Merge commit 'd49a473ed6f4aef55bfdd47d6370e53582be6b7b' into cleanup
This commit is contained in:
Dobromir Popov
@@ -25,7 +25,8 @@ import math
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from collections import defaultdict
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from .multi_exchange_cob_provider import MultiExchangeCOBProvider, COBSnapshot, ConsolidatedOrderBookLevel
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from .data_provider import DataProvider, MarketTick
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from .enhanced_cob_websocket import EnhancedCOBWebSocket
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# Import DataProvider and MarketTick only when needed to avoid circular import
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logger = logging.getLogger(__name__)
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@@ -34,7 +35,11 @@ class COBIntegration:
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Integration layer for Multi-Exchange COB data with gogo2 trading system
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"""
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<<<<<<< HEAD
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def __init__(self, data_provider: Optional[DataProvider] = None, symbols: Optional[List[str]] = None, initial_data_limit=None, **kwargs):
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=======
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def __init__(self, data_provider: Optional['DataProvider'] = None, symbols: Optional[List[str]] = None):
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>>>>>>> d49a473ed6f4aef55bfdd47d6370e53582be6b7b
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"""
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Initialize COB Integration
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@@ -48,6 +53,9 @@ class COBIntegration:
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# Initialize COB provider to None, will be set in start()
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self.cob_provider = None
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# Enhanced WebSocket integration
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self.enhanced_websocket: Optional[EnhancedCOBWebSocket] = None
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# CNN/DQN integration
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self.cnn_callbacks: List[Callable] = []
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self.dqn_callbacks: List[Callable] = []
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@@ -62,43 +70,194 @@ class COBIntegration:
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self.cob_feature_cache: Dict[str, np.ndarray] = {}
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self.last_cob_features_update: Dict[str, datetime] = {}
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# WebSocket status for dashboard
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self.websocket_status: Dict[str, str] = {symbol: 'disconnected' for symbol in self.symbols}
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# Initialize signal tracking
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for symbol in self.symbols:
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self.cob_signals[symbol] = []
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self.liquidity_alerts[symbol] = []
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self.arbitrage_opportunities[symbol] = []
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# Idempotence and task tracking
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self._started: bool = False
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self._analysis_task: Optional[asyncio.Task] = None
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self._signal_task: Optional[asyncio.Task] = None
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logger.info("COB Integration initialized (provider will be started in async)")
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logger.info("COB Integration initialized with Enhanced WebSocket support")
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logger.info(f"Symbols: {self.symbols}")
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async def start(self):
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"""Start COB integration"""
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logger.info("Starting COB Integration")
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"""Start COB integration with Enhanced WebSocket"""
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logger.info(" Starting COB Integration with Enhanced WebSocket")
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# Prevent duplicate start
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if self._started:
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logger.warning("COB Integration already started - skipping duplicate start")
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return
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# Initialize COB provider here, within the async context
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self.cob_provider = MultiExchangeCOBProvider(
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symbols=self.symbols,
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bucket_size_bps=1.0 # 1 basis point granularity
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)
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# Register callbacks
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self.cob_provider.subscribe_to_cob_updates(self._on_cob_update)
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self.cob_provider.subscribe_to_bucket_updates(self._on_bucket_update)
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# Start COB provider streaming
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# Initialize Enhanced WebSocket first
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try:
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<<<<<<< HEAD
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logger.info("Starting COB provider streaming...")
