COBY : specs + task 1
This commit is contained in:
Dobromir Popov
17
COBY/interfaces/__init__.py
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17
COBY/interfaces/__init__.py
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@ -0,0 +1,17 @@
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"""
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Interface definitions for the multi-exchange data aggregation system.
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"""
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from .exchange_connector import ExchangeConnector
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from .data_processor import DataProcessor
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from .aggregation_engine import AggregationEngine
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from .storage_manager import StorageManager
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from .replay_manager import ReplayManager
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__all__ = [
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'ExchangeConnector',
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'DataProcessor',
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'AggregationEngine',
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'StorageManager',
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'ReplayManager'
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]
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139
COBY/interfaces/aggregation_engine.py
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139
COBY/interfaces/aggregation_engine.py
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@ -0,0 +1,139 @@
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"""
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Interface for data aggregation and heatmap generation.
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"""
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from abc import ABC, abstractmethod
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from typing import Dict, List
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from ..models.core import (
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OrderBookSnapshot, PriceBuckets, HeatmapData,
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ImbalanceMetrics, ConsolidatedOrderBook
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)
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class AggregationEngine(ABC):
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"""Aggregates data into price buckets and heatmaps"""
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@abstractmethod
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def create_price_buckets(self, orderbook: OrderBookSnapshot,
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bucket_size: float) -> PriceBuckets:
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"""
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Convert order book data to price buckets.
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Args:
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orderbook: Order book snapshot
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bucket_size: Size of each price bucket
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Returns:
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PriceBuckets: Aggregated price bucket data
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"""
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pass
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@abstractmethod
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def update_heatmap(self, symbol: str, buckets: PriceBuckets) -> HeatmapData:
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"""
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Update heatmap data with new price buckets.
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Args:
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symbol: Trading symbol
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buckets: Price bucket data
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Returns:
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HeatmapData: Updated heatmap visualization data
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"""
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pass
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@abstractmethod
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def calculate_imbalances(self, orderbook: OrderBookSnapshot) -> ImbalanceMetrics:
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"""
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Calculate order book imbalance metrics.
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Args:
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orderbook: Order book snapshot
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Returns:
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ImbalanceMetrics: Calculated imbalance metrics
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"""
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pass
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@abstractmethod
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def aggregate_across_exchanges(self, symbol: str,
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orderbooks: List[OrderBookSnapshot]) -> ConsolidatedOrderBook:
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"""
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Aggregate order book data from multiple exchanges.
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Args:
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symbol: Trading symbol
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orderbooks: List of order book snapshots from different exchanges
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Returns:
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ConsolidatedOrderBook: Consolidated order book data
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"""
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pass
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@abstractmethod
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def calculate_volume_weighted_price(self, orderbooks: List[OrderBookSnapshot]) -> float:
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"""
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Calculate volume-weighted average price across exchanges.
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Args:
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orderbooks: List of order book snapshots
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Returns:
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float: Volume-weighted average price
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"""
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pass
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@abstractmethod
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def get_market_depth(self, orderbook: OrderBookSnapshot,
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depth_levels: List[float]) -> Dict[float, Dict[str, float]]:
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"""
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Calculate market depth at different price levels.
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Args:
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orderbook: Order book snapshot
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depth_levels: List of depth percentages (e.g., [0.1, 0.5, 1.0])
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Returns:
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Dict: Market depth data {level: {'bid_volume': x, 'ask_volume': y}}
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"""
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pass
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@abstractmethod
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def smooth_heatmap(self, heatmap: HeatmapData, smoothing_factor: float) -> HeatmapData:
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"""
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Apply smoothing to heatmap data to reduce noise.
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Args:
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heatmap: Raw heatmap data
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smoothing_factor: Smoothing factor (0.0 to 1.0)
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Returns:
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HeatmapData: Smoothed heatmap data
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"""
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pass
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@abstractmethod
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def calculate_liquidity_score(self, orderbook: OrderBookSnapshot) -> float:
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"""
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Calculate liquidity score for an order book.
