feat(collector): attest Binance L2 continuity - #264
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| let lob_continuity = if schema == RAW_SCHEMA { | ||
| Some(summarize_lob_continuity(path, config.symbols.clone())?) |
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When a depth update for a symbol is archived before its REST snapshot returns -1121, Event::ExcludeSymbol removes that symbol and close_segment_at replaces the current segment's catalog with the reduced active-symbol list. This call then recomputes continuity against that reduced list, so the already-written diff triggers LOB continuity row symbol is outside its declared scope; rotation fails before compression and no artifact is sealed. Because WebSocket collection intentionally starts before snapshot requests, this ordering is possible during a delisting/catalog race. Seal the closing segment against its original scope, applying the exclusion only to the next segment.
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| summary.last_source_time_ms = Some(clock.event_time_ms); | ||
| summary.observe_received_at(received_at_ns); | ||
| summary.observe_latency(source_latency_ms(received_at_ns, clock.event_time_ms)?); |
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The diff branch updates clocks and counts but never applies the bid/ask changes or calls observe_depth, so min_*_levels and max_*_levels describe only snapshots and checkpoints rather than the book throughout the segment. For example, if a one-bid snapshot is followed by a diff that adds a second bid and another that removes it before the closing checkpoint, the manifest reports max_bid_levels: 1 even though the replayed L2 book reached two levels. Maintain the per-symbol book while summarizing, or derive these extrema from the existing replay state.
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Issue: #224 (first independent layer; does not close the issue)
Change contract
Publish a binance.lob_continuity.v1 summary in new Binance market-tape segment manifests and make the sealed verifier recompute and bind it to the raw L2 rows. The summary covers capture-session/reconnect boundary, declared and covered symbols, sequence gaps and source-time rollback evidence, source/received clocks and latency, update IDs, snapshot/checkpoint seeds, and bid/ask depth.
Out of scope
Dependency or merge order
None. This is the first #224 layer. A follow-up PR will wire the new strict verifier into the canonical shadow gate after this merges.
Focused validation
Rollout/rollback impact
New collectors emit the optional summary. Existing artifacts remain readable through the compatibility API; only the new strict API requires the contract. Rollback is this PR alone and does not alter production hosts.