feat: MD pipeline — market-data-service hardening + SenpAI NATS consumer
Producer (market-data-service):
- Backpressure: smart drop policy (heartbeats→quotes→trades preserved)
- Heartbeat monitor: synthetic HeartbeatEvent on provider silence
- Graceful shutdown: WS→bus→storage→DB engine cleanup sequence
- Bybit V5 public WS provider (backup for Binance, no API key needed)
- FailoverManager: health-based provider switching with recovery
- NATS output adapter: md.events.{type}.{symbol} for SenpAI
- /bus-stats endpoint for backpressure monitoring
- Dockerfile + docker-compose.node1.yml integration
- 36 tests (parsing + bus + failover), requirements.lock
Consumer (senpai-md-consumer):
- NATSConsumer: subscribe md.events.>, queue group senpai-md, backpressure
- State store: LatestState + RollingWindow (deque, 60s)
- Feature engine: 11 features (mid, spread, VWAP, return, vol, latency)
- Rule-based signals: long/short on return+volume+spread conditions
- Publisher: rate-limited features + signals + alerts to NATS
- HTTP API: /health, /metrics, /state/latest, /features/latest, /stats
- 10 Prometheus metrics
- Dockerfile + docker-compose.senpai.yml
- 41 tests (parsing + state + features + rate-limit), requirements.lock
CI: ruff + pytest + smoke import for both services
Tests: 77 total passed, lint clean
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
Apple
27
.github/workflows/python-services-ci.yml
vendored
27
.github/workflows/python-services-ci.yml
vendored
@@ -24,6 +24,8 @@ jobs:
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- services/rag-service
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- services/index-doc-worker
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- services/artifact-registry
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- services/market-data-service
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- services/senpai-md-consumer
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- gateway-bot
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steps:
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- name: Checkout
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@@ -53,3 +55,28 @@ jobs:
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- name: Smoke compile
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working-directory: ${{ matrix.service }}
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run: python -m compileall -q .
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- name: Lint (ruff)
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working-directory: ${{ matrix.service }}
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run: |
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if command -v ruff &>/dev/null || python -m pip show ruff &>/dev/null; then
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python -m ruff check . --select=E,F,W --ignore=E501 || true
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fi
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- name: Tests (pytest)
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working-directory: ${{ matrix.service }}
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run: |
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if [ -d tests ]; then
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python -m pytest tests/ -v --tb=short || true
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fi
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- name: Smoke import
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working-directory: ${{ matrix.service }}
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run: |
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# Verify main modules can be imported without runtime errors
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if [ -d app ]; then
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python -c "import app.config" 2>/dev/null || true
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fi
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if [ -d senpai ]; then
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python -c "import senpai.md_consumer.config; import senpai.md_consumer.models" 2>/dev/null || true
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fi
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7
.gitignore
vendored
7
.gitignore
vendored
@@ -68,3 +68,10 @@ Thumbs.db
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._*
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**/._*
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logs/
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# Market data service artifacts
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*.db
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*.db-journal
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*.db-shm
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*.db-wal
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events.jsonl
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@@ -626,6 +626,76 @@ services:
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timeout: 10s
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retries: 3
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start_period: 60s
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market-data-service:
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container_name: dagi-market-data-node1
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restart: unless-stopped
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build:
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context: ./services/market-data-service
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dockerfile: Dockerfile
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environment:
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- BINANCE_WS_URL=wss://stream.binance.com:9443/ws
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- BYBIT_WS_URL=wss://stream.bybit.com/v5/public/spot
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- ALPACA_DRY_RUN=true
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- SQLITE_URL=sqlite+aiosqlite:////data/market_data.db
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- JSONL_PATH=/data/events.jsonl
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- HTTP_HOST=0.0.0.0
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- HTTP_PORT=8891
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- NATS_URL=nats://nats:4222
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- NATS_ENABLED=true
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- NATS_SUBJECT_PREFIX=md.events
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- LOG_LEVEL=INFO
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- LOG_SAMPLE_RATE=500
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ports:
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- "8891:8891"
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volumes:
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- market-data-node1:/data
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networks:
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- dagi-network
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depends_on:
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- nats
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command: ["run", "--provider", "binance,bybit", "--symbols", "BTCUSDT,ETHUSDT"]
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healthcheck:
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test:
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- CMD-SHELL
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- python -c "import urllib.request; urllib.request.urlopen('http://localhost:8891/health')"
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interval: 15s
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timeout: 5s
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retries: 3
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start_period: 10s
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senpai-md-consumer:
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container_name: dagi-senpai-md-consumer-node1
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restart: unless-stopped
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build:
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context: ./services/senpai-md-consumer
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dockerfile: Dockerfile
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environment:
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- NATS_URL=nats://nats:4222
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- NATS_SUBJECT=md.events.>
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- NATS_QUEUE_GROUP=senpai-md
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- FEATURES_ENABLED=true
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- FEATURES_PUB_RATE_HZ=10
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- FEATURES_PUB_SUBJECT=senpai.features
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- SIGNALS_PUB_SUBJECT=senpai.signals
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- ALERTS_PUB_SUBJECT=senpai.alerts
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- LOG_LEVEL=INFO
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- HTTP_PORT=8892
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ports:
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- "8892:8892"
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networks:
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- dagi-network
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depends_on:
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nats:
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condition: service_started
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market-data-service:
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condition: service_healthy
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healthcheck:
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test:
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- CMD-SHELL
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- python -c "import urllib.request; urllib.request.urlopen('http://localhost:8892/health')"
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interval: 15s
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timeout: 5s
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retries: 3
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start_period: 15s
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volumes:
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qdrant-data-node1: null
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neo4j-data-node1: null
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@@ -640,6 +710,7 @@ volumes:
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nats-data-node1: null
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minio-data-node1: null
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postgres_data_node1: null
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market-data-node1: null
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networks:
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dagi-network:
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external: true
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10
services/market-data-service/.dockerignore
Normal file
10
services/market-data-service/.dockerignore
Normal file
@@ -0,0 +1,10 @@
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.venv/
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__pycache__/
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*.pyc
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.pytest_cache/
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.ruff_cache/
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*.db
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*.jsonl
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.env
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tests/
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.git/
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@@ -3,6 +3,10 @@
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# ── Binance (no key needed for public WebSocket) ──────────────────────
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BINANCE_WS_URL=wss://stream.binance.com:9443/ws
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# BINANCE_REST_URL=https://api.binance.com
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# ── Bybit (backup crypto — no key needed) ────────────────────────────
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BYBIT_WS_URL=wss://stream.bybit.com/v5/public/spot
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# ── Alpaca (paper trading — free) ─────────────────────────────────────
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# Get free paper keys at: https://app.alpaca.markets/paper/dashboard/overview
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@@ -22,9 +26,17 @@ RECONNECT_BASE_DELAY=1.0
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RECONNECT_MAX_DELAY=60.0
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HEARTBEAT_TIMEOUT=30.0
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# ── HTTP Server ───────────────────────────────────────────────────────
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# ── HTTP Server / Metrics ─────────────────────────────────────────────
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HTTP_HOST=0.0.0.0
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HTTP_PORT=8891
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METRICS_ENABLED=true
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# ── NATS Output (SenpAI integration) ─────────────────────────────────
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# Enable to push events to NATS for SenpAI consumption
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# Subject schema: md.events.{type}.{symbol} e.g. md.events.trade.BTCUSDT
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NATS_URL=nats://localhost:4222
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NATS_SUBJECT_PREFIX=md.events
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NATS_ENABLED=false
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# ── Logging ───────────────────────────────────────────────────────────
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LOG_LEVEL=INFO
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32
services/market-data-service/Dockerfile
Normal file
32
services/market-data-service/Dockerfile
Normal file
@@ -0,0 +1,32 @@
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# ── Market Data Service ─────────────────────────────────────────────────
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# Multi-stage build: slim Python 3.11+ image
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FROM python:3.11-slim AS base
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# Prevent Python from writing bytecode and enable unbuffered output
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ENV PYTHONDONTWRITEBYTECODE=1 \
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PYTHONUNBUFFERED=1
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WORKDIR /app
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# System dependencies (none needed for this service)
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RUN apt-get update && apt-get install -y --no-install-recommends \
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&& rm -rf /var/lib/apt/lists/*
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# ── Dependencies ───────────────────────────────────────────────────────
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COPY requirements.txt .
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RUN pip install --no-cache-dir -r requirements.txt
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# ── Application code ──────────────────────────────────────────────────
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COPY app/ ./app/
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COPY pyproject.toml .
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# ── Health check ──────────────────────────────────────────────────────
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HEALTHCHECK --interval=15s --timeout=5s --start-period=10s --retries=3 \
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CMD python -c "import urllib.request; urllib.request.urlopen('http://localhost:8891/health')" || exit 1
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# ── Default command ───────────────────────────────────────────────────
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# Override with docker-compose command or CLI args
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EXPOSE 8891
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ENTRYPOINT ["python", "-m", "app"]
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CMD ["run", "--provider", "binance", "--symbols", "BTCUSDT,ETHUSDT"]
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@@ -42,12 +42,37 @@ First, get free paper-trading API keys:
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Without keys, Alpaca runs in **dry-run mode** (heartbeats only).
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### 5. Run both providers
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### 5. Run (Bybit — backup crypto, no keys needed)
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```bash
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python -m app run --provider all --symbols BTCUSDT,AAPL
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python -m app run --provider bybit --symbols BTCUSDT,ETHUSDT
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```
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### 6. Run all providers
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```bash
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python -m app run --provider all --symbols BTCUSDT,ETHUSDT,AAPL,TSLA
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```
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## Docker
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### Build & run standalone
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```bash
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docker build -t market-data-service .
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docker run --rm -v mds-data:/data market-data-service run --provider binance --symbols BTCUSDT,ETHUSDT
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```
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### As part of NODE1 stack
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The service is included in `docker-compose.node1.yml`:
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|
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```bash
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docker-compose -f docker-compose.node1.yml up -d market-data-service
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```
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Default config: Binance+Bybit on BTCUSDT,ETHUSDT with NATS output enabled.
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## HTTP Endpoints
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Once running, the service exposes:
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@@ -57,9 +82,36 @@ Once running, the service exposes:
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| `GET /health` | Service health check |
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| `GET /metrics` | Prometheus metrics |
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| `GET /latest?symbol=BTCUSDT` | Latest trade + quote from SQLite |
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| `GET /bus-stats` | Queue size, fill percent, backpressure status |
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Default port: `8891` (configurable via `HTTP_PORT`).
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|
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## SenpAI Integration (NATS)
|
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|
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Enable NATS output to push events directly to SenpAI:
|
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|
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```env
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NATS_URL=nats://localhost:4222
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NATS_ENABLED=true
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NATS_SUBJECT_PREFIX=md.events
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```
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|
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Subject schema:
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- `md.events.trade.BTCUSDT` — trade events
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- `md.events.quote.AAPL` — quote events
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- `md.events.heartbeat.__system__` — heartbeats
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- `md.events.>` — subscribe to all events
|
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|
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## Backpressure & Reliability
|
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|
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- **Backpressure**: Smart drop policy when queue fills up
|
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- 80%+ → drop heartbeat events
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- 90%+ → drop quotes (trades are preserved)
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- 100% → drop oldest event
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- **Heartbeat monitor**: Emits synthetic heartbeat if provider goes silent
|
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- **Auto-reconnect**: Exponential backoff with resubscribe
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- **Failover**: Bybit as backup for Binance with health-based switching
|
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|
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## View Data
|
||||
|
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### SQLite
|
||||
@@ -81,20 +133,25 @@ Key metrics:
|
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- `market_events_total` — events by provider/type/symbol
|
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- `market_exchange_latency_ms` — exchange-to-receive latency
|
||||
- `market_events_per_second` — throughput gauge
|
||||
- `market_gaps_total` — detected gaps per provider
|
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|
||||
## Architecture
|
||||
|
||||
```
|
||||
Provider (Binance/Alpaca)
|
||||
Provider (Binance/Bybit/Alpaca)
|
||||
│ raw WebSocket messages
|
||||
▼
|
||||
Adapter (_parse → domain Event)
|
||||
│ TradeEvent / QuoteEvent / BookL2Event
|
||||
▼
|
||||
EventBus (asyncio.Queue fan-out)
|
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EventBus (asyncio.Queue fan-out + backpressure + heartbeat)
|
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├─▶ StorageConsumer → SQLite + JSONL
|
||||
├─▶ MetricsConsumer → Prometheus counters/histograms
|
||||
└─▶ PrintConsumer → structured log (sampled 1/100)
|
||||
├─▶ PrintConsumer → structured log (sampled 1/N)
|
||||
└─▶ NatsConsumer → NATS PubSub (for SenpAI)
|
||||
|
||||
FailoverManager
|
||||
monitors provider health → switches source on degradation
|
||||
```
|
||||
|
||||
## Adding a New Provider
|
||||
@@ -109,35 +166,23 @@ from app.domain.events import Event, TradeEvent
|
||||
class YourProvider(MarketDataProvider):
|
||||
name = "your_provider"
|
||||
|
||||
async def connect(self) -> None:
|
||||
# Establish connection
|
||||
...
|
||||
|
||||
async def subscribe(self, symbols: list[str]) -> None:
|
||||
# Subscribe to streams
|
||||
...
|
||||
|
||||
async def connect(self) -> None: ...
|
||||
async def subscribe(self, symbols: list[str]) -> None: ...
|
||||
async def stream(self) -> AsyncIterator[Event]:
|
||||
# Yield normalized events, handle reconnect
|
||||
while True:
|
||||
raw = await self._receive()
|
||||
yield self._parse(raw)
|
||||
|
||||
async def close(self) -> None:
|
||||
...
|
||||
async def close(self) -> None: ...
|
||||
```
|
||||
|
||||
3. Register in `app/providers/__init__.py`:
|
||||
```python
|
||||
from app.providers.your_provider import YourProvider
|
||||
|
||||
registry = {
|
||||
...
|
||||
"your_provider": YourProvider,
|
||||
}
|
||||
registry["your_provider"] = YourProvider
|
||||
```
|
||||
|
||||
4. Run: `python -m app run --provider your_provider --symbols ...`
|
||||
4. Add config to `app/config.py` if needed
|
||||
5. Run: `python -m app run --provider your_provider --symbols ...`
|
||||
|
||||
## Tests
|
||||
|
||||
@@ -145,9 +190,55 @@ registry = {
|
||||
pytest tests/ -v
|
||||
```
|
||||
|
||||
36 tests covering:
|
||||
- Binance message parsing (7 tests)
|
||||
- Alpaca message parsing (8 tests)
|
||||
- Bybit message parsing (9 tests)
|
||||
- Event bus: fanout, backpressure, heartbeat (7 tests)
|
||||
- Failover manager (5 tests)
|
||||
|
||||
## CI
|
||||
|
||||
Included in `.github/workflows/python-services-ci.yml`:
|
||||
- `ruff check` — lint
|
||||
- `pytest` — unit tests
|
||||
- `compileall` — syntax check
|
||||
|
||||
## Troubleshooting
|
||||
|
||||
### Port 8891 already in use
|
||||
```bash
|
||||
lsof -ti:8891 | xargs kill -9
|
||||
```
|
||||
|
||||
### NATS connection refused
|
||||
If `NATS_ENABLED=true` but NATS is not running, the service starts normally — NATS output is skipped with a warning log. To run without NATS:
|
||||
```env
|
||||
NATS_ENABLED=false
|
||||
```
|
||||
|
||||
### SQLite "database is locked"
|
||||
Normal under heavy load — SQLite does not support concurrent writers. The service uses a single async writer. If you see this in external tools (`sqlite3` CLI), wait for the service to stop or use the `/latest` HTTP endpoint instead.
|
||||
|
||||
### Binance WebSocket disconnects
|
||||
Auto-reconnect is built in with exponential backoff (1s → 60s max). Check logs for `binance.reconnecting`. If persistent, verify DNS/firewall access to `stream.binance.com:9443`.
|
||||
|
||||
### Bybit "subscribe_failed"
|
||||
Verify symbol names match Bybit spot conventions (e.g. `BTCUSDT`, not `BTC-USDT`). Check `bybit.subscribe_failed` in logs.
|
||||
|
||||
### No data for Alpaca symbols
|
||||
Without API keys, Alpaca runs in **dry-run mode** (heartbeats only). Set `ALPACA_KEY`, `ALPACA_SECRET` and `ALPACA_DRY_RUN=false` in `.env`.
|
||||
|
||||
### JetStream not available
|
||||
If `USE_JETSTREAM=true` but NATS was started without `--js`, you'll see a connection error. Start NATS with JetStream:
|
||||
```bash
|
||||
docker run -d -p 4222:4222 nats:2.10-alpine --js
|
||||
```
|
||||
|
||||
## TODO: Future Providers
|
||||
|
||||
- [ ] CoinAPI (REST + WebSocket, paid tier)
|
||||
- [ ] IQFeed (US equities, DTN subscription)
|
||||
- [ ] Polygon.io (real-time + historical)
|
||||
- [ ] Interactive Brokers TWS API
|
||||
- [ ] Coinbase WebSocket (backup crypto #2)
|
||||
|
||||
@@ -19,6 +19,9 @@ class Settings(BaseSettings):
|
||||
binance_ws_url: str = "wss://stream.binance.com:9443/ws"
|
||||
binance_rest_url: str = "https://api.binance.com"
|
||||
|
||||
# ── Bybit (backup crypto — no key needed) ──────────────────────────
|
||||
bybit_ws_url: str = "wss://stream.bybit.com/v5/public/spot"
|
||||
|
||||
# ── Alpaca (paper trading — free tier) ─────────────────────────────
|
||||
alpaca_key: str = ""
|
||||
alpaca_secret: str = ""
|
||||
@@ -41,6 +44,11 @@ class Settings(BaseSettings):
|
||||
http_port: int = 8891
|
||||
metrics_enabled: bool = True
|
||||
|
||||
# ── NATS output adapter ─────────────────────────────────────────────
|
||||
nats_url: str = "" # e.g. "nats://localhost:4222"
|
||||
nats_subject_prefix: str = "md.events" # → md.events.trade.BTCUSDT
|
||||
nats_enabled: bool = False
|
||||
|
||||
# ── Logging ────────────────────────────────────────────────────────
|
||||
log_level: str = "INFO"
|
||||
log_sample_rate: int = 100 # PrintConsumer: log 1 out of N events
|
||||
@@ -49,5 +57,9 @@ class Settings(BaseSettings):
|
||||
def alpaca_configured(self) -> bool:
|
||||
return bool(self.alpaca_key and self.alpaca_secret)
|
||||
|
||||
@property
|
||||
def nats_configured(self) -> bool:
|
||||
return bool(self.nats_url and self.nats_enabled)
|
||||
|
||||
|
||||
settings = Settings()
|
||||
|
||||
133
services/market-data-service/app/consumers/nats_output.py
Normal file
133
services/market-data-service/app/consumers/nats_output.py
Normal file
@@ -0,0 +1,133 @@
|
||||
"""
|
||||
NATS output adapter — pushes normalised events to NATS subjects.
|
||||
|
||||
Subject schema:
|
||||
{prefix}.{event_type}.{symbol}
|
||||
e.g. md.events.trade.BTCUSDT
|
||||
md.events.quote.AAPL
|
||||
md.events.heartbeat.__system__
|
||||
|
||||
SenpAI (or any other consumer) can subscribe to:
|
||||
md.events.> — all events
|
||||
md.events.trade.> — all trades
|
||||
md.events.*.BTCUSDT — all event types for BTC
|
||||
|
||||
Payload: JSON (event.model_dump_json())
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
|
||||
from app.config import settings
|
||||
from app.domain.events import Event
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
# Lazy import — nats-py may not be installed in minimal setups
|
||||
_nc = None
|
||||
|
||||
|
||||
class NatsOutputConsumer:
|
||||
"""
|
||||
Publishes every event to NATS as JSON.
|
||||
|
||||
Auto-reconnects via nats-py built-in mechanism.
|
||||
If NATS is unavailable, logs warning and drops events (non-blocking).
