Adds support to Eurex market to DBAG EA (#4151)

* Adds support for Eurex market

Author: mohamed-mehany

.changeset/shiny-weeks-drive.md

@@ -0,0 +1,5 @@
+---
+'@chainlink/deutsche-boerse-adapter': minor
+---
+
+Adds support to Eurex market

packages/sources/deutsche-boerse/src/endpoint/lwba.ts

@@ -3,7 +3,10 @@ import { InputParameters } from '@chainlink/external-adapter-framework/validatio
 import { config } from '../config'
 import { lwbaProtobufWsTransport } from '../transport/lwba'
 
-export const MARKETS = ['md-xetraetfetp', 'md-tradegate'] as const
+export const MARKET_XETRA_ETFETP = 'md-xetraetfetp' as const
+export const MARKET_TRADEGATE = 'md-tradegate' as const
+export const MARKET_EUREX_MICRO = 'md-microproducts' as const
+export const MARKETS = [MARKET_XETRA_ETFETP, MARKET_TRADEGATE, MARKET_EUREX_MICRO] as const
 export type Market = (typeof MARKETS)[number]
 
 export const inputParameters = new InputParameters(

packages/sources/deutsche-boerse/src/transport/lwba.ts

@@ -2,7 +2,7 @@ import { create, fromBinary, toBinary } from '@bufbuild/protobuf'
 import { TransportGenerics } from '@chainlink/external-adapter-framework/transports'
 import { makeLogger } from '@chainlink/external-adapter-framework/util'
 import { config } from '../config'
-import { BaseEndpointTypes, Market, MARKETS } from '../endpoint/lwba'
+import { BaseEndpointTypes, Market, MARKET_EUREX_MICRO, MARKETS } from '../endpoint/lwba'
 import { BaseEndpointTypes as PriceBaseEndpointTypes } from '../endpoint/price'
 import {
   RequestSchema,
@@ -17,6 +17,7 @@ import {
   decimalToNumber,
   hasSingleBidFrame,
   hasSingleOfferFrame,
+  isFutureInstrument,
   isSingleTradeFrame,
   parseIsin,
   pickProviderTime,
@@ -171,7 +172,6 @@ function decodeStreamMessage(buf: Buffer): StreamMessage | null {
     return null
   }
 }
-
 function processMarketData(
   md: MarketData,
   cache: InstrumentQuoteCache,
@@ -185,18 +185,24 @@ function processMarketData(
     logger.warn('Could not parse ISIN from MarketData')
     return null
   }
-  const dat: any = (md as MarketData)?.Dat
-  if (!dat) {
-    logger.warn('Could not parse MarketData from MarketData.Instrmt')
-    return null
-  }
 
   const quote = cache.get(market, isin)
   if (!quote) {
     logger.debug('Ignoring message for inactive instrument (not in cache)')
     return null
   }
 
+  if (market === MARKET_EUREX_MICRO && !isFutureInstrument(md)) {
+    logger.debug({ isin, market }, 'Ignoring non-FUT instrument for FUT-only market')
+    return null
+  }
+
+  const dat: any = (md as MarketData)?.Dat
+  if (!dat) {
+    logger.warn('Could not parse MarketData from MarketData.Instrmt')
+    return null
+  }
+
   const providerTime = pickProviderTime(dat)
 
   if (isSingleTradeFrame(dat)) {

packages/sources/deutsche-boerse/src/transport/proto-utils.ts

@@ -1,8 +1,9 @@
 import Decimal from 'decimal.js'
-import type {
-  Data as DataProto,
-  Decimal as DecimalProto,
-  MarketData as MarketDataProto,
+import {
+  Instrument_SecurityType,
+  type Data as DataProto,
+  type Decimal as DecimalProto,
+  type MarketData as MarketDataProto,
 } from '../gen/md_cef_pb'
 
 const MAX_SIG_DIGITS = 15
@@ -63,3 +64,8 @@ export function hasSingleBidFrame(dat?: DataProto): boolean {
 export function hasSingleOfferFrame(dat?: DataProto): boolean {
   return isDecimalPrice(dat?.Offer?.Px)
 }
+
+// true if this instrument type is Future
+export function isFutureInstrument(md: MarketDataProto): boolean {
+  return md.Instrmt?.SecTyp === Instrument_SecurityType.FUT
+}

packages/sources/deutsche-boerse/test/unit/lwba.test.ts

@@ -5,6 +5,7 @@ import { RequestSchema, StreamMessageSchema } from '../../src/gen/client_pb'
 import {
   DataSchema,
   DecimalSchema,
+  Instrument_SecurityType,
   MarketDataSchema,
   type Decimal,
   type MarketData,
@@ -18,6 +19,7 @@ const dec = (m: bigint, e: number): Decimal => create(DecimalSchema, { m, e })
 type MarketDataInit = MessageInitShape<typeof MarketDataSchema>
 const MARKET = 'md-xetraetfetp' as const
 const MARKET2 = 'md-tradegate' as const
+const MARKET_EUREX = 'md-microproducts'
 const ISIN = 'IE00B53L3W79'
 const OTHER = 'US0000000001'
 
