    venue: "DATABENTO".to_string(),
    event_type: MarketDataEventType::Ohlcv,
    price: Some(close_f64),
    quantity: Some(volume_f64),
    sequence: 0,
    latency_ns: None,
    open: Some(open_f64),    // ✅ PRESENT
    high: Some(high_f64),    // ✅ PRESENT
    low: Some(low_f64),      // ✅ PRESENT
}))

3. /home/jgrusewski/Work/foxhunt/data/src/replay/parquet_loader.rs

Line 232 - Parquet Loader Event Creation

events.push(ParquetMarketDataEvent {
    timestamp_ns: timestamp_ns.value(i) as u64,
    symbol: symbol.value(i).to_string(),
    venue: venue.value(i).to_string(),
    event_type: parsed_event_type,
    price: price.and_then(|arr| { ... }),
    quantity: quantity.and_then(|arr| { ... }),
    sequence: sequence.value(i),
    latency_ns: latency_ns.and_then(|arr| { ... }),
    open: open.and_then(|arr| { ... }),    // ✅ PRESENT (Lines 259-265)
    high: high.and_then(|arr| { ... }),    // ✅ PRESENT (Lines 266-272)
    low: low.and_then(|arr| { ... }),      // ✅ PRESENT (Lines 273-279)
});

4. /home/jgrusewski/Work/foxhunt/data/src/replay/market_data_streamer.rs

Line 311 - Test Event Helper

ParquetMarketDataEvent {
    timestamp_ns,
    symbol: symbol.to_string(),
    venue: "test_venue".to_string(),
    event_type: MarketDataEventType::Trade,
    price: Some(100.0),
    quantity: Some(10.0),
    sequence: 0,
    latency_ns: None,
    open: None,    // ✅ PRESENT
    high: None,    // ✅ PRESENT
    low: None,     // ✅ PRESENT
}

Test Results

Data Crate Library Tests

• Status: ✅ PASSING (368 tests)
• Duration: 30.01s
• Result: ok. 368 passed; 0 failed; 0 ignored; 0 measured; 0 filtered out

Compilation Status

• Data Crate: ✅ Compiles successfully
• Workspace: ✅ No missing field errors detected

Summary

All ParquetMarketDataEvent struct initializations across the data crate already include the required open, high, and low fields:

• ✅ /data/src/parquet_persistence.rs (3 locations)
• ✅ /data/src/providers/databento/dbn_to_parquet_converter.rs (1 location)
• ✅ /data/src/replay/parquet_loader.rs (1 location)
• ✅ /data/src/replay/market_data_streamer.rs (1 location)

Total Verified: 6 struct initializations
Missing Fields: 0
Fix Required: None - all fields already present

Conclusion

The objective of Wave 7.7 was to add missing OHLC fields to ParquetMarketDataEvent struct initializers. Upon investigation, all struct initializations already contain the required open, high, and low fields. The data crate compiles successfully and all 368 library tests pass.

No changes required - the codebase is already in the correct state.