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>
155 lines
4.3 KiB
Python
155 lines
4.3 KiB
Python
"""
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Test event parsing from JSON payloads (mirrors market-data-service contracts).
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"""
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import json
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from senpai.md_consumer.models import (
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EventType,
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TradeEvent,
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QuoteEvent,
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HeartbeatEvent,
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parse_event,
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)
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# ── Trade events ───────────────────────────────────────────────────────
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def test_parse_trade_basic():
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data = {
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"event_type": "trade",
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"provider": "binance",
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"symbol": "BTCUSDT",
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"price": 70500.0,
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"size": 1.5,
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"ts_recv": "2026-02-09T12:00:00+00:00",
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}
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event = parse_event(data)
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assert event is not None
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assert isinstance(event, TradeEvent)
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assert event.event_type == EventType.TRADE
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assert event.symbol == "BTCUSDT"
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assert event.price == 70500.0
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assert event.size == 1.5
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assert event.provider == "binance"
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def test_parse_trade_with_extra_fields():
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"""Unknown fields should be silently ignored (tolerant parsing)."""
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data = {
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"event_type": "trade",
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"provider": "bybit",
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"symbol": "ETHUSDT",
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"price": 2100.0,
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"size": 10.0,
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"ts_recv": "2026-02-09T12:00:00+00:00",
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"unknown_field": "should_be_ignored",
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"another_extra": 42,
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}
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event = parse_event(data)
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assert event is not None
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assert event.symbol == "ETHUSDT"
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def test_parse_trade_with_side_and_exchange_ts():
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data = {
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"event_type": "trade",
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"provider": "binance",
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"symbol": "BTCUSDT",
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"price": 70000.0,
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"size": 0.5,
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"side": "buy",
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"ts_exchange": "2026-02-09T12:00:00+00:00",
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"ts_recv": "2026-02-09T12:00:00.100+00:00",
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"trade_id": "t12345",
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}
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event = parse_event(data)
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assert event.side == "buy"
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assert event.trade_id == "t12345"
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assert event.ts_exchange is not None
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# ── Quote events ───────────────────────────────────────────────────────
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def test_parse_quote_basic():
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data = {
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"event_type": "quote",
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"provider": "binance",
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"symbol": "BTCUSDT",
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"bid": 70000.0,
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"ask": 70001.0,
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"bid_size": 5.0,
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"ask_size": 3.0,
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"ts_recv": "2026-02-09T12:00:00+00:00",
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}
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event = parse_event(data)
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assert isinstance(event, QuoteEvent)
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assert event.bid == 70000.0
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assert event.ask == 70001.0
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def test_parse_quote_zero_values():
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data = {
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"event_type": "quote",
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"provider": "binance",
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"symbol": "BTCUSDT",
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"bid": 0.0,
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"ask": 0.0,
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"bid_size": 0.0,
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"ask_size": 0.0,
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}
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event = parse_event(data)
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assert event is not None
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assert event.bid == 0.0
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# ── Heartbeat events ──────────────────────────────────────────────────
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def test_parse_heartbeat():
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data = {
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"event_type": "heartbeat",
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"provider": "alpaca",
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"ts_recv": "2026-02-09T12:00:00+00:00",
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}
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event = parse_event(data)
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assert isinstance(event, HeartbeatEvent)
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assert event.provider == "alpaca"
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# ── Edge cases ─────────────────────────────────────────────────────────
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def test_parse_unknown_type():
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data = {"event_type": "unknown_type", "provider": "test"}
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event = parse_event(data)
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assert event is None
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def test_parse_missing_type():
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data = {"provider": "test", "symbol": "BTC"}
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event = parse_event(data)
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assert event is None
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def test_parse_invalid_data():
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data = {"event_type": "trade"} # missing required fields
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event = parse_event(data)
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assert event is None
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def test_parse_empty_dict():
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event = parse_event({})
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assert event is None
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def test_parse_from_json_bytes():
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"""Simulate actual NATS message deserialization."""
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raw = b'{"event_type":"trade","provider":"binance","symbol":"BTCUSDT","price":70500.0,"size":1.5}'
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data = json.loads(raw)
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event = parse_event(data)
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assert event is not None
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assert event.price == 70500.0
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