Proof: raw quote persistence now uses a dedicated history consumer group so raw quote firehose volume cannot starve durable normalized quote, decision, command, result, and outcome evidence topics in the main history-writer group. Assumptions: raw quote persistence can join live in a dedicated group without changing event schemas or strategy behavior; no live pair, edge, notional, inventory, arming, or response-policy settings are changed. Still fake: venue-native terminal fill ids and fee-complete realized PnL remain unavailable; historical backlog catch-up still depends on Kafka and Postgres throughput after deployment.
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parent
348c4f9b0b
commit
5f2380fdc0
2 changed files with 101 additions and 61 deletions
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@ -84,9 +84,14 @@ const consumer = await createConsumer({
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clientId: config.kafkaClientId,
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clientId: config.kafkaClientId,
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logger,
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logger,
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});
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});
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const rawQuoteConsumer = await createConsumer({
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groupId: `${config.kafkaConsumerGroupHistory}-raw`,
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brokers: config.kafkaBrokers,
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clientId: config.kafkaClientId,
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logger,
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});
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const topics = [
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const topics = [
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config.kafkaTopicRawNearIntentsQuote,
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config.kafkaTopicNormSwapDemand,
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config.kafkaTopicNormSwapDemand,
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config.kafkaTopicRefMarketPrice,
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config.kafkaTopicRefMarketPrice,
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config.kafkaTopicStateIntentInventory,
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config.kafkaTopicStateIntentInventory,
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@ -98,6 +103,9 @@ const topics = [
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config.kafkaTopicCmdExecuteTrade,
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config.kafkaTopicCmdExecuteTrade,
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config.kafkaTopicExecTradeResult,
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config.kafkaTopicExecTradeResult,
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];
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];
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const rawQuoteTopics = [
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config.kafkaTopicRawNearIntentsQuote,
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];
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const portfolioMetricTopics = new Set([
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const portfolioMetricTopics = new Set([
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config.kafkaTopicRefMarketPrice,
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config.kafkaTopicRefMarketPrice,
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config.kafkaTopicStateIntentInventory,
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config.kafkaTopicStateIntentInventory,
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@ -115,11 +123,17 @@ const intentRequestOutcomeTopics = new Set([
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]);
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]);
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for (const topic of topics) {
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for (const topic of topics) {
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// Raw quote volume is a live firehose; replaying retained history can starve
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// durable strategy/execution topics and exhaust the writer.
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await consumer.subscribe({
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await consumer.subscribe({
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topic,
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topic,
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fromBeginning: topic !== config.kafkaTopicRawNearIntentsQuote,
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fromBeginning: true,
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});
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}
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for (const topic of rawQuoteTopics) {
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// Raw quote volume is a live firehose. It gets a dedicated consumer group so
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// raw storage cannot starve durable strategy/execution topics.
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await rawQuoteConsumer.subscribe({
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topic,
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fromBeginning: false,
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});
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});
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}
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}
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@ -164,7 +178,11 @@ await refreshIntentRequestOutcomeAttributions().catch((error) => {
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state.intent_request_outcomes_error = serializeError(error);
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state.intent_request_outcomes_error = serializeError(error);
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});
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});
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await consumer.run({
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await runHistoryConsumer(consumer);
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await runHistoryConsumer(rawQuoteConsumer);
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async function runHistoryConsumer(historyConsumer) {
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await historyConsumer.run({
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eachBatch: async ({ batch, heartbeat }) => {
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eachBatch: async ({ batch, heartbeat }) => {
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if (state.paused) return;
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if (state.paused) return;
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@ -227,7 +245,8 @@ await consumer.run({
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setTimeout(() => shutdown(), 0);
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setTimeout(() => shutdown(), 0);
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}
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}
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},
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},
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});
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});
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}
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async function handleWrittenHistoryEvent({
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async function handleWrittenHistoryEvent({
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topic,
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topic,
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@ -399,7 +418,7 @@ const controlApi = startControlApi({
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path: '/pause',
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path: '/pause',
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handler: () => {
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handler: () => {
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state.paused = true;
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state.paused = true;
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consumer.pause(topics.map((topic) => ({ topic })));
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pauseConsumers();
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return { ok: true, paused: true };
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return { ok: true, paused: true };
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},
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},
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},
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},
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@ -408,7 +427,7 @@ const controlApi = startControlApi({
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path: '/resume',
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path: '/resume',
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handler: () => {
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handler: () => {
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state.paused = false;
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state.paused = false;
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consumer.resume(topics.map((topic) => ({ topic })));
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resumeConsumers();
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return { ok: true, paused: false };
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return { ok: true, paused: false };
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},
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},
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},
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},
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@ -418,7 +437,7 @@ const controlApi = startControlApi({
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handler: () => {
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handler: () => {
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state.draining = true;
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state.draining = true;
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state.paused = true;
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state.paused = true;
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consumer.pause(topics.map((topic) => ({ topic })));
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pauseConsumers();
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setTimeout(() => shutdown(), 0);
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setTimeout(() => shutdown(), 0);
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return { ok: true, draining: true };
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return { ok: true, draining: true };
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},
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},
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@ -568,9 +587,26 @@ function summarizePortfolioMetric(metric) {
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};
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};
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}
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}
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function topicRefs(topicNames) {
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return topicNames.map((topic) => ({ topic }));
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}
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function pauseConsumers() {
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consumer.pause(topicRefs(topics));
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rawQuoteConsumer.pause(topicRefs(rawQuoteTopics));
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}
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function resumeConsumers() {
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consumer.resume(topicRefs(topics));
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rawQuoteConsumer.resume(topicRefs(rawQuoteTopics));
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}
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async function shutdown() {
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async function shutdown() {
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await controlApi.close().catch(() => {});
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await controlApi.close().catch(() => {});
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await consumer.disconnect();
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await Promise.allSettled([
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consumer.disconnect(),
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rawQuoteConsumer.disconnect(),
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]);
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await pool.end();
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await pool.end();
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process.exit(0);
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process.exit(0);
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}
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}
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@ -5,8 +5,12 @@ import { readFileSync } from 'node:fs';
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const source = readFileSync(new URL('../src/apps/history-writer.mjs', import.meta.url), 'utf8');
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const source = readFileSync(new URL('../src/apps/history-writer.mjs', import.meta.url), 'utf8');
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test('history writer replays durable topics but joins the raw quote firehose live', () => {
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test('history writer replays durable topics but joins the raw quote firehose live', () => {
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assert.match(source, /fromBeginning:\s*topic !== config\.kafkaTopicRawNearIntentsQuote/);
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assert.match(source, /groupId:\s*`\$\{config\.kafkaConsumerGroupHistory\}-raw`/);
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assert.match(source, /rawQuoteConsumer\.subscribe\(\{[\s\S]+fromBeginning:\s*false/);
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assert.match(source, /consumer\.subscribe\(\{[\s\S]+fromBeginning:\s*true/);
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assert.match(source, /Raw quote volume is a live firehose/);
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assert.match(source, /Raw quote volume is a live firehose/);
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assert.match(source, /runHistoryConsumer\(consumer\)/);
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assert.match(source, /runHistoryConsumer\(rawQuoteConsumer\)/);
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assert.match(source, /eachBatch/);
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assert.match(source, /eachBatch/);
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assert.match(source, /insertHistoryEvents/);
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assert.match(source, /insertHistoryEvents/);
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});
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});
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