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DatabentoLiveFeed

hypercall_vol_oracle::databento_oracle

Struct DatabentoLiveFeed 

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pub struct DatabentoLiveFeed {
    rx: UnboundedReceiver<FeedRecord>,
    _def_task: JoinHandle<()>,
    _mbp1_task: JoinHandle<()>,
}
Expand description

Adapter that wraps Databento Live behind our DatabentoFeed trait.

Databento’s Live gateway deadlocks the MBP1 stream when a single session carries a Definition subscription with start = UNIX_EPOCH (full snapshot) alongside an MBP1 subscription with any other start — verified both on staging (no MBP1 records after the 43k def snapshot) and in a local harness. Splitting into two independent Live clients on separate sessions avoids the deadlock: the Definition client drains the snapshot and is dropped, and the MBP1 client streams live quotes with a short 5-minute replay to re-seed the book.

The DatabentoFeed::next_record surface is preserved: both reader tasks feed a shared unbounded mpsc and next_record just receives from it.

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§rx: UnboundedReceiver<FeedRecord>§_def_task: JoinHandle<()>§_mbp1_task: JoinHandle<()>

Implementations§

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impl DatabentoLiveFeed

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pub async fn connect(api_key: &str, dataset: &str) -> Result<Self>

Connect to Databento Live using two independent sessions: one for the Definition snapshot (start = EPOCH), one for live MBP1 quotes (start = now − 5 min for a short re-seed).

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async fn run_definition_reader( client: LiveClient, tx: UnboundedSender<FeedRecord>, )

Drive the Definition-only client until it goes idle, converting each matching InstrumentDefMsg into FeedRecord::Definition.

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async fn run_mbp1_reader(client: LiveClient, tx: UnboundedSender<FeedRecord>)

Drive the MBP1 client forever, converting matching Mbp1Msg into FeedRecord::Mbp1 and forwarding them through the channel.

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fn definition_to_kind(def: &InstrumentDefMsg) -> Option<InstrumentKind>

Translate a Databento InstrumentDefMsg into our internal InstrumentKind, or return None for instruments we don’t care about (non-GC futures, non-gold options, unknown classes).

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fn mbp1_to_bbo(msg: &Mbp1Msg) -> Option<Bbo>

Trait Implementations§

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impl DatabentoFeed for DatabentoLiveFeed

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fn next_record<'life0, 'async_trait>( &'life0 mut self, ) -> Pin<Box<dyn Future<Output = Option<FeedRecord>> + Send + 'async_trait>>
where Self: 'async_trait, 'life0: 'async_trait,

Return the next record from the feed, or None once the feed has ended and will never produce another record. Transient errors are returned as Some(FeedRecord::Error(..)) — only a terminal state yields None.

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