09dee24342
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>
60 lines
1.6 KiB
Python
60 lines
1.6 KiB
Python
"""
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Market data provider interface and registry.
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To add a new provider:
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1. Create providers/your_provider.py
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2. Subclass MarketDataProvider
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3. Register in PROVIDER_REGISTRY below
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"""
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from __future__ import annotations
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from abc import ABC, abstractmethod
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from typing import AsyncIterator
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from app.domain.events import Event
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class MarketDataProvider(ABC):
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"""
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Base class for all market-data feed adapters.
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Lifecycle: connect() → subscribe() → stream() → close()
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"""
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name: str = "unknown"
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@abstractmethod
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async def connect(self) -> None:
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"""Establish connection to the data source."""
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@abstractmethod
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async def subscribe(self, symbols: list[str]) -> None:
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"""Subscribe to symbols. May be called after reconnect."""
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@abstractmethod
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async def stream(self) -> AsyncIterator[Event]:
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"""Yield normalized domain events. Must handle reconnect internally."""
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yield # type: ignore
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@abstractmethod
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async def close(self) -> None:
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"""Graceful shutdown."""
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def get_provider(name: str) -> MarketDataProvider:
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"""Factory: instantiate provider by name."""
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from app.providers.binance import BinanceProvider
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from app.providers.alpaca import AlpacaProvider
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from app.providers.bybit import BybitProvider
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registry: dict[str, type[MarketDataProvider]] = {
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"binance": BinanceProvider,
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"alpaca": AlpacaProvider,
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"bybit": BybitProvider,
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}
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cls = registry.get(name.lower())
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if cls is None:
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available = ", ".join(registry.keys())
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raise ValueError(f"Unknown provider '{name}'. Available: {available}")
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return cls()
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