gogo2/.kiro/specs/multi-exchange-data-aggregation/tasks.md

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