market2nats 0.1.0

WebSocket market data → NATS JetStream relay
Documentation

Market Data Relay

Rust service that connects to public WebSocket feeds from multiple trading venues, normalizes market data (trades, ticker, L2 orderbook, funding rates, liquidations), and publishes it to NATS JetStream.

Architecture

WebSocket Feeds ──► Venue Adapters ──► mpsc channels ──► Publisher ──► NATS JetStream
     (per venue)       (normalize)      (backpressure)    (serialize)    (persist)

Layered DDD design:

Layer Path Responsibility
Domain src/domain/ Pure types, enums, value objects. No I/O, no async.
Config src/config/ TOML parsing, validation, env var substitution.
Application src/application/ Orchestration: subscription manager, stream router, sequence tracker, health monitor.
Infrastructure src/infrastructure/ WebSocket adapters, NATS publisher, HTTP health/metrics server.
Serialization src/serialization/ Protobuf (prost) and JSON encoding for market data events.

NATS Subject Pattern

market.<venue_id>.<canonical_symbol_normalized>.<data_type>

Examples:

  • market.binance.btc-usdt.trade
  • market.kraken.eth-usd.l2_orderbook
  • market.binance.eth-usdt.liquidation

Market Data Types

  • Trade — executed trades with price, quantity, side
  • Ticker — best bid/ask and last price
  • L2 Orderbook — depth snapshots and incremental deltas
  • Funding Rate — perpetual futures funding rates
  • Liquidation — forced liquidation events

Configuration

All configuration is declarative via a single TOML file (config/relay.toml):

  • Service settings (logging, shutdown timeout)
  • NATS connection (URLs, auth, TLS)
  • JetStream streams and consumers (storage, retention, ack policies)
  • Venue definitions (WebSocket URLs, reconnect, circuit breaker)
  • Subscriptions per venue (instruments, data types)
# Run with default config
cargo run

# Run with custom config
cargo run -- path/to/config.toml

Endpoints

Endpoint Description
GET /health JSON health status (per-venue state, NATS status, overall health)
GET /metrics Prometheus metrics

Resilience

  • Exponential backoff reconnection per venue with configurable delays
  • Circuit breaker (Closed → Open → HalfOpen) per venue to avoid hammering down endpoints
  • Bounded channels between layers for backpressure propagation
  • Publish retries with 3 attempts (100ms → 500ms → 2s) before dropping
  • Graceful shutdown with configurable drain timeout on SIGTERM/SIGINT

Build

# Build
cargo build --release

# Test
cargo test --all-features

# Lint
cargo clippy --all-targets --all-features -- -D warnings

# Format
cargo +stable fmt --all

Key Dependencies

Crate Purpose
tokio Async runtime
tokio-tungstenite WebSocket client
async-nats NATS client with JetStream
prost Protobuf serialization
rust_decimal Decimal arithmetic (no f64 for prices)
tracing Structured logging
axum HTTP server for health/metrics
dashmap Concurrent hash maps
thiserror Typed error enums

Contact

If you have any questions, issues, or would like to provide feedback, please feel free to contact the project maintainer:

License

This project is licensed under the MIT License - see the LICENSE file for details.