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Args:
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orderbook: Order book snapshot
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Returns:
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float: Liquidity score (0.0 to 1.0)
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"""
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pass
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@abstractmethod
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def detect_support_resistance(self, heatmap: HeatmapData) -> Dict[str, List[float]]:
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"""
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Detect support and resistance levels from heatmap data.
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Args:
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heatmap: Heatmap data
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Returns:
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Dict: {'support': [prices], 'resistance': [prices]}
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"""
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pass
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119
COBY/interfaces/data_processor.py
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119
COBY/interfaces/data_processor.py
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@ -0,0 +1,119 @@
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"""
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Interface for data processing and normalization.
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"""
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from abc import ABC, abstractmethod
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from typing import Dict, Union, List, Optional
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from ..models.core import OrderBookSnapshot, TradeEvent, OrderBookMetrics
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class DataProcessor(ABC):
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"""Processes and normalizes raw exchange data"""
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@abstractmethod
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def normalize_orderbook(self, raw_data: Dict, exchange: str) -> OrderBookSnapshot:
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"""
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Normalize raw order book data to standard format.
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Args:
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raw_data: Raw order book data from exchange
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exchange: Exchange name
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Returns:
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OrderBookSnapshot: Normalized order book data
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"""
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pass
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@abstractmethod
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def normalize_trade(self, raw_data: Dict, exchange: str) -> TradeEvent:
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"""
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Normalize raw trade data to standard format.
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Args:
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raw_data: Raw trade data from exchange
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exchange: Exchange name
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Returns:
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TradeEvent: Normalized trade data
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"""
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pass
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@abstractmethod
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def validate_data(self, data: Union[OrderBookSnapshot, TradeEvent]) -> bool:
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"""
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Validate normalized data for quality and consistency.
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Args:
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data: Normalized data to validate
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Returns:
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bool: True if data is valid, False otherwise
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"""
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pass
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@abstractmethod
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def calculate_metrics(self, orderbook: OrderBookSnapshot) -> OrderBookMetrics:
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"""
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Calculate metrics from order book data.
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Args:
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orderbook: Order book snapshot
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Returns:
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OrderBookMetrics: Calculated metrics
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"""
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pass
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@abstractmethod
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def detect_anomalies(self, data: Union[OrderBookSnapshot, TradeEvent]) -> List[str]:
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"""
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Detect anomalies in the data.
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Args:
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data: Data to analyze for anomalies
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Returns:
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List[str]: List of detected anomaly descriptions
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"""
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pass
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@abstractmethod
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def filter_data(self, data: Union[OrderBookSnapshot, TradeEvent],
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criteria: Dict) -> bool:
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"""
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Filter data based on criteria.
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Args:
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data: Data to filter
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criteria: Filtering criteria
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Returns:
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bool: True if data passes filter, False otherwise
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"""
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pass
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@abstractmethod
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def enrich_data(self, data: Union[OrderBookSnapshot, TradeEvent]) -> Dict:
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"""
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Enrich data with additional metadata.
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Args:
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data: Data to enrich
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Returns:
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Dict: Enriched data with metadata
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"""
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pass
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@abstractmethod
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def get_data_quality_score(self, data: Union[OrderBookSnapshot, TradeEvent]) -> float:
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"""
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Calculate data quality score.
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Args:
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data: Data to score
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Returns:
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float: Quality score between 0.0 and 1.0
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"""
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pass
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189
COBY/interfaces/exchange_connector.py
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189
COBY/interfaces/exchange_connector.py
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@ -0,0 +1,189 @@
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"""
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Base interface for exchange WebSocket connectors.
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"""
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from abc import ABC, abstractmethod
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from typing import Callable, List, Optional
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from ..models.core import ConnectionStatus, OrderBookSnapshot, TradeEvent
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class ExchangeConnector(ABC):
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"""Base interface for exchange WebSocket connectors"""
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def __init__(self, exchange_name: str):
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self.exchange_name = exchange_name
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self._data_callbacks: List[Callable] = []
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self._status_callbacks: List[Callable] = []
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self._connection_status = ConnectionStatus.DISCONNECTED
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@abstractmethod
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async def connect(self) -> bool:
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"""
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Establish connection to the exchange WebSocket.
