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>
58 lines
1.6 KiB
Python
58 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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registry: dict[str, type[MarketDataProvider]] = {
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"binance": BinanceProvider,
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"alpaca": AlpacaProvider,
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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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