fix(connectors): stamp order books with the venue's event timestamp; …

TriggerEngine/TriggerEngineService.cs

@@ -448,7 +448,12 @@ private static Task ExecuteActionAsync(string ruleName, TriggerCondition conditi
             {
                 var body = action.RestApi.BodyTemplate
                     .Replace("{{rulename}}", ruleName)
+                    // {{plugin}} historically receives the METRIC name (the display name does
+                    // not exist at fire time); kept as-is so existing saved templates keep
+                    // their current output. {{metric}} is the documented, correctly-named
+                    // placeholder for the same value.
                     .Replace("{{plugin}}", metric)
+                    .Replace("{{metric}}", metric)
                     .Replace("{{condition}}", condition.Operator.ToString())
                     .Replace("{{threshold}}", condition.Threshold.ToString())
                     .Replace("{{value}}", value.ToString())

TriggerEngine/View/AddAPISetting.xaml.cs

@@ -43,7 +43,7 @@ public AddAPISetting(RestApiActionViewModel _rule)
             }
             else
             {
-                restApiAction.BodyTemplate = "{\r\n\r\n\"plugin\":\"{{plugin}}\",\r\n\"value\":\"{{value}}\",\r\n\"timestamp\":\"{{timestamp}}\", \r\n}";
+                restApiAction.BodyTemplate = "{\r\n\r\n\"metric\":\"{{metric}}\",\r\n\"value\":\"{{value}}\",\r\n\"timestamp\":\"{{timestamp}}\", \r\n}";
             }
             this.DataContext = restApiAction;
         }

TriggerEngine/View/TriggerSettingAddOrUpdate.xaml

@@ -266,10 +266,18 @@ TextOptions.TextRenderingMode="Auto"
   <LineBreak />
   <Run>   • </Run>
   <Run FontWeight="Bold">Body Template:</Run>
-  <Run> JSON payload with dynamic placeholders like </Run>
+  <Run> JSON payload with dynamic placeholders: </Run>
+  <Run FontStyle="Italic">{{rulename}}</Run><Run>, </Run>
+  <Run FontStyle="Italic">{{metric}}</Run>
+  <Run> (the metric that fired), </Run>
+  <Run FontStyle="Italic">{{condition}}</Run><Run>, </Run>
+  <Run FontStyle="Italic">{{threshold}}</Run><Run>, </Run>
+  <Run FontStyle="Italic">{{value}}</Run>
+  <Run> and </Run>
+  <Run FontStyle="Italic">{{timestamp}}</Run>
+  <Run>. </Run>
   <Run FontStyle="Italic">{{plugin}}</Run>
-  <Run> or </Run>
-  <Run FontStyle="Italic">{{condition}} etc</Run><Run>.</Run>
+  <Run> is kept for older templates and receives the same metric name.</Run>
   <LineBreak />
   <Run>   • </Run>
   <Run FontWeight="Bold">Headers:</Run>

VisualHFT.Plugins/MarketConnectors.Binance/BinancePlugin.cs

@@ -288,10 +288,12 @@ private async Task InitializeDeltasAsync()
                     {
                         try
                         {
-                            data.Data.EventTime = data.ReceiveTime;
-                            if (Math.Abs(DateTime.Now.Subtract(data.Data.EventTime.ToLocalTime()).TotalSeconds) > 1)
+                            // EventTime is the venue's own event timestamp ("E") — never overwrite it.
+                            // The freshness warn keys on RECEIVE time: it measures in-process dispatch
+                            // delay, and must not fire on venue/local clock offset.
+                            if (Math.Abs(DateTime.Now.Subtract(data.ReceiveTime.ToLocalTime()).TotalSeconds) > 1)
                             {
-                                var _msg = $"Rates are coming late at {Math.Abs(DateTime.Now.Subtract(data.Data.EventTime.ToLocalTime()).TotalSeconds)} seconds.";
+                                var _msg = $"Rates are coming late at {Math.Abs(DateTime.Now.Subtract(data.ReceiveTime.ToLocalTime()).TotalSeconds)} seconds.";
                                 log.Warn(_msg);
                                 HelperNotificationManager.Instance.AddNotification(this.Name, _msg, HelprNorificationManagerTypes.WARNING, HelprNorificationManagerCategories.PLUGINS);
                             }
@@ -662,6 +664,20 @@ private void deltaSubscription_Exception(Exception obj)
         #endregion
 
