Send multiple messages to WebSocket sources

[benmanns]

This updates the WebSocket connector to add a subscription_messages (plural) config to websocket_config, which allows sending multiple subscription messages to a WebSocket source endpoint.

I have made some design decisions here that I'm open to modification on:

• subscription_messages is a new config key separate from subscription_message. If subscription_message is used, a deprecation warning appears suggesting using subscription_messages.
  • Alternative: change the type to an enum or similar as necessary to support a single string or array of strings and accept both under the subscription_message key. Not sure if possible with the YAML parser—I didn't try.
  • Alternative: accept both, with subscription_message appearing at the beginning or end of the message list.

I find this necessary for third-party WebSocket sources such as the Polygon.io Options WebSocket endpoint, which requires at least two messages, one for authentication and one per data channel.

For reference, my connection config for the Polygon.io options data looks like:

meta:
  version: latest
  name: polygon-options-websocket-connector
  type: websocket-source
  topic: {TOPIC}
http:
  endpoint: wss://socket.polygon.io/options
  websocket_config:
    subscription_messages:
      - '{"action":"auth","params":"{POLYGON_API_KEY}"}'
      - '{"action":"subscribe","params":"T.*,A.*,AM.*"}'

[benmanns]

Thanks for the feedback! I'll address your comments and the merge conflicts between the two branches shortly.

[benmanns]

@digikata thanks for the review! I addressed the merge conflicts from #244, your comments, updated the connector documentation in the README with the new config option, and bumped to v0.4.0.

[digikata]

Looks good @benmanns, thanks for the changes!

[ajhunyady]

It would be great to add an example using new newly added field subscription_messages.