c50843933f
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>
54 lines
2.3 KiB
Python
54 lines
2.3 KiB
Python
"""
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Configuration via pydantic-settings.
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All secrets come from .env; no defaults for sensitive keys.
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"""
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from __future__ import annotations
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from pydantic_settings import BaseSettings, SettingsConfigDict
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class Settings(BaseSettings):
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model_config = SettingsConfigDict(
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env_file=".env",
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env_file_encoding="utf-8",
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extra="ignore",
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)
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# ── Binance (no key needed for public WS) ──────────────────────────
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binance_ws_url: str = "wss://stream.binance.com:9443/ws"
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binance_rest_url: str = "https://api.binance.com"
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# ── Alpaca (paper trading — free tier) ─────────────────────────────
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alpaca_key: str = ""
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alpaca_secret: str = ""
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alpaca_base_url: str = "https://paper-api.alpaca.markets"
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alpaca_data_ws_url: str = "wss://stream.data.alpaca.markets/v2/iex"
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alpaca_dry_run: bool = True # True = skip real API calls if no keys
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# ── Storage ────────────────────────────────────────────────────────
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sqlite_url: str = "sqlite+aiosqlite:///market_data.db"
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jsonl_path: str = "events.jsonl"
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# ── Reliability ────────────────────────────────────────────────────
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reconnect_max_retries: int = 20
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reconnect_base_delay: float = 1.0 # seconds, exponential backoff
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reconnect_max_delay: float = 60.0
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heartbeat_timeout: float = 30.0 # no-message timeout → reconnect
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# ── Metrics / HTTP ─────────────────────────────────────────────────
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http_host: str = "0.0.0.0"
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http_port: int = 8891
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metrics_enabled: bool = True
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# ── Logging ────────────────────────────────────────────────────────
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log_level: str = "INFO"
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log_sample_rate: int = 100 # PrintConsumer: log 1 out of N events
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@property
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def alpaca_configured(self) -> bool:
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return bool(self.alpaca_key and self.alpaca_secret)
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settings = Settings()
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