         // ✅ FIX: Thread-safe UpdateOrderBook with TryGetValue
+        /// <summary>
+        /// The single decision point for the venue's book timestamp. Binance's diff-depth
+        /// stream carries the exchange event time (wire field "E"); return it in local
+        /// kind. A frame without it returns null — a default(DateTime) stamp would
+        /// fabricate a colossal latency spike, and receive time must never masquerade
+        /// as exchange time.
+        /// </summary>
+        public static DateTime? ResolveBookTimestamp(IBinanceEventOrderBook lob_update)
+        {
+            if (lob_update == null || lob_update.EventTime == default)
+                return null;
+            return lob_update.EventTime.ToLocalTime();
+        }
+
         private void UpdateOrderBook(IBinanceEventOrderBook lob_update, string normalizedSymbol)
         {
             // ✅ Use TryGetValue for thread safety
@@ -674,7 +690,7 @@ private void UpdateOrderBook(IBinanceEventOrderBook lob_update, string normalize
                 return;
             }
 
-            DateTime ts = lob_update.EventTime.ToLocalTime();
+            DateTime? exchangeTs = ResolveBookTimestamp(lob_update);
 
             if (lob_update.LastUpdateId <= local_lob.Sequence)
                 return;
@@ -685,6 +701,7 @@ private void UpdateOrderBook(IBinanceEventOrderBook lob_update, string normalize
 
             // ✅ Cache DateTime.Now once
             var now = DateTime.Now;
+            DateTime ts = exchangeTs ?? now;
 
             foreach (var item in lob_update.Bids)
             {
@@ -741,7 +758,9 @@ private void UpdateOrderBook(IBinanceEventOrderBook lob_update, string normalize
             }
 
             local_lob.Sequence = lob_update.LastUpdateId;
-            local_lob.LastUpdated = ts;
+            // Venue event time when the frame carries one; null otherwise (never
+            // receive time — Mkt Lat measures the venue clock, not our decode delay).
+            local_lob.LastUpdated = exchangeTs;
             RaiseOnDataReceived(local_lob);
         }
 

VisualHFT.Plugins/MarketConnectors.Bitfinex/BitfinexPlugin.cs

@@ -39,7 +39,7 @@ public class BitfinexPlugin : BasePluginDataRetriever, IDataRetrieverTestable
         private BitfinexSocketClient _socketClient;
         private BitfinexRestClient _restClient;
         private Dictionary<string, VisualHFT.Model.OrderBook> _localOrderBooks = new Dictionary<string, VisualHFT.Model.OrderBook>();
-        private Dictionary<string, HelperCustomQueue<Tuple<DateTime, string, BitfinexOrderBookEntry>>> _eventBuffers = new();
+        private Dictionary<string, HelperCustomQueue<Tuple<DateTime?, string, BitfinexOrderBookEntry>>> _eventBuffers = new();
         private Dictionary<string, HelperCustomQueue<Tuple<string, BitfinexTradeSimple>>> _tradesBuffers = new();
         private readonly object _buffersLock = new object(); // ✅ ADD: Thread-safe buffer access
 
@@ -115,7 +115,7 @@ private async Task InternalStartAsync()
                 // Initialize event buffer for each symbol
                 foreach (var symbol in GetAllNormalizedSymbols())
                 {
-                    _eventBuffers.Add(symbol, new HelperCustomQueue<Tuple<DateTime, string, BitfinexOrderBookEntry>>($"<Tuple<DateTime, string, BitfinexOrderBookEntry>>_{this.Name.Replace(" Plugin", "")}", eventBuffers_onReadAction, eventBuffers_onErrorAction));
+                    _eventBuffers.Add(symbol, new HelperCustomQueue<Tuple<DateTime?, string, BitfinexOrderBookEntry>>($"<Tuple<DateTime?, string, BitfinexOrderBookEntry>>_{this.Name.Replace(" Plugin", "")}", eventBuffers_onReadAction, eventBuffers_onErrorAction));
                     _tradesBuffers.Add(symbol, new HelperCustomQueue<Tuple<string, BitfinexTradeSimple>>($"<Tuple<DateTime, string, BitfinexTradeSimple>>_{this.Name.Replace(" Plugin", "")}", tradesBuffers_onReadAction, tradesBuffers_onErrorAction));
                 }
 
@@ -356,18 +356,21 @@ private async Task InitializeDeltasAsync()
                                 else
                                 {
                                     // ✅ FIX: Thread-safe buffer access
-                                    HelperCustomQueue<Tuple<DateTime, string, BitfinexOrderBookEntry>> buffer;
+                                    HelperCustomQueue<Tuple<DateTime?, string, BitfinexOrderBookEntry>> buffer;
                                     lock (_buffersLock)
                                     {
                                         if (!_eventBuffers.TryGetValue(normalizedSymbol, out buffer))
                                             return; // Buffer was cleared during reconnection
                                     }
 
