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>
98 lines
2.9 KiB
Python
98 lines
2.9 KiB
Python
"""
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Unit tests for Binance raw → domain event parsing.
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"""
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import pytest
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from app.providers.binance import BinanceProvider
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from app.domain.events import EventType
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@pytest.fixture
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def provider():
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return BinanceProvider()
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# ── Trade parsing ──────────────────────────────────────────────────────
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BINANCE_TRADE_RAW = {
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"e": "trade",
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"E": 1672515782136,
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"s": "BTCUSDT",
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"t": 123456789,
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"p": "42500.50",
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"q": "0.015",
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"T": 1672515782135,
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"m": True,
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}
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def test_parse_trade_basic(provider):
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event = provider._parse(BINANCE_TRADE_RAW)
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assert event is not None
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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 == 42500.50
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assert event.size == 0.015
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assert event.side == "sell" # m=True → seller is maker → trade is sell
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assert event.trade_id == "123456789"
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assert event.provider == "binance"
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def test_parse_trade_ts_exchange(provider):
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event = provider._parse(BINANCE_TRADE_RAW)
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assert event.ts_exchange is not None
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# 1672515782135 ms → 2022-12-31 or 2023-01-01 (depending on TZ)
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assert event.ts_exchange.year >= 2022
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def test_parse_trade_buy_side(provider):
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raw = {**BINANCE_TRADE_RAW, "m": False}
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event = provider._parse(raw)
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assert event.side == "buy"
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# ── BookTicker (Quote) parsing ─────────────────────────────────────────
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BINANCE_BOOKTICKER_RAW = {
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"u": 400900217,
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"s": "ETHUSDT",
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"b": "2150.25000000",
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"B": "31.21000000",
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"a": "2150.50000000",
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"A": "40.66000000",
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}
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def test_parse_bookticker(provider):
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event = provider._parse(BINANCE_BOOKTICKER_RAW)
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assert event is not None
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assert event.event_type == EventType.QUOTE
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assert event.symbol == "ETHUSDT"
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assert event.bid == 2150.25
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assert event.ask == 2150.50
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assert event.bid_size == 31.21
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assert event.ask_size == 40.66
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assert event.provider == "binance"
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# ── Edge cases ─────────────────────────────────────────────────────────
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def test_parse_unknown_event(provider):
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raw = {"e": "aggTrade", "s": "BTCUSDT", "p": "100"}
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event = provider._parse(raw)
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assert event is None
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def test_parse_subscription_confirmation(provider):
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raw = {"result": None, "id": 1}
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# This is handled in stream(), not _parse(), so _parse should return None
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event = provider._parse(raw)
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assert event is None
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def test_parse_empty_values(provider):
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raw = {"e": "trade", "s": "", "p": "0", "q": "0", "T": None, "m": True, "t": ""}
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event = provider._parse(raw)
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assert event is not None
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assert event.price == 0.0
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assert event.symbol == ""
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