Apple
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c50843933f
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feat: market-data-service for SenpAI trading agent
New service: real-time market data collection with unified event model.
Architecture:
- Domain events: TradeEvent, QuoteEvent, BookL2Event, HeartbeatEvent
- Provider interface: MarketDataProvider ABC with connect/subscribe/stream/close
- Async EventBus with fan-out to multiple consumers
Providers:
- BinanceProvider: public WebSocket (trades + bookTicker), no API key needed,
auto-reconnect with exponential backoff, heartbeat timeout detection
- AlpacaProvider: IEX real-time data + paper trading auth,
dry-run mode when no keys configured (heartbeats only)
Consumers:
- StorageConsumer: SQLite (via SQLAlchemy async) + JSONL append-only log
- MetricsConsumer: Prometheus counters, latency histograms, events/sec gauge
- PrintConsumer: sampled structured logging (1/100 events)
CLI: python -m app run --provider binance --symbols BTCUSDT,ETHUSDT
HTTP: /health, /metrics (Prometheus), /latest?symbol=XXX
Tests: 19/19 passed (Binance parse, Alpaca parse, bus smoke tests)
Config: pydantic-settings + .env, all secrets via environment variables.
Co-authored-by: Cursor <cursoragent@cursor.com>
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2026-02-09 11:19:00 -08:00 |
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