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DatabentoOrchestrator

hypercall_vol_oracle::databento_oracle

Struct DatabentoOrchestrator 

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struct DatabentoOrchestrator {
    book_cache: BookCache,
    instruments: HashMap<u64, InstrumentKind>,
    current_forward: Option<f64>,
    risk_free_rate: f64,
    max_spread_fraction: f64,
    max_staleness_ms: i64,
    strike_scale: f64,
}
Expand description

Stateful glue that turns a stream of FeedRecords into a live vol surface. Holds the instrument registry, the BBO cache, and the most recent forward we’ve seen for the underlying futures contract.

The orchestrator does not own a feed — the oracle (cycle 11) drives the async loop and calls ingest for each record. This makes testing trivial: hand-roll a Vec<FeedRecord> and ingest them synchronously.

§Front-month selection

The forward price used for Black-76 is the most recent GC futures BBO mid we’ve observed. If multiple GC contracts stream simultaneously (e.g. June + August) the forward will flip-flop between them, which is wrong. In practice the Databento subscription is pinned to the front-month contract only, so this isn’t a problem in dev-jake’s configuration; a smarter “nearest non-expired contract” rule is a v2 item if we ever subscribe to the full curve.

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§book_cache: BookCache§instruments: HashMap<u64, InstrumentKind>§current_forward: Option<f64>§risk_free_rate: f64§max_spread_fraction: f64§max_staleness_ms: i64§strike_scale: f64

km:GOLD / CME GC scale factor. 1.0 for dev-jake since km:GOLD tracks XAU/USD 1:1 per the 2026-04 research. Stored here so build_surface can apply it uniformly on every rebuild.

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impl DatabentoOrchestrator

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fn new(risk_free_rate: f64, strike_scale: f64) -> Self

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fn ingest(&mut self, record: FeedRecord)

Process one record from the feed. Quiet on transient errors and end-of-stream — those are the caller’s concern.

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fn build_surface(&self, now_ms: i64) -> VolatilitySurface

Build a fresh VolatilitySurface from the current cached state. Returns an empty surface if we don’t yet have a forward (no GC BBO has arrived) — callers can check .is_empty() and decide whether to expose the oracle as ready.

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fn current_forward(&self) -> Option<f64>

Trait Implementations§

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impl Debug for DatabentoOrchestrator

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

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