microdao-daarion/services/market-data-service/app/providers/alpaca.py

"""
Alpaca Markets provider — paper trading + IEX real-time data.

Requires ALPACA_KEY + ALPACA_SECRET in .env for live mode.
Falls back to dry-run mode if keys are not configured.

Subscribes to:
- trades   → TradeEvent
- quotes   → QuoteEvent

Alpaca WebSocket protocol:
  wss://stream.data.alpaca.markets/v2/iex
  Auth → subscribe → stream messages
"""
from __future__ import annotations

import asyncio
import json
import logging
from datetime import datetime
from typing import AsyncIterator

import websockets
from websockets.exceptions import ConnectionClosed

from app.config import settings
from app.domain.events import (
    Event,
    HeartbeatEvent,
    QuoteEvent,
    TradeEvent,
)
from app.providers import MarketDataProvider

logger = logging.getLogger(__name__)


def _iso_to_dt(ts_str: str | None) -> datetime | None:
    """Parse Alpaca ISO-8601 timestamp to UTC datetime."""
    if not ts_str:
        return None
    try:
        # Alpaca uses RFC3339 with Z or +00:00
        ts_str = ts_str.replace("Z", "+00:00")
        return datetime.fromisoformat(ts_str)
    except (ValueError, TypeError):
        return None


class AlpacaProvider(MarketDataProvider):
    """
    Alpaca IEX real-time data + paper trading integration.

    In dry-run mode (no keys), generates synthetic heartbeats
    and logs a warning — useful for testing the pipeline without keys.
    """

    name = "alpaca"

    def __init__(self) -> None:
        self._ws: websockets.WebSocketClientProtocol | None = None
        self._symbols: list[str] = []
        self._connected = False
        self._authenticated = False
        self._reconnect_count = 0
        self._dry_run = not settings.alpaca_configured or settings.alpaca_dry_run

    async def connect(self) -> None:
        """Establish WebSocket connection and authenticate."""
        if self._dry_run:
            logger.warning(
                "alpaca.dry_run_mode",
                extra={"reason": "No ALPACA_KEY/ALPACA_SECRET or dry_run=True"},
            )
            self._connected = True
            return

        url = settings.alpaca_data_ws_url
        logger.info("alpaca.connecting", extra={"url": url})

        self._ws = await websockets.connect(
            url,
            ping_interval=20,
            ping_timeout=10,
            close_timeout=5,
        )

        # Read welcome message
        welcome = await self._ws.recv()
        welcome_data = json.loads(welcome)
        logger.info("alpaca.welcome", extra={"msg": welcome_data})

        # Authenticate
        auth_msg = {
            "action": "auth",
            "key": settings.alpaca_key,
            "secret": settings.alpaca_secret,
        }
        await self._ws.send(json.dumps(auth_msg))

        auth_resp = await self._ws.recv()
        auth_data = json.loads(auth_resp)
        logger.info("alpaca.auth_response", extra={"msg": auth_data})

        # Check auth result
        if isinstance(auth_data, list):
            for msg in auth_data:
                if msg.get("T") == "error":
                    raise ConnectionError(f"Alpaca auth failed: {msg}")
                if msg.get("T") == "success" and msg.get("msg") == "authenticated":
                    self._authenticated = True

        self._connected = True
        logger.info("alpaca.connected", extra={"authenticated": self._authenticated})

    async def subscribe(self, symbols: list[str]) -> None:
        """Subscribe to trades + quotes for symbols."""
        self._symbols = [s.upper() for s in symbols]

        if self._dry_run:
            logger.info(
                "alpaca.dry_run_subscribe",
                extra={"symbols": self._symbols},
            )
            return

        if not self._ws:
            raise RuntimeError("Not connected.")

        sub_msg = {
            "action": "subscribe",
            "trades": self._symbols,
            "quotes": self._symbols,
        }
        await self._ws.send(json.dumps(sub_msg))

        # Read subscription confirmation
        sub_resp = await self._ws.recv()
        logger.info("alpaca.subscribed", extra={"response": json.loads(sub_resp)})

    async def stream(self) -> AsyncIterator[Event]:
        """Yield domain events. Dry-run mode emits periodic heartbeats."""
        if self._dry_run:
            async for event in self._dry_run_stream():
                yield event
            return

        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("alpaca.heartbeat_timeout")
                    self._connected = False
                    continue

                backoff = settings.reconnect_base_delay
                messages = json.loads(raw)

                # Alpaca sends arrays of messages
                if not isinstance(messages, list):
                    messages = [messages]

                for msg in messages:
                    event = self._parse(msg)
                    if event:
                        yield event

            except ConnectionClosed as e:
                logger.warning(
                    "alpaca.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("alpaca.stream_error", extra={"error": str(e)})
                self._connected = False
                backoff = min(backoff * 2, settings.reconnect_max_delay)

    async def _dry_run_stream(self) -> AsyncIterator[Event]:
        """Emit heartbeats in dry-run mode (no real data)."""
        logger.info("alpaca.dry_run_stream_started")
        while True:
            yield HeartbeatEvent(provider=self.name)
            await asyncio.sleep(5.0)

    async def _reconnect(self, delay: float) -> None:
        self._reconnect_count += 1
        logger.info(
            "alpaca.reconnecting",
            extra={"delay": delay, "attempt": self._reconnect_count},
        )
        await asyncio.sleep(delay)

        try:
            if self._ws:
                await self._ws.close()
        except Exception:
            pass

        self._authenticated = False
        await self.connect()
        if self._symbols:
            await self.subscribe(self._symbols)

    def _parse(self, msg: dict) -> Event | None:
        """Parse single Alpaca message into domain event."""
        msg_type = msg.get("T")

        if msg_type == "t":
            return self._parse_trade(msg)
        elif msg_type == "q":
            return self._parse_quote(msg)
        elif msg_type in ("success", "subscription", "error"):
            # Control messages — skip
            return None

        return None

    def _parse_trade(self, data: dict) -> TradeEvent:
        """
        Alpaca trade:
        {"T":"t", "S":"AAPL", "p":150.25, "s":100, "t":"2024-01-15T...", "i":12345, ...}
        """
        return TradeEvent(
            provider=self.name,
            symbol=data.get("S", "").upper(),
            price=float(data.get("p", 0)),
            size=float(data.get("s", 0)),
            ts_exchange=_iso_to_dt(data.get("t")),
            trade_id=str(data.get("i", "")),
        )

    def _parse_quote(self, data: dict) -> QuoteEvent:
        """
        Alpaca quote:
        {"T":"q", "S":"AAPL", "bp":150.24, "bs":200, "ap":150.26, "as":100,
         "t":"2024-01-15T...", ...}
        """
        return QuoteEvent(
            provider=self.name,
            symbol=data.get("S", "").upper(),
            bid=float(data.get("bp", 0)),
            ask=float(data.get("ap", 0)),
            bid_size=float(data.get("bs", 0)),
            ask_size=float(data.get("as", 0)),
            ts_exchange=_iso_to_dt(data.get("t")),
        )

    async def close(self) -> None:
        self._connected = False
        if self._ws:
            try:
                await self._ws.close()
            except Exception:
                pass
        logger.info(
            "alpaca.closed",
            extra={"reconnect_count": self._reconnect_count},
        )