+                                    // The BOOK stamp is the venue's server timestamp carried on the
+                                    // wrapper (DataTime, null when absent) — never local receive time.
+                                    var exchangeTs = ResolveBookTimestamp(data.DataTime);
                                     foreach (var item in data.Data)
                                     {
                                         buffer.Add(
-                                            new Tuple<DateTime, string, BitfinexOrderBookEntry>(
-                                                data.ReceiveTime.ToLocalTime(), normalizedSymbol, item));
+                                            new Tuple<DateTime?, string, BitfinexOrderBookEntry>(
+                                                exchangeTs, normalizedSymbol, item));
                                     }
                                 }
                             }
@@ -436,7 +439,7 @@ private async Task InitializePingTimerAsync()
             _timerPing.Enabled = true; // Start the timer
         }
 
-        private void eventBuffers_onReadAction(Tuple<DateTime, string, BitfinexOrderBookEntry> eventData)
+        private void eventBuffers_onReadAction(Tuple<DateTime?, string, BitfinexOrderBookEntry> eventData)
         {
             UpdateOrderBook(eventData.Item3, eventData.Item2, eventData.Item1);
         }
@@ -659,7 +662,21 @@ private void UpdateOrderBookSnapshot(IEnumerable<BitfinexOrderBookEntry> data, s
                 });
             });
         }
-        private void UpdateOrderBook(BitfinexOrderBookEntry lob_update, string symbol, DateTime ts)
+        /// <summary>
+        /// The single decision point for the venue's book timestamp. Bitfinex book
+        /// entries carry no timestamp, but the socket library enables the exchange's
+        /// TIMESTAMP conf flag and delivers the server's event time on
+        /// DataEvent.DataTime for every book frame; return it in local kind. A frame
+        /// without it returns null — receive time must never masquerade as exchange time.
+        /// </summary>
+        public static DateTime? ResolveBookTimestamp(DateTime? dataTime)
+        {
+            if (!dataTime.HasValue || dataTime.Value == default)
+                return null;
+            return dataTime.Value.ToLocalTime();
+        }
+
+        private void UpdateOrderBook(BitfinexOrderBookEntry lob_update, string symbol, DateTime? ts)
         {
             if (!_localOrderBooks.ContainsKey(symbol))
                 return;
@@ -680,7 +697,7 @@ private void UpdateOrderBook(BitfinexOrderBookEntry lob_update, string symbol, D
                         Size = (double)Math.Abs(lob_update.Quantity),
                         IsBid = isBid,
                         LocalTimeStamp = DateTime.Now,
-                        ServerTimeStamp = ts,
+                        ServerTimeStamp = ts ?? DateTime.Now,
                         Symbol = local_lob.Symbol,
                         MDUpdateAction = eMDUpdateAction.Delete,
                     };
@@ -694,7 +711,7 @@ private void UpdateOrderBook(BitfinexOrderBookEntry lob_update, string symbol, D
                         Size = (double)Math.Abs(lob_update.Quantity),
                         IsBid = isBid,
                         LocalTimeStamp = DateTime.Now,
-                        ServerTimeStamp = ts,
+                        ServerTimeStamp = ts ?? DateTime.Now,
                         Symbol = local_lob.Symbol,
                         MDUpdateAction = eMDUpdateAction.Change,
                     };

VisualHFT.Plugins/MarketConnectors.Coinbase/CoinbasePlugin.cs

@@ -35,8 +35,8 @@ public class CoinbasePlugin : BasePluginDataRetriever
         private readonly ConcurrentDictionary<string, VisualHFT.Model.OrderBook> _localOrderBooks =
             new ConcurrentDictionary<string, VisualHFT.Model.OrderBook>();
 
-        private readonly ConcurrentDictionary<string, HelperCustomQueue<Tuple<DateTime, string, CoinbaseOrderBookUpdate>>> _eventBuffers =
-            new ConcurrentDictionary<string, HelperCustomQueue<Tuple<DateTime, string, CoinbaseOrderBookUpdate>>>();
+        private readonly ConcurrentDictionary<string, HelperCustomQueue<Tuple<DateTime?, string, CoinbaseOrderBookUpdate>>> _eventBuffers =
+            new ConcurrentDictionary<string, HelperCustomQueue<Tuple<DateTime?, string, CoinbaseOrderBookUpdate>>>();
 
         private readonly ConcurrentDictionary<string, HelperCustomQueue<Tuple<string, CoinbaseTrade>>> _tradesBuffers =
             new ConcurrentDictionary<string, HelperCustomQueue<Tuple<string, CoinbaseTrade>>>();
@@ -139,7 +139,7 @@ private async Task InternalStartAsync()
                 foreach (var symbol in GetAllNormalizedSymbols())
                 {
                     _eventBuffers.TryAdd(symbol,
-                        new HelperCustomQueue<Tuple<DateTime, string, CoinbaseOrderBookUpdate>>(
+                        new HelperCustomQueue<Tuple<DateTime?, string, CoinbaseOrderBookUpdate>>(
                             $"<Tuple<DateTime, string, CoinbaseStreamOrderBookChanged>>_{this.Name.Replace(" Plugin", "")}",
                             eventBuffers_onReadAction, eventBuffers_onErrorAction));
                     _tradesBuffers.TryAdd(symbol,
@@ -335,9 +335,12 @@ private async Task InitializeDeltasAsync()
                                             HelprNorificationManagerCategories.PLUGINS);
                                     }
 