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Returns:
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bool: True if connection successful, False otherwise
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"""
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pass
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@abstractmethod
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async def disconnect(self) -> None:
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"""Disconnect from the exchange WebSocket."""
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pass
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@abstractmethod
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async def subscribe_orderbook(self, symbol: str) -> None:
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"""
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Subscribe to order book updates for a symbol.
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Args:
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symbol: Trading symbol (e.g., 'BTCUSDT')
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"""
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pass
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@abstractmethod
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async def subscribe_trades(self, symbol: str) -> None:
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"""
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Subscribe to trade updates for a symbol.
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Args:
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symbol: Trading symbol (e.g., 'BTCUSDT')
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"""
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pass
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@abstractmethod
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async def unsubscribe_orderbook(self, symbol: str) -> None:
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"""
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Unsubscribe from order book updates for a symbol.
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Args:
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symbol: Trading symbol (e.g., 'BTCUSDT')
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"""
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pass
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@abstractmethod
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async def unsubscribe_trades(self, symbol: str) -> None:
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"""
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Unsubscribe from trade updates for a symbol.
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Args:
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symbol: Trading symbol (e.g., 'BTCUSDT')
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"""
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pass
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def get_connection_status(self) -> ConnectionStatus:
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"""
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Get current connection status.
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Returns:
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ConnectionStatus: Current connection status
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"""
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return self._connection_status
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def add_data_callback(self, callback: Callable) -> None:
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"""
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Add callback for data updates.
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Args:
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callback: Function to call when data is received
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Signature: callback(data: Union[OrderBookSnapshot, TradeEvent])
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"""
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if callback not in self._data_callbacks:
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self._data_callbacks.append(callback)
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def remove_data_callback(self, callback: Callable) -> None:
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"""
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Remove data callback.
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Args:
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callback: Callback function to remove
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"""
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if callback in self._data_callbacks:
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self._data_callbacks.remove(callback)
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def add_status_callback(self, callback: Callable) -> None:
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"""
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Add callback for status updates.
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Args:
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callback: Function to call when status changes
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Signature: callback(exchange: str, status: ConnectionStatus)
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"""
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if callback not in self._status_callbacks:
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self._status_callbacks.append(callback)
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def remove_status_callback(self, callback: Callable) -> None:
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"""
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Remove status callback.
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Args:
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callback: Callback function to remove
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"""
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if callback in self._status_callbacks:
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self._status_callbacks.remove(callback)
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def _notify_data_callbacks(self, data):
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"""Notify all data callbacks of new data."""
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for callback in self._data_callbacks:
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try:
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callback(data)
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except Exception as e:
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# Log error but don't stop other callbacks
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print(f"Error in data callback: {e}")
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def _notify_status_callbacks(self, status: ConnectionStatus):
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"""Notify all status callbacks of status change."""
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self._connection_status = status
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for callback in self._status_callbacks:
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try:
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callback(self.exchange_name, status)
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except Exception as e:
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# Log error but don't stop other callbacks
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print(f"Error in status callback: {e}")
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@abstractmethod
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async def get_symbols(self) -> List[str]:
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"""
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Get list of available trading symbols.
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Returns:
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List[str]: List of available symbols
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"""
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pass
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@abstractmethod
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def normalize_symbol(self, symbol: str) -> str:
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"""
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Normalize symbol to exchange format.
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Args:
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symbol: Standard symbol format (e.g., 'BTCUSDT')
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Returns:
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str: Exchange-specific symbol format
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"""
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pass
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@abstractmethod
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async def get_orderbook_snapshot(self, symbol: str, depth: int = 20) -> Optional[OrderBookSnapshot]:
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"""
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Get current order book snapshot.
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Args:
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symbol: Trading symbol
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depth: Number of price levels to retrieve
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Returns:
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OrderBookSnapshot: Current order book or None if unavailable
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"""
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pass
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@property
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def name(self) -> str:
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"""Get exchange name."""
