IExchangeConnector

IExchangeConnector is the abstract interface for real-time market data adapters. It provides lifecycle control, typed callback delivery for market data events, and error notifications.

class IExchangeConnector : public ISubsystem, public IDrainable
{
public:
  using BookUpdateCallback = MoveOnlyFunction<void(const BookUpdateEvent&)>;
  using TradeCallback = MoveOnlyFunction<void(const TradeEvent&)>;
  using DisconnectCallback = MoveOnlyFunction<void(std::string_view reason)>;
  using SequenceGapCallback = MoveOnlyFunction<void(uint64_t expected, uint64_t received)>;
  using StaleDataCallback = MoveOnlyFunction<void(SymbolId symbol, uint64_t lastUpdateMs)>;

  virtual ~IExchangeConnector() = default;

  bool drain(uint32_t timeoutMs) override { return true; }

  virtual std::string exchangeId() const = 0;

  virtual void setCallbacks(BookUpdateCallback onBookUpdate, TradeCallback onTrade);
  virtual void setErrorCallbacks(DisconnectCallback onDisconnect,
                                 SequenceGapCallback onSequenceGap,
                                 StaleDataCallback onStaleData);

protected:
  void emitBookUpdate(const BookUpdateEvent& bu);
  void emitTrade(const TradeEvent& t);
  void emitDisconnect(std::string_view reason);
  void emitSequenceGap(uint64_t expected, uint64_t received);
  void emitStaleData(SymbolId symbol, uint64_t lastUpdateMs);
};

Purpose

• Abstract base for all exchange-specific connectors (e.g. Bybit, Mock, Replay), handling event emission and lifecycle.

Responsibilities

Aspect	Details
Lifecycle	Inherits start() and stop() from ISubsystem.
Draining	Implements IDrainable for graceful shutdown with pending operations.
Identity	exchangeId() provides a stable identifier for the connector instance.
Data Callbacks	setCallbacks() binds handlers for book and trade events.
Error Callbacks	setErrorCallbacks() binds handlers for connection/data errors.
Event Routing	emit*() methods dispatch data and errors to subscribers.

Error Callbacks

Callback	When Called
onDisconnect	Connection lost or closed unexpectedly.
onSequenceGap	Sequence number gap detected (expected vs received).
onStaleData	No updates received for a symbol beyond threshold.

Notes

• Inherits from ISubsystem and IDrainable, enabling unified lifecycle and graceful shutdown.
• Callbacks use MoveOnlyFunction to avoid std::function overhead and enable capturing closures with ownership.
• Implementations must call emit*() manually from internal processing (e.g. websocket handler).
• The class is intentionally non-copyable and non-thread-safe — connectors are expected to run in isolated threads.