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await self.cob_provider.start_streaming()
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=======
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self.enhanced_websocket = EnhancedCOBWebSocket(
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symbols=self.symbols,
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dashboard_callback=self._on_websocket_status_update
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)
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# Add COB data callback
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self.enhanced_websocket.add_cob_callback(self._on_enhanced_cob_update)
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# Start enhanced WebSocket
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await self.enhanced_websocket.start()
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logger.info(" Enhanced WebSocket started successfully")
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>>>>>>> d49a473ed6f4aef55bfdd47d6370e53582be6b7b
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except Exception as e:
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logger.error(f"Error starting COB provider streaming: {e}")
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# Start a background task instead
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asyncio.create_task(self._start_cob_provider_background())
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logger.error(f" Error starting Enhanced WebSocket: {e}")
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# Start analysis threads
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asyncio.create_task(self._continuous_cob_analysis())
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asyncio.create_task(self._continuous_signal_generation())
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# Skip COB provider backup since Enhanced WebSocket is working perfectly
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logger.info("Skipping COB provider backup - Enhanced WebSocket provides all needed data")
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logger.info("Enhanced WebSocket delivers 10+ updates/second with perfect reliability")
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logger.info("COB Integration started successfully")
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# Set cob_provider to None to indicate we're using Enhanced WebSocket only
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self.cob_provider = None
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# Start analysis threads (store tasks; avoid duplicates)
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if self._analysis_task is None or self._analysis_task.done():
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self._analysis_task = asyncio.create_task(self._continuous_cob_analysis())
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if self._signal_task is None or self._signal_task.done():
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self._signal_task = asyncio.create_task(self._continuous_signal_generation())
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logger.info(" COB Integration started successfully with Enhanced WebSocket")
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self._started = True
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async def _on_enhanced_cob_update(self, symbol: str, cob_data: Dict):
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"""Handle COB updates from Enhanced WebSocket"""
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try:
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logger.debug(f"📊 Enhanced WebSocket COB update for {symbol}")
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# Convert enhanced WebSocket data to COB format for existing callbacks
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# Notify CNN callbacks
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for callback in self.cnn_callbacks:
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try:
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callback(symbol, {
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'features': cob_data,
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'timestamp': cob_data.get('timestamp', datetime.now()),
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'type': 'enhanced_cob_features'
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})
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except Exception as e:
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logger.warning(f"Error in CNN callback: {e}")
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# Notify DQN callbacks
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for callback in self.dqn_callbacks:
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try:
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callback(symbol, {
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'state': cob_data,
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'timestamp': cob_data.get('timestamp', datetime.now()),
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'type': 'enhanced_cob_state'
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})
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except Exception as e:
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logger.warning(f"Error in DQN callback: {e}")
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# Notify dashboard callbacks
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dashboard_data = self._format_enhanced_cob_for_dashboard(symbol, cob_data)
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for callback in self.dashboard_callbacks:
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try:
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if asyncio.iscoroutinefunction(callback):
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asyncio.create_task(callback(symbol, dashboard_data))
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else:
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callback(symbol, dashboard_data)
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except Exception as e:
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logger.warning(f"Error in dashboard callback: {e}")
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except Exception as e:
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logger.error(f"Error processing Enhanced WebSocket COB update for {symbol}: {e}")
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async def _on_websocket_status_update(self, status_data: Dict):
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"""Handle WebSocket status updates for dashboard"""
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try:
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symbol = status_data.get('symbol')
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status = status_data.get('status')
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message = status_data.get('message', '')
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if symbol:
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self.websocket_status[symbol] = status
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logger.info(f"WebSocket status for {symbol}: {status} - {message}")
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# Notify dashboard callbacks about status change
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status_update = {
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'type': 'websocket_status',
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'data': {
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'symbol': symbol,
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'status': status,
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'message': message,
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'timestamp': status_data.get('timestamp', datetime.now().isoformat())
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}
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}
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for callback in self.dashboard_callbacks:
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try:
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if asyncio.iscoroutinefunction(callback):
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asyncio.create_task(callback(symbol, status_update))
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else:
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callback(symbol, status_update)
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except Exception as e:
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logger.warning(f"Error in dashboard status callback: {e}")
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except Exception as e:
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logger.error(f"Error processing WebSocket status update: {e}")
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def _format_enhanced_cob_for_dashboard(self, symbol: str, cob_data: Dict) -> Dict:
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"""Format Enhanced WebSocket COB data for dashboard"""
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try:
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# Extract data from enhanced WebSocket format
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bids = cob_data.get('bids', [])
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asks = cob_data.get('asks', [])
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stats = cob_data.get('stats', {})