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return self.exchange_name
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@property
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def is_connected(self) -> bool:
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"""Check if connector is connected."""
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return self._connection_status == ConnectionStatus.CONNECTED
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212
COBY/interfaces/replay_manager.py
Normal file
212
COBY/interfaces/replay_manager.py
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@ -0,0 +1,212 @@
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"""
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Interface for historical data replay functionality.
|
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"""
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from abc import ABC, abstractmethod
|
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from datetime import datetime
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from typing import List, Optional, Callable, Dict, Any
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from ..models.core import ReplaySession, ReplayStatus
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class ReplayManager(ABC):
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"""Provides historical data replay functionality"""
|
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@abstractmethod
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def create_replay_session(self, start_time: datetime, end_time: datetime,
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speed: float = 1.0, symbols: Optional[List[str]] = None,
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exchanges: Optional[List[str]] = None) -> str:
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"""
|
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Create a new replay session.
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||||
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Args:
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start_time: Replay start time
|
||||
end_time: Replay end time
|
||||
speed: Playback speed multiplier (1.0 = real-time)
|
||||
symbols: List of symbols to replay (None = all)
|
||||
exchanges: List of exchanges to replay (None = all)
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||||
|
||||
Returns:
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||||
str: Session ID
|
||||
"""
|
||||
pass
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||||
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||||
@abstractmethod
|
||||
async def start_replay(self, session_id: str) -> None:
|
||||
"""
|
||||
Start replay session.
|
||||
|
||||
Args:
|
||||
session_id: Session ID to start
|
||||
"""
|
||||
pass
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||||
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||||
@abstractmethod
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||||
async def pause_replay(self, session_id: str) -> None:
|
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"""
|
||||
Pause replay session.
|
||||
|
||||
Args:
|
||||
session_id: Session ID to pause
|
||||
"""
|
||||
pass
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||||
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||||
@abstractmethod
|
||||
async def resume_replay(self, session_id: str) -> None:
|
||||
"""
|
||||
Resume paused replay session.
|
||||
|
||||
Args:
|
||||
session_id: Session ID to resume
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def stop_replay(self, session_id: str) -> None:
|
||||
"""
|
||||
Stop replay session.
|
||||
|
||||
Args:
|
||||
session_id: Session ID to stop
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def get_replay_status(self, session_id: str) -> Optional[ReplaySession]:
|
||||
"""
|
||||
Get replay session status.
|
||||
|
||||
Args:
|
||||
session_id: Session ID
|
||||
|
||||
Returns:
|
||||
ReplaySession: Session status or None if not found
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def list_replay_sessions(self) -> List[ReplaySession]:
|
||||
"""
|
||||
List all replay sessions.
|
||||
|
||||
Returns:
|
||||
List[ReplaySession]: List of all sessions
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def delete_replay_session(self, session_id: str) -> bool:
|
||||
"""
|
||||
Delete replay session.
|
||||
|
||||
Args:
|
||||
session_id: Session ID to delete
|
||||
|
||||
Returns:
|
||||
bool: True if deleted successfully, False otherwise
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def set_replay_speed(self, session_id: str, speed: float) -> bool:
|
||||
"""
|
||||
Change replay speed for active session.
|
||||
|
||||
Args:
|
||||
session_id: Session ID
|
||||
speed: New playback speed multiplier
|
||||
|
||||
Returns:
|
||||
bool: True if speed changed successfully, False otherwise
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def seek_replay(self, session_id: str, timestamp: datetime) -> bool:
|
||||
"""
|
||||
Seek to specific timestamp in replay.
|
||||
|
||||
Args:
|
||||
session_id: Session ID
|
||||
timestamp: Target timestamp
|
||||
|
||||
Returns:
|
||||
bool: True if seek successful, False otherwise
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def add_data_callback(self, session_id: str, callback: Callable) -> bool:
|
||||
"""
|
||||
Add callback for replay data.