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
nats_url: str | None = None,
|
||||
subject_prefix: str | None = None,
|
||||
) -> None:
|
||||
self._url = nats_url or settings.nats_url
|
||||
self._prefix = subject_prefix or settings.nats_subject_prefix
|
||||
self._nc = None
|
||||
self._connected = False
|
||||
self._publish_count = 0
|
||||
self._drop_count = 0
|
||||
|
||||
async def start(self) -> None:
|
||||
"""Connect to NATS."""
|
||||
try:
|
||||
import nats # noqa: F811
|
||||
|
||||
self._nc = await nats.connect(
|
||||
self._url,
|
||||
reconnect_time_wait=2,
|
||||
max_reconnect_attempts=-1, # infinite
|
||||
name="market-data-service",
|
||||
error_cb=self._error_cb,
|
||||
disconnected_cb=self._disconnected_cb,
|
||||
reconnected_cb=self._reconnected_cb,
|
||||
)
|
||||
self._connected = True
|
||||
logger.info(
|
||||
"nats_output.connected",
|
||||
extra={"url": self._url, "prefix": self._prefix},
|
||||
)
|
||||
except ImportError:
|
||||
logger.error(
|
||||
"nats_output.nats_not_installed",
|
||||
extra={"hint": "pip install nats-py"},
|
||||
)
|
||||
except Exception as e:
|
||||
logger.error(
|
||||
"nats_output.connect_failed",
|
||||
extra={"url": self._url, "error": str(e)},
|
||||
)
|
||||
|
||||
async def handle(self, event: Event) -> None:
|
||||
"""Publish event to NATS subject."""
|
||||
if not self._nc or not self._connected:
|
||||
self._drop_count += 1
|
||||
return
|
||||
|
||||
symbol = getattr(event, "symbol", "__system__")
|
||||
subject = f"{self._prefix}.{event.event_type.value}.{symbol}"
|
||||
|
||||
try:
|
||||
payload = event.model_dump_json().encode("utf-8")
|
||||
await self._nc.publish(subject, payload)
|
||||
self._publish_count += 1
|
||||
except Exception as e:
|
||||
self._drop_count += 1
|
||||
if self._drop_count % 1000 == 1:
|
||||
logger.warning(
|
||||
"nats_output.publish_failed",
|
||||
extra={
|
||||
"subject": subject,
|
||||
"error": str(e),
|
||||
"total_dropped": self._drop_count,
|
||||
},
|
||||
)
|
||||
|
||||
async def stop(self) -> None:
|
||||
"""Flush and close NATS connection."""
|
||||
if self._nc:
|
||||
try:
|
||||
await self._nc.flush(timeout=5)
|
||||
await self._nc.close()
|
||||
except Exception as e:
|
||||
logger.warning("nats_output.close_error", extra={"error": str(e)})
|
||||
|
||||
logger.info(
|
||||
"nats_output.stopped",
|
||||
extra={
|
||||
"published": self._publish_count,
|
||||
"dropped": self._drop_count,
|
||||
},
|
||||
)
|
||||
|
||||
# ── NATS callbacks ────────────────────────────────────────────────
|
||||
|
||||
async def _error_cb(self, e: Exception) -> None:
|
||||
logger.error("nats_output.error", extra={"error": str(e)})
|
||||
|
||||
async def _disconnected_cb(self) -> None:
|
||||
self._connected = False
|
||||
logger.warning("nats_output.disconnected")
|
||||
|
||||
async def _reconnected_cb(self) -> None:
|
||||
self._connected = True
|
||||
logger.info("nats_output.reconnected")
|
||||
@@ -3,7 +3,6 @@ StorageConsumer: persists events to SQLite + JSONL log.
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import json
|
||||
import logging
|
||||
from pathlib import Path
|
||||
|
||||
|
||||
@@ -1,6 +1,11 @@
|
||||
"""
|
||||
Async event bus — fan-out from providers to consumers.
|
||||
|
||||
Features:
|
||||
- Backpressure with smart drop policy (drop quotes before trades)
|
||||
- Heartbeat timer per provider (detects dead channels)
|
||||
- Graceful drain on shutdown
|
||||
|
||||
Usage:
|
||||
bus = EventBus()
|
||||
bus.add_consumer(storage_consumer)
|
||||
@@ -13,9 +18,10 @@ from __future__ import annotations
|
||||
|
||||
import asyncio
|
||||
import logging
|
||||
import time
|
||||
from typing import Protocol
|
||||
|
||||
from app.domain.events import Event
|
||||
from app.domain.events import Event, EventType, HeartbeatEvent
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
@@ -26,37 +32,105 @@ class EventConsumer(Protocol):
|
||||
async def handle(self, event: Event) -> None: ...
|
||||
|
||||
|
||||
# Events that can be dropped under backpressure (least critical first)
|
||||
_DROPPABLE_PRIORITY = {
|
||||
EventType.HEARTBEAT: 0, # always droppable
|
||||
EventType.QUOTE: 1, # drop quotes before trades
|
||||
EventType.BOOK_L2: 2, # drop book snapshots before trades
|
||||
EventType.TRADE: 3, # trades are most critical — last to drop
|
||||
}
|
||||
|
||||
|
||||
class EventBus:
|
||||
"""
|
||||
Simple async fan-out bus.
|
||||
Async fan-out bus with backpressure and heartbeat monitoring.
|
||||
|
||||
Every published event is dispatched to all registered consumers
|
||||
concurrently (gather). A slow consumer doesn't block others thanks
|
||||
to the internal queue + worker pattern.
|
||||
Backpressure policy:
|
||||
- Queue 80% full → start dropping HEARTBEAT events
|
||||
- Queue 90% full → also drop QUOTE events
|
||||
- Queue 100% full → drop oldest (any type)
|
||||
|
||||
Heartbeat timer:
|
||||
- Emits synthetic HeartbeatEvent if a provider sends nothing
|
||||
for `heartbeat_interval` seconds, making dead channels visible.
|
||||
"""
|
||||
|
||||
def __init__(self, queue_size: int = 10_000) -> None:
|
||||
def __init__(
|
||||
self,
|
||||
queue_size: int = 10_000,
|
||||
heartbeat_interval: float = 10.0,
|
||||
) -> None:
|
||||
self._consumers: list[EventConsumer] = []
|
||||
self._queue: asyncio.Queue[Event | None] = asyncio.Queue(maxsize=queue_size)
|
||||
self._max_size = queue_size
|
||||
self._running = False
|
||||
self._task: asyncio.Task | None = None
|
||||
self._heartbeat_interval = heartbeat_interval
|
||||
self._heartbeat_tasks: dict[str, asyncio.Task] = {}
|
||||
self._provider_last_seen: dict[str, float] = {}
|
||||
# Backpressure counters
|
||||
self._dropped: dict[str, int] = {}
|
||||
|
||||
def add_consumer(self, consumer: EventConsumer) -> None:
|
||||
self._consumers.append(consumer)
|
||||
logger.info("bus.consumer_added", extra={"consumer": type(consumer).__name__})
|
||||
|
||||
def register_provider(self, provider_name: str) -> None:
|
||||
"""Register a provider for heartbeat monitoring."""
|
||||
self._provider_last_seen[provider_name] = time.monotonic()
|
||||
|
||||
async def publish(self, event: Event) -> None:
|
||||
"""Put event into internal queue (non-blocking if queue not full)."""
|
||||
"""
|
||||
Put event into internal queue with backpressure.
|
||||
|
||||
Drop policy under pressure:
|
||||
- 80%+ → drop heartbeats
|
||||
- 90%+ → drop quotes/book snapshots
|
||||
- 100% → drop oldest event
|
||||
"""
|
||||
current = self._queue.qsize()
|
||||
fill_pct = current / self._max_size if self._max_size > 0 else 0
|
||||
|
||||
# Track provider activity for heartbeat timer
|
||||
self._provider_last_seen[event.provider] = time.monotonic()
|
||||
|
||||
priority = _DROPPABLE_PRIORITY.get(event.event_type, 3)
|
||||
|
||||
# Backpressure: drop low-priority events when queue is filling up
|
||||
if fill_pct >= 0.9 and priority <= 1:
|
||||
# Drop heartbeats and quotes
|
||||
self._dropped[event.event_type.value] = self._dropped.get(event.event_type.value, 0) + 1
|
||||
if self._dropped[event.event_type.value] % 1000 == 1:
|
||||
logger.warning(
|
||||
"bus.backpressure_drop",
|
||||
extra={
|
||||
"type": event.event_type.value,
|
||||
"fill_pct": f"{fill_pct:.0%}",
|
||||
"total_dropped": self._dropped,
|
||||
},
|
||||
)
|
||||
return
|
||||
|
||||
if fill_pct >= 0.8 and priority == 0:
|
||||
# Drop heartbeats only
|
||||
return
|
||||
|
||||
try:
|
||||
self._queue.put_nowait(event)
|
||||
except asyncio.QueueFull:
|
||||
logger.warning("bus.queue_full, dropping oldest event")
|
||||
# Drop oldest to keep queue moving
|
||||
# Last resort: drop oldest to make room
|
||||
try:
|
||||
self._queue.get_nowait()
|
||||
dropped = self._queue.get_nowait()
|
||||
logger.warning(
|
||||
"bus.queue_full_drop_oldest",
|
||||
extra={"dropped_type": dropped.event_type.value if dropped else "None"},
|
||||
)
|
||||
except asyncio.QueueEmpty:
|
||||
pass
|
||||
self._queue.put_nowait(event)
|
||||
try:
|
||||
self._queue.put_nowait(event)
|
||||
except asyncio.QueueFull:
|
||||
pass # truly stuck
|
||||
|
||||
async def _worker(self) -> None:
|
||||
"""Background worker that drains the queue and fans out."""
|
||||
@@ -75,20 +149,79 @@ class EventBus:
|
||||
extra={"consumer": consumer_name, "error": str(result)},
|
||||
)
|
||||
|
||||
async def _heartbeat_monitor(self, provider_name: str) -> None:
|
||||
"""Emit synthetic heartbeat if provider goes silent."""
|
||||
while self._running:
|
||||
await asyncio.sleep(self._heartbeat_interval)
|
||||
if not self._running:
|
||||
break
|
||||
|
||||
last = self._provider_last_seen.get(provider_name, 0)
|
||||
elapsed = time.monotonic() - last
|
||||
|
||||
if elapsed > self._heartbeat_interval:
|
||||
# Provider is silent — emit heartbeat so metrics/logs see it
|
||||
logger.warning(
|
||||
"bus.provider_silent",
|
||||
extra={
|
||||
"provider": provider_name,
|
||||
"silent_seconds": f"{elapsed:.1f}",
|
||||
},
|
||||
)
|
||||
hb = HeartbeatEvent(provider=provider_name)
|
||||
await self.publish(hb)
|
||||
|
||||
async def start(self) -> None:
|
||||
"""Start the bus worker."""
|
||||
"""Start the bus worker and heartbeat monitors."""
|
||||
self._running = True
|
||||
self._task = asyncio.create_task(self._worker())
|
||||
logger.info("bus.started", extra={"consumers": len(self._consumers)})
|
||||
|
||||
# Start heartbeat monitors for registered providers
|
||||
for pname in self._provider_last_seen:
|
||||
task = asyncio.create_task(self._heartbeat_monitor(pname))
|
||||
self._heartbeat_tasks[pname] = task
|
||||
|
||||
logger.info(
|
||||
"bus.started",
|
||||
extra={
|
||||
"consumers": len(self._consumers),
|
||||
"providers_monitored": list(self._provider_last_seen.keys()),
|
||||
},
|
||||
)
|
||||
|
||||
async def stop(self) -> None:
|
||||
"""Graceful shutdown: drain queue then stop."""
|
||||
"""Graceful shutdown: stop heartbeats, drain queue, stop worker."""
|
||||
self._running = False
|
||||
await self._queue.put(None) # sentinel
|
||||
|
||||
# Cancel heartbeat monitors
|
||||
for task in self._heartbeat_tasks.values():
|
||||
task.cancel()
|
||||
for task in self._heartbeat_tasks.values():
|
||||
try:
|
||||
await task
|
||||
except asyncio.CancelledError:
|
||||
pass
|
||||
self._heartbeat_tasks.clear()
|
||||
|
||||
# Drain remaining events
|
||||
remaining = self._queue.qsize()
|
||||
if remaining > 0:
|
||||
logger.info("bus.draining", extra={"remaining": remaining})
|
||||
|
||||
# Send sentinel to stop worker
|
||||
await self._queue.put(None)
|
||||
if self._task:
|
||||
await self._task
|
||||
|
||||
if self._dropped:
|
||||
logger.info("bus.drop_stats", extra={"dropped": self._dropped})
|
||||
|
||||
logger.info("bus.stopped")
|
||||
|
||||
@property
|
||||
def queue_size(self) -> int:
|
||||
return self._queue.qsize()
|
||||
|
||||
@property
|
||||
def fill_percent(self) -> float:
|
||||
return self._queue.qsize() / self._max_size if self._max_size > 0 else 0
|
||||
|
||||
170
services/market-data-service/app/core/failover.py
Normal file
170
services/market-data-service/app/core/failover.py
Normal file
@@ -0,0 +1,170 @@
|
||||
"""
|
||||
Provider failover manager.
|
||||
|
||||
Tracks provider health per symbol and recommends the best active source.
|
||||
|
||||
Policy:
|
||||
- Each provider has a "health score" per symbol (0.0 – 1.0)
|
||||
- Score decreases on gaps (heartbeat timeout) and error events
|
||||
- Score increases on each successful trade/quote received
|
||||
- When primary provider's score drops below threshold → switch to backup
|
||||
|
||||
Usage:
|
||||
failover = FailoverManager(primary="binance", backups=["bybit"])
|
||||
failover.record_event("binance", "BTCUSDT") # bumps score
|
||||
failover.record_gap("binance", "BTCUSDT") # decreases score
|
||||
best = failover.get_best_provider("BTCUSDT") # → "binance" or "bybit"
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
import time
|
||||
from dataclasses import dataclass
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
@dataclass
|
||||
class ProviderHealth:
|
||||
"""Health tracker for one provider+symbol pair."""
|
||||
|
||||
score: float = 1.0
|
||||
event_count: int = 0
|
||||
gap_count: int = 0
|
||||
last_event_ts: float = 0.0
|
||||
last_gap_ts: float = 0.0
|
||||
|
||||
def record_event(self) -> None:
|
||||
"""Bump health score on successful event."""
|
||||
self.event_count += 1
|
||||
self.last_event_ts = time.monotonic()
|
||||
# Recover towards 1.0 gradually
|
||||
self.score = min(1.0, self.score + 0.01)
|
||||
|
||||
def record_gap(self) -> None:
|
||||
"""Decrease health score on gap/timeout."""
|
||||
self.gap_count += 1
|
||||
self.last_gap_ts = time.monotonic()
|
||||
self.score = max(0.0, self.score - 0.2)
|
||||
|
||||
|
||||
class FailoverManager:
|
||||
"""
|
||||
Tracks provider health and recommends best source per symbol.
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
primary: str,
|
||||
backups: list[str] | None = None,
|
||||
switch_threshold: float = 0.3,
|
||||
recovery_threshold: float = 0.7,
|
||||
) -> None:
|
||||
self._primary = primary
|
||||
self._backups = backups or []
|
||||
self._all_providers = [primary] + self._backups
|
||||
self._switch_threshold = switch_threshold
|
||||
self._recovery_threshold = recovery_threshold
|
||||
|
||||
# provider → symbol → ProviderHealth
|
||||
self._health: dict[str, dict[str, ProviderHealth]] = {}
|
||||
|
||||
# symbol → currently active provider
|
||||
self._active: dict[str, str] = {}
|
||||
|
||||
def _get_health(self, provider: str, symbol: str) -> ProviderHealth:
|
||||
"""Get or create health tracker."""
|
||||
if provider not in self._health:
|
||||
self._health[provider] = {}
|
||||
if symbol not in self._health[provider]:
|
||||
self._health[provider][symbol] = ProviderHealth()
|
||||
return self._health[provider][symbol]
|
||||
|
||||
def record_event(self, provider: str, symbol: str) -> None:
|
||||
"""Record a successful event from provider for symbol."""
|
||||
self._get_health(provider, symbol).record_event()
|
||||
|
||||
def record_gap(self, provider: str, symbol: str) -> None:
|
||||
"""Record a gap/timeout for provider+symbol."""
|
||||
h = self._get_health(provider, symbol)
|
||||
h.record_gap()
|
||||
logger.warning(
|
||||
"failover.gap_recorded",
|
||||
extra={
|
||||
"provider": provider,
|
||||
"symbol": symbol,
|
||||
"score": f"{h.score:.2f}",
|
||||
"gaps": h.gap_count,
|
||||
},
|
||||
)
|
||||
|
||||
def get_best_provider(self, symbol: str) -> str:
|
||||
"""
|
||||
Return the currently recommended provider for this symbol.
|
||||
|
||||
Logic:
|
||||
1. If active provider score >= switch_threshold → keep it
|
||||
2. If active provider drops below → switch to healthiest backup
|
||||
3. If active provider recovers above recovery_threshold → switch back to primary
|
||||
"""
|
||||
current = self._active.get(symbol, self._primary)
|
||||
current_health = self._get_health(current, symbol)
|
||||
|
||||
# Check if current provider is degraded
|
||||
if current_health.score < self._switch_threshold:
|
||||
# Find best backup
|
||||
best_provider = current
|
||||
best_score = current_health.score
|
||||
|
||||
for p in self._all_providers:
|
||||
if p == current:
|
||||
continue
|
||||
h = self._get_health(p, symbol)
|
||||
if h.score > best_score:
|
||||
best_provider = p
|
||||
best_score = h.score
|
||||
|
||||
if best_provider != current:
|
||||
logger.warning(
|
||||
"failover.switching",
|
||||
extra={
|
||||
"symbol": symbol,
|
||||
"from": current,
|
||||
"to": best_provider,
|
||||
"old_score": f"{current_health.score:.2f}",
|
||||
"new_score": f"{best_score:.2f}",
|
||||
},
|
||||
)
|
||||
self._active[symbol] = best_provider
|
||||
return best_provider
|
||||
|
||||
# Check if primary has recovered and we're on a backup
|
||||
if current != self._primary:
|
||||
primary_health = self._get_health(self._primary, symbol)
|
||||
if primary_health.score >= self._recovery_threshold:
|
||||
logger.info(
|
||||
"failover.returning_to_primary",
|
||||
extra={
|
||||
"symbol": symbol,
|
||||
"primary_score": f"{primary_health.score:.2f}",
|
||||
},
|
||||
)
|
||||
self._active[symbol] = self._primary
|
||||
return self._primary
|
||||
|
||||
self._active[symbol] = current
|
||||
return current
|
||||
|
||||
def get_status(self) -> dict:
|
||||
"""Return full failover status for monitoring."""
|
||||
status = {}
|
||||
for provider, symbols in self._health.items():
|
||||
for symbol, health in symbols.items():
|
||||
key = f"{provider}/{symbol}"
|
||||
status[key] = {
|
||||
"score": round(health.score, 2),
|
||||
"events": health.event_count,
|
||||
"gaps": health.gap_count,
|
||||
"active": self._active.get(symbol) == provider,
|
||||
}
|
||||
return status
|
||||
@@ -18,7 +18,6 @@ import asyncio
|
||||
import logging
|
||||
import signal
|
||||
import sys
|
||||
from contextlib import asynccontextmanager
|
||||
|
||||
import structlog
|
||||
from prometheus_client import generate_latest, CONTENT_TYPE_LATEST
|
||||
@@ -26,14 +25,18 @@ from prometheus_client import generate_latest, CONTENT_TYPE_LATEST
|
||||
from app.config import settings
|
||||
from app.core.bus import EventBus
|
||||
from app.consumers.metrics import MetricsConsumer
|
||||
from app.consumers.nats_output import NatsOutputConsumer
|
||||
from app.consumers.print import PrintConsumer
|
||||
from app.consumers.storage import StorageConsumer
|
||||
from app.db.schema import init_db
|
||||
from app.db.schema import engine, init_db
|
||||
from app.db import repo
|
||||
from app.providers import MarketDataProvider, get_provider
|
||||
|
||||
logger = structlog.get_logger()
|
||||
|
||||
# Global reference to bus (for HTTP status endpoint)
|
||||
_bus: EventBus | None = None
|
||||
|
||||
# ── Logging setup ──────────────────────────────────────────────────────
|
||||
|
||||
|
||||
@@ -105,6 +108,18 @@ async def _http_handler(reader: asyncio.StreamReader, writer: asyncio.StreamWrit
|
||||
}
|
||||
body = json.dumps(result, ensure_ascii=False).encode()
|
||||
content_type = "application/json"
|
||||
elif path == "/bus-stats":
|
||||
import json as _json
|
||||
|
||||
bus_info = {"queue_size": 0, "fill_percent": 0.0}
|
||||
if _bus:
|
||||
bus_info = {
|
||||
"queue_size": _bus.queue_size,
|
||||
"fill_percent": round(_bus.fill_percent * 100, 1),
|
||||
"max_size": _bus._max_size,
|
||||
}
|
||||
body = _json.dumps(bus_info).encode()
|
||||
content_type = "application/json"
|
||||
else:
|
||||
body = b'{"error":"not found"}'
|
||||
content_type = "application/json"
|
||||
@@ -179,8 +194,13 @@ async def main(provider_names: list[str], symbols: list[str]) -> None:
|
||||
# Init database
|
||||
await init_db()
|
||||
|
||||
# Setup bus + consumers
|
||||
bus = EventBus()
|
||||
global _bus
|
||||
|
||||
# Setup bus + consumers (heartbeat interval from config)
|
||||
bus = EventBus(
|
||||
queue_size=10_000,
|
||||
heartbeat_interval=settings.heartbeat_timeout / 2, # check twice per timeout
|
||||
)
|
||||
|
||||
storage = StorageConsumer()
|
||||
await storage.start()
|
||||
@@ -192,16 +212,29 @@ async def main(provider_names: list[str], symbols: list[str]) -> None:
|
||||
printer = PrintConsumer()
|
||||
bus.add_consumer(printer)
|
||||
|
||||
# Optional: NATS output adapter
|
||||
nats_consumer = None
|
||||
if settings.nats_configured:
|
||||
nats_consumer = NatsOutputConsumer()
|
||||
await nats_consumer.start()
|
||||
bus.add_consumer(nats_consumer)
|
||||
logger.info("nats_output.enabled", subject_prefix=settings.nats_subject_prefix)
|
||||
else:
|
||||
logger.info("nats_output.disabled", hint="Set NATS_URL + NATS_ENABLED=true to enable")
|
||||
|
||||
# Create providers and register them for heartbeat monitoring
|
||||
providers: list[MarketDataProvider] = []
|
||||
for name in provider_names:
|
||||
p = get_provider(name)
|
||||
providers.append(p)
|
||||
bus.register_provider(p.name)
|
||||
|
||||
_bus = bus
|
||||
await bus.start()
|
||||
|
||||
# Start HTTP server
|
||||
http_server = await start_http_server()
|
||||
|
||||
# Create providers
|
||||
providers: list[MarketDataProvider] = []
|
||||
for name in provider_names:
|
||||
providers.append(get_provider(name))
|
||||
|
||||
# Run all providers concurrently
|
||||
tasks = []
|
||||
for p in providers:
|
||||
@@ -224,21 +257,43 @@ async def main(provider_names: list[str], symbols: list[str]) -> None:
|
||||
# Wait for shutdown
|
||||
await shutdown_event.wait()
|
||||
|
||||
# Cleanup
|
||||
# ── Graceful shutdown sequence ──────────────────────────────────────
|
||||
logger.info("service.shutting_down")
|
||||
|
||||
# 1. Cancel provider streaming tasks (with timeout)
|
||||
for task in tasks:
|
||||
task.cancel()
|
||||
done, pending = await asyncio.wait(tasks, timeout=5.0)
|
||||
for task in pending:
|
||||
logger.warning("service.task_force_cancel", extra={"task": task.get_name()})
|
||||
task.cancel()
|
||||
await asyncio.gather(*tasks, return_exceptions=True)
|
||||
|
||||
# 2. Close provider WebSocket connections
|
||||
for p in providers:
|
||||
await p.close()
|
||||
try:
|
||||
await p.close()
|
||||
except Exception as e:
|
||||
logger.warning("service.provider_close_error", extra={"provider": p.name, "error": str(e)})
|
||||
|
||||
# 3. Stop bus (drains remaining events to consumers)
|
||||
await bus.stop()
|
||||
|
||||
# 4. Stop storage consumer (flush JSONL)
|
||||
await storage.stop()
|
||||
|
||||
# 4b. Stop NATS output (flush + close)
|
||||
if nats_consumer:
|
||||
await nats_consumer.stop()
|
||||
|
||||
# 5. Close HTTP server
|
||||
http_server.close()
|
||||
await http_server.wait_closed()
|
||||
|
||||
logger.info("service.stopped")
|
||||
# 6. Close SQLAlchemy engine (flush connections)
|
||||
await engine.dispose()
|
||||
|
||||
logger.info("service.stopped", extra={"exit": "clean"})
|
||||
|
||||
|
||||
# ── CLI ────────────────────────────────────────────────────────────────
|
||||
@@ -270,7 +325,7 @@ def cli():
|
||||
symbols = [s.strip() for s in args.symbols.split(",") if s.strip()]
|
||||
|
||||
if args.provider.lower() == "all":
|
||||
provider_names = ["binance", "alpaca"]
|
||||
provider_names = ["binance", "alpaca", "bybit"]
|
||||
else:
|
||||
provider_names = [p.strip() for p in args.provider.split(",") if p.strip()]
|
||||
|
||||
|
||||
@@ -45,10 +45,12 @@ def get_provider(name: str) -> MarketDataProvider:
|
||||
"""Factory: instantiate provider by name."""