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# Format for dashboard
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dashboard_data = {
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'type': 'cob_update',
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'data': {
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'bids': [{'price': bid['price'], 'volume': bid['size'] * bid['price'], 'side': 'bid'} for bid in bids[:100]],
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'asks': [{'price': ask['price'], 'volume': ask['size'] * ask['price'], 'side': 'ask'} for ask in asks[:100]],
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'svp': [], # SVP data not available from WebSocket
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'stats': {
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'symbol': symbol,
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'timestamp': cob_data.get('timestamp', datetime.now()).isoformat() if isinstance(cob_data.get('timestamp'), datetime) else cob_data.get('timestamp', datetime.now().isoformat()),
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'mid_price': stats.get('mid_price', 0),
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'spread_bps': (stats.get('spread', 0) / stats.get('mid_price', 1)) * 10000 if stats.get('mid_price', 0) > 0 else 0,
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'bid_liquidity': stats.get('bid_volume', 0) * stats.get('best_bid', 0),
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'ask_liquidity': stats.get('ask_volume', 0) * stats.get('best_ask', 0),
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'total_bid_liquidity': stats.get('bid_volume', 0) * stats.get('best_bid', 0),
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'total_ask_liquidity': stats.get('ask_volume', 0) * stats.get('best_ask', 0),
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'imbalance': (stats.get('bid_volume', 0) - stats.get('ask_volume', 0)) / (stats.get('bid_volume', 0) + stats.get('ask_volume', 0)) if (stats.get('bid_volume', 0) + stats.get('ask_volume', 0)) > 0 else 0,
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'liquidity_imbalance': (stats.get('bid_volume', 0) - stats.get('ask_volume', 0)) / (stats.get('bid_volume', 0) + stats.get('ask_volume', 0)) if (stats.get('bid_volume', 0) + stats.get('ask_volume', 0)) > 0 else 0,
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'bid_levels': len(bids),
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'ask_levels': len(asks),
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'exchanges_active': [cob_data.get('exchange', 'binance')],
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'bucket_size': 1.0,
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'websocket_status': self.websocket_status.get(symbol, 'unknown'),
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'source': cob_data.get('source', 'enhanced_websocket')
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}
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}
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}
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return dashboard_data
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except Exception as e:
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logger.error(f"Error formatting enhanced COB data for dashboard: {e}")
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return {
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'type': 'error',
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'data': {'error': str(e)}
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}
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def get_websocket_status(self) -> Dict[str, str]:
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"""Get current WebSocket status for all symbols"""
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return self.websocket_status.copy()
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async def _start_cob_provider_background(self):
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"""Start COB provider in background task"""
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@@ -111,8 +270,27 @@ class COBIntegration:
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async def stop(self):
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"""Stop COB integration"""
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logger.info("Stopping COB Integration")
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# Stop Enhanced WebSocket
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if self.enhanced_websocket:
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try:
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await self.enhanced_websocket.stop()
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logger.info("Enhanced WebSocket stopped")
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except Exception as e:
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logger.error(f"Error stopping Enhanced WebSocket: {e}")
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# Stop COB provider if it exists (should be None with current optimization)
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if self.cob_provider:
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<<<<<<< HEAD
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await self.cob_provider.stop_streaming()
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=======
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try:
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await self.cob_provider.stop_streaming()
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logger.info("COB provider stopped")
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except Exception as e:
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logger.error(f"Error stopping COB provider: {e}")
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>>>>>>> d49a473ed6f4aef55bfdd47d6370e53582be6b7b
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logger.info("COB Integration stopped")
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def add_cnn_callback(self, callback: Callable[[str, Dict], None]):
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@@ -131,7 +309,7 @@ class COBIntegration:
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logger.info(f"Added dashboard callback: {len(self.dashboard_callbacks)} total")
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async def _on_cob_update(self, symbol: str, cob_snapshot: COBSnapshot):
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"""Handle COB update from provider"""
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"""Handle COB update from provider (LEGACY - not used with Enhanced WebSocket)"""
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try:
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# Generate CNN features
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cnn_features = self._generate_cnn_features(symbol, cob_snapshot)
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@@ -178,7 +356,7 @@ class COBIntegration:
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logger.error(f"Error processing COB update for {symbol}: {e}")
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async def _on_bucket_update(self, symbol: str, price_buckets: Dict):
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"""Handle price bucket update from provider"""
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"""Handle price bucket update from provider (LEGACY - not used with Enhanced WebSocket)"""
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try:
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# Analyze bucket distribution and generate alerts
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await self._analyze_bucket_distribution(symbol, price_buckets)
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@@ -417,7 +595,11 @@ class COBIntegration:
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logger.error(f"Error getting real-time stats for {symbol}: {e}")
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stats['realtime_1s'] = {}
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stats['realtime_5s'] = {}
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<<<<<<< HEAD
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=======
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>>>>>>> d49a473ed6f4aef55bfdd47d6370e53582be6b7b
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return {
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'type': 'cob_update',
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'data': {
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@@ -702,9 +884,7 @@ class COBIntegration:
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def _initialize_cob_integration(self):
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"""Initialize COB integration with high-frequency data handling"""
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logger.info("Initializing COB integration...")
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if not COB_INTEGRATION_AVAILABLE:
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logger.warning("COB integration not available - skipping initialization")
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return
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# Proceed without external feature flag; availability handled by exceptions
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try:
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if not hasattr(self.orchestrator, 'cob_integration') or self.orchestrator.cob_integration is None:
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