|
||||
|
||||
Args:
|
||||
session_id: Session ID
|
||||
callback: Function to call with replay data
|
||||
Signature: callback(data: Union[OrderBookSnapshot, TradeEvent])
|
||||
|
||||
Returns:
|
||||
bool: True if callback added successfully, False otherwise
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def remove_data_callback(self, session_id: str, callback: Callable) -> bool:
|
||||
"""
|
||||
Remove data callback from replay session.
|
||||
|
||||
Args:
|
||||
session_id: Session ID
|
||||
callback: Callback function to remove
|
||||
|
||||
Returns:
|
||||
bool: True if callback removed successfully, False otherwise
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def add_status_callback(self, session_id: str, callback: Callable) -> bool:
|
||||
"""
|
||||
Add callback for replay status changes.
|
||||
|
||||
Args:
|
||||
session_id: Session ID
|
||||
callback: Function to call on status change
|
||||
Signature: callback(session_id: str, status: ReplayStatus)
|
||||
|
||||
Returns:
|
||||
bool: True if callback added successfully, False otherwise
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def get_available_data_range(self, symbol: str,
|
||||
exchange: Optional[str] = None) -> Optional[Dict[str, datetime]]:
|
||||
"""
|
||||
Get available data time range for replay.
|
||||
|
||||
Args:
|
||||
symbol: Trading symbol
|
||||
exchange: Exchange name (None = all exchanges)
|
||||
|
||||
Returns:
|
||||
Dict: {'start': datetime, 'end': datetime} or None if no data
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def validate_replay_request(self, start_time: datetime, end_time: datetime,
|
||||
symbols: Optional[List[str]] = None,
|
||||
exchanges: Optional[List[str]] = None) -> List[str]:
|
||||
"""
|
||||
Validate replay request parameters.
|
||||
|
||||
Args:
|
||||
start_time: Requested start time
|
||||
end_time: Requested end time
|
||||
symbols: Requested symbols
|
||||
exchanges: Requested exchanges
|
||||
|
||||
Returns:
|
||||
List[str]: List of validation errors (empty if valid)
|
||||
"""
|
||||
pass
|
||||
215
COBY/interfaces/storage_manager.py
Normal file
215
COBY/interfaces/storage_manager.py
Normal file
@ -0,0 +1,215 @@
|
||||
"""
|
||||
Interface for data storage and retrieval.
|
||||
"""
|
||||
|
||||
from abc import ABC, abstractmethod
|
||||
from datetime import datetime
|
||||
from typing import List, Dict, Optional, Any
|
||||
from ..models.core import OrderBookSnapshot, TradeEvent, HeatmapData, SystemMetrics
|
||||
|
||||
|
||||
class StorageManager(ABC):
|
||||
"""Manages data persistence and retrieval"""
|
||||
|
||||
@abstractmethod
|
||||
async def store_orderbook(self, data: OrderBookSnapshot) -> bool:
|
||||
"""
|
||||
Store order book snapshot to database.
|
||||
|
||||
Args:
|
||||
data: Order book snapshot to store
|
||||
|
||||
Returns:
|
||||
bool: True if stored successfully, False otherwise
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def store_trade(self, data: TradeEvent) -> bool:
|
||||
"""
|
||||
Store trade event to database.
|
||||
|
||||
Args:
|
||||
data: Trade event to store
|
||||
|
||||
Returns:
|
||||
bool: True if stored successfully, False otherwise
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def store_heatmap(self, data: HeatmapData) -> bool:
|
||||
"""
|
||||
Store heatmap data to database.
|
||||
|
||||
Args:
|
||||
data: Heatmap data to store
|
||||
|
||||
Returns:
|
||||
bool: True if stored successfully, False otherwise
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def store_metrics(self, data: SystemMetrics) -> bool:
|
||||
"""
|
||||
Store system metrics to database.
|
||||
|
||||
Args:
|
||||
data: System metrics to store
|
||||
|
||||
Returns:
|
||||
bool: True if stored successfully, False otherwise
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def get_historical_orderbooks(self, symbol: str, exchange: str,
|
||||
start: datetime, end: datetime,
|
||||
limit: Optional[int] = None) -> List[OrderBookSnapshot]:
|
||||
"""
|
||||
Retrieve historical order book data.
