17 - Connection Pooling

Overview

OpenAlgo pools broker WebSocket adapters per broker and user. A ConnectionPool allocates subscriptions across adapter connections while a process-local SharedZmqPublisher sends every adapter's normalized ticks to the market-data proxy.

The default pool limits are 1,000 symbols per broker connection and three connections. These are capacity limits, not guarantees; broker-specific limits and capabilities still apply.

Topology

broker/user ConnectionPool
  |-- adapter 1 (up to configured symbol limit)
  |-- adapter 2
  `-- adapter 3
          |
          v
SharedZmqPublisher (PUB connects)
          |
          v
tcp://ZMQ_HOST:ZMQ_PORT
          ^
          |
WebSocketProxy (SUB binds)
          |
          v
authenticated WebSocket clients

The proxy's SUB socket is the sole binder on the configured endpoint. Broker market-data publishers and cache-invalidation publishers connect to that fixed endpoint. There is no publisher bind or fallback-port scan; this avoids cross-process bind races that can acknowledge subscriptions without delivering ticks.

Configuration

MAX_SYMBOLS_PER_WEBSOCKET=1000
MAX_WEBSOCKET_CONNECTIONS=3
ZMQ_HOST=127.0.0.1
ZMQ_PORT=5555

ZMQ_HOST defaults to loopback. Multi-host deployments can point publishers at the host where the proxy binds, but the endpoint must be consistent for all processes.

Pool Allocation

ConnectionPool tracks (symbol, exchange, mode) subscriptions and the adapter that owns each one.

1. Reuse an existing adapter with capacity.

2. Create and initialize another adapter when all current adapters are full.

3. Reject the subscription when the configured connection and symbol capacity is exhausted.

4. Unsubscribe from the broker only when the last local client releases the subscription.

Requested depth levels are retained with the subscription so authentication recovery can restore depth subscriptions correctly. Authentication-like broker failures trigger a token refresh and subscription restoration path.

Shared Publisher

The pool creates one thread-safe SharedZmqPublisher singleton per process. Pooled adapters publish through that object instead of creating individual ZeroMQ contexts and sockets. The publisher connects lazily and idempotently to tcp://<ZMQ_HOST>:<ZMQ_PORT>.

The WebSocket proxy maintains an O(1) subscription index keyed by symbol, exchange, and numeric mode. A higher-mode tick can satisfy lower-mode subscribers, while private orders, positions, and margins topics are excluded from public delivery.

Lifecycle

• Adapter connections are created on demand and closed during pool cleanup.

• The shared publisher is closed only after the pools using it are released.

• Re-authentication evicts a disconnected or broker-mismatched cached adapter before rebuilding it with current credentials.

• Proxy shutdown closes client sockets, adapters, the ZMQ socket, and its asyncio tasks.

Key Files

File	Responsibility
websocket_proxy/connection_manager.py	Pool allocation, recovery, shared publisher
websocket_proxy/base_adapter.py	Base broker adapter and non-pooled publisher connection
websocket_proxy/broker_factory.py	Broker adapter and pool construction
websocket_proxy/server.py	SUB binder, client subscriptions, tick fan-out