# Implementation Plan - [x] 1. Set up project structure and core interfaces - Create directory structure in `.\COBY` subfolder for the multi-exchange data aggregation system - Define base interfaces and data models for exchange connectors, data processing, and storage - Implement configuration management system with environment variable support - _Requirements: 1.1, 6.1, 7.3_ - [x] 2. Implement TimescaleDB integration and database schema - Create TimescaleDB connection manager with connection pooling - Implement database schema creation with hypertables for time-series optimization - Write database operations for storing order book snapshots and trade events - Create database migration system for schema updates - _Requirements: 3.1, 3.2, 3.3, 3.4_ - [x] 3. Create base exchange connector framework - Implement abstract base class for exchange WebSocket connectors - Create connection management with exponential backoff and circuit breaker patterns - Implement WebSocket message handling with proper error recovery - Add connection status monitoring and health checks - _Requirements: 1.1, 1.3, 1.4, 8.5_ - [x] 4. Implement Binance exchange connector - Create Binance-specific WebSocket connector extending the base framework - Implement order book depth stream subscription and processing - Add trade stream subscription for volume analysis - Implement data normalization from Binance format to standard format - Write unit tests for Binance connector functionality - _Requirements: 1.1, 1.2, 1.4, 6.2_ - [x] 5. Create data processing and normalization engine - Implement data processor for normalizing raw exchange data - Create validation logic for order book and trade data - Implement data quality checks and filtering - Add metrics calculation for order book statistics - Write comprehensive unit tests for data processing logic - _Requirements: 1.4, 6.3, 8.1_ - [x] 6. Implement price bucket aggregation system - Create aggregation engine for converting order book data to price buckets - Implement configurable bucket sizes ($10 for BTC, $1 for ETH) - Create heatmap data structure generation from price buckets - Implement real-time aggregation with high-frequency updates - Add volume-weighted aggregation calculations - _Requirements: 2.1, 2.2, 2.3, 2.4, 8.1, 8.2_ - [x] 7. Build Redis caching layer - Implement Redis connection manager with connection pooling - Create caching strategies for latest order book data and heatmaps - Implement cache invalidation and TTL management - Add cache performance monitoring and metrics - Write tests for caching functionality - _Requirements: 8.2, 8.3_ - [x] 8. Create live data API endpoints - Implement REST API for accessing current order book data - Create WebSocket API for real-time data streaming - Add endpoints for heatmap data retrieval - Implement API rate limiting and authentication - Create comprehensive API documentation - _Requirements: 4.1, 4.2, 4.4, 6.3_ - [x] 9. Implement web dashboard for visualization - Create HTML/CSS/JavaScript dashboard for real-time heatmap visualization - Implement WebSocket client for receiving real-time updates - Create progress bar visualization for aggregated price buckets - Add exchange status indicators and connection monitoring - Implement responsive design for different screen sizes - _Requirements: 4.1, 4.2, 4.3, 4.5_ - [x] 10. Build historical data replay system - Create replay manager for historical data playback - Implement configurable playback speeds and time range selection - Create replay session management with start/pause/stop controls - Implement data streaming interface compatible with live data format - Add replay status monitoring and progress tracking - _Requirements: 5.1, 5.2, 5.3, 5.4, 5.5_ - [x] 11. Create orchestrator integration interface - Implement data adapter that matches existing orchestrator interface - Create compatibility layer for seamless integration with current data provider - Add data quality indicators and metadata in responses - Implement switching mechanism between live and replay modes - Write integration tests with existing orchestrator code - _Requirements: 6.1, 6.2, 6.3, 6.4, 6.5_ - [x] 12. Add additional exchange connectors (Coinbase, Kraken) - Implement Coinbase Pro WebSocket connector with proper authentication - Create Kraken WebSocket connector with their specific message format - Add exchange-specific data normalization for both exchanges - Implement proper error handling for each exchange's quirks - Write unit tests for both new exchange connectors - _Requirements: 1.1, 1.2, 1.4_ - [x] 13. Implement remaining exchange connectors (Bybit, OKX, Huobi) - Create Bybit WebSocket connector with unified trading account support - Implement OKX connector with their V5 API WebSocket streams - Add Huobi Global connector with proper symbol mapping - Ensure all connectors follow the same interface and error handling patterns - Write comprehensive tests for all three exchange connectors - _Requirements: 1.1, 1.2, 1.4_ - [x] 14. Complete exchange connector suite (KuCoin, Gate.io, Bitfinex, MEXC) - Implement KuCoin connector with proper token-based authentication - Create Gate.io connector with their WebSocket v4 API - Add Bitfinex connector with proper channel subscription management - Implement MEXC connector with their WebSocket streams - Ensure all 10 exchanges are properly integrated and tested - _Requirements: 1.1, 1.2, 1.4_ - [ ] 15. Implement cross-exchange data consolidation - Create consolidation engine that merges order book data from multiple exchanges - Implement weighted aggregation based on exchange liquidity and reliability - Add conflict resolution for price discrepancies between exchanges - Create consolidated heatmap that shows combined market depth - Write tests for multi-exchange aggregation scenarios - _Requirements: 2.5, 4.2_ - [ ] 16. Add performance monitoring and optimization - Implement comprehensive metrics collection for all system components - Create performance monitoring dashboard with key system metrics - Add latency tracking for end-to-end data processing - Implement memory usage monitoring and garbage collection optimization - Create alerting system for performance degradation - _Requirements: 8.1, 8.2, 8.3, 8.4, 8.5_ - [ ] 17. Create Docker containerization and deployment - Write Dockerfiles for all system components - Create docker-compose configuration for local development - Implement health check endpoints for container orchestration - Add environment variable configuration for all services - Create deployment scripts and documentation - _Requirements: 7.1, 7.2, 7.3, 7.4, 7.5_ - [ ] 18. Implement comprehensive testing suite - Create integration tests for complete data pipeline from exchanges to storage - Implement load testing for high-frequency data scenarios - Add end-to-end tests for web dashboard functionality - Create performance benchmarks and regression tests - Write documentation for running and maintaining tests - _Requirements: 8.1, 8.2, 8.3, 8.4_ - [ ] 19. Add system monitoring and alerting - Implement structured logging with correlation IDs across all components - Create Prometheus metrics exporters for system monitoring - Add Grafana dashboards for system visualization - Implement alerting rules for system failures and performance issues - Create runbook documentation for common operational scenarios - _Requirements: 7.4, 8.5_ - [ ] 20. Final integration and system testing - Integrate the complete system with existing trading orchestrator - Perform end-to-end testing with real market data - Validate replay functionality with historical data scenarios - Test failover scenarios and system resilience - Create user documentation and operational guides - _Requirements: 6.1, 6.2, 6.4, 5.1, 5.2_