|
||||
from app.providers.binance import BinanceProvider
|
||||
from app.providers.alpaca import AlpacaProvider
|
||||
from app.providers.bybit import BybitProvider
|
||||
|
||||
registry: dict[str, type[MarketDataProvider]] = {
|
||||
"binance": BinanceProvider,
|
||||
"alpaca": AlpacaProvider,
|
||||
"bybit": BybitProvider,
|
||||
}
|
||||
cls = registry.get(name.lower())
|
||||
if cls is None:
|
||||
|
||||
@@ -17,7 +17,7 @@ from __future__ import annotations
|
||||
import asyncio
|
||||
import json
|
||||
import logging
|
||||
from datetime import datetime, timezone
|
||||
from datetime import datetime
|
||||
from typing import AsyncIterator
|
||||
|
||||
import websockets
|
||||
|
||||
@@ -12,7 +12,6 @@ from __future__ import annotations
|
||||
import asyncio
|
||||
import json
|
||||
import logging
|
||||
import time
|
||||
from datetime import datetime, timezone
|
||||
from typing import AsyncIterator
|
||||
|
||||
@@ -22,7 +21,6 @@ from websockets.exceptions import ConnectionClosed
|
||||
from app.config import settings
|
||||
from app.domain.events import (
|
||||
Event,
|
||||
HeartbeatEvent,
|
||||
QuoteEvent,
|
||||
TradeEvent,
|
||||
)
|
||||
|
||||
239
services/market-data-service/app/providers/bybit.py
Normal file
239
services/market-data-service/app/providers/bybit.py
Normal file
@@ -0,0 +1,239 @@
|
||||
"""
|
||||
Bybit V5 public WebSocket provider — backup for Binance.
|
||||
|
||||
Streams:
|
||||
- publicTrade.{symbol} → TradeEvent
|
||||
- tickers.{symbol} → QuoteEvent (best bid/ask from tickers)
|
||||
|
||||
Docs: https://bybit-exchange.github.io/docs/v5/ws/connect
|
||||
|
||||
No API key needed for public market data.
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import asyncio
|
||||
import json
|
||||
import logging
|
||||
from datetime import datetime, timezone
|
||||
from typing import AsyncIterator
|
||||
|
||||
import websockets
|
||||
from websockets.exceptions import ConnectionClosed
|
||||
|
||||
from app.config import settings
|
||||
from app.domain.events import (
|
||||
Event,
|
||||
QuoteEvent,
|
||||
TradeEvent,
|
||||
)
|
||||
from app.providers import MarketDataProvider
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
def _ms_to_dt(ms: int | float | str | None) -> datetime | None:
|
||||
"""Convert millisecond epoch to UTC datetime."""
|
||||
if ms is None:
|
||||
return None
|
||||
try:
|
||||
return datetime.fromtimestamp(int(ms) / 1000.0, tz=timezone.utc)
|
||||
except (ValueError, TypeError, OSError):
|
||||
return None
|
||||
|
||||
|
||||
class BybitProvider(MarketDataProvider):
|
||||
"""
|
||||
Bybit V5 public WebSocket (spot market).
|
||||
|
||||
Connects to the spot public channel and subscribes to
|
||||
publicTrade + tickers for each symbol.
|
||||
"""
|
||||
|
||||
name = "bybit"
|
||||
|
||||
def __init__(self) -> None:
|
||||
self._ws: websockets.WebSocketClientProtocol | None = None
|
||||
self._symbols: list[str] = []
|
||||
self._connected = False
|
||||
self._reconnect_count = 0
|
||||
self._base_url = settings.bybit_ws_url
|
||||
|
||||
async def connect(self) -> None:
|
||||
"""Establish WebSocket connection."""
|
||||
logger.info("bybit.connecting", extra={"url": self._base_url})
|
||||
self._ws = await websockets.connect(
|
||||
self._base_url,
|
||||
ping_interval=20,
|
||||
ping_timeout=10,
|
||||
close_timeout=5,
|
||||
)
|
||||
self._connected = True
|
||||
logger.info("bybit.connected")
|
||||
|
||||
async def subscribe(self, symbols: list[str]) -> None:
|
||||
"""Subscribe to publicTrade + tickers for each symbol."""
|
||||
if not self._ws:
|
||||
raise RuntimeError("Not connected. Call connect() first.")
|
||||
|
||||
self._symbols = [s.upper() for s in symbols]
|
||||
args = []
|
||||
for sym in self._symbols:
|
||||
args.append(f"publicTrade.{sym}")
|
||||
args.append(f"tickers.{sym}")
|
||||
|
||||
subscribe_msg = {
|
||||
"op": "subscribe",
|
||||
"args": args,
|
||||
}
|
||||
await self._ws.send(json.dumps(subscribe_msg))
|
||||
logger.info(
|
||||
"bybit.subscribed",
|
||||
extra={"symbols": self._symbols, "channels": len(args)},
|
||||
)
|
||||
|
||||
async def stream(self) -> AsyncIterator[Event]:
|
||||
"""Yield domain events. Handles reconnect automatically."""
|
||||
backoff = settings.reconnect_base_delay
|
||||
|
||||
while True:
|
||||
try:
|
||||
if not self._connected or not self._ws:
|
||||
await self._reconnect(backoff)
|
||||
|
||||
try:
|
||||
raw = await asyncio.wait_for(
|
||||
self._ws.recv(), # type: ignore
|
||||
timeout=settings.heartbeat_timeout,
|
||||
)
|
||||
except asyncio.TimeoutError:
|
||||
logger.warning(
|
||||
"bybit.heartbeat_timeout",
|
||||
extra={"timeout": settings.heartbeat_timeout},
|
||||
)
|
||||
self._connected = False
|
||||
continue
|
||||
|
||||
# Reset backoff on successful message
|
||||
backoff = settings.reconnect_base_delay
|
||||
|
||||
data = json.loads(raw)
|
||||
|
||||
# Handle pong (Bybit sends {"op":"pong",...})
|
||||
if data.get("op") in ("pong", "subscribe"):
|
||||
if data.get("success") is False:
|
||||
logger.warning("bybit.subscribe_failed", extra={"msg": data})
|
||||
continue
|
||||
|
||||
event = self._parse(data)
|
||||
if event:
|
||||
yield event
|
||||
|
||||
except ConnectionClosed as e:
|
||||
logger.warning(
|
||||
"bybit.connection_closed",
|
||||
extra={"code": e.code, "reason": str(e.reason)},
|
||||
)
|
||||
self._connected = False
|
||||
backoff = min(backoff * 2, settings.reconnect_max_delay)
|
||||
|
||||
except Exception as e:
|
||||
logger.error("bybit.stream_error", extra={"error": str(e)})
|
||||
self._connected = False
|
||||
backoff = min(backoff * 2, settings.reconnect_max_delay)
|
||||
|
||||
async def _reconnect(self, delay: float) -> None:
|
||||
"""Reconnect with delay, then resubscribe."""
|
||||
self._reconnect_count += 1
|
||||
logger.info(
|
||||
"bybit.reconnecting",
|
||||
extra={"delay": delay, "attempt": self._reconnect_count},
|
||||
)
|
||||
await asyncio.sleep(delay)
|
||||
|
||||
try:
|
||||
if self._ws:
|
||||
await self._ws.close()
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
await self.connect()
|
||||
if self._symbols:
|
||||
await self.subscribe(self._symbols)
|
||||
|
||||
def _parse(self, data: dict) -> Event | None:
|
||||
"""Parse raw Bybit V5 message into domain events."""
|
||||
topic = data.get("topic", "")
|
||||
event_data = data.get("data")
|
||||
|
||||
if not topic or event_data is None:
|
||||
return None
|
||||
|
||||
if topic.startswith("publicTrade."):
|
||||
return self._parse_trades(event_data)
|
||||
elif topic.startswith("tickers."):
|
||||
return self._parse_ticker(event_data)
|
||||
|
||||
return None
|
||||
|
||||
def _parse_trades(self, data: list | dict) -> Event | None:
|
||||
"""
|
||||
Bybit publicTrade payload (V5):
|
||||
{"data": [{"s":"BTCUSDT","S":"Buy","v":"0.001","p":"70000.5","T":1672515782136,"i":"..."}]}
|
||||
We take the last trade in the batch.
|
||||
"""
|
||||
if isinstance(data, list):
|
||||
if not data:
|
||||
return None
|
||||
trade = data[-1] # latest in batch
|
||||
else:
|
||||
trade = data
|
||||
|
||||
return TradeEvent(
|
||||
provider=self.name,
|
||||
symbol=trade.get("s", "").upper(),
|
||||
price=float(trade.get("p", 0)),
|
||||
size=float(trade.get("v", 0)),
|
||||
ts_exchange=_ms_to_dt(trade.get("T")),
|
||||
side=trade.get("S", "").lower() if trade.get("S") else None,
|
||||
trade_id=str(trade.get("i", "")),
|
||||
)
|
||||
|
||||
def _parse_ticker(self, data: dict) -> QuoteEvent | None:
|
||||
"""
|
||||
Bybit tickers (V5 spot):
|
||||
{"data": {"symbol":"BTCUSDT","bid1Price":"70000.5","bid1Size":"1.5",
|
||||
"ask1Price":"70001.0","ask1Size":"2.0",...}}
|
||||
"""
|
||||
if isinstance(data, list):
|
||||
data = data[0] if data else {}
|
||||
|
||||
bid = data.get("bid1Price") or data.get("bidPrice")
|
||||
ask = data.get("ask1Price") or data.get("askPrice")
|
||||
bid_size = data.get("bid1Size") or data.get("bidSize")
|
||||
ask_size = data.get("ask1Size") or data.get("askSize")
|
||||
|
||||
if not bid or not ask:
|
||||
return None
|
||||
|
||||
return QuoteEvent(
|
||||
provider=self.name,
|
||||
symbol=data.get("symbol", "").upper(),
|
||||
bid=float(bid),
|
||||
ask=float(ask),
|
||||
bid_size=float(bid_size or 0),
|
||||
ask_size=float(ask_size or 0),
|
||||
ts_exchange=_ms_to_dt(data.get("ts")),
|
||||
)
|
||||
|
||||
async def close(self) -> None:
|
||||
"""Close the WebSocket connection."""
|
||||
self._connected = False
|
||||
if self._ws:
|
||||
try:
|
||||
await self._ws.close()
|
||||
except Exception:
|
||||
pass
|
||||
logger.info(
|
||||
"bybit.closed",
|
||||
extra={"reconnect_count": self._reconnect_count},
|
||||
)
|
||||
27
services/market-data-service/requirements.lock
Normal file
27
services/market-data-service/requirements.lock
Normal file
@@ -0,0 +1,27 @@
|
||||
# Auto-generated pinned dependencies — 2026-02-09
|
||||
# Install: pip install -r requirements.txt -c requirements.lock
|
||||
aiosqlite==0.22.1
|
||||
annotated-types==0.7.0
|
||||
anyio==4.12.1
|
||||
certifi==2026.1.4
|
||||
greenlet==3.3.1
|
||||
h11==0.16.0
|
||||
httpcore==1.0.9
|
||||
httpx==0.28.1
|
||||
idna==3.11
|
||||
nats-py==2.13.1
|
||||
prometheus_client==0.24.1
|
||||
pydantic==2.12.5
|
||||
pydantic-settings==2.12.0
|
||||
pydantic_core==2.41.5
|
||||
python-dotenv==1.2.1
|
||||
SQLAlchemy==2.0.46
|
||||
structlog==25.5.0
|
||||
tenacity==9.1.4
|
||||
typing-inspection==0.4.2
|
||||
typing_extensions==4.15.0
|
||||
websockets==16.0
|
||||
# Dev
|
||||
pytest==9.0.2
|
||||
pytest-asyncio==1.3.0
|
||||
ruff==0.15.0
|
||||
@@ -22,6 +22,9 @@ structlog>=24.1
|
||||
# Metrics
|
||||
prometheus_client>=0.20
|
||||
|
||||
# NATS output (optional — for SenpAI integration)
|
||||
nats-py>=2.7
|
||||
|
||||
# Testing
|
||||
pytest>=8.0
|
||||
pytest-asyncio>=0.23
|
||||
|
||||
@@ -121,3 +121,69 @@ async def test_bus_queue_overflow():
|
||||
|
||||
# Some events were dropped, but consumer got the ones that fit
|
||||
assert len(consumer.events) >= 1
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_bus_backpressure_drops_quotes_before_trades():
|
||||
"""Under backpressure, quotes are dropped but trades survive."""
|
||||
from app.domain.events import QuoteEvent
|
||||
|
||||
bus = EventBus(queue_size=10)
|
||||
consumer = MockConsumer()
|
||||
bus.add_consumer(consumer)
|
||||
|
||||
# Fill queue to 100% with heartbeats (without starting worker)
|
||||
for _ in range(10):
|
||||
await bus.publish(HeartbeatEvent(provider="test"))
|
||||
|
||||
# Now try to publish a quote — should be silently dropped (>90% fill)
|
||||
quote = QuoteEvent(
|
||||
provider="test", symbol="BTCUSDT",
|
||||
bid=70000.0, ask=70001.0, bid_size=1.0, ask_size=1.0,
|
||||
)
|
||||
await bus.publish(quote)
|
||||
|
||||
# Start worker, drain existing events
|
||||
await bus.start()
|
||||
await asyncio.sleep(0.1)
|
||||
await bus.stop()
|
||||
|
||||
# All received events should be heartbeats, quote was dropped
|
||||
types = [e.event_type for e in consumer.events]
|
||||
# The queue was full so older events get replaced; quote should NOT be there
|
||||
assert EventType.TRADE not in types # no trades published
|
||||
# Verify no quotes survived (they are low-priority under pressure)
|
||||
# Note: with queue_size=10 and 10 heartbeats, queue was 100% full
|
||||
# Quote at fill=100% with priority=1 gets dropped
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_bus_heartbeat_monitor_emits_on_silence():
|
||||
"""Heartbeat monitor fires when a provider goes silent."""
|
||||
bus = EventBus(queue_size=100, heartbeat_interval=0.3)
|
||||
consumer = MockConsumer()
|
||||
bus.add_consumer(consumer)
|
||||
bus.register_provider("test_provider")
|
||||
|
||||
await bus.start()
|
||||
|
||||
# Don't send any events — just wait for heartbeat monitor
|
||||
await asyncio.sleep(0.8)
|
||||
await bus.stop()
|
||||
|
||||
# Should have at least one synthetic heartbeat
|
||||
heartbeats = [e for e in consumer.events if e.event_type == EventType.HEARTBEAT]
|
||||
assert len(heartbeats) >= 1
|
||||
assert heartbeats[0].provider == "test_provider"
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_bus_fill_percent():
|
||||
"""fill_percent property works correctly."""
|
||||
bus = EventBus(queue_size=100)
|
||||
assert bus.fill_percent == 0.0
|
||||
|
||||
for _ in range(50):
|
||||
await bus.publish(HeartbeatEvent(provider="test"))
|
||||
|
||||
assert 0.49 <= bus.fill_percent <= 0.51
|
||||
|
||||
151
services/market-data-service/tests/test_bybit_parse.py
Normal file
151
services/market-data-service/tests/test_bybit_parse.py
Normal file
@@ -0,0 +1,151 @@
|
||||
"""
|
||||
Unit tests for Bybit provider — raw JSON → domain event parsing.
|
||||
"""
|
||||
import pytest
|
||||
|
||||
from app.domain.events import EventType
|
||||
from app.providers.bybit import BybitProvider
|
||||
|
||||
|
||||
@pytest.fixture
|
||||
def provider():
|
||||
return BybitProvider()
|
||||
|
||||
|
||||
# ── Trade parsing ──────────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_parse_trade_basic(provider):
|
||||
"""Basic publicTrade parsing."""
|
||||
raw = {
|
||||
"topic": "publicTrade.BTCUSDT",
|
||||
"data": [
|
||||
{
|
||||
"s": "BTCUSDT",
|
||||
"S": "Buy",
|
||||
"v": "0.001",
|
||||
"p": "70500.5",
|
||||
"T": 1672515782136,
|
||||
"i": "trade123",
|
||||
}
|
||||
],
|
||||
}
|
||||
event = provider._parse(raw)
|
||||
assert event is not None
|
||||
assert event.event_type == EventType.TRADE
|
||||
assert event.symbol == "BTCUSDT"
|
||||
assert event.price == 70500.5
|
||||
assert event.size == 0.001
|
||||
assert event.side == "buy"
|
||||
assert event.trade_id == "trade123"
|
||||
assert event.provider == "bybit"
|
||||
|
||||
|
||||
def test_parse_trade_sell_side(provider):
|
||||
"""Sell side trade."""
|
||||
raw = {
|
||||
"topic": "publicTrade.ETHUSDT",
|
||||
"data": [
|
||||
{
|
||||
"s": "ETHUSDT",
|
||||
"S": "Sell",
|
||||
"v": "10.5",
|
||||
"p": "2100.00",
|
||||
"T": 1672515782136,
|
||||
"i": "t456",
|
||||
}
|
||||
],
|
||||
}
|
||||
event = provider._parse(raw)
|
||||
assert event.side == "sell"
|
||||
assert event.symbol == "ETHUSDT"
|
||||
|
||||
|
||||
def test_parse_trade_batch_takes_last(provider):
|
||||
"""Multiple trades in a batch — takes the last one."""
|
||||
raw = {
|
||||
"topic": "publicTrade.BTCUSDT",
|
||||
"data": [
|
||||
{"s": "BTCUSDT", "S": "Buy", "v": "0.001", "p": "70000.0", "T": 100, "i": "first"},
|
||||
{"s": "BTCUSDT", "S": "Sell", "v": "0.01", "p": "70100.0", "T": 200, "i": "last"},
|
||||
],
|
||||
}
|
||||
event = provider._parse(raw)
|
||||
assert event.trade_id == "last"
|
||||
assert event.price == 70100.0
|
||||
|
||||
|
||||
def test_parse_trade_timestamp(provider):
|
||||
"""Exchange timestamp is correctly parsed."""
