feat: forced-liquidation stream (!forceOrder@arr) → crypto.liquidations - #1
Open
JamesPersonalCode56 wants to merge 1 commit into
Open
feat: forced-liquidation stream (!forceOrder@arr) → crypto.liquidations#1JamesPersonalCode56 wants to merge 1 commit into
JamesPersonalCode56 wants to merge 1 commit into
Conversation
…uidations Adds the all-market futures liquidation feed — a leading signal (cascades lead/ amplify spot moves) that was missing from the collector. One WS connection on the /market route covers the whole market (~1-2 events/s); the Public route delivers nothing for this stream (same routing gotcha as @aggTrade, verified live). - tables.py: crypto.liquidations DDL (ReplacingMergeTree, tuned CODECs) + cols - live/parsers.py: liquidation_rows() (SELL=long liquidated, BUY=short liquidated) - live/main.py: _run_liquidations process, futures-only, --no-liquidations flag - README: table list, live sources, process arch, flags Verified end-to-end against live Binance: frames parse, row width matches schema. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
1 participant
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Adds the all-market Binance futures forced-liquidation feed — a leading signal that liquidation cascades lead/amplify spot moves — which the collector was missing.
What
crypto.liquidationstable (ReplacingMergeTree, tuned CODECs)live/parsers.py→liquidation_rows()(SELL= a long was force-closed,BUY= a short)live/main.py→_run_liquidationsprocess, futures-only,--no-liquidationsflagRouting gotcha (verified live)
!forceOrder@arris delivered only on the/marketroute — the Public route returns 0 frames, exactly like@aggTrade. One connection covers the whole market (~1–2 events/s), so it intentionally ignores the per-symbol universe: cross-symbol cascades are themselves the signal.Verification
End-to-end against live Binance: frames parse, decimal/timestamp fields correct, row width matches
LIQUIDATIONS_COLS(16). Not yet run against the production ClickHouse (needsmigrate.pyon the box).🤖 Generated with Claude Code