+                                    // The BOOK stamp is the venue's own event time (newest entry
+                                    // "event_time", null when absent) — ReceiveTime stays the
+                                    // freshness-warn input only, never the book stamp.
                                     _eventBuffers[normalizedSymbol].Add(
-                                        new Tuple<DateTime, string, CoinbaseOrderBookUpdate>(
-                                            data.ReceiveTime.ToLocalTime(), normalizedSymbol, data.Data));
+                                        new Tuple<DateTime?, string, CoinbaseOrderBookUpdate>(
+                                            ResolveBookTimestamp(data.Data), normalizedSymbol, data.Data));
                                 }
                             }
                             catch (Exception ex)
@@ -417,7 +420,7 @@ private async Task InitializePingTimerAsync()
             _timerPing.Enabled = true; // Start the timer
         }
 
-        private void eventBuffers_onReadAction(Tuple<DateTime, string, CoinbaseOrderBookUpdate> eventData)
+        private void eventBuffers_onReadAction(Tuple<DateTime?, string, CoinbaseOrderBookUpdate> eventData)
         {
             UpdateOrderBook(eventData.Item3, eventData.Item2, eventData.Item1);
         }
@@ -530,7 +533,37 @@ private void deltaSubscription_Exception(Exception obj)
         #endregion
 
         // ✅ FIX: Thread-safe UpdateOrderBook
-        private void UpdateOrderBook(CoinbaseOrderBookUpdate lob_update, string symbol, DateTime ts)
+        /// <summary>
+        /// The single decision point for the venue's book timestamp. Coinbase's level2
+        /// stream carries the exchange event time PER ENTRY (wire field "event_time");
+        /// the frame timestamp is the newest entry event time across bids and asks,
+        /// returned in local kind. Entries without it are ignored; a frame with no
+        /// usable entry timestamps returns null — receive time must never masquerade
+        /// as exchange time.
+        /// </summary>
+        public static DateTime? ResolveBookTimestamp(CoinbaseOrderBookUpdate lob_update)
+        {
+            if (lob_update == null)
+                return null;
+            var newest = default(DateTime);
+            if (lob_update.Bids != null)
+            {
+                foreach (var item in lob_update.Bids)
+                {
+                    if (item.EventTime > newest) newest = item.EventTime;
+                }
+            }
+            if (lob_update.Asks != null)
+            {
+                foreach (var item in lob_update.Asks)
+                {
+                    if (item.EventTime > newest) newest = item.EventTime;
+                }
+            }
+            return newest == default ? null : newest.ToLocalTime();
+        }
+
+        private void UpdateOrderBook(CoinbaseOrderBookUpdate lob_update, string symbol, DateTime? ts)
         {
             if (lob_update == null)
                 return;
@@ -559,7 +592,7 @@ private void UpdateOrderBook(CoinbaseOrderBookUpdate lob_update, string symbol,
                         Size = (double)item.Quantity,
                         IsBid = true,
                         LocalTimeStamp = now,
-                        ServerTimeStamp = ts,
+                        ServerTimeStamp = ts ?? DateTime.Now,
                         Symbol = symbol
                     });
                 }
@@ -571,7 +604,7 @@ private void UpdateOrderBook(CoinbaseOrderBookUpdate lob_update, string symbol,
                         Price = (double)item.Price,
                         IsBid = true,
                         LocalTimeStamp = now,
-                        ServerTimeStamp = ts,
+                        ServerTimeStamp = ts ?? DateTime.Now,
                         Symbol = symbol
                     });
                 }
@@ -588,7 +621,7 @@ private void UpdateOrderBook(CoinbaseOrderBookUpdate lob_update, string symbol,
                         Size = (double)item.Quantity,
                         IsBid = false,
                         LocalTimeStamp = now,
-                        ServerTimeStamp = ts,
+                        ServerTimeStamp = ts ?? DateTime.Now,
                         Symbol = symbol
                     });
                 }
@@ -600,7 +633,7 @@ private void UpdateOrderBook(CoinbaseOrderBookUpdate lob_update, string symbol,
                         Price = (double)item.Price,
                         IsBid = false,
                         LocalTimeStamp = now,
-                        ServerTimeStamp = ts,
+                        ServerTimeStamp = ts ?? DateTime.Now,
                         Symbol = symbol
                     });
                 }