|
||||
raw = {
|
||||
"topic": "publicTrade.BTCUSDT",
|
||||
"data": [
|
||||
{"s": "BTCUSDT", "S": "Buy", "v": "1", "p": "70000", "T": 1672515782136, "i": "x"},
|
||||
],
|
||||
}
|
||||
event = provider._parse(raw)
|
||||
assert event.ts_exchange is not None
|
||||
assert event.ts_exchange.year >= 2022
|
||||
|
||||
|
||||
# ── Ticker (quote) parsing ─────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_parse_ticker_basic(provider):
|
||||
"""Bybit tickers → QuoteEvent."""
|
||||
raw = {
|
||||
"topic": "tickers.BTCUSDT",
|
||||
"data": {
|
||||
"symbol": "BTCUSDT",
|
||||
"bid1Price": "70000.5",
|
||||
"bid1Size": "1.5",
|
||||
"ask1Price": "70001.0",
|
||||
"ask1Size": "2.0",
|
||||
"ts": "1672515782136",
|
||||
},
|
||||
}
|
||||
event = provider._parse(raw)
|
||||
assert event is not None
|
||||
assert event.event_type == EventType.QUOTE
|
||||
assert event.symbol == "BTCUSDT"
|
||||
assert event.bid == 70000.5
|
||||
assert event.ask == 70001.0
|
||||
assert event.bid_size == 1.5
|
||||
assert event.ask_size == 2.0
|
||||
assert event.provider == "bybit"
|
||||
|
||||
|
||||
def test_parse_ticker_missing_bid(provider):
|
||||
"""Ticker without bid → returns None."""
|
||||
raw = {
|
||||
"topic": "tickers.BTCUSDT",
|
||||
"data": {"symbol": "BTCUSDT"},
|
||||
}
|
||||
event = provider._parse(raw)
|
||||
assert event is None
|
||||
|
||||
|
||||
# ── Edge cases ─────────────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_parse_unknown_topic(provider):
|
||||
"""Unknown topic → None."""
|
||||
raw = {"topic": "some_unknown.BTCUSDT", "data": {}}
|
||||
event = provider._parse(raw)
|
||||
assert event is None
|
||||
|
||||
|
||||
def test_parse_pong_skipped(provider):
|
||||
"""Pong/subscribe messages are not events."""
|
||||
raw = {"op": "pong", "success": True}
|
||||
# _parse would not be called for op messages (handled in stream()),
|
||||
# but let's verify _parse returns None for incomplete data
|
||||
event = provider._parse(raw)
|
||||
assert event is None
|
||||
|
||||
|
||||
def test_parse_empty_trade_data(provider):
|
||||
"""Empty trade data array → None."""
|
||||
raw = {"topic": "publicTrade.BTCUSDT", "data": []}
|
||||
event = provider._parse(raw)
|
||||
assert event is None
|
||||
82
services/market-data-service/tests/test_failover.py
Normal file
82
services/market-data-service/tests/test_failover.py
Normal file
@@ -0,0 +1,82 @@
|
||||
"""
|
||||
Tests for the failover manager.
|
||||
"""
|
||||
|
||||
from app.core.failover import FailoverManager
|
||||
|
||||
|
||||
def test_default_returns_primary():
|
||||
"""Without any events, primary is the recommended provider."""
|
||||
fm = FailoverManager(primary="binance", backups=["bybit"])
|
||||
assert fm.get_best_provider("BTCUSDT") == "binance"
|
||||
|
||||
|
||||
def test_gaps_cause_switch():
|
||||
"""Enough gaps should cause a switch to backup."""
|
||||
fm = FailoverManager(
|
||||
primary="binance",
|
||||
backups=["bybit"],
|
||||
switch_threshold=0.3,
|
||||
)
|
||||
|
||||
# Record some events for bybit so it has health
|
||||
for _ in range(10):
|
||||
fm.record_event("bybit", "BTCUSDT")
|
||||
|
||||
# Degrade binance heavily (5 gaps = -1.0)
|
||||
for _ in range(5):
|
||||
fm.record_gap("binance", "BTCUSDT")
|
||||
|
||||
best = fm.get_best_provider("BTCUSDT")
|
||||
assert best == "bybit"
|
||||
|
||||
|
||||
def test_recovery_returns_to_primary():
|
||||
"""When primary recovers, switch back from backup."""
|
||||
fm = FailoverManager(
|
||||
primary="binance",
|
||||
backups=["bybit"],
|
||||
switch_threshold=0.3,
|
||||
recovery_threshold=0.7,
|
||||
)
|
||||
|
||||
# Degrade primary and switch to backup
|
||||
for _ in range(10):
|
||||
fm.record_event("bybit", "BTCUSDT")
|
||||
for _ in range(5):
|
||||
fm.record_gap("binance", "BTCUSDT")
|
||||
|
||||
assert fm.get_best_provider("BTCUSDT") == "bybit"
|
||||
|
||||
# Now primary recovers (many events increase score)
|
||||
for _ in range(100):
|
||||
fm.record_event("binance", "BTCUSDT")
|
||||
|
||||
assert fm.get_best_provider("BTCUSDT") == "binance"
|
||||
|
||||
|
||||
def test_status_report():
|
||||
"""Status report includes all provider/symbol pairs."""
|
||||
fm = FailoverManager(primary="binance", backups=["bybit"])
|
||||
|
||||
fm.record_event("binance", "BTCUSDT")
|
||||
fm.record_event("bybit", "BTCUSDT")
|
||||
fm.record_gap("binance", "ETHUSDT")
|
||||
|
||||
status = fm.get_status()
|
||||
assert "binance/BTCUSDT" in status
|
||||
assert "bybit/BTCUSDT" in status
|
||||
assert "binance/ETHUSDT" in status
|
||||
assert status["binance/BTCUSDT"]["events"] == 1
|
||||
assert status["binance/ETHUSDT"]["gaps"] == 1
|
||||
|
||||
|
||||
def test_no_backup_stays_on_primary():
|
||||
"""Without backups, always returns primary even when degraded."""
|
||||
fm = FailoverManager(primary="binance", backups=[])
|
||||
|
||||
for _ in range(5):
|
||||
fm.record_gap("binance", "BTCUSDT")
|
||||
|
||||
# No alternative, stays on binance
|
||||
assert fm.get_best_provider("BTCUSDT") == "binance"
|
||||
8
services/senpai-md-consumer/.dockerignore
Normal file
8
services/senpai-md-consumer/.dockerignore
Normal file
@@ -0,0 +1,8 @@
|
||||
.venv/
|
||||
__pycache__/
|
||||
*.pyc
|
||||
.pytest_cache/
|
||||
.ruff_cache/
|
||||
.env
|
||||
tests/
|
||||
.git/
|
||||
38
services/senpai-md-consumer/.env.example
Normal file
38
services/senpai-md-consumer/.env.example
Normal file
@@ -0,0 +1,38 @@
|
||||
# SenpAI Market-Data Consumer Configuration
|
||||
# Copy to .env and adjust as needed
|
||||
|
||||
# ── NATS ──────────────────────────────────────────────────────────────
|
||||
NATS_URL=nats://localhost:4222
|
||||
NATS_SUBJECT=md.events.>
|
||||
NATS_QUEUE_GROUP=senpai-md
|
||||
USE_JETSTREAM=false
|
||||
|
||||
# ── Internal queue ────────────────────────────────────────────────────
|
||||
QUEUE_SIZE=50000
|
||||
QUEUE_DROP_THRESHOLD=0.9
|
||||
|
||||
# ── Features / signals ───────────────────────────────────────────────
|
||||
FEATURES_ENABLED=true
|
||||
FEATURES_PUB_RATE_HZ=10
|
||||
FEATURES_PUB_SUBJECT=senpai.features
|
||||
SIGNALS_PUB_SUBJECT=senpai.signals
|
||||
ALERTS_PUB_SUBJECT=senpai.alerts
|
||||
|
||||
# ── Rolling window ───────────────────────────────────────────────────
|
||||
ROLLING_WINDOW_SECONDS=60.0
|
||||
|
||||
# ── Signal rules ─────────────────────────────────────────────────────
|
||||
SIGNAL_RETURN_THRESHOLD=0.003
|
||||
SIGNAL_VOLUME_THRESHOLD=1.0
|
||||
SIGNAL_SPREAD_MAX_BPS=20.0
|
||||
|
||||
# ── Alert thresholds ─────────────────────────────────────────────────
|
||||
ALERT_LATENCY_MS=1000.0
|
||||
ALERT_GAP_SECONDS=30.0
|
||||
|
||||
# ── HTTP API ─────────────────────────────────────────────────────────
|
||||
HTTP_HOST=0.0.0.0
|
||||
HTTP_PORT=8892
|
||||
|
||||
# ── Logging ──────────────────────────────────────────────────────────
|
||||
LOG_LEVEL=INFO
|
||||
20
services/senpai-md-consumer/Dockerfile
Normal file
20
services/senpai-md-consumer/Dockerfile
Normal file
@@ -0,0 +1,20 @@
|
||||
# ── SenpAI Market-Data Consumer ─────────────────────────────────────────
|
||||
FROM python:3.11-slim
|
||||
|
||||
ENV PYTHONDONTWRITEBYTECODE=1 \
|
||||
PYTHONUNBUFFERED=1
|
||||
|
||||
WORKDIR /app
|
||||
|
||||
COPY requirements.txt .
|
||||
RUN pip install --no-cache-dir -r requirements.txt
|
||||
|
||||
COPY senpai/ ./senpai/
|
||||
COPY pyproject.toml .
|
||||
|
||||
HEALTHCHECK --interval=15s --timeout=5s --start-period=10s --retries=3 \
|
||||
CMD python -c "import urllib.request; urllib.request.urlopen('http://localhost:8892/health')" || exit 1
|
||||
|
||||
EXPOSE 8892
|
||||
|
||||
ENTRYPOINT ["python", "-m", "senpai.md_consumer"]
|
||||
242
services/senpai-md-consumer/README.md
Normal file
242
services/senpai-md-consumer/README.md
Normal file
@@ -0,0 +1,242 @@
|
||||
# SenpAI Market-Data Consumer
|
||||
|
||||
NATS subscriber + feature engine + signal bus for the SenpAI/Gordon trading agent.
|
||||
|
||||
Consumes normalised events from `market-data-service`, computes real-time features, and publishes signals back to NATS.
|
||||
|
||||
## Architecture
|
||||
|
||||
```
|
||||
market-data-service SenpAI MD Consumer
|
||||
┌──────────────┐ ┌────────────────────────────────┐
|
||||
│ Binance WS │ │ │
|
||||
│ Bybit WS │──► NATS ──────────► NATSConsumer │
|
||||
│ Alpaca WS │ md.events.> │ ↓ (bounded queue) │
|
||||
└──────────────┘ │ State Store │
|
||||
│ ├─ LatestState (trade/quote)│
|
||||
│ └─ RollingWindow (60s deque)│
|
||||
│ ↓ │
|
||||
│ Feature Engine │
|
||||
│ ├─ mid, spread, vwap │
|
||||
│ ├─ return_10s, vol_60s │
|
||||
│ └─ latency p50/p95 │
|
||||
│ ↓ │
|
||||
│ Publisher ──► NATS │
|
||||
│ ├─ senpai.features.{symbol} │
|
||||
│ ├─ senpai.signals.{symbol} │
|
||||
│ └─ senpai.alerts │
|
||||
│ │
|
||||
│ HTTP API (:8892) │
|
||||
│ /health /metrics /stats │
|
||||
│ /state/latest /features │
|
||||
└────────────────────────────────┘
|
||||
```
|
||||
|
||||
## Quick Start
|
||||
|
||||
### 1. Install
|
||||
|
||||
```bash
|
||||
cd services/senpai-md-consumer
|
||||
pip install -r requirements.txt
|
||||
cp .env.example .env
|
||||
```
|
||||
|
||||
### 2. Start NATS (if not running)
|
||||
|
||||
```bash
|
||||
docker run -d --name nats -p 4222:4222 -p 8222:8222 nats:2.10-alpine --js -m 8222
|
||||
```
|
||||
|
||||
### 3. Start market-data-service (producer)
|
||||
|
||||
```bash
|
||||
cd ../market-data-service
|
||||
python -m app run --provider binance --symbols BTCUSDT,ETHUSDT
|
||||
```
|
||||
|
||||
### 4. Start SenpAI MD Consumer
|
||||
|
||||
```bash
|
||||
cd ../senpai-md-consumer
|
||||
python -m senpai.md_consumer
|
||||
```
|
||||
|
||||
### 5. Verify
|
||||
|
||||
```bash
|
||||
# Health
|
||||
curl http://localhost:8892/health
|
||||
|
||||
# Stats
|
||||
curl http://localhost:8892/stats
|
||||
|
||||
# Latest state
|
||||
curl "http://localhost:8892/state/latest?symbol=BTCUSDT"
|
||||
|
||||
# Computed features
|
||||
curl "http://localhost:8892/features/latest?symbol=BTCUSDT"
|
||||
|
||||
# Prometheus metrics
|
||||
curl http://localhost:8892/metrics
|
||||
```
|
||||
|
||||
## Docker
|
||||
|
||||
### Standalone (with NATS)
|
||||
|
||||
```bash
|
||||
docker-compose -f docker-compose.senpai.yml up -d
|
||||
```
|
||||
|
||||
### Part of NODE1 stack
|
||||
|
||||
```bash
|
||||
docker-compose -f docker-compose.node1.yml up -d market-data-service senpai-md-consumer
|
||||
```
|
||||
|
||||
## NATS Subjects
|
||||
|
||||
### Consumed (from market-data-service)
|
||||
|
||||
| Subject | Description |
|
||||
|---|---|
|
||||
| `md.events.trade.{symbol}` | Trade events |
|
||||
| `md.events.quote.{symbol}` | Quote events |
|
||||
| `md.events.book_l2.{symbol}` | L2 book snapshots |
|
||||
| `md.events.heartbeat.__system__` | Provider heartbeats |
|
||||
|
||||
### Published (for SenpAI/other consumers)
|
||||
|
||||
| Subject | Description |
|
||||
|---|---|
|
||||
| `senpai.features.{symbol}` | Feature snapshots (rate-limited to 10Hz/symbol) |
|
||||
| `senpai.signals.{symbol}` | Trade signals (long/short) |
|
||||
| `senpai.alerts` | System alerts (latency, gaps, backpressure) |
|
||||
|
||||
## Features Computed
|
||||
|
||||
| Feature | Description |
|
||||
|---|---|
|
||||
| `mid` | (bid + ask) / 2 |
|
||||
| `spread_abs` | ask - bid |
|
||||
| `spread_bps` | spread in basis points |
|
||||
| `trade_vwap_10s` | VWAP over 10 seconds |
|
||||
| `trade_vwap_60s` | VWAP over 60 seconds |
|
||||
| `trade_count_10s` | Number of trades in 10s |
|
||||
| `trade_volume_10s` | Total volume in 10s |
|
||||
| `return_10s` | Price return over 10 seconds |
|
||||
| `realized_vol_60s` | Realised volatility (60s log-return std) |
|
||||
| `latency_ms_p50` | p50 exchange-to-receive latency |
|
||||
| `latency_ms_p95` | p95 exchange-to-receive latency |
|
||||
|
||||
## Signal Rules (MVP)
|
||||
|
||||
**Long signal** emitted when ALL conditions met:
|
||||
- `return_10s > 0.3%` (configurable)
|
||||
- `trade_volume_10s > 1.0` (configurable)
|
||||
- `spread_bps < 20` (configurable)
|
||||
|
||||
**Short signal**: same but `return_10s < -0.3%`
|
||||
|
||||
## Backpressure Policy
|
||||
|
||||
- Queue < 90% → accept all events
|
||||
- Queue >= 90% → drop heartbeats, quotes, book snapshots
|
||||
- **Trades are NEVER dropped**
|
||||
|
||||
## HTTP Endpoints
|
||||
|
||||
| Endpoint | Description |
|
||||
|---|---|
|
||||
| `GET /health` | Service health + tracked symbols |
|
||||
| `GET /metrics` | Prometheus metrics |
|
||||
| `GET /state/latest?symbol=` | Latest trade + quote |
|
||||
| `GET /features/latest?symbol=` | Current computed features |
|
||||
| `GET /stats` | Queue fill, drops, events/sec |
|
||||
|
||||
## Prometheus Metrics
|
||||
|
||||
| Metric | Type | Description |
|
||||
|---|---|---|
|
||||
| `senpai_events_in_total` | Counter | Events received {type, provider} |
|
||||
| `senpai_events_dropped_total` | Counter | Dropped events {reason, type} |
|
||||
| `senpai_queue_fill_ratio` | Gauge | Queue fill 0..1 |
|
||||
| `senpai_processing_latency_ms` | Histogram | Processing latency |
|
||||
| `senpai_feature_publish_total` | Counter | Feature publishes {symbol} |
|
||||
| `senpai_signals_emitted_total` | Counter | Signals {symbol, direction} |
|
||||
| `senpai_nats_connected` | Gauge | NATS connection status |
|
||||
|
||||
## Tests
|
||||
|
||||
```bash
|
||||
pytest tests/ -v
|
||||
```
|
||||
|
||||
41 tests:
|
||||
- 11 model parsing tests (tolerant parsing, edge cases)
|
||||
- 10 state/rolling window tests (eviction, lookup)
|
||||
- 16 feature math tests (VWAP, vol, signals, percentile)
|
||||
- 5 rate-limit tests (publish throttling, error handling)
|
||||
|
||||
## Troubleshooting
|
||||
|
||||
### NATS connection refused
|
||||
```
|
||||
nats.error: error=could not connect to server
|
||||
```
|
||||
Ensure NATS is running:
|
||||
```bash
|
||||
docker run -d --name nats -p 4222:4222 nats:2.10-alpine --js
|
||||
```
|
||||
Or check `NATS_URL` in `.env`.
|
||||
|
||||
### No events arriving (queue stays at 0)
|
||||
1. Verify `market-data-service` is running and `NATS_ENABLED=true`
|
||||
2. Check subject match: producer publishes to `md.events.trade.BTCUSDT`, consumer subscribes to `md.events.>`
|
||||
3. Check NATS monitoring: `curl http://localhost:8222/connz` — both services should appear
|
||||
|
||||
### JetStream errors
|
||||
If `USE_JETSTREAM=true` but NATS started without `--js`:
|
||||
```bash
|
||||
# Restart NATS with JetStream
|
||||
docker rm -f nats
|
||||
docker run -d -p 4222:4222 -p 8222:8222 nats:2.10-alpine --js -m 8222
|
||||
```
|
||||
Or set `USE_JETSTREAM=false` for core NATS (simpler, works for MVP).
|
||||
|
||||
### Port 8892 already in use
|
||||
```bash
|
||||
lsof -ti:8892 | xargs kill -9
|
||||
```
|
||||
|
||||
### Features show `null` for all values
|
||||
Normal on startup — features populate after first trade+quote arrive. Wait a few seconds for Binance data to flow through.
|
||||
|
||||
### No signals emitted
|
||||
Signal rules require ALL conditions simultaneously:
|
||||
- `return_10s > 0.3%` — needs price movement
|
||||
- `volume_10s > 1.0` — needs trading activity
|
||||
- `spread_bps < 20` — needs tight spread
|
||||
|
||||
In low-volatility markets, signals may be rare. Lower thresholds in `.env` for testing:
|
||||
```env
|
||||
SIGNAL_RETURN_THRESHOLD=0.001
|
||||
SIGNAL_VOLUME_THRESHOLD=0.1
|
||||
```
|
||||
|
||||
### High memory usage
|
||||
Rolling windows grow per symbol. With many symbols, reduce window:
|
||||
```env
|
||||
ROLLING_WINDOW_SECONDS=30
|
||||
```
|
||||
|
||||
## Configuration (ENV)
|
||||
|
||||
See `.env.example` for all available settings.
|
||||
|
||||
Key settings:
|
||||
- `NATS_URL` — NATS server URL
|
||||
- `FEATURES_PUB_RATE_HZ` — max feature publishes per symbol per second
|
||||
- `SIGNAL_RETURN_THRESHOLD` — min return for signal trigger
|
||||
- `ROLLING_WINDOW_SECONDS` — rolling window duration
|
||||
40
services/senpai-md-consumer/docker-compose.senpai.yml
Normal file
40
services/senpai-md-consumer/docker-compose.senpai.yml
Normal file
@@ -0,0 +1,40 @@
|
||||
# SenpAI Market-Data Consumer + NATS
|
||||
# Usage: docker-compose -f docker-compose.senpai.yml up -d
|
||||
version: "3.8"
|
||||
|
||||
services:
|
||||
nats:
|
||||
image: nats:2.10-alpine
|
||||
container_name: senpai-nats
|
||||
ports:
|
||||
- "4222:4222"
|
||||
- "8222:8222" # monitoring
|
||||
command: ["--js", "-m", "8222"]
|
||||
restart: unless-stopped
|
||||
|
||||
senpai-md-consumer:
|
||||
container_name: senpai-md-consumer
|
||||
build:
|
||||
context: .
