Implement moomoo API connector for OHLCV data

- Added DataConnector base class with OHLCV, InstrumentInfo, Interval
- Implemented MoomooClient with rate limiting, circuit breaker, caching
- Mock mode generates realistic data for development
- Real-time WebSocket subscription support (mock)
- Added examples/demo_moomoo.py showcasing functionality
- Updated requirements.txt with requests, websocket-client, redis, python-dotenv
- Updated README.md with Data Layer documentation
- Added .env.example for configuration

data/connectors/base.py

@@ -0,0 +1,138 @@
+#!/usr/bin/env python3
+"""
+Base classes for data connectors.
+"""
+
+import abc
+from datetime import datetime
+from typing import List, Optional, Dict, Any
+from dataclasses import dataclass
+from enum import Enum
+
+
+class Interval(Enum):
+    """Trading data intervals."""
+    MINUTE_1 = "1m"
+    MINUTE_5 = "5m"
+    MINUTE_15 = "15m"
+    MINUTE_30 = "30m"
+    HOUR_1 = "1h"
+    HOUR_4 = "4h"
+    DAY_1 = "1d"
+    WEEK_1 = "1w"
+    MONTH_1 = "1M"
+
+
+@dataclass
+class OHLCV:
+    """Standard OHLCV data point."""
+    timestamp: datetime
+    open: float
+    high: float
+    low: float
+    close: float
+    volume: float
+    symbol: str
+    interval: Interval
+    
+    def to_dict(self) -> Dict[str, Any]:
+        return {
+            "timestamp": self.timestamp.isoformat(),
+            "open": self.open,
+            "high": self.high,
+            "low": self.low,
+            "close": self.close,
+            "volume": self.volume,
+            "symbol": self.symbol,
+            "interval": self.interval.value
+        }
+
+
+@dataclass
+class InstrumentInfo:
+    """Instrument metadata."""
+    symbol: str
+    name: str
+    exchange: str
+    currency: str
+    lot_size: int
+    min_price_increment: float
+    trading_hours: Optional[str] = None
+    is_tradable: bool = True
+
+
+class DataConnector(abc.ABC):
+    """Abstract base class for data connectors."""
+    
+    @abc.abstractmethod
+    def connect(self) -> bool:
+        """Establish connection to data source."""
+        pass
+    
+    @abc.abstractmethod
+    def disconnect(self):
+        """Close connection."""
+        pass
+    
+    @abc.abstractmethod
+    def get_ohlcv(
+        self,
+        symbol: str,
+        interval: Interval,
+        start_date: datetime,
+        end_date: datetime,
+        limit: Optional[int] = None
+    ) -> List[OHLCV]:
+        """
+        Fetch historical OHLCV data.
+        
+        Args:
+            symbol: Trading symbol (e.g., "AAPL")
+            interval: Time interval
+            start_date: Start of period
+            end_date: End of period
+            limit: Maximum number of records to return
+            
+        Returns:
+            List of OHLCV objects
+        """
+        pass
+    
+    @abc.abstractmethod
+    def get_instrument_info(self, symbol: str) -> InstrumentInfo:
+        """Get instrument metadata."""
+        pass
+    
+    @abc.abstractmethod
+    def subscribe_ohlcv(
+        self,
+        symbols: List[str],
+        interval: Interval,
+        callback
+    ):
+        """
+        Subscribe to real-time OHLCV updates.
+        
+        Args:
+            symbols: List of symbols to subscribe to
+            interval: Interval for updates
+            callback: Function to call with new OHLCV data
+        """
+        pass
+    
+    @abc.abstractmethod
+    def unsubscribe(self, symbols: List[str]):
+        """Cancel subscriptions."""
+        pass
+    
+    @property
+    @abc.abstractmethod
+    def is_connected(self) -> bool:
+        """Check if connector is currently connected."""
+        pass
+    
+    @property
+    @abc.abstractmethod
+    def request_count(self) -> int:
+        """Total number of API requests made."""
+        pass