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>
90 lines
2.0 KiB
Python
90 lines
2.0 KiB
Python
"""
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Unified domain events for market data.
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All providers normalize raw messages into these canonical types.
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Timestamps are always UTC. ts_exchange may be None if the source
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doesn't provide exchange timestamps.
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"""
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from __future__ import annotations
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import time
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from datetime import datetime, timezone
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from enum import Enum
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from typing import Optional
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from pydantic import BaseModel, Field
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class EventType(str, Enum):
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TRADE = "trade"
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QUOTE = "quote"
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BOOK_L2 = "book_l2"
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HEARTBEAT = "heartbeat"
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def _utc_now() -> datetime:
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return datetime.now(timezone.utc)
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def _mono_ns() -> int:
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"""Monotonic nanoseconds for internal latency measurement."""
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return time.monotonic_ns()
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class BaseEvent(BaseModel):
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"""Common fields for every market-data event."""
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event_type: EventType
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provider: str
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ts_recv: datetime = Field(default_factory=_utc_now)
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ts_recv_mono_ns: int = Field(default_factory=_mono_ns)
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class TradeEvent(BaseEvent):
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"""A single matched trade (fill)."""
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event_type: EventType = EventType.TRADE
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symbol: str
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price: float
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size: float
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ts_exchange: Optional[datetime] = None
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side: Optional[str] = None # "buy" | "sell" | None
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trade_id: Optional[str] = None
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class QuoteEvent(BaseEvent):
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"""Best bid/ask (top-of-book)."""
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event_type: EventType = EventType.QUOTE
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symbol: str
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bid: float
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ask: float
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bid_size: float
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ask_size: float
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ts_exchange: Optional[datetime] = None
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class BookLevel(BaseModel):
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price: float
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size: float
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class BookL2Event(BaseEvent):
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"""L2 order-book snapshot (partial depth)."""
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event_type: EventType = EventType.BOOK_L2
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symbol: str
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bids: list[BookLevel] = Field(default_factory=list)
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asks: list[BookLevel] = Field(default_factory=list)
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ts_exchange: Optional[datetime] = None
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class HeartbeatEvent(BaseEvent):
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"""Provider heartbeat / keep-alive signal."""
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event_type: EventType = EventType.HEARTBEAT
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# Union type for type-safe consumers
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Event = TradeEvent | QuoteEvent | BookL2Event | HeartbeatEvent
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