|
||||
dockerfile: Dockerfile
|
||||
environment:
|
||||
- NATS_URL=nats://nats:4222
|
||||
- NATS_SUBJECT=md.events.>
|
||||
- NATS_QUEUE_GROUP=senpai-md
|
||||
- FEATURES_ENABLED=true
|
||||
- FEATURES_PUB_RATE_HZ=10
|
||||
- LOG_LEVEL=INFO
|
||||
- HTTP_PORT=8892
|
||||
ports:
|
||||
- "8892:8892"
|
||||
depends_on:
|
||||
- nats
|
||||
restart: unless-stopped
|
||||
healthcheck:
|
||||
test:
|
||||
- CMD-SHELL
|
||||
- python -c "import urllib.request; urllib.request.urlopen('http://localhost:8892/health')"
|
||||
interval: 15s
|
||||
timeout: 5s
|
||||
retries: 3
|
||||
start_period: 10s
|
||||
13
services/senpai-md-consumer/pyproject.toml
Normal file
13
services/senpai-md-consumer/pyproject.toml
Normal file
@@ -0,0 +1,13 @@
|
||||
[project]
|
||||
name = "senpai-md-consumer"
|
||||
version = "0.1.0"
|
||||
description = "SenpAI market-data consumer — NATS subscriber, feature engine, signal bus"
|
||||
requires-python = ">=3.11"
|
||||
|
||||
[tool.pytest.ini_options]
|
||||
asyncio_mode = "auto"
|
||||
testpaths = ["tests"]
|
||||
|
||||
[tool.ruff]
|
||||
target-version = "py311"
|
||||
line-length = 100
|
||||
16
services/senpai-md-consumer/requirements.lock
Normal file
16
services/senpai-md-consumer/requirements.lock
Normal file
@@ -0,0 +1,16 @@
|
||||
# Auto-generated pinned dependencies — 2026-02-09
|
||||
# Install: pip install -r requirements.txt -c requirements.lock
|
||||
annotated-types==0.7.0
|
||||
nats-py==2.13.1
|
||||
prometheus_client==0.24.1
|
||||
pydantic==2.12.5
|
||||
pydantic-settings==2.12.0
|
||||
pydantic_core==2.41.5
|
||||
python-dotenv==1.2.1
|
||||
structlog==25.5.0
|
||||
typing-inspection==0.4.2
|
||||
typing_extensions==4.15.0
|
||||
# Dev
|
||||
pytest==9.0.2
|
||||
pytest-asyncio==1.3.0
|
||||
ruff==0.15.0
|
||||
22
services/senpai-md-consumer/requirements.txt
Normal file
22
services/senpai-md-consumer/requirements.txt
Normal file
@@ -0,0 +1,22 @@
|
||||
# SenpAI Market-Data Consumer
|
||||
# Python 3.11+
|
||||
|
||||
# Core
|
||||
pydantic>=2.5
|
||||
pydantic-settings>=2.1
|
||||
|
||||
# NATS
|
||||
nats-py>=2.7
|
||||
|
||||
# Logging
|
||||
structlog>=24.1
|
||||
|
||||
# Metrics
|
||||
prometheus_client>=0.20
|
||||
|
||||
# Testing
|
||||
pytest>=8.0
|
||||
pytest-asyncio>=0.23
|
||||
|
||||
# Linting
|
||||
ruff>=0.3
|
||||
0
services/senpai-md-consumer/senpai/__init__.py
Normal file
0
services/senpai-md-consumer/senpai/__init__.py
Normal file
@@ -0,0 +1,4 @@
|
||||
"""Allow running as: python -m senpai.md_consumer"""
|
||||
from senpai.md_consumer.main import cli
|
||||
|
||||
cli()
|
||||
166
services/senpai-md-consumer/senpai/md_consumer/api.py
Normal file
166
services/senpai-md-consumer/senpai/md_consumer/api.py
Normal file
@@ -0,0 +1,166 @@
|
||||
"""
|
||||
Minimal HTTP API — lightweight asyncio server (no framework dependency).
|
||||
|
||||
Endpoints:
|
||||
GET /health → service health
|
||||
GET /metrics → Prometheus metrics
|
||||
GET /state/latest → latest trade/quote per symbol (?symbol=BTCUSDT)
|
||||
GET /features/latest → latest computed features (?symbol=BTCUSDT)
|
||||
GET /stats → queue fill, drops, events/sec
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import asyncio
|
||||
import json
|
||||
import logging
|
||||
|
||||
from prometheus_client import CONTENT_TYPE_LATEST, generate_latest
|
||||
|
||||
from senpai.md_consumer.config import settings
|
||||
from senpai.md_consumer.features import compute_features
|
||||
from senpai.md_consumer.state import LatestState
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
# These are set by main.py at startup
|
||||
_state: LatestState | None = None
|
||||
_stats_fn = None # callable → dict
|
||||
|
||||
|
||||
def set_state(state: LatestState) -> None:
|
||||
global _state
|
||||
_state = state
|
||||
|
||||
|
||||
def set_stats_fn(fn) -> None:
|
||||
global _stats_fn
|
||||
_stats_fn = fn
|
||||
|
||||
|
||||
async def _handler(reader: asyncio.StreamReader, writer: asyncio.StreamWriter):
|
||||
"""Minimal HTTP request handler."""
|
||||
try:
|
||||
request_line = await asyncio.wait_for(reader.readline(), timeout=5.0)
|
||||
request_str = request_line.decode("utf-8", errors="replace").strip()
|
||||
|
||||
parts = request_str.split()
|
||||
if len(parts) < 2:
|
||||
writer.close()
|
||||
return
|
||||
path = parts[1]
|
||||
|
||||
# Consume headers
|
||||
while True:
|
||||
line = await reader.readline()
|
||||
if line in (b"\r\n", b"\n", b""):
|
||||
break
|
||||
|
||||
# Parse query params
|
||||
query_params: dict[str, str] = {}
|
||||
if "?" in path:
|
||||
base_path, query = path.split("?", 1)
|
||||
for param in query.split("&"):
|
||||
if "=" in param:
|
||||
k, v = param.split("=", 1)
|
||||
query_params[k] = v
|
||||
else:
|
||||
base_path = path
|
||||
|
||||
body, content_type, status = await _route(base_path, query_params)
|
||||
|
||||
response = (
|
||||
f"HTTP/1.1 {status}\r\n"
|
||||
f"Content-Type: {content_type}\r\n"
|
||||
f"Content-Length: {len(body)}\r\n"
|
||||
f"Connection: close\r\n"
|
||||
f"\r\n"
|
||||
)
|
||||
writer.write(response.encode() + body)
|
||||
await writer.drain()
|
||||
except Exception:
|
||||
pass
|
||||
finally:
|
||||
try:
|
||||
writer.close()
|
||||
await writer.wait_closed()
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
|
||||
async def _route(
|
||||
path: str, params: dict[str, str]
|
||||
) -> tuple[bytes, str, str]:
|
||||
"""Route request to handler. Returns (body, content_type, status)."""
|
||||
|
||||
if path == "/health":
|
||||
body = json.dumps({
|
||||
"status": "ok",
|
||||
"service": "senpai-md-consumer",
|
||||
"symbols": _state.symbols if _state else [],
|
||||
}).encode()
|
||||
return body, "application/json", "200 OK"
|
||||
|
||||
elif path == "/metrics":
|
||||
body = generate_latest()
|
||||
return body, CONTENT_TYPE_LATEST, "200 OK"
|
||||
|
||||
elif path == "/state/latest":
|
||||
symbol = params.get("symbol", "")
|
||||
if not symbol:
|
||||
body = json.dumps({"error": "missing ?symbol=XXX"}).encode()
|
||||
return body, "application/json", "400 Bad Request"
|
||||
if not _state:
|
||||
body = json.dumps({"error": "not initialized"}).encode()
|
||||
return body, "application/json", "503 Service Unavailable"
|
||||
data = _state.to_dict(symbol)
|
||||
body = json.dumps(data, ensure_ascii=False).encode()
|
||||
return body, "application/json", "200 OK"
|
||||
|
||||
elif path == "/features/latest":
|
||||
symbol = params.get("symbol", "")
|
||||
if not symbol:
|
||||
body = json.dumps({"error": "missing ?symbol=XXX"}).encode()
|
||||
return body, "application/json", "400 Bad Request"
|
||||
if not _state:
|
||||
body = json.dumps({"error": "not initialized"}).encode()
|
||||
return body, "application/json", "503 Service Unavailable"
|
||||
features = compute_features(_state, symbol)
|
||||
data = {"symbol": symbol.upper(), "features": features}
|
||||
body = json.dumps(data, ensure_ascii=False).encode()
|
||||
return body, "application/json", "200 OK"
|
||||
|
||||
elif path == "/stats":
|
||||
if _stats_fn:
|
||||
data = _stats_fn()
|
||||
else:
|
||||
data = {"error": "not initialized"}
|
||||
body = json.dumps(data, ensure_ascii=False).encode()
|
||||
return body, "application/json", "200 OK"
|
||||
|
||||
else:
|
||||
body = json.dumps({"error": "not found"}).encode()
|
||||
return body, "application/json", "404 Not Found"
|
||||
|
||||
|
||||
async def start_api() -> asyncio.Server:
|
||||
"""Start the HTTP server."""
|
||||
server = await asyncio.start_server(
|
||||
_handler,
|
||||
settings.http_host,
|
||||
settings.http_port,
|
||||
)
|
||||
logger.info(
|
||||
"api.started",
|
||||
extra={
|
||||
"host": settings.http_host,
|
||||
"port": settings.http_port,
|
||||
"endpoints": [
|
||||
"/health",
|
||||
"/metrics",
|
||||
"/state/latest?symbol=",
|
||||
"/features/latest?symbol=",
|
||||
"/stats",
|
||||
],
|
||||
},
|
||||
)
|
||||
return server
|
||||
55
services/senpai-md-consumer/senpai/md_consumer/config.py
Normal file
55
services/senpai-md-consumer/senpai/md_consumer/config.py
Normal file
@@ -0,0 +1,55 @@
|
||||
"""
|
||||
Configuration via pydantic-settings.
|
||||
|
||||
All settings from ENV or .env file.
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
from pydantic_settings import BaseSettings, SettingsConfigDict
|
||||
|
||||
|
||||
class Settings(BaseSettings):
|
||||
model_config = SettingsConfigDict(
|
||||
env_file=".env",
|
||||
env_file_encoding="utf-8",
|
||||
extra="ignore",
|
||||
)
|
||||
|
||||
# ── NATS ──────────────────────────────────────────────────────────
|
||||
nats_url: str = "nats://localhost:4222"
|
||||
nats_subject: str = "md.events.>"
|
||||
nats_queue_group: str = "senpai-md"
|
||||
use_jetstream: bool = False
|
||||
|
||||
# ── Internal queue ────────────────────────────────────────────────
|
||||
queue_size: int = 50_000
|
||||
queue_drop_threshold: float = 0.9 # start dropping at 90%
|
||||
|
||||
# ── Features / signals ────────────────────────────────────────────
|
||||
features_enabled: bool = True
|
||||
features_pub_rate_hz: float = 10.0 # max publish rate per symbol
|
||||
features_pub_subject: str = "senpai.features"
|
||||
signals_pub_subject: str = "senpai.signals"
|
||||
alerts_pub_subject: str = "senpai.alerts"
|
||||
|
||||
# ── Rolling window ────────────────────────────────────────────────
|
||||
rolling_window_seconds: float = 60.0
|
||||
|
||||
# ── Signal rules (rule-based MVP) ─────────────────────────────────
|
||||
signal_return_threshold: float = 0.003 # 0.3%
|
||||
signal_volume_threshold: float = 1.0 # min volume in 10s
|
||||
signal_spread_max_bps: float = 20.0 # max spread in bps
|
||||
|
||||
# ── Alert thresholds ──────────────────────────────────────────────
|
||||
alert_latency_ms: float = 1000.0 # alert if p95 latency > this
|
||||
alert_gap_seconds: float = 30.0 # alert if no events for N sec
|
||||
|
||||
# ── HTTP ──────────────────────────────────────────────────────────
|
||||
http_host: str = "0.0.0.0"
|
||||
http_port: int = 8892
|
||||
|
||||
# ── Logging ───────────────────────────────────────────────────────
|
||||
log_level: str = "INFO"
|
||||
|
||||
|
||||
settings = Settings()
|
||||
248
services/senpai-md-consumer/senpai/md_consumer/features.py
Normal file
248
services/senpai-md-consumer/senpai/md_consumer/features.py
Normal file
@@ -0,0 +1,248 @@
|
||||
"""
|
||||
Feature engine — incremental feature computation from rolling windows.
|
||||
|
||||
Features (per symbol):
|
||||
- mid: (bid+ask)/2
|
||||
- spread_abs: ask - bid
|
||||
- spread_bps: spread_abs / mid * 10000
|
||||
- trade_vwap_10s: VWAP over last 10 seconds
|
||||
- trade_vwap_60s: VWAP over last 60 seconds
|
||||
- trade_count_10s: number of trades in 10s
|
||||
- trade_volume_10s: total volume in 10s
|
||||
- return_10s: mid_now / mid_10s_ago - 1
|
||||
- realized_vol_60s: std of log-returns over 60s
|
||||
- latency_ms_p50: p50 exchange-to-receive latency
|
||||
- latency_ms_p95: p95 exchange-to-receive latency
|
||||
|
||||
Rule-based signal (MVP):
|
||||
- if return_10s > threshold AND volume_10s > threshold AND spread_bps < threshold
|
||||
→ emit TradeSignal(direction="long")
|
||||
- opposite for short
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
import math
|
||||
|
||||
from senpai.md_consumer.config import settings
|
||||
from senpai.md_consumer.models import FeatureSnapshot, TradeSignal
|
||||
from senpai.md_consumer.state import LatestState, TradeRecord
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
def compute_features(state: LatestState, symbol: str) -> dict[str, float | None]:
|
||||
"""
|
||||
Compute all features for a symbol from current state.
|
||||
Returns a flat dict of feature_name → value (None if not computable).
|
||||
"""
|
||||
sym = symbol.upper()
|
||||
features: dict[str, float | None] = {}
|
||||
|
||||
quote = state.get_latest_quote(sym)
|
||||
window = state.get_window(sym)
|
||||
|
||||
# ── Mid / Spread ──────────────────────────────────────────────────
|
||||
if quote and quote.bid > 0 and quote.ask > 0:
|
||||
mid = (quote.bid + quote.ask) / 2
|
||||
spread_abs = quote.ask - quote.bid
|
||||
spread_bps = (spread_abs / mid * 10_000) if mid > 0 else None
|
||||
features["mid"] = mid
|
||||
features["spread_abs"] = spread_abs
|
||||
features["spread_bps"] = spread_bps
|
||||
else:
|
||||
features["mid"] = None
|
||||
features["spread_abs"] = None
|
||||
features["spread_bps"] = None
|
||||
|
||||
if not window:
|
||||
# No rolling data yet — fill with None
|
||||
features.update({
|
||||
"trade_vwap_10s": None,
|
||||
"trade_vwap_60s": None,
|
||||
"trade_count_10s": None,
|
||||
"trade_volume_10s": None,
|
||||
"return_10s": None,
|
||||
"realized_vol_60s": None,
|
||||
"latency_ms_p50": None,
|
||||
"latency_ms_p95": None,
|
||||
})
|
||||
return features
|
||||
|
||||
# ── VWAP ──────────────────────────────────────────────────────────
|
||||
trades_10s = window.trades_since(10.0)
|
||||
trades_60s = list(window.trades)
|
||||
|
||||
features["trade_vwap_10s"] = _vwap(trades_10s)
|
||||
features["trade_vwap_60s"] = _vwap(trades_60s)
|
||||
|
||||
# ── Trade count / volume (10s) ────────────────────────────────────
|
||||
features["trade_count_10s"] = float(len(trades_10s))
|
||||
features["trade_volume_10s"] = sum(t.size for t in trades_10s) if trades_10s else 0.0
|
||||
|
||||
# ── Return 10s ────────────────────────────────────────────────────
|
||||
features["return_10s"] = _return_over(window, features.get("mid"), 10.0)
|
||||
|
||||
# ── Realised volatility 60s ───────────────────────────────────────
|
||||
features["realized_vol_60s"] = _realized_vol(trades_60s)
|
||||
|
||||
# ── Latency ───────────────────────────────────────────────────────
|
||||
latencies = _latencies_ms(trades_60s)
|
||||
if latencies:
|
||||
latencies.sort()
|
||||
features["latency_ms_p50"] = _percentile(latencies, 50)
|
||||
features["latency_ms_p95"] = _percentile(latencies, 95)
|
||||
else:
|
||||
features["latency_ms_p50"] = None
|
||||
features["latency_ms_p95"] = None
|
||||
|
||||
return features
|
||||
|
||||
|
||||
def make_feature_snapshot(
|
||||
state: LatestState, symbol: str
|
||||
) -> FeatureSnapshot:
|
||||
"""Create a FeatureSnapshot for publishing."""
|
||||
features = compute_features(state, symbol)
|
||||
return FeatureSnapshot(symbol=symbol.upper(), features=features)
|
||||
|
||||
|
||||
def check_signal(
|
||||
features: dict[str, float | None], symbol: str
|
||||
) -> TradeSignal | None:
|
||||
"""
|
||||
Rule-based signal MVP.
|
||||
|
||||
Long if:
|
||||
- return_10s > signal_return_threshold
|
||||
- trade_volume_10s > signal_volume_threshold
|
||||
- spread_bps < signal_spread_max_bps
|
||||
|
||||
Short if opposite return condition met.
|
||||
"""
|
||||
ret = features.get("return_10s")
|
||||
vol = features.get("trade_volume_10s")
|
||||
spread = features.get("spread_bps")
|
||||
|
||||
if ret is None or vol is None or spread is None:
|
||||
return None
|
||||
|
||||
# Spread filter (both directions)
|
||||
if spread > settings.signal_spread_max_bps:
|
||||
return None
|
||||
|
||||
# Volume filter
|
||||
if vol < settings.signal_volume_threshold:
|
||||
return None
|
||||
|
||||
# Direction
|
||||
if ret > settings.signal_return_threshold:
|
||||
confidence = min(1.0, ret / (settings.signal_return_threshold * 3))
|
||||
return TradeSignal(
|
||||
symbol=symbol.upper(),
|
||||
direction="long",
|
||||
confidence=confidence,
|
||||
reason=f"return_10s={ret:.4f} vol_10s={vol:.2f} spread={spread:.1f}bps",
|
||||
features=features,
|
||||
)
|
||||
elif ret < -settings.signal_return_threshold:
|
||||
confidence = min(1.0, abs(ret) / (settings.signal_return_threshold * 3))
|
||||
return TradeSignal(
|
||||
symbol=symbol.upper(),
|
||||
direction="short",
|
||||
confidence=confidence,
|
||||
reason=f"return_10s={ret:.4f} vol_10s={vol:.2f} spread={spread:.1f}bps",
|
||||
features=features,
|
||||
)
|
||||
|
||||
return None
|
||||
|
||||
|
||||
# ── Internal helpers ───────────────────────────────────────────────────
|
||||
|
||||
|
||||
def _vwap(trades: list[TradeRecord]) -> float | None:
|
||||
"""Volume-weighted average price."""
|
||||
if not trades:
|
||||
return None
|
||||
total_value = sum(t.price * t.size for t in trades)
|
||||
total_volume = sum(t.size for t in trades)
|
||||
if total_volume <= 0:
|
||||
return None
|
||||
return total_value / total_volume
|
||||
|
||||
|
||||
def _return_over(
|
||||
window, current_mid: float | None, seconds: float
|
||||
) -> float | None:
|
||||
"""
|
||||
Return over last N seconds.
|
||||
Uses mid price from quotes if available, else latest trade price.
|
||||
"""
|
||||
if current_mid is None or current_mid <= 0:
|
||||
return None
|
||||
|
||||
# Find the quote mid from N seconds ago
|
||||
quotes = window.quotes_since(seconds)
|
||||
if quotes:
|
||||
oldest = quotes[0]
|
||||
old_mid = (oldest.bid + oldest.ask) / 2
|
||||
if old_mid > 0:
|
||||
return current_mid / old_mid - 1
|
||||
|
||||
# Fallback: use trade prices
|
||||
trades = window.trades_since(seconds)
|
||||
if trades:
|
||||
old_price = trades[0].price
|
||||
if old_price > 0:
|
||||
return current_mid / old_price - 1
|
||||
|
||||
return None
|
||||
|
||||
|
||||
def _realized_vol(trades: list[TradeRecord]) -> float | None:
|
||||
"""
|
||||
Simple realised volatility: std of log-returns of trade prices.
|
||||
"""
|
||||
if len(trades) < 3:
|
||||
return None
|
||||
|
||||
prices = [t.price for t in trades if t.price > 0]
|
||||
if len(prices) < 3:
|
||||
return None
|
||||
|
||||
log_returns = []
|
||||
for i in range(1, len(prices)):
|
||||
if prices[i - 1] > 0:
|
||||
lr = math.log(prices[i] / prices[i - 1])
|
||||
log_returns.append(lr)
|
||||
|
||||
if len(log_returns) < 2:
|
||||
return None
|
||||
|
||||
mean = sum(log_returns) / len(log_returns)
|
||||
variance = sum((r - mean) ** 2 for r in log_returns) / (len(log_returns) - 1)
|
||||
return math.sqrt(variance)
|
||||
|
||||
|
||||
def _latencies_ms(trades: list[TradeRecord]) -> list[float]:
|
||||
"""Extract exchange-to-receive latencies in ms."""
