ampy-proto 1.0.10

Canonical schemas for AmpyFin (generated Python protobufs)

ampy-proto

Canonical Protocol Buffer schemas for the AmpyFin trading system

What We're Solving

AmpyFin is building a self-learning, modular trading system that needs to handle data from multiple sources (DataBento, Tiingo, yfinance, etc.) across different languages (Go, Python, C++). This project provides:

• Unified schemas for all financial data (bars, ticks, fundamentals, news, etc.)
• Cross-language compatibility with generated code for Go, Python, and C++
• Precision guarantees using scaled decimal types instead of floating-point
• Time discipline with UTC timestamps and clear event/ingest time separation
• Versioned contracts that evolve safely without breaking consumers

Quick Start

Python

# Install from PyPI (when published)
pip install ampy-proto

# Or install locally
pip install -e .

from ampy.bars.v1 import bars_pb2
from ampy.common.v1 import common_pb2

# Create a bar
bar = bars_pb2.Bar()
bar.security.symbol = "AAPL"
bar.security.mic = "XNAS"
bar.open.scaled = 1923450
bar.open.scale = 4
bar.high.scaled = 1925600
bar.high.scale = 4
bar.low.scaled = 1922200
bar.low.scale = 4
bar.close.scaled = 1924100
bar.close.scale = 4
bar.volume = 184230

print(f"AAPL bar: ${bar.close.scaled / (10 ** bar.close.scale):.2f}")

Go

# Add to your go.mod
go get github.com/AmpyFin/ampy-proto@v1.0.3

package main

import (
    "fmt"
    barspb "github.com/AmpyFin/ampy-proto/gen/go/ampy/bars/v1"
)

func main() {
    bar := &barspb.Bar{}
    bar.Security = &barspb.Security{
        Symbol: "AAPL",
        Mic:    "XNAS",
    }
    bar.Open = &barspb.Decimal{
        Scaled: 1923450,
        Scale:  4,
    }
    bar.High = &barspb.Decimal{
        Scaled: 1925600,
        Scale:  4,
    }
    bar.Low = &barspb.Decimal{
        Scaled: 1922200,
        Scale:  4,
    }
    bar.Close = &barspb.Decimal{
        Scaled: 1924100,
        Scale:  4,
    }
    bar.Volume = 184230

    fmt.Printf("AAPL bar: $%.2f\n", float64(bar.Close.Scaled)/float64(1e4))
}

C++

# Build the library
cd gen/cpp
mkdir build && cd build
cmake .. && make

#include <iostream>
#include "ampy/bars/v1/bars.pb.h"

int main() {
    ampy::bars::v1::Bar bar;
    bar.mutable_security()->set_symbol("AAPL");
    bar.mutable_security()->set_mic("XNAS");
    bar.mutable_open()->set_scaled(1923450);
    bar.mutable_open()->set_scale(4);
    bar.mutable_high()->set_scaled(1925600);
    bar.mutable_high()->set_scale(4);
    bar.mutable_low()->set_scaled(1922200);
    bar.mutable_low()->set_scale(4);
    bar.mutable_close()->set_scaled(1924100);
    bar.mutable_close()->set_scale(4);
    bar.set_volume(184230);

    std::cout << "AAPL bar: $" 
              << (bar.close().scaled() / std::pow(10, bar.close().scale()))
              << std::endl;
    return 0;
}

Available Schemas

Domain	Purpose	Key Messages
bars	OHLCV price bars	Bar, BarBatch
ticks	Trade and quote data	Tick, TickBatch
fundamentals	Financial statements	Fundamental, FundamentalBatch
news	Market news and sentiment	NewsItem
fx	Foreign exchange rates	FxRate
corporate_actions	Splits, dividends	CorporateAction
universe	Tradable securities lists	Universe
signals	Model outputs and signals	Signal
orders	Order management	Order, OrderRequest
fills	Trade executions	Fill
positions	Portfolio positions	Position
metrics	Operational metrics	Metric
common	Shared types	Decimal, Money, Security, Meta

Key Design Principles

1. Precision with Scaled Decimals

Instead of floating-point numbers, we use scaled decimals:

message Decimal {
  int64 scaled = 1;  // The actual value
  int32 scale = 2;   // Decimal places (e.g., 4 = 4 decimal places)
}

Example: scaled: 1923450, scale: 4 represents 192.3450

2. Time Discipline

All timestamps are UTC with clear semantics:

• event_time: When the market event actually happened
• ingest_time: When our system received it
• as_of: Logical timestamp for downstream processing

3. Security Identification

Use proper security identifiers, not just tickers:

message Security {
  string symbol = 1;    // e.g., "AAPL"
  string mic = 2;       // Market identifier code, e.g., "XNAS"
  string figi = 3;      // Financial Instrument Global Identifier (optional)
  string isin = 4;      // International Securities Identification Number (optional)
}

4. Metadata for Traceability

Every message includes metadata for lineage:

message Meta {
  string run_id = 1;           // Unique run identifier
  string source = 2;           // Data source (e.g., "yfinance-go")
  string producer = 3;         // Producer instance ID
  string schema_version = 4;   // Schema version used
  string checksum = 5;         // Optional message checksum
}

Development

Prerequisites

• Buf for protobuf management
• Go 1.23+ for Go code generation
• Python 3.9+ for Python code generation
• CMake and C++17 compiler for C++ code generation

Building

# Generate code for all languages
buf generate proto

# Lint protobuf files
buf lint proto

# Check for breaking changes
buf breaking proto --against '.git#branch=main'

# Build Python package
python -m build

# Build C++ library
cd gen/cpp && mkdir build && cd build && cmake .. && make

Testing

# Run roundtrip tests
python tests/roundtrip/python_roundtrip.py

# Test Go imports
go run examples/go/smoke/main.go

# Test C++ compilation
cd examples/cpp && g++ -I../../gen/cpp smoke.cpp -L../../gen/cpp/build -lampy_proto -lprotobuf -o smoke && ./smoke

Versioning

This project follows semantic versioning:

• Major versions (v2, v3): Breaking changes requiring migration
• Minor versions (v1.1, v1.2): Additive changes, backward compatible
• Patch versions (v1.0.1, v1.0.2, v1.0.3): Bug fixes, backward compatible

Current version: v1.0.3

Contributing

1. Fork the repository
2. Create a feature branch: git checkout -b feature/your-feature
3. Make your changes and add tests
4. Run buf lint and buf breaking to ensure compatibility
5. Submit a pull request

Schema Evolution Rules

• ✅ Add new optional fields with default values
• ✅ Add new enum values (append only)
• ✅ Add new messages or services
• ❌ Never change field numbers of existing fields
• ❌ Never change field types of existing fields
• ❌ Never remove fields (mark as deprecated instead)
• ❌ Never renumber enum values

License

MIT License - see LICENSE file for details.

Support

• Issues: GitHub Issues
• Discussions: GitHub Discussions
• Documentation: Project Wiki

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This project is part of the AmpyFin ecosystem - a self-learning, modular trading system.