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
2026-02-09 11:46:15 -08:00
parent c50843933f
commit 09dee24342
47 changed files with 3930 additions and 56 deletions

View File

@@ -3,6 +3,10 @@
# ── Binance (no key needed for public WebSocket) ──────────────────────
BINANCE_WS_URL=wss://stream.binance.com:9443/ws
# BINANCE_REST_URL=https://api.binance.com
# ── Bybit (backup crypto — no key needed) ────────────────────────────
BYBIT_WS_URL=wss://stream.bybit.com/v5/public/spot
# ── Alpaca (paper trading — free) ─────────────────────────────────────
# Get free paper keys at: https://app.alpaca.markets/paper/dashboard/overview
@@ -22,9 +26,17 @@ RECONNECT_BASE_DELAY=1.0
RECONNECT_MAX_DELAY=60.0
HEARTBEAT_TIMEOUT=30.0
# ── HTTP Server ───────────────────────────────────────────────────────
# ── HTTP Server / Metrics ─────────────────────────────────────────────
HTTP_HOST=0.0.0.0
HTTP_PORT=8891
METRICS_ENABLED=true
# ── NATS Output (SenpAI integration) ─────────────────────────────────
# Enable to push events to NATS for SenpAI consumption
# Subject schema: md.events.{type}.{symbol} e.g. md.events.trade.BTCUSDT
NATS_URL=nats://localhost:4222
NATS_SUBJECT_PREFIX=md.events
NATS_ENABLED=false
# ── Logging ───────────────────────────────────────────────────────────
LOG_LEVEL=INFO