JamesTang
6e86da6733
- 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
138 lines
3.1 KiB
Python
138 lines
3.1 KiB
Python
#!/usr/bin/env python3
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"""
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Base classes for data connectors.
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"""
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import abc
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from datetime import datetime
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from typing import List, Optional, Dict, Any
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from dataclasses import dataclass
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from enum import Enum
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class Interval(Enum):
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"""Trading data intervals."""
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MINUTE_1 = "1m"
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MINUTE_5 = "5m"
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MINUTE_15 = "15m"
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MINUTE_30 = "30m"
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HOUR_1 = "1h"
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HOUR_4 = "4h"
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DAY_1 = "1d"
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WEEK_1 = "1w"
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MONTH_1 = "1M"
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@dataclass
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class OHLCV:
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"""Standard OHLCV data point."""
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timestamp: datetime
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open: float
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high: float
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low: float
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close: float
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volume: float
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symbol: str
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interval: Interval
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def to_dict(self) -> Dict[str, Any]:
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return {
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"timestamp": self.timestamp.isoformat(),
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"open": self.open,
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"high": self.high,
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"low": self.low,
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"close": self.close,
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"volume": self.volume,
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"symbol": self.symbol,
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"interval": self.interval.value
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}
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@dataclass
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class InstrumentInfo:
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"""Instrument metadata."""
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symbol: str
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name: str
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exchange: str
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currency: str
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lot_size: int
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min_price_increment: float
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trading_hours: Optional[str] = None
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is_tradable: bool = True
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class DataConnector(abc.ABC):
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"""