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

# 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_

- [ ] 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_