|
||||
|
||||
Args:
|
||||
symbol: Trading symbol
|
||||
exchange: Exchange name
|
||||
start: Start timestamp
|
||||
end: End timestamp
|
||||
limit: Maximum number of records to return
|
||||
|
||||
Returns:
|
||||
List[OrderBookSnapshot]: Historical order book data
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def get_historical_trades(self, symbol: str, exchange: str,
|
||||
start: datetime, end: datetime,
|
||||
limit: Optional[int] = None) -> List[TradeEvent]:
|
||||
"""
|
||||
Retrieve historical trade data.
|
||||
|
||||
Args:
|
||||
symbol: Trading symbol
|
||||
exchange: Exchange name
|
||||
start: Start timestamp
|
||||
end: End timestamp
|
||||
limit: Maximum number of records to return
|
||||
|
||||
Returns:
|
||||
List[TradeEvent]: Historical trade data
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def get_latest_orderbook(self, symbol: str, exchange: str) -> Optional[OrderBookSnapshot]:
|
||||
"""
|
||||
Get latest order book snapshot.
|
||||
|
||||
Args:
|
||||
symbol: Trading symbol
|
||||
exchange: Exchange name
|
||||
|
||||
Returns:
|
||||
OrderBookSnapshot: Latest order book or None if not found
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def get_latest_heatmap(self, symbol: str, bucket_size: float) -> Optional[HeatmapData]:
|
||||
"""
|
||||
Get latest heatmap data.
|
||||
|
||||
Args:
|
||||
symbol: Trading symbol
|
||||
bucket_size: Price bucket size
|
||||
|
||||
Returns:
|
||||
HeatmapData: Latest heatmap or None if not found
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def get_ohlcv_data(self, symbol: str, exchange: str, timeframe: str,
|
||||
start: datetime, end: datetime) -> List[Dict[str, Any]]:
|
||||
"""
|
||||
Get OHLCV candlestick data.
|
||||
|
||||
Args:
|
||||
symbol: Trading symbol
|
||||
exchange: Exchange name
|
||||
timeframe: Timeframe (e.g., '1m', '5m', '1h')
|
||||
start: Start timestamp
|
||||
end: End timestamp
|
||||
|
||||
Returns:
|
||||
List[Dict]: OHLCV data
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def batch_store_orderbooks(self, data: List[OrderBookSnapshot]) -> int:
|
||||
"""
|
||||
Store multiple order book snapshots in batch.
|
||||
|
||||
Args:
|
||||
data: List of order book snapshots
|
||||
|
||||
Returns:
|
||||
int: Number of records stored successfully
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def batch_store_trades(self, data: List[TradeEvent]) -> int:
|
||||
"""
|
||||
Store multiple trade events in batch.
|
||||
|
||||
Args:
|
||||
data: List of trade events
|
||||
|
||||
Returns:
|
||||
int: Number of records stored successfully
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
def setup_database_schema(self) -> None:
|
||||
"""
|
||||
Set up database schema and tables.
|
||||
Should be idempotent - safe to call multiple times.
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def cleanup_old_data(self, retention_days: int) -> int:
|
||||
"""
|
||||
Clean up old data based on retention policy.
|
||||
|
||||
Args:
|
||||
retention_days: Number of days to retain data
|
||||
|
||||
Returns:
|
||||
int: Number of records deleted
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def get_storage_stats(self) -> Dict[str, Any]:
|
||||
"""
|
||||
Get storage statistics.
|
||||
|
||||
Returns:
|
||||
Dict: Storage statistics (table sizes, record counts, etc.)
|
||||
"""
|
||||
pass
|
||||
|
||||
@abstractmethod
|
||||
async def health_check(self) -> bool:
|
||||
"""
|
||||
Check storage system health.
|
||||
|
||||
Returns:
|
||||
bool: True if healthy, False otherwise
|
||||
"""
|
||||
pass
|
||||
Reference in New Issue
Block a user