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gogo2/.kiro/specs/multi-exchange-data-aggregation/tasks.md
Dobromir Popov 7339972eab ✅ Binance (completed previously) 
✅ Coinbase Pro (completed in task 12)
✅ Kraken (completed in task 12)
✅ Bybit (completed in this task)
✅ OKX (completed in this task)
✅ Huobi (completed in this task)
2025-08-04 23:41:42 +03:00

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Implementation Plan

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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