V5.3 Event Protocol and Bar-Close Scheduling¶

Decision¶

Ordinary Strategy V2 bar strategies use a versioned event envelope and a shared bar-close clock. The first transport is process-local. Producers and consumers depend on the event contract rather than the transport, so a later Kafka adapter does not require another strategy-runtime rewrite.

The bar event is a wake-up signal, not market data. A woken strategy reloads its venue-scoped candle frames and still verifies the completed-bar token and frame timestamp before evaluating signals.

Event contract¶

Every envelope contains:

• event_id, event_type, and schema_version;
• UTC occurred_at;
• a deterministic partition_key;
• producer and structured payload;
• optional trace, correlation, and causation identifiers.

The initial contracts are market.bar.closed.v1, strategy.command.v1, order.intent.v1, and order.fill.v1.

Bar partitions contain venue, market, market type, instrument ID, and timeframe. Order partitions contain exchange, credential, and account type. Equal symbols on Binance, Bybit, OKX, or any other venue therefore never share a bar partition.

Scheduling behavior¶

• one process-level clock publishes one event for each distinct subscribed bar stream;
• all strategies sharing that exact stream receive the same event;
• repeated events are coalesced while a strategy is already queued or running;
• an event bypasses the normal polling throttle at the candle boundary;
• idle strategies use a periodic safety wake in case an event is missed;
• strategies with positions, pending orders, protections, or stale prices retain the existing risk tick;
• grid and martingale runtimes retain their real-time execution paths.

Equity handling¶

Intraday US, Hong Kong, and mainland China equity events are filtered through their exchange calendars, including session opens, closes, holidays, and lunch breaks. Daily equity strategies retain the existing completed-session policy; UTC midnight is not treated as an equity-market close.

Configuration¶

Distributed extraction boundary¶

The Kafka transport and shadow validation path are implemented in V5_4_KAFKA_EVENT_BACKBONE.md. The next cutover assigns evaluator partitions by stable strategy ID. Order intent and fill events remain routed by execution account after the order-gateway idempotency boundary is complete.