52 lines
2.9 KiB
Markdown
52 lines
2.9 KiB
Markdown
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# V2e spike findings — NautilusTrader Binance DATA client as VIOLET feed
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Date: 2026-06-12 · NT 1.219.0 · prod host · public mainnet market data,
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no real credentials · 90 s BTCUSDT-PERP trade+quote capture
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(`spike_report.json`, raw numbers; script `spike_nt_binance_feed.py`).
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## Verdict: **GO (qualified)** for NT as the alpha-side Binance feed
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NT's internal dispatch (WS frame → tick object → message bus → strategy
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callback) costs **p50 0.23 ms / p99 3.3 ms** — comfortably inside the
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VIOLET reactor budgets (V0 gate: reaction p99 < 10 ms). Throughput at one
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instrument was 77 ticks/s sustained (847 trades + 6,885 quotes / 90 s)
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with zero drops; build 0.03 s; first tick 1.1 s after start. The Rust WS
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stack is healthy on this host.
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Qualifications that shape the integration:
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1. **Loop ownership.** NT installs uvloop and requires a current event
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loop at node construction (py3.12 raises otherwise). The node owns its
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loop. In-process coexistence with the VIOLET reactor means running the
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reactor ON NT's loop — or (recommended) running NT as a separate feed
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process bridging ticks via Zinc/HZ, which preserves VIOLET's loop
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discipline and isolates NT lifecycle issues. Decision belongs at the
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V4 gate per the charter.
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2. **Keys demanded even for data.** The Binance factory builds an HTTP
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client (instrument definitions) with MANDATORY `BINANCE_FUTURES_API_KEY/
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SECRET` env vars. Public endpoints ignore the header, so **dummy values
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work** — but this is undocumented behavior to pin a test on; a real
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read-only key is the clean path if adopted.
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3. **exchange→callback p50 135 ms / p90 827 ms** is dominated by factors
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outside NT: host→Binance network distance, host NTP skew, and Binance's
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own stream throttling on the quote side (the bimodal 135 ms vs 827 ms
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split tracks trades-vs-quotes). Read it as a relative baseline for the
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lead/lag study, not as NT overhead. For exit-pricing purposes the venue
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(BingX) feed remains authoritative — this feed is the ALPHA side.
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4. **API drift is real**: the PRODGREEN-era launcher in-tree uses
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`BinanceAccountType.FUTURES` and config fields that no longer exist in
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1.219 (`USDT_FUTURE` now, no `paper_trading` on data config). Any
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adoption must pin the NT version and carry an API-surface smoke test.
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## What was NOT tested (out of spike scope)
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Multi-instrument fan-out (the scan universe is ~50 symbols), reconnect
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behavior under network failure, memory growth over hours, NT exec clients
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(the BingX ExecutionClient skeleton remains the V2-deferred,
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keys-blocked item; executor decision at the V4 gate).
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## Next concrete step if adopted
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Separate `violet_feed_nt` process: NT node + probe-style strategy
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publishing normalized ticks (asset, bid, ask, last, ts_event, mono_ns) to
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a Zinc region / HZ map; VIOLET's VenuePriceFeedPort consumes it like any
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other plane with its own staleness budget.
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