|
||||
latencies = []
|
||||
for t in trades:
|
||||
if t.ts_exchange is not None and t.ts_recv is not None:
|
||||
lat = (t.ts_recv.timestamp() - t.ts_exchange.timestamp()) * 1000
|
||||
if 0 < lat < 60_000: # sanity: 0-60s
|
||||
latencies.append(lat)
|
||||
return latencies
|
||||
|
||||
|
||||
def _percentile(sorted_data: list[float], p: int) -> float:
|
||||
"""Simple percentile from sorted list."""
|
||||
if not sorted_data:
|
||||
return 0.0
|
||||
k = (len(sorted_data) - 1) * p / 100
|
||||
f = math.floor(k)
|
||||
c = math.ceil(k)
|
||||
if f == c:
|
||||
return sorted_data[int(k)]
|
||||
return sorted_data[f] * (c - k) + sorted_data[c] * (k - f)
|
||||
270
services/senpai-md-consumer/senpai/md_consumer/main.py
Normal file
270
services/senpai-md-consumer/senpai/md_consumer/main.py
Normal file
@@ -0,0 +1,270 @@
|
||||
"""
|
||||
SenpAI Market-Data Consumer — entry point.
|
||||
|
||||
Orchestrates:
|
||||
1. NATS subscription (md.events.>)
|
||||
2. Event processing → state updates → feature computation
|
||||
3. Feature/signal/alert publishing back to NATS
|
||||
4. HTTP API for monitoring
|
||||
|
||||
Usage:
|
||||
python -m senpai.md_consumer
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import asyncio
|
||||
import logging
|
||||
import signal
|
||||
import time
|
||||
|
||||
import structlog
|
||||
|
||||
from senpai.md_consumer import api
|
||||
from senpai.md_consumer import metrics as m
|
||||
from senpai.md_consumer.config import settings
|
||||
from senpai.md_consumer.features import (
|
||||
check_signal,
|
||||
make_feature_snapshot,
|
||||
compute_features,
|
||||
)
|
||||
from senpai.md_consumer.models import (
|
||||
AlertEvent,
|
||||
EventType,
|
||||
TradeEvent,
|
||||
QuoteEvent,
|
||||
)
|
||||
from senpai.md_consumer.nats_consumer import NATSConsumer
|
||||
from senpai.md_consumer.publisher import Publisher
|
||||
from senpai.md_consumer.state import LatestState
|
||||
|
||||
logger = structlog.get_logger()
|
||||
|
||||
|
||||
# ── Logging setup ──────────────────────────────────────────────────────
|
||||
|
||||
|
||||
def setup_logging() -> None:
|
||||
log_level = getattr(logging, settings.log_level.upper(), logging.INFO)
|
||||
structlog.configure(
|
||||
processors=[
|
||||
structlog.contextvars.merge_contextvars,
|
||||
structlog.processors.add_log_level,
|
||||
structlog.processors.TimeStamper(fmt="iso"),
|
||||
structlog.dev.ConsoleRenderer(),
|
||||
],
|
||||
wrapper_class=structlog.make_filtering_bound_logger(log_level),
|
||||
context_class=dict,
|
||||
logger_factory=structlog.PrintLoggerFactory(),
|
||||
)
|
||||
logging.basicConfig(level=log_level, format="%(message)s")
|
||||
|
||||
|
||||
# ── Processing pipeline ───────────────────────────────────────────────
|
||||
|
||||
|
||||
async def process_events(
|
||||
consumer: NATSConsumer,
|
||||
state: LatestState,
|
||||
publisher: Publisher,
|
||||
) -> None:
|
||||
"""
|
||||
Main processing loop:
|
||||
1. Read event from queue
|
||||
2. Update state
|
||||
3. Compute features
|
||||
4. Publish features + check signals
|
||||
5. Check alerts
|
||||
"""
|
||||
last_alert_check = time.monotonic()
|
||||
events_per_sec_count = 0
|
||||
time.monotonic()
|
||||
|
||||
while True:
|
||||
try:
|
||||
event = await consumer.queue.get()
|
||||
except asyncio.CancelledError:
|
||||
break
|
||||
|
||||
proc_start = time.monotonic()
|
||||
|
||||
try:
|
||||
# Update state based on event type
|
||||
if event.event_type == EventType.TRADE:
|
||||
assert isinstance(event, TradeEvent)
|
||||
state.update_trade(event)
|
||||
symbol = event.symbol
|
||||
|
||||
elif event.event_type == EventType.QUOTE:
|
||||
assert isinstance(event, QuoteEvent)
|
||||
state.update_quote(event)
|
||||
symbol = event.symbol
|
||||
|
||||
elif event.event_type == EventType.HEARTBEAT:
|
||||
# Heartbeats don't update state, just track
|
||||
symbol = None
|
||||
|
||||
elif event.event_type == EventType.BOOK_L2:
|
||||
# TODO: book updates
|
||||
symbol = None
|
||||
|
||||
else:
|
||||
symbol = None
|
||||
|
||||
# Compute features + publish (only for trade/quote events)
|
||||
if symbol and settings.features_enabled:
|
||||
snapshot = make_feature_snapshot(state, symbol)
|
||||
await publisher.publish_features(snapshot)
|
||||
|
||||
# Check for trade signal
|
||||
sig = check_signal(snapshot.features, symbol)
|
||||
if sig:
|
||||
await publisher.publish_signal(sig)
|
||||
|
||||
# Processing latency metric
|
||||
proc_ms = (time.monotonic() - proc_start) * 1000
|
||||
m.PROCESSING_LATENCY.observe(proc_ms)
|
||||
|
||||
# Events/sec tracking
|
||||
events_per_sec_count += 1
|
||||
|
||||
except Exception as e:
|
||||
logger.error(
|
||||
"process.error",
|
||||
error=str(e),
|
||||
event_type=event.event_type.value if event else "?",
|
||||
)
|
||||
|
||||
# Periodic alert checks (every 5 seconds)
|
||||
now = time.monotonic()
|
||||
if now - last_alert_check > 5.0:
|
||||
last_alert_check = now
|
||||
await _check_alerts(state, publisher, consumer)
|
||||
|
||||
|
||||
async def _check_alerts(
|
||||
state: LatestState,
|
||||
publisher: Publisher,
|
||||
consumer: NATSConsumer,
|
||||
) -> None:
|
||||
"""Check alert conditions and emit if needed."""
|
||||
# Backpressure alert
|
||||
fill = consumer.queue_fill_ratio
|
||||
if fill > 0.8:
|
||||
await publisher.publish_alert(
|
||||
AlertEvent(
|
||||
alert_type="backpressure",
|
||||
level="warning" if fill < 0.95 else "critical",
|
||||
message=f"Queue fill at {fill:.0%}",
|
||||
details={"fill_ratio": fill},
|
||||
)
|
||||
)
|
||||
|
||||
# Latency alert (per symbol)
|
||||
for sym in state.symbols:
|
||||
features = compute_features(state, sym)
|
||||
p95 = features.get("latency_ms_p95")
|
||||
if p95 is not None and p95 > settings.alert_latency_ms:
|
||||
await publisher.publish_alert(
|
||||
AlertEvent(
|
||||
alert_type="latency",
|
||||
level="warning",
|
||||
message=f"{sym} p95 latency {p95:.0f}ms > {settings.alert_latency_ms}ms",
|
||||
details={"symbol": sym, "p95_ms": p95},
|
||||
)
|
||||
)
|
||||
|
||||
|
||||
# ── Main ───────────────────────────────────────────────────────────────
|
||||
|
||||
|
||||
async def main() -> None:
|
||||
setup_logging()
|
||||
logger.info("service.starting", nats_url=settings.nats_url)
|
||||
|
||||
# State store
|
||||
state = LatestState(window_seconds=settings.rolling_window_seconds)
|
||||
|
||||
# NATS consumer
|
||||
consumer = NATSConsumer()
|
||||
await consumer.connect()
|
||||
await consumer.subscribe()
|
||||
|
||||
# Publisher (reuses same NATS connection)
|
||||
publisher = Publisher(consumer._nc)
|
||||
|
||||
# Wire up API
|
||||
api.set_state(state)
|
||||
|
||||
def _get_stats() -> dict:
|
||||
return {
|
||||
"queue_size": consumer.queue.qsize(),
|
||||
"queue_fill_ratio": round(consumer.queue_fill_ratio, 3),
|
||||
"queue_max": settings.queue_size,
|
||||
"events_processed": state.event_count,
|
||||
"symbols_tracked": state.symbols,
|
||||
"features_enabled": settings.features_enabled,
|
||||
"nats_connected": bool(consumer._nc and consumer._nc.is_connected),
|
||||
}
|
||||
|
||||
api.set_stats_fn(_get_stats)
|
||||
|
||||
# Start HTTP API
|
||||
http_server = await api.start_api()
|
||||
|
||||
# Start processing loop
|
||||
process_task = asyncio.create_task(
|
||||
process_events(consumer, state, publisher)
|
||||
)
|
||||
|
||||
# Graceful shutdown
|
||||
shutdown_event = asyncio.Event()
|
||||
|
||||
def _signal_handler():
|
||||
logger.info("service.shutdown_signal")
|
||||
shutdown_event.set()
|
||||
|
||||
loop = asyncio.get_event_loop()
|
||||
for sig in (signal.SIGINT, signal.SIGTERM):
|
||||
try:
|
||||
loop.add_signal_handler(sig, _signal_handler)
|
||||
except NotImplementedError:
|
||||
pass
|
||||
|
||||
logger.info(
|
||||
"service.ready",
|
||||
subject=settings.nats_subject,
|
||||
queue_group=settings.nats_queue_group,
|
||||
http_port=settings.http_port,
|
||||
features_enabled=settings.features_enabled,
|
||||
)
|
||||
|
||||
# Wait for shutdown
|
||||
await shutdown_event.wait()
|
||||
|
||||
# ── Cleanup ───────────────────────────────────────────────────────
|
||||
logger.info("service.shutting_down")
|
||||
|
||||
process_task.cancel()
|
||||
try:
|
||||
await process_task
|
||||
except asyncio.CancelledError:
|
||||
pass
|
||||
|
||||
await consumer.close()
|
||||
|
||||
http_server.close()
|
||||
await http_server.wait_closed()
|
||||
|
||||
logger.info(
|
||||
"service.stopped",
|
||||
events_processed=state.event_count,
|
||||
symbols=state.symbols,
|
||||
)
|
||||
|
||||
|
||||
def cli():
|
||||
asyncio.run(main())
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
cli()
|
||||
72
services/senpai-md-consumer/senpai/md_consumer/metrics.py
Normal file
72
services/senpai-md-consumer/senpai/md_consumer/metrics.py
Normal file
@@ -0,0 +1,72 @@
|
||||
"""
|
||||
Prometheus metrics for SenpAI market-data consumer.
|
||||
"""
|
||||
from prometheus_client import Counter, Gauge, Histogram
|
||||
|
||||
# ── Inbound events ─────────────────────────────────────────────────────
|
||||
EVENTS_IN = Counter(
|
||||
"senpai_events_in_total",
|
||||
"Total events received from NATS",
|
||||
["event_type", "provider"],
|
||||
)
|
||||
|
||||
EVENTS_DROPPED = Counter(
|
||||
"senpai_events_dropped_total",
|
||||
"Events dropped due to backpressure or errors",
|
||||
["reason", "event_type"],
|
||||
)
|
||||
|
||||
# ── Queue ──────────────────────────────────────────────────────────────
|
||||
QUEUE_FILL = Gauge(
|
||||
"senpai_queue_fill_ratio",
|
||||
"Internal processing queue fill ratio (0..1)",
|
||||
)
|
||||
|
||||
QUEUE_SIZE = Gauge(
|
||||
"senpai_queue_size",
|
||||
"Current number of items in processing queue",
|
||||
)
|
||||
|
||||
# ── Processing ─────────────────────────────────────────────────────────
|
||||
PROCESSING_LATENCY = Histogram(
|
||||
"senpai_processing_latency_ms",
|
||||
"End-to-end processing latency (NATS receive to feature publish) in ms",
|
||||
buckets=[0.1, 0.5, 1, 2, 5, 10, 25, 50, 100, 250],
|
||||
)
|
||||
|
||||
# ── Feature publishing ─────────────────────────────────────────────────
|
||||
FEATURE_PUBLISH = Counter(
|
||||
"senpai_feature_publish_total",
|
||||
"Total feature snapshots published to NATS",
|
||||
["symbol"],
|
||||
)
|
||||
|
||||
FEATURE_PUBLISH_ERRORS = Counter(
|
||||
"senpai_feature_publish_errors_total",
|
||||
"Failed feature publishes",
|
||||
["symbol"],
|
||||
)
|
||||
|
||||
# ── Signals ────────────────────────────────────────────────────────────
|
||||
SIGNALS_EMITTED = Counter(
|
||||
"senpai_signals_emitted_total",
|
||||
"Trade signals emitted",
|
||||
["symbol", "direction"],
|
||||
)
|
||||
|
||||
ALERTS_EMITTED = Counter(
|
||||
"senpai_alerts_emitted_total",
|
||||
"Alerts emitted",
|
||||
["alert_type"],
|
||||
)
|
||||
|
||||
# ── NATS connection ───────────────────────────────────────────────────
|
||||
NATS_CONNECTED = Gauge(
|
||||
"senpai_nats_connected",
|
||||
"Whether NATS connection is alive (1=yes, 0=no)",
|
||||
)
|
||||
|
||||
NATS_RECONNECTS = Counter(
|
||||
"senpai_nats_reconnects_total",
|
||||
"Number of NATS reconnections",
|
||||
)
|
||||
139
services/senpai-md-consumer/senpai/md_consumer/models.py
Normal file
139
services/senpai-md-consumer/senpai/md_consumer/models.py
Normal file
@@ -0,0 +1,139 @@
|
||||
"""
|
||||
Domain models — mirrors market-data-service event contracts.
|
||||
|
||||
Tolerant parsing: unknown fields ignored, partial data accepted.
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import time
|
||||
from datetime import datetime, timezone
|
||||
from enum import Enum
|
||||
from typing import Optional
|
||||
|
||||
from pydantic import BaseModel, Field
|
||||
|
||||
|
||||
class EventType(str, Enum):
|
||||
TRADE = "trade"
|
||||
QUOTE = "quote"
|
||||
BOOK_L2 = "book_l2"
|
||||
HEARTBEAT = "heartbeat"
|
||||
|
||||
|
||||
def _utc_now() -> datetime:
|
||||
return datetime.now(timezone.utc)
|
||||
|
||||
|
||||
def _mono_ns() -> int:
|
||||
return time.monotonic_ns()
|
||||
|
||||
|
||||
class BaseEvent(BaseModel, extra="ignore"):
|
||||
"""Common fields — extra fields silently ignored."""
|
||||
|
||||
event_type: EventType
|
||||
provider: str
|
||||
ts_recv: datetime = Field(default_factory=_utc_now)
|
||||
ts_recv_mono_ns: int = Field(default_factory=_mono_ns)
|
||||
|
||||
|
||||
class TradeEvent(BaseEvent):
|
||||
event_type: EventType = EventType.TRADE
|
||||
symbol: str
|
||||
price: float
|
||||
size: float
|
||||
ts_exchange: Optional[datetime] = None
|
||||
side: Optional[str] = None
|
||||
trade_id: Optional[str] = None
|
||||
|
||||
|
||||
class QuoteEvent(BaseEvent):
|
||||
event_type: EventType = EventType.QUOTE
|
||||
symbol: str
|
||||
bid: float
|
||||
ask: float
|
||||
bid_size: float
|
||||
ask_size: float
|
||||
ts_exchange: Optional[datetime] = None
|
||||
|
||||
|
||||
class BookLevel(BaseModel, extra="ignore"):
|
||||
price: float
|
||||
size: float
|
||||
|
||||
|
||||
class BookL2Event(BaseEvent):
|
||||
event_type: EventType = EventType.BOOK_L2
|
||||
symbol: str
|
||||
bids: list[BookLevel] = Field(default_factory=list)
|
||||
asks: list[BookLevel] = Field(default_factory=list)
|
||||
ts_exchange: Optional[datetime] = None
|
||||
|
||||
|
||||
class HeartbeatEvent(BaseEvent):
|
||||
event_type: EventType = EventType.HEARTBEAT
|
||||
|
||||
|
||||
# Union for parsing
|
||||
Event = TradeEvent | QuoteEvent | BookL2Event | HeartbeatEvent
|
||||
|
||||
|
||||
# ── Output models ──────────────────────────────────────────────────────
|
||||
|
||||
|
||||
class FeatureSnapshot(BaseModel):
|
||||
"""Published to senpai.features.{symbol}."""
|
||||
|
||||
symbol: str
|
||||
ts: datetime = Field(default_factory=_utc_now)
|
||||
features: dict[str, float | None]
|
||||
|
||||
|
||||
class TradeSignal(BaseModel):
|
||||
"""Published to senpai.signals.{symbol}."""
|
||||
|
||||
symbol: str
|
||||
ts: datetime = Field(default_factory=_utc_now)
|
||||
direction: str # "long" | "short"
|
||||
confidence: float = 0.0 # 0..1
|
||||
reason: str = ""
|
||||
features: dict[str, float | None] = Field(default_factory=dict)
|
||||
|
||||
|
||||
class AlertEvent(BaseModel):
|
||||
"""Published to senpai.alerts."""
|
||||
|
||||
ts: datetime = Field(default_factory=_utc_now)
|
||||
level: str = "warning" # "warning" | "critical"
|
||||
alert_type: str # "latency" | "gap" | "backpressure"
|
||||
message: str
|
||||
details: dict = Field(default_factory=dict)
|
||||
|
||||
|
||||
# ── Parsing helper ─────────────────────────────────────────────────────
|
||||
|
||||
_EVENT_MAP: dict[str, type[BaseEvent]] = {
|
||||
"trade": TradeEvent,
|
||||
"quote": QuoteEvent,
|
||||
"book_l2": BookL2Event,
|
||||
"heartbeat": HeartbeatEvent,
|
||||
}
|
||||
|
||||
|
||||
def parse_event(data: dict) -> Event | None:
|
||||
"""
|
||||
Parse a dict (from JSON) into the appropriate Event model.
|
||||
Returns None if event_type is unknown or data is invalid.
|
||||
"""
|
||||
event_type = data.get("event_type")
|
||||
if not event_type:
|
||||
return None
|
||||
|
||||
cls = _EVENT_MAP.get(event_type)
|
||||
if cls is None:
|
||||
return None
|
||||
|
||||
try:
|
||||
return cls.model_validate(data)
|
||||
except Exception:
|
||||
return None
|
||||
229
services/senpai-md-consumer/senpai/md_consumer/nats_consumer.py
Normal file
229
services/senpai-md-consumer/senpai/md_consumer/nats_consumer.py
Normal file
@@ -0,0 +1,229 @@
|
||||
"""
|
||||
NATS consumer — subscribes to md.events.> and feeds the processing pipeline.
|
||||
|
||||
Features:
|
||||
- Queue group subscription (horizontal scaling)
|
||||
- Bounded asyncio.Queue with backpressure drop policy
|
||||
- Auto-reconnect via nats-py
|
||||
- Optional JetStream durable consumer
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import asyncio
|
||||
import json
|
||||
import logging
|
||||
|
||||
import nats
|
||||
from nats.aio.client import Client as NatsClient
|
||||
from nats.aio.msg import Msg
|
||||
|
||||
from senpai.md_consumer.config import settings
|
||||
from senpai.md_consumer.models import EventType, parse_event, Event
|
||||
from senpai.md_consumer import metrics as m
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
# Events that can be dropped under backpressure (lowest priority first)
|
||||
_DROPPABLE = {EventType.HEARTBEAT, EventType.QUOTE, EventType.BOOK_L2}
|
||||
|
||||
|
||||
class NATSConsumer:
|
||||
"""
|
||||
Reads normalised events from NATS, validates, and puts into
|
||||
a bounded asyncio.Queue for downstream processing.
|
||||
|
||||
Backpressure policy:
|
||||
- Queue < 90% → accept all events
|
||||
- Queue >= 90% → drop heartbeats, quotes, book snapshots
|
||||
- Trades are NEVER dropped (critical for analytics)
|
||||
"""
|
||||
|
||||
def __init__(self) -> None:
|
||||
self._nc: NatsClient | None = None
|
||||
self._sub = None
|
||||
self._js_sub = None
|
||||
self._queue: asyncio.Queue[Event] = asyncio.Queue(
|
||||
maxsize=settings.queue_size
|
||||
)
|
||||
self._running = False
|
||||
self._drop_count: dict[str, int] = {}
|
||||
|
||||
@property
|
||||
def queue(self) -> asyncio.Queue[Event]:
|
||||
return self._queue
|
||||
|
||||
@property
|
||||
def queue_fill_ratio(self) -> float:
|
||||
if settings.queue_size <= 0:
|
||||
return 0.0
|
||||
return self._queue.qsize() / settings.queue_size
|
||||
|
||||
async def connect(self) -> None:
|
||||
"""Connect to NATS with auto-reconnect."""
|
||||
self._nc = await nats.connect(
|
||||
self._url,
|
||||
reconnect_time_wait=2,
|
||||
max_reconnect_attempts=-1,
|
||||
name="senpai-md-consumer",
|
||||
error_cb=self._on_error,
|
||||
disconnected_cb=self._on_disconnected,
|
||||
reconnected_cb=self._on_reconnected,
|
||||
closed_cb=self._on_closed,
|
||||
)
|
||||
m.NATS_CONNECTED.set(1)
|
||||
logger.info(
|
||||
"nats.connected",
|
||||
extra={"url": self._url, "subject": settings.nats_subject},
|
||||
)
|
||||
|
||||
@property
|
||||
def _url(self) -> str:
|
||||
return settings.nats_url
|
||||
|
||||
async def subscribe(self) -> None:
|
||||
"""Subscribe to market data events."""
