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Add futures beta support #884
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penelopus
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Jun 9, 2025
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looks generally good; have a handful of comments/Qs
- usage of
order
- an out-of-sync path
- removal of a ws address
Thanks for catching all the @penelopus! |
penelopus
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Jun 9, 2025
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🐍 looks good! (one non-blocking comment)
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Adds futures REST and Websocket beta support.
REST support was straightforward but websocket support needed a small refactor around how events are processed. Added new parsing logic using
MARKET_EVENT_MAP
to address event type collisions between markets like stocks and futures. Previously, event types such as "A", "AM", "T", and "Q" were unique across markets. With the addition of futures, these types are now reused, creating ambiguity, and mapping to incorrect model structures. For example, an event with "ev": "T" could be an EquityTrade (stocks) or a FuturesTrade (futures), depending on the market.The solution uses
MARKET_EVENT_MAP
, which maps each market to its specific event types and model classes. By leveraging the market context from the WebSocketClient, the parser can now accurately identify and process these events. This change ensures reliable data parsing as we expand to support more markets, while remaining backward-compatible for existing stock market clients.