@@ -304,3 +306,54 @@ describe('LWBA Metadata Transport', () => {
     expect(d.askSize).toBe(0)
   })
 })
+
+describe('Eurex (md-microproducts) guard', () => {
+  test('ignores non-future instruments on Eurex', () => {
+    const t = lwbaProtobufWsTransport as any
+    const EUREX_ISIN = 'EU000000FNON' // unique to avoid cache interference
+
+    // Activate subscription for Eurex stream
+    t.config.builders.subscribeMessage({ market: MARKET_EUREX, isin: EUREX_ISIN })
+
+    // Non-future instrument (no SecTyp or any non-FUT value) → should be ignored
+    const mdNonFut = create(MarketDataSchema, {
+      Instrmt: { Sym: EUREX_ISIN }, // SecTyp omitted → NOT FUT
+      Dat: create(DataSchema, {
+        Bid: { Px: dec(10000n, -2), Sz: dec(10n, 0) },
+        Offer: { Px: dec(10100n, -2), Sz: dec(11n, 0) },
+        Tm: 1_000_000n,
+      } as any),
+    } as any)
+
+    const out = t.config.handlers.message(makeStreamBuffer(mdNonFut, MARKET_EUREX))
+    expect(out).toEqual([]) // ignored because not FUT
+  })
+
+  test('processes FUT instruments on Eurex', () => {
+    const t = lwbaProtobufWsTransport as any
+    const EUREX_FUT_ISIN = 'EU000000FFUT' // unique to avoid cache interference
+
+    // Activate subscription for Eurex stream
+    t.config.builders.subscribeMessage({ market: MARKET_EUREX, isin: EUREX_FUT_ISIN })
+
+    // FUT instrument with complete quote → should emit
+    const mdFut = create(MarketDataSchema, {
+      Instrmt: { Sym: EUREX_FUT_ISIN, SecTyp: Instrument_SecurityType.FUT },
+      Dat: create(DataSchema, {
+        Bid: { Px: dec(25000n, -2), Sz: dec(5n, 0) }, // 250.00
+        Offer: { Px: dec(25150n, -2), Sz: dec(7n, 0) }, // 251.50
+        Tm: 2_000_000n,
+      } as any),
+    } as any)
+
+    const res = t.config.handlers.message(makeStreamBuffer(mdFut, MARKET_EUREX))
+    expect(res.length).toBe(1)
+
+    const d = res[0].response.data
+    expect(d.bid).toBe(250)
+    expect(d.ask).toBe(251.5)
+    expect(d.mid).toBe(250.75)
+    expect(d.bidSize).toBe(5)
+    expect(d.askSize).toBe(7)
+  })
+})

packages/sources/deutsche-boerse/test/unit/proto-utils.test.ts

@@ -2,6 +2,7 @@ import { create } from '@bufbuild/protobuf'
 import {
   DataSchema,
   DecimalSchema,
+  Instrument_SecurityType,
   MarketDataSchema,
   type Data,
   type Decimal,
@@ -12,6 +13,7 @@ import {
   decimalToNumber,
   hasSingleBidFrame,
   hasSingleOfferFrame,
+  isFutureInstrument,
   isSingleTradeFrame,
   parseIsin,
   pickProviderTime,
@@ -72,3 +74,21 @@ describe('proto-utils', () => {
     expect(hasSingleOfferFrame(datEmpty)).toBe(false)
   })
 })
+
+test('isFutureInstrument returns true for FUT', () => {
+  const md: MarketData = create(MarketDataSchema, {
+    Instrmt: { Sym: 'FUT-ISIN', SecTyp: Instrument_SecurityType.FUT },
+  } as any)
+  expect(isFutureInstrument(md)).toBe(true)
+})
+
+test('isFutureInstrument returns false when SecTyp is missing or non-FUT', () => {
+  const mdMissing: MarketData = create(MarketDataSchema, {
+    Instrmt: { Sym: 'NOSEC-ISIN' }, // no SecTyp
+  } as any)
+  const mdOther: MarketData = create(MarketDataSchema, {
+    Instrmt: { Sym: 'OTHER-ISIN', SecTyp: 0 as any }, // some non-FUT enum
+  } as any)
+  expect(isFutureInstrument(mdMissing)).toBe(false)
+  expect(isFutureInstrument(mdOther)).toBe(false)
+})