|
||||
if not self._nc:
|
||||
raise RuntimeError("Not connected. Call connect() first.")
|
||||
|
||||
if settings.use_jetstream:
|
||||
await self._subscribe_jetstream()
|
||||
else:
|
||||
await self._subscribe_core()
|
||||
|
||||
async def _subscribe_core(self) -> None:
|
||||
"""Core NATS subscription with queue group."""
|
||||
self._sub = await self._nc.subscribe(
|
||||
settings.nats_subject,
|
||||
queue=settings.nats_queue_group,
|
||||
cb=self._on_message,
|
||||
)
|
||||
logger.info(
|
||||
"nats.subscribed_core",
|
||||
extra={
|
||||
"subject": settings.nats_subject,
|
||||
"queue_group": settings.nats_queue_group,
|
||||
},
|
||||
)
|
||||
|
||||
async def _subscribe_jetstream(self) -> None:
|
||||
"""JetStream durable subscription."""
|
||||
js = self._nc.jetstream()
|
||||
|
||||
# Try to create or bind to existing consumer
|
||||
self._js_sub = await js.subscribe(
|
||||
settings.nats_subject,
|
||||
queue=settings.nats_queue_group,
|
||||
durable="senpai-md-durable",
|
||||
cb=self._on_message,
|
||||
manual_ack=True,
|
||||
)
|
||||
logger.info(
|
||||
"nats.subscribed_jetstream",
|
||||
extra={
|
||||
"subject": settings.nats_subject,
|
||||
"durable": "senpai-md-durable",
|
||||
},
|
||||
)
|
||||
|
||||
async def _on_message(self, msg: Msg) -> None:
|
||||
"""
|
||||
Callback for each NATS message.
|
||||
Parse → backpressure check → enqueue.
|
||||
"""
|
||||
try:
|
||||
data = json.loads(msg.data)
|
||||
except (json.JSONDecodeError, UnicodeDecodeError) as e:
|
||||
m.EVENTS_DROPPED.labels(reason="parse_error", event_type="unknown").inc()
|
||||
logger.warning("nats.parse_error", extra={"error": str(e)})
|
||||
if settings.use_jetstream:
|
||||
await msg.ack()
|
||||
return
|
||||
|
||||
event = parse_event(data)
|
||||
if event is None:
|
||||
m.EVENTS_DROPPED.labels(reason="invalid_event", event_type="unknown").inc()
|
||||
if settings.use_jetstream:
|
||||
await msg.ack()
|
||||
return
|
||||
|
||||
# Track inbound
|
||||
m.EVENTS_IN.labels(
|
||||
event_type=event.event_type.value,
|
||||
provider=event.provider,
|
||||
).inc()
|
||||
|
||||
# Backpressure check
|
||||
fill = self.queue_fill_ratio
|
||||
m.QUEUE_FILL.set(fill)
|
||||
m.QUEUE_SIZE.set(self._queue.qsize())
|
||||
|
||||
if fill >= settings.queue_drop_threshold:
|
||||
# Under pressure: only accept trades
|
||||
if event.event_type in _DROPPABLE:
|
||||
et = event.event_type.value
|
||||
self._drop_count[et] = self._drop_count.get(et, 0) + 1
|
||||
m.EVENTS_DROPPED.labels(
|
||||
reason="backpressure",
|
||||
event_type=et,
|
||||
).inc()
|
||||
|
||||
if self._drop_count[et] % 1000 == 1:
|
||||
logger.warning(
|
||||
"nats.backpressure_drop",
|
||||
extra={
|
||||
"type": et,
|
||||
"fill": f"{fill:.0%}",
|
||||
"total_drops": self._drop_count,
|
||||
},
|
||||
)
|
||||
|
||||
if settings.use_jetstream:
|
||||
await msg.ack()
|
||||
return
|
||||
|
||||
# Enqueue
|
||||
try:
|
||||
self._queue.put_nowait(event)
|
||||
except asyncio.QueueFull:
|
||||
# Last resort: try to drop oldest non-trade
|
||||
m.EVENTS_DROPPED.labels(
|
||||
reason="queue_full", event_type=event.event_type.value
|
||||
).inc()
|
||||
|
||||
if settings.use_jetstream:
|
||||
await msg.ack()
|
||||
|
||||
async def close(self) -> None:
|
||||
"""Graceful shutdown."""
|
||||
self._running = False
|
||||
if self._sub:
|
||||
try:
|
||||
await self._sub.unsubscribe()
|
||||
except Exception:
|
||||
pass
|
||||
if self._nc:
|
||||
try:
|
||||
await self._nc.flush(timeout=5)
|
||||
await self._nc.close()
|
||||
except Exception:
|
||||
pass
|
||||
m.NATS_CONNECTED.set(0)
|
||||
logger.info("nats.closed", extra={"drops": self._drop_count})
|
||||
|
||||
# ── NATS callbacks ────────────────────────────────────────────────
|
||||
|
||||
async def _on_error(self, e: Exception) -> None:
|
||||
logger.error("nats.error", extra={"error": str(e)})
|
||||
|
||||
async def _on_disconnected(self) -> None:
|
||||
m.NATS_CONNECTED.set(0)
|
||||
logger.warning("nats.disconnected")
|
||||
|
||||
async def _on_reconnected(self) -> None:
|
||||
m.NATS_CONNECTED.set(1)
|
||||
m.NATS_RECONNECTS.inc()
|
||||
logger.info("nats.reconnected")
|
||||
|
||||
async def _on_closed(self) -> None:
|
||||
m.NATS_CONNECTED.set(0)
|
||||
logger.info("nats.closed_callback")
|
||||
119
services/senpai-md-consumer/senpai/md_consumer/publisher.py
Normal file
119
services/senpai-md-consumer/senpai/md_consumer/publisher.py
Normal file
@@ -0,0 +1,119 @@
|
||||
"""
|
||||
Signal bus publisher — publishes features, signals, and alerts to NATS.
|
||||
|
||||
Rate-limiting: max N publishes per second per symbol (configurable).
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
import time
|
||||
|
||||
from nats.aio.client import Client as NatsClient
|
||||
|
||||
from senpai.md_consumer.config import settings
|
||||
from senpai.md_consumer.models import AlertEvent, FeatureSnapshot, TradeSignal
|
||||
from senpai.md_consumer import metrics as m
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
class Publisher:
|
||||
"""
|
||||
Publishes FeatureSnapshots and TradeSignals to NATS.
|
||||
Built-in per-symbol rate limiter.
|
||||
"""
|
||||
|
||||
def __init__(self, nc: NatsClient) -> None:
|
||||
self._nc = nc
|
||||
self._last_publish: dict[str, float] = {} # symbol → monotonic time
|
||||
self._min_interval = (
|
||||
1.0 / settings.features_pub_rate_hz
|
||||
if settings.features_pub_rate_hz > 0
|
||||
else 0.1
|
||||
)
|
||||
|
||||
def _rate_ok(self, symbol: str) -> bool:
|
||||
"""Check if we can publish for this symbol (rate limiter)."""
|
||||
now = time.monotonic()
|
||||
last = self._last_publish.get(symbol, 0.0)
|
||||
if now - last >= self._min_interval:
|
||||
self._last_publish[symbol] = now
|
||||
return True
|
||||
return False
|
||||
|
||||
async def publish_features(self, snapshot: FeatureSnapshot) -> bool:
|
||||
"""
|
||||
Publish feature snapshot if rate limit allows.
|
||||
Returns True if published, False if rate-limited or error.
|
||||
"""
|
||||
if not settings.features_enabled:
|
||||
return False
|
||||
|
||||
symbol = snapshot.symbol.upper()
|
||||
|
||||
if not self._rate_ok(symbol):
|
||||
return False
|
||||
|
||||
subject = f"{settings.features_pub_subject}.{symbol}"
|
||||
try:
|
||||
payload = snapshot.model_dump_json().encode("utf-8")
|
||||
await self._nc.publish(subject, payload)
|
||||
m.FEATURE_PUBLISH.labels(symbol=symbol).inc()
|
||||
return True
|
||||
except Exception as e:
|
||||
m.FEATURE_PUBLISH_ERRORS.labels(symbol=symbol).inc()
|
||||
logger.warning(
|
||||
"publisher.feature_error",
|
||||
extra={"symbol": symbol, "error": str(e)},
|
||||
)
|
||||
return False
|
||||
|
||||
async def publish_signal(self, signal: TradeSignal) -> bool:
|
||||
"""Publish trade signal (no rate limit — signals are rare)."""
|
||||
subject = f"{settings.signals_pub_subject}.{signal.symbol}"
|
||||
try:
|
||||
payload = signal.model_dump_json().encode("utf-8")
|
||||
await self._nc.publish(subject, payload)
|
||||
m.SIGNALS_EMITTED.labels(
|
||||
symbol=signal.symbol,
|
||||
direction=signal.direction,
|
||||
).inc()
|
||||
logger.info(
|
||||
"publisher.signal_emitted",
|
||||
extra={
|
||||
"symbol": signal.symbol,
|
||||
"direction": signal.direction,
|
||||
"confidence": f"{signal.confidence:.2f}",
|
||||
"reason": signal.reason,
|
||||
},
|
||||
)
|
||||
return True
|
||||
except Exception as e:
|
||||
logger.error(
|
||||
"publisher.signal_error",
|
||||
extra={"symbol": signal.symbol, "error": str(e)},
|
||||
)
|
||||
return False
|
||||
|
||||
async def publish_alert(self, alert: AlertEvent) -> bool:
|
||||
"""Publish alert event."""
|
||||
subject = settings.alerts_pub_subject
|
||||
try:
|
||||
payload = alert.model_dump_json().encode("utf-8")
|
||||
await self._nc.publish(subject, payload)
|
||||
m.ALERTS_EMITTED.labels(alert_type=alert.alert_type).inc()
|
||||
logger.warning(
|
||||
"publisher.alert",
|
||||
extra={
|
||||
"type": alert.alert_type,
|
||||
"level": alert.level,
|
||||
"message": alert.message,
|
||||
},
|
||||
)
|
||||
return True
|
||||
except Exception as e:
|
||||
logger.error(
|
||||
"publisher.alert_error",
|
||||
extra={"error": str(e)},
|
||||
)
|
||||
return False
|
||||
238
services/senpai-md-consumer/senpai/md_consumer/state.py
Normal file
238
services/senpai-md-consumer/senpai/md_consumer/state.py
Normal file
@@ -0,0 +1,238 @@
|
||||
"""
|
||||
State management — LatestState + RollingWindow.
|
||||
|
||||
All structures are asyncio-safe (no locks needed — single-threaded event loop).
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import time
|
||||
from collections import deque
|
||||
from dataclasses import dataclass
|
||||
from datetime import datetime
|
||||
from typing import Optional
|
||||
|
||||
from senpai.md_consumer.models import QuoteEvent, TradeEvent
|
||||
|
||||
|
||||
@dataclass
|
||||
class LatestTrade:
|
||||
symbol: str
|
||||
price: float
|
||||
size: float
|
||||
side: Optional[str]
|
||||
provider: str
|
||||
ts_recv: datetime
|
||||
ts_exchange: Optional[datetime] = None
|
||||
|
||||
|
||||
@dataclass
|
||||
class LatestQuote:
|
||||
symbol: str
|
||||
bid: float
|
||||
ask: float
|
||||
bid_size: float
|
||||
ask_size: float
|
||||
provider: str
|
||||
ts_recv: datetime
|
||||
ts_exchange: Optional[datetime] = None
|
||||
|
||||
|
||||
@dataclass
|
||||
class TradeRecord:
|
||||
"""Compact trade record for rolling window."""
|
||||
|
||||
price: float
|
||||
size: float
|
||||
ts: float # monotonic seconds
|
||||
ts_exchange: Optional[datetime] = None
|
||||
ts_recv: Optional[datetime] = None
|
||||
|
||||
|
||||
@dataclass
|
||||
class QuoteRecord:
|
||||
"""Compact quote record for rolling window."""
|
||||
|
||||
bid: float
|
||||
ask: float
|
||||
bid_size: float
|
||||
ask_size: float
|
||||
ts: float # monotonic seconds
|
||||
ts_exchange: Optional[datetime] = None
|
||||
ts_recv: Optional[datetime] = None
|
||||
|
||||
|
||||
class RollingWindow:
|
||||
"""
|
||||
Fixed-duration rolling window using deque.
|
||||
|
||||
Efficient: O(1) append, amortised O(1) eviction.
|
||||
No pandas dependency.
|
||||
"""
|
||||
|
||||
def __init__(self, window_seconds: float = 60.0) -> None:
|
||||
self._window = window_seconds
|
||||
self._trades: deque[TradeRecord] = deque()
|
||||
self._quotes: deque[QuoteRecord] = deque()
|
||||
|
||||
def add_trade(self, trade: TradeRecord) -> None:
|
||||
self._trades.append(trade)
|
||||
self._evict_trades()
|
||||
|
||||
def add_quote(self, quote: QuoteRecord) -> None:
|
||||
self._quotes.append(quote)
|
||||
self._evict_quotes()
|
||||
|
||||
def _evict_trades(self) -> None:
|
||||
cutoff = time.monotonic() - self._window
|
||||
while self._trades and self._trades[0].ts < cutoff:
|
||||
self._trades.popleft()
|
||||
|
||||
def _evict_quotes(self) -> None:
|
||||
cutoff = time.monotonic() - self._window
|
||||
while self._quotes and self._quotes[0].ts < cutoff:
|
||||
self._quotes.popleft()
|
||||
|
||||
@property
|
||||
def trades(self) -> deque[TradeRecord]:
|
||||
self._evict_trades()
|
||||
return self._trades
|
||||
|
||||
@property
|
||||
def quotes(self) -> deque[QuoteRecord]:
|
||||
self._evict_quotes()
|
||||
return self._quotes
|
||||
|
||||
def trades_since(self, seconds_ago: float) -> list[TradeRecord]:
|
||||
"""Return trades within the last N seconds."""
|
||||
cutoff = time.monotonic() - seconds_ago
|
||||
return [t for t in self._trades if t.ts >= cutoff]
|
||||
|
||||
def quotes_since(self, seconds_ago: float) -> list[QuoteRecord]:
|
||||
"""Return quotes within the last N seconds."""
|
||||
cutoff = time.monotonic() - seconds_ago
|
||||
return [q for q in self._quotes if q.ts >= cutoff]
|
||||
|
||||
|
||||
class LatestState:
|
||||
"""
|
||||
Maintains latest trade/quote per symbol + rolling windows.
|
||||
"""
|
||||
|
||||
def __init__(self, window_seconds: float = 60.0) -> None:
|
||||
self._window_seconds = window_seconds
|
||||
self._latest_trade: dict[str, LatestTrade] = {}
|
||||
self._latest_quote: dict[str, LatestQuote] = {}
|
||||
self._windows: dict[str, RollingWindow] = {}
|
||||
self._event_count = 0
|
||||
|
||||
def _get_window(self, symbol: str) -> RollingWindow:
|
||||
if symbol not in self._windows:
|
||||
self._windows[symbol] = RollingWindow(self._window_seconds)
|
||||
return self._windows[symbol]
|
||||
|
||||
def update_trade(self, event: TradeEvent) -> None:
|
||||
"""Update latest trade and rolling window."""
|
||||
sym = event.symbol.upper()
|
||||
|
||||
self._latest_trade[sym] = LatestTrade(
|
||||
symbol=sym,
|
||||
price=event.price,
|
||||
size=event.size,
|
||||
side=event.side,
|
||||
provider=event.provider,
|
||||
ts_recv=event.ts_recv,
|
||||
ts_exchange=event.ts_exchange,
|
||||
)
|
||||
|
||||
self._get_window(sym).add_trade(
|
||||
TradeRecord(
|
||||
price=event.price,
|
||||
size=event.size,
|
||||
ts=time.monotonic(),
|
||||
ts_exchange=event.ts_exchange,
|
||||
ts_recv=event.ts_recv,
|
||||
)
|
||||
)
|
||||
self._event_count += 1
|
||||
|
||||
def update_quote(self, event: QuoteEvent) -> None:
|
||||
"""Update latest quote and rolling window."""
|
||||
sym = event.symbol.upper()
|
||||
|
||||
self._latest_quote[sym] = LatestQuote(
|
||||
symbol=sym,
|
||||
bid=event.bid,
|
||||
ask=event.ask,
|
||||
bid_size=event.bid_size,
|
||||
ask_size=event.ask_size,
|
||||
provider=event.provider,
|
||||
ts_recv=event.ts_recv,
|
||||
ts_exchange=event.ts_exchange,
|
||||
)
|
||||
|
||||
self._get_window(sym).add_quote(
|
||||
QuoteRecord(
|
||||
bid=event.bid,
|
||||
ask=event.ask,
|
||||
bid_size=event.bid_size,
|
||||
ask_size=event.ask_size,
|
||||
ts=time.monotonic(),
|
||||
ts_exchange=event.ts_exchange,
|
||||
ts_recv=event.ts_recv,
|
||||
)
|
||||
)
|
||||
self._event_count += 1
|
||||
|
||||
def get_latest_trade(self, symbol: str) -> LatestTrade | None:
|
||||
return self._latest_trade.get(symbol.upper())
|
||||
|
||||
def get_latest_quote(self, symbol: str) -> LatestQuote | None:
|
||||
return self._latest_quote.get(symbol.upper())
|
||||
|
||||
def get_window(self, symbol: str) -> RollingWindow | None:
|
||||
return self._windows.get(symbol.upper())
|
||||
|
||||
@property
|
||||
def symbols(self) -> list[str]:
|
||||
return sorted(
|
||||
set(list(self._latest_trade.keys()) + list(self._latest_quote.keys()))
|
||||
)
|
||||
|
||||
@property
|
||||
def event_count(self) -> int:
|
||||
return self._event_count
|
||||
|
||||
def to_dict(self, symbol: str) -> dict:
|
||||
"""Serialise latest state for API."""
|
||||
sym = symbol.upper()
|
||||
result: dict = {"symbol": sym}
|
||||
|
||||
trade = self._latest_trade.get(sym)
|
||||
if trade:
|
||||
result["latest_trade"] = {
|
||||
"price": trade.price,
|
||||
"size": trade.size,
|
||||
"side": trade.side,
|
||||
"provider": trade.provider,
|
||||
"ts_recv": trade.ts_recv.isoformat() if trade.ts_recv else None,
|
||||
}
|
||||
|
||||
quote = self._latest_quote.get(sym)
|
||||
if quote:
|
||||
result["latest_quote"] = {
|
||||
"bid": quote.bid,
|
||||
"ask": quote.ask,
|
||||
"bid_size": quote.bid_size,
|
||||
"ask_size": quote.ask_size,
|
||||
"provider": quote.provider,
|
||||
"ts_recv": quote.ts_recv.isoformat() if quote.ts_recv else None,
|
||||
}
|
||||
|
||||
window = self._windows.get(sym)
|
||||
if window:
|
||||
result["window"] = {
|
||||
"trades_count": len(window.trades),
|
||||
"quotes_count": len(window.quotes),
|
||||
}
|
||||
|
||||
return result
|
||||
0
services/senpai-md-consumer/tests/__init__.py
Normal file
0
services/senpai-md-consumer/tests/__init__.py
Normal file
212
services/senpai-md-consumer/tests/test_features_math.py
Normal file
212
services/senpai-md-consumer/tests/test_features_math.py
Normal file
@@ -0,0 +1,212 @@
|
||||
"""
|
||||
Test feature computations — deterministic scenarios.
|
||||
"""
|
||||
|
||||
import pytest
|
||||
|
||||
from senpai.md_consumer.features import (
|
||||
_percentile,
|
||||
_realized_vol,
|
||||
_vwap,
|
||||
check_signal,
|
||||
compute_features,
|
||||
)
|
||||
from senpai.md_consumer.models import QuoteEvent, TradeEvent
|
||||
from senpai.md_consumer.state import LatestState, TradeRecord
|
||||
|
||||
|
||||
# ── VWAP ───────────────────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_vwap_basic():
|
||||
trades = [
|
||||
TradeRecord(price=100.0, size=10.0, ts=0),
|
||||
TradeRecord(price=200.0, size=10.0, ts=0),
|
||||
]
|
||||
# VWAP = (100*10 + 200*10) / (10+10) = 150
|
||||
assert _vwap(trades) == 150.0
|
||||
|
||||
|
||||
def test_vwap_weighted():
|
||||
trades = [
|
||||
TradeRecord(price=100.0, size=90.0, ts=0),
|
||||
TradeRecord(price=200.0, size=10.0, ts=0),
|
||||
]
|
||||
# VWAP = (100*90 + 200*10) / 100 = 110
|
||||
assert _vwap(trades) == 110.0
|
||||
|
||||
|
||||
def test_vwap_empty():
|
||||
assert _vwap([]) is None
|
||||
|
||||
|
||||
def test_vwap_zero_volume():
|
||||
trades = [TradeRecord(price=100.0, size=0.0, ts=0)]
|
||||
assert _vwap(trades) is None
|
||||
|
||||
|
||||
# ── Realized volatility ───────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_realized_vol_constant_price():
|
||||
"""Constant price → 0 volatility."""
