Initial public release

hydra/supplemental/orderbook.py

@@ -0,0 +1,90 @@
+# hydra/supplemental/orderbook.py
+import asyncio
+import json
+import time
+from hydra.logging.setup import get_logger
+
+logger = get_logger(__name__)
+
+_INDICATOR_PREFIX = "hydra:indicator"
+_ORDERBOOK_PREFIX = "hydra:orderbook"
+_DEFAULT_INTERVAL = 30
+
+
+class OrderBookPoller:
+    def __init__(self, redis_client, interval_sec: int = _DEFAULT_INTERVAL):
+        self._redis = redis_client
+        self._interval = interval_sec
+
+    def _get_active_symbols(self) -> list[tuple[str, str]]:
+        keys = self._redis.keys(f"{_INDICATOR_PREFIX}:*")
+        seen = set()
+        result = []
+        for key in keys:
+            parts = key.split(":")
+            if len(parts) < 5:
+                continue
+            market = parts[2]
+            symbol = ":".join(parts[3:-1])
+            if (market, symbol) not in seen:
+                seen.add((market, symbol))
+                result.append((market, symbol))
+        return result
+
+    def _get_exchange(self, market: str):
+        import ccxt
+        exchange_class = getattr(ccxt, market, None)
+        if exchange_class is None:
+            return None
+        return exchange_class()
+
+    def _fetch_one(self, market: str, symbol: str) -> dict | None:
+        try:
+            exchange = self._get_exchange(market)
+            if exchange is None:
+                return None
+            ob = exchange.fetch_order_book(symbol, limit=5)
+            bid = ob["bids"][0][0] if ob.get("bids") else None
+            ask = ob["asks"][0][0] if ob.get("asks") else None
+            if bid is None or ask is None:
+                return None
+            spread_pct = round((ask - bid) / ask * 100, 4)
+            return {
+                "bid": bid,
+                "ask": ask,
+                "spread_pct": spread_pct,
+                "bids": ob["bids"][:5],
+                "asks": ob["asks"][:5],
+                "ts": int(time.time() * 1000),
+            }
+        except Exception as e:
+            logger.warning("orderbook_fetch_error", market=market,
+                           symbol=symbol, error=str(e))
+            return None
+
+    async def run(self) -> None:
+        logger.info("orderbook_poller_started", interval=self._interval)
+        while True:
+            for market, symbol in self._get_active_symbols():
+                data = self._fetch_one(market, symbol)
+                if data:
+                    key = f"{_ORDERBOOK_PREFIX}:{market}:{symbol}"
+                    await self._redis.set(key, json.dumps(data))
+                    logger.debug("orderbook_cached", market=market, symbol=symbol)
+            await asyncio.sleep(self._interval)
+
+
+async def main() -> None:
+    import redis.asyncio as aioredis
+    from hydra.config.settings import get_settings
+    settings = get_settings()
+    r = aioredis.from_url(settings.redis_url, decode_responses=True)
+    poller = OrderBookPoller(r)
+    try:
+        await poller.run()
+    finally:
+        await r.aclose()
+
+
+if __name__ == "__main__":
+    asyncio.run(main())