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Add opportunity detection and storage functionality with async processing

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- Introduced OpportunityEvent class for structured opportunity data.
- Enhanced IncrementalCycleDetector to generate opportunities based on updated pairs.
- Implemented AsyncOpportunityWriter for persisting opportunities to the database.
- Updated MarketDataFeed to handle opportunity detection and execution in both paper and live trading modes.
- Added unit tests for opportunity detection and persistence.
This commit is contained in:
zwitschi
2026-06-01 10:59:09 +02:00
parent 652b20274a
commit a89886186f
10 changed files with 728 additions and 39 deletions
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src/arbitrade/config/settings.py
+19 -9
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@@ -8,7 +8,8 @@ from pydantic_settings import BaseSettings, SettingsConfigDict
class Settings(BaseSettings):
model_config = SettingsConfigDict(env_file=".env", env_file_encoding="utf-8", extra="ignore")
model_config = SettingsConfigDict(
env_file=".env", env_file_encoding="utf-8", extra="ignore")
app_env: str = Field(default="dev", alias="APP_ENV")
app_host: str = Field(default="0.0.0.0", alias="APP_HOST")
@@ -17,22 +18,31 @@ class Settings(BaseSettings):
log_level: str = Field(default="INFO", alias="LOG_LEVEL")
log_json: bool = Field(default=True, alias="LOG_JSON")
duckdb_path: Path = Field(default=Path("./data/arbitrade.duckdb"), alias="DUCKDB_PATH")
duckdb_path: Path = Field(default=Path(
"./data/arbitrade.duckdb"), alias="DUCKDB_PATH")
kraken_rest_url: str = Field(default="https://api.kraken.com", alias="KRAKEN_REST_URL")
kraken_ws_url: str = Field(default="wss://ws.kraken.com/v2", alias="KRAKEN_WS_URL")
kraken_rest_url: str = Field(
default="https://api.kraken.com", alias="KRAKEN_REST_URL")
kraken_ws_url: str = Field(
default="wss://ws.kraken.com/v2", alias="KRAKEN_WS_URL")
kraken_private_rate_limit_seconds: float = Field(
default=1.0, alias="KRAKEN_PRIVATE_RATE_LIMIT_SECONDS"
)
kraken_http_timeout_seconds: float = Field(default=10.0, alias="KRAKEN_HTTP_TIMEOUT_SECONDS")
kraken_retry_attempts: int = Field(default=3, alias="KRAKEN_RETRY_ATTEMPTS")
kraken_http_timeout_seconds: float = Field(
default=10.0, alias="KRAKEN_HTTP_TIMEOUT_SECONDS")
kraken_retry_attempts: int = Field(
default=3, alias="KRAKEN_RETRY_ATTEMPTS")
kraken_retry_base_delay_seconds: float = Field(
default=0.25, alias="KRAKEN_RETRY_BASE_DELAY_SECONDS"
)
kraken_api_key: str | None = Field(default=None, alias="KRAKEN_API_KEY")
kraken_api_secret: str | None = Field(default=None, alias="KRAKEN_API_SECRET")
ws_heartbeat_timeout_seconds: float = Field(default=20.0, alias="WS_HEARTBEAT_TIMEOUT_SECONDS")
ws_max_staleness_seconds: float = Field(default=5.0, alias="WS_MAX_STALENESS_SECONDS")
kraken_api_secret: str | None = Field(
default=None, alias="KRAKEN_API_SECRET")
ws_heartbeat_timeout_seconds: float = Field(
default=20.0, alias="WS_HEARTBEAT_TIMEOUT_SECONDS")
ws_max_staleness_seconds: float = Field(
default=5.0, alias="WS_MAX_STALENESS_SECONDS")
paper_trading_mode: bool = Field(default=True, alias="PAPER_TRADING_MODE")
fernet_key: str | None = Field(default=None, alias="FERNET_KEY")