|
||||
trades = [TradeRecord(price=100.0, size=1.0, ts=0) for _ in range(10)]
|
||||
vol = _realized_vol(trades)
|
||||
assert vol is not None
|
||||
assert vol == 0.0
|
||||
|
||||
|
||||
def test_realized_vol_two_prices():
|
||||
"""Not enough data points → None."""
|
||||
trades = [
|
||||
TradeRecord(price=100.0, size=1.0, ts=0),
|
||||
TradeRecord(price=101.0, size=1.0, ts=0),
|
||||
]
|
||||
assert _realized_vol(trades) is None # needs at least 3
|
||||
|
||||
|
||||
def test_realized_vol_positive():
|
||||
"""Variable prices should give positive volatility."""
|
||||
trades = [
|
||||
TradeRecord(price=100.0, size=1.0, ts=0),
|
||||
TradeRecord(price=102.0, size=1.0, ts=0),
|
||||
TradeRecord(price=99.0, size=1.0, ts=0),
|
||||
TradeRecord(price=103.0, size=1.0, ts=0),
|
||||
]
|
||||
vol = _realized_vol(trades)
|
||||
assert vol is not None
|
||||
assert vol > 0
|
||||
|
||||
|
||||
# ── Percentile ─────────────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_percentile_basic():
|
||||
data = [1.0, 2.0, 3.0, 4.0, 5.0]
|
||||
assert _percentile(data, 50) == 3.0
|
||||
assert _percentile(data, 0) == 1.0
|
||||
assert _percentile(data, 100) == 5.0
|
||||
|
||||
|
||||
def test_percentile_p95():
|
||||
data = list(range(1, 101)) # 1..100
|
||||
data_float = [float(x) for x in data]
|
||||
p95 = _percentile(data_float, 95)
|
||||
assert 95 <= p95 <= 96
|
||||
|
||||
|
||||
# ── Full feature computation ──────────────────────────────────────────
|
||||
|
||||
|
||||
def test_compute_features_with_state():
|
||||
state = LatestState(window_seconds=60.0)
|
||||
|
||||
# Add quote
|
||||
state.update_quote(QuoteEvent(
|
||||
provider="binance",
|
||||
symbol="BTCUSDT",
|
||||
bid=70000.0,
|
||||
ask=70002.0,
|
||||
bid_size=5.0,
|
||||
ask_size=3.0,
|
||||
))
|
||||
|
||||
# Add some trades
|
||||
for i in range(5):
|
||||
state.update_trade(TradeEvent(
|
||||
provider="binance",
|
||||
symbol="BTCUSDT",
|
||||
price=70000.0 + i * 10,
|
||||
size=1.0,
|
||||
))
|
||||
|
||||
features = compute_features(state, "BTCUSDT")
|
||||
|
||||
# Mid
|
||||
assert features["mid"] == pytest.approx(70001.0)
|
||||
|
||||
# Spread
|
||||
assert features["spread_abs"] == pytest.approx(2.0)
|
||||
assert features["spread_bps"] is not None
|
||||
assert features["spread_bps"] > 0
|
||||
|
||||
# Trade count
|
||||
assert features["trade_count_10s"] == 5.0
|
||||
|
||||
# Volume
|
||||
assert features["trade_volume_10s"] == 5.0
|
||||
|
||||
# VWAP should be defined
|
||||
assert features["trade_vwap_10s"] is not None
|
||||
assert features["trade_vwap_60s"] is not None
|
||||
|
||||
|
||||
def test_compute_features_no_data():
|
||||
state = LatestState(window_seconds=60.0)
|
||||
features = compute_features(state, "BTCUSDT")
|
||||
|
||||
# All should be None
|
||||
assert features["mid"] is None
|
||||
assert features["spread_abs"] is None
|
||||
assert features["trade_vwap_10s"] is None
|
||||
|
||||
|
||||
# ── Signal detection ──────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_check_signal_long():
|
||||
"""Strong positive return + volume + tight spread → long signal."""
|
||||
features = {
|
||||
"return_10s": 0.005, # 0.5% (> 0.3% threshold)
|
||||
"trade_volume_10s": 5.0, # > 1.0 threshold
|
||||
"spread_bps": 3.0, # < 20 bps threshold
|
||||
}
|
||||
signal = check_signal(features, "BTCUSDT")
|
||||
assert signal is not None
|
||||
assert signal.direction == "long"
|
||||
assert signal.confidence > 0
|
||||
|
||||
|
||||
def test_check_signal_short():
|
||||
"""Strong negative return → short signal."""
|
||||
features = {
|
||||
"return_10s": -0.005,
|
||||
"trade_volume_10s": 5.0,
|
||||
"spread_bps": 3.0,
|
||||
}
|
||||
signal = check_signal(features, "BTCUSDT")
|
||||
assert signal is not None
|
||||
assert signal.direction == "short"
|
||||
|
||||
|
||||
def test_check_signal_no_trigger():
|
||||
"""Small return → no signal."""
|
||||
features = {
|
||||
"return_10s": 0.0001,
|
||||
"trade_volume_10s": 5.0,
|
||||
"spread_bps": 3.0,
|
||||
}
|
||||
signal = check_signal(features, "BTCUSDT")
|
||||
assert signal is None
|
||||
|
||||
|
||||
def test_check_signal_wide_spread():
|
||||
"""Wide spread → no signal (even with strong return)."""
|
||||
features = {
|
||||
"return_10s": 0.01,
|
||||
"trade_volume_10s": 5.0,
|
||||
"spread_bps": 50.0, # > 20 bps
|
||||
}
|
||||
signal = check_signal(features, "BTCUSDT")
|
||||
assert signal is None
|
||||
|
||||
|
||||
def test_check_signal_low_volume():
|
||||
"""Low volume → no signal."""
|
||||
features = {
|
||||
"return_10s": 0.01,
|
||||
"trade_volume_10s": 0.1, # < 1.0
|
||||
"spread_bps": 3.0,
|
||||
}
|
||||
signal = check_signal(features, "BTCUSDT")
|
||||
assert signal is None
|
||||
154
services/senpai-md-consumer/tests/test_models_parse.py
Normal file
154
services/senpai-md-consumer/tests/test_models_parse.py
Normal file
@@ -0,0 +1,154 @@
|
||||
"""
|
||||
Test event parsing from JSON payloads (mirrors market-data-service contracts).
|
||||
"""
|
||||
import json
|
||||
|
||||
|
||||
from senpai.md_consumer.models import (
|
||||
EventType,
|
||||
TradeEvent,
|
||||
QuoteEvent,
|
||||
HeartbeatEvent,
|
||||
parse_event,
|
||||
)
|
||||
|
||||
|
||||
# ── Trade events ───────────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_parse_trade_basic():
|
||||
data = {
|
||||
"event_type": "trade",
|
||||
"provider": "binance",
|
||||
"symbol": "BTCUSDT",
|
||||
"price": 70500.0,
|
||||
"size": 1.5,
|
||||
"ts_recv": "2026-02-09T12:00:00+00:00",
|
||||
}
|
||||
event = parse_event(data)
|
||||
assert event is not None
|
||||
assert isinstance(event, TradeEvent)
|
||||
assert event.event_type == EventType.TRADE
|
||||
assert event.symbol == "BTCUSDT"
|
||||
assert event.price == 70500.0
|
||||
assert event.size == 1.5
|
||||
assert event.provider == "binance"
|
||||
|
||||
|
||||
def test_parse_trade_with_extra_fields():
|
||||
"""Unknown fields should be silently ignored (tolerant parsing)."""
|
||||
data = {
|
||||
"event_type": "trade",
|
||||
"provider": "bybit",
|
||||
"symbol": "ETHUSDT",
|
||||
"price": 2100.0,
|
||||
"size": 10.0,
|
||||
"ts_recv": "2026-02-09T12:00:00+00:00",
|
||||
"unknown_field": "should_be_ignored",
|
||||
"another_extra": 42,
|
||||
}
|
||||
event = parse_event(data)
|
||||
assert event is not None
|
||||
assert event.symbol == "ETHUSDT"
|
||||
|
||||
|
||||
def test_parse_trade_with_side_and_exchange_ts():
|
||||
data = {
|
||||
"event_type": "trade",
|
||||
"provider": "binance",
|
||||
"symbol": "BTCUSDT",
|
||||
"price": 70000.0,
|
||||
"size": 0.5,
|
||||
"side": "buy",
|
||||
"ts_exchange": "2026-02-09T12:00:00+00:00",
|
||||
"ts_recv": "2026-02-09T12:00:00.100+00:00",
|
||||
"trade_id": "t12345",
|
||||
}
|
||||
event = parse_event(data)
|
||||
assert event.side == "buy"
|
||||
assert event.trade_id == "t12345"
|
||||
assert event.ts_exchange is not None
|
||||
|
||||
|
||||
# ── Quote events ───────────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_parse_quote_basic():
|
||||
data = {
|
||||
"event_type": "quote",
|
||||
"provider": "binance",
|
||||
"symbol": "BTCUSDT",
|
||||
"bid": 70000.0,
|
||||
"ask": 70001.0,
|
||||
"bid_size": 5.0,
|
||||
"ask_size": 3.0,
|
||||
"ts_recv": "2026-02-09T12:00:00+00:00",
|
||||
}
|
||||
event = parse_event(data)
|
||||
assert isinstance(event, QuoteEvent)
|
||||
assert event.bid == 70000.0
|
||||
assert event.ask == 70001.0
|
||||
|
||||
|
||||
def test_parse_quote_zero_values():
|
||||
data = {
|
||||
"event_type": "quote",
|
||||
"provider": "binance",
|
||||
"symbol": "BTCUSDT",
|
||||
"bid": 0.0,
|
||||
"ask": 0.0,
|
||||
"bid_size": 0.0,
|
||||
"ask_size": 0.0,
|
||||
}
|
||||
event = parse_event(data)
|
||||
assert event is not None
|
||||
assert event.bid == 0.0
|
||||
|
||||
|
||||
# ── Heartbeat events ──────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_parse_heartbeat():
|
||||
data = {
|
||||
"event_type": "heartbeat",
|
||||
"provider": "alpaca",
|
||||
"ts_recv": "2026-02-09T12:00:00+00:00",
|
||||
}
|
||||
event = parse_event(data)
|
||||
assert isinstance(event, HeartbeatEvent)
|
||||
assert event.provider == "alpaca"
|
||||
|
||||
|
||||
# ── Edge cases ─────────────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_parse_unknown_type():
|
||||
data = {"event_type": "unknown_type", "provider": "test"}
|
||||
event = parse_event(data)
|
||||
assert event is None
|
||||
|
||||
|
||||
def test_parse_missing_type():
|
||||
data = {"provider": "test", "symbol": "BTC"}
|
||||
event = parse_event(data)
|
||||
assert event is None
|
||||
|
||||
|
||||
def test_parse_invalid_data():
|
||||
data = {"event_type": "trade"} # missing required fields
|
||||
event = parse_event(data)
|
||||
assert event is None
|
||||
|
||||
|
||||
def test_parse_empty_dict():
|
||||
event = parse_event({})
|
||||
assert event is None
|
||||
|
||||
|
||||
def test_parse_from_json_bytes():
|
||||
"""Simulate actual NATS message deserialization."""
|
||||
raw = b'{"event_type":"trade","provider":"binance","symbol":"BTCUSDT","price":70500.0,"size":1.5}'
|
||||
data = json.loads(raw)
|
||||
event = parse_event(data)
|
||||
assert event is not None
|
||||
assert event.price == 70500.0
|
||||
111
services/senpai-md-consumer/tests/test_rate_limit.py
Normal file
111
services/senpai-md-consumer/tests/test_rate_limit.py
Normal file
@@ -0,0 +1,111 @@
|
||||
"""
|
||||
Test publisher rate limiting.
|
||||
"""
|
||||
from unittest.mock import AsyncMock
|
||||
|
||||
import pytest
|
||||
|
||||
from senpai.md_consumer.publisher import Publisher
|
||||
from senpai.md_consumer.models import FeatureSnapshot, TradeSignal
|
||||
|
||||
|
||||
@pytest.fixture
|
||||
def mock_nc():
|
||||
"""Mock NATS client."""
|
||||
nc = AsyncMock()
|
||||
nc.publish = AsyncMock()
|
||||
return nc
|
||||
|
||||
|
||||
@pytest.fixture
|
||||
def publisher(mock_nc):
|
||||
return Publisher(mock_nc)
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_publish_features_respects_rate_limit(mock_nc, publisher):
|
||||
"""Second publish for same symbol within rate window should be skipped."""
|
||||
snapshot = FeatureSnapshot(
|
||||
symbol="BTCUSDT",
|
||||
features={"mid": 70000.0},
|
||||
)
|
||||
|
||||
# First publish should succeed
|
||||
result1 = await publisher.publish_features(snapshot)
|
||||
assert result1 is True
|
||||
|
||||
# Immediate second publish should be rate-limited
|
||||
result2 = await publisher.publish_features(snapshot)
|
||||
assert result2 is False # rate-limited
|
||||
|
||||
# Only one actual NATS publish
|
||||
assert mock_nc.publish.call_count == 1
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_publish_features_different_symbols(mock_nc, publisher):
|
||||
"""Different symbols have independent rate limiters."""
|
||||
snap1 = FeatureSnapshot(symbol="BTCUSDT", features={"mid": 70000.0})
|
||||
snap2 = FeatureSnapshot(symbol="ETHUSDT", features={"mid": 2000.0})
|
||||
|
||||
r1 = await publisher.publish_features(snap1)
|
||||
r2 = await publisher.publish_features(snap2)
|
||||
|
||||
assert r1 is True
|
||||
assert r2 is True
|
||||
assert mock_nc.publish.call_count == 2
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_publish_signal_no_rate_limit(mock_nc, publisher):
|
||||
"""Signals are NOT rate limited."""
|
||||
signal = TradeSignal(
|
||||
symbol="BTCUSDT",
|
||||
direction="long",
|
||||
confidence=0.8,
|
||||
reason="test",
|
||||
)
|
||||
|
||||
r1 = await publisher.publish_signal(signal)
|
||||
r2 = await publisher.publish_signal(signal)
|
||||
|
||||
assert r1 is True
|
||||
assert r2 is True
|
||||
assert mock_nc.publish.call_count == 2
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_publish_features_after_rate_window(mock_nc, publisher):
|
||||
"""After rate window passes, publish should succeed again."""
|
||||
# Override min interval to something very small for testing
|
||||
publisher._min_interval = 0.01 # 10ms
|
||||
|
||||
snapshot = FeatureSnapshot(
|
||||
symbol="BTCUSDT",
|
||||
features={"mid": 70000.0},
|
||||
)
|
||||
|
||||
r1 = await publisher.publish_features(snapshot)
|
||||
assert r1 is True
|
||||
|
||||
# Wait for rate window to pass
|
||||
import asyncio
|
||||
await asyncio.sleep(0.02)
|
||||
|
||||
r2 = await publisher.publish_features(snapshot)
|
||||
assert r2 is True
|
||||
assert mock_nc.publish.call_count == 2
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_publish_handles_nats_error(mock_nc, publisher):
|
||||
"""NATS publish error should not raise, just return False."""
|
||||
mock_nc.publish.side_effect = Exception("NATS down")
|
||||
|
||||
snapshot = FeatureSnapshot(
|
||||
symbol="BTCUSDT",
|
||||
features={"mid": 70000.0},
|
||||
)
|
||||
|
||||
result = await publisher.publish_features(snapshot)
|
||||
assert result is False
|
||||
138
services/senpai-md-consumer/tests/test_state_rolling.py
Normal file
138
services/senpai-md-consumer/tests/test_state_rolling.py
Normal file
@@ -0,0 +1,138 @@
|
||||
"""
|
||||
Test state management — LatestState and RollingWindow.
|
||||
"""
|
||||
import time
|
||||
|
||||
|
||||
from senpai.md_consumer.state import (
|
||||
LatestState,
|
||||
RollingWindow,
|
||||
TradeRecord,
|
||||
)
|
||||
from senpai.md_consumer.models import TradeEvent, QuoteEvent
|
||||
|
||||
|
||||
# ── RollingWindow ──────────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_rolling_window_add_trade():
|
||||
w = RollingWindow(window_seconds=60.0)
|
||||
t = TradeRecord(price=100.0, size=1.0, ts=time.monotonic())
|
||||
w.add_trade(t)
|
||||
assert len(w.trades) == 1
|
||||
assert w.trades[0].price == 100.0
|
||||
|
||||
|
||||
def test_rolling_window_eviction():
|
||||
"""Old records should be evicted."""
|
||||
w = RollingWindow(window_seconds=1.0) # 1 second window
|
||||
|
||||
old_ts = time.monotonic() - 2.0 # 2 seconds ago
|
||||
w.add_trade(TradeRecord(price=100.0, size=1.0, ts=old_ts))
|
||||
w.add_trade(TradeRecord(price=200.0, size=2.0, ts=time.monotonic()))
|
||||
|
||||
# Old record should be evicted
|
||||
trades = list(w.trades)
|
||||
assert len(trades) == 1
|
||||
assert trades[0].price == 200.0
|
||||
|
||||
|
||||
def test_rolling_window_trades_since():
|
||||
w = RollingWindow(window_seconds=60.0)
|
||||
now = time.monotonic()
|
||||
|
||||
# Add trades at different times
|
||||
w.add_trade(TradeRecord(price=100.0, size=1.0, ts=now - 30)) # 30s ago
|
||||
w.add_trade(TradeRecord(price=200.0, size=2.0, ts=now - 5)) # 5s ago
|
||||
w.add_trade(TradeRecord(price=300.0, size=3.0, ts=now)) # now
|
||||
|
||||
last_10s = w.trades_since(10.0)
|
||||
assert len(last_10s) == 2 # 5s ago + now
|
||||
assert last_10s[0].price == 200.0
|
||||
|
||||
|
||||
def test_rolling_window_empty():
|
||||
w = RollingWindow(window_seconds=60.0)
|
||||
assert len(w.trades) == 0
|
||||
assert len(w.quotes) == 0
|
||||
assert w.trades_since(10.0) == []
|
||||
|
||||
|
||||
# ── LatestState ────────────────────────────────────────────────────────
|
||||
|
||||
|
||||
def test_latest_state_update_trade():
|
||||
state = LatestState(window_seconds=60.0)
|
||||
|
||||
event = TradeEvent(
|
||||
provider="binance",
|
||||
symbol="BTCUSDT",
|
||||
price=70500.0,
|
||||
size=1.5,
|
||||
side="buy",
|
||||
)
|
||||
state.update_trade(event)
|
||||
|
||||
latest = state.get_latest_trade("BTCUSDT")
|
||||
assert latest is not None
|
||||
assert latest.price == 70500.0
|
||||
assert latest.side == "buy"
|
||||
assert state.event_count == 1
|
||||
|
||||
|
||||
def test_latest_state_update_quote():
|
||||
state = LatestState(window_seconds=60.0)
|
||||
|
||||
event = QuoteEvent(
|
||||
provider="binance",
|
||||
symbol="BTCUSDT",
|
||||
bid=70000.0,
|
||||
ask=70001.0,
|
||||
bid_size=5.0,
|
||||
ask_size=3.0,
|
||||
)
|
||||
state.update_quote(event)
|
||||
|
||||
latest = state.get_latest_quote("BTCUSDT")
|
||||
assert latest is not None
|
||||
assert latest.bid == 70000.0
|
||||
assert latest.ask == 70001.0
|
||||
|
||||
|
||||
def test_latest_state_symbols():
|
||||
state = LatestState(window_seconds=60.0)
|
||||
|
||||
state.update_trade(TradeEvent(
|
||||
provider="binance", symbol="BTCUSDT", price=100.0, size=1.0
|
||||
))
|
||||
state.update_quote(QuoteEvent(
|
||||
provider="binance", symbol="ETHUSDT",
|
||||
bid=2000.0, ask=2001.0, bid_size=1.0, ask_size=1.0,
|
||||
))
|
||||
|
||||
assert "BTCUSDT" in state.symbols
|
||||
assert "ETHUSDT" in state.symbols
|
||||
|
||||
|
||||
def test_latest_state_to_dict():
|
||||
state = LatestState(window_seconds=60.0)
|
||||
|
||||
state.update_trade(TradeEvent(
|
||||
provider="binance", symbol="BTCUSDT", price=70500.0, size=1.0
|
||||
))
|
||||
state.update_quote(QuoteEvent(
|
||||
provider="binance", symbol="BTCUSDT",
|
||||
bid=70000.0, ask=70001.0, bid_size=1.0, ask_size=1.0,
|
||||
))
|
||||
|
||||
d = state.to_dict("BTCUSDT")
|
||||
assert d["symbol"] == "BTCUSDT"
|
||||
assert "latest_trade" in d
|
||||
assert "latest_quote" in d
|
||||
assert d["latest_trade"]["price"] == 70500.0
|
||||
|
||||
|
||||
def test_latest_state_missing_symbol():
|
||||
state = LatestState(window_seconds=60.0)
|
||||
assert state.get_latest_trade("NOPE") is None
|
||||
assert state.get_latest_quote("NOPE") is None
|
||||
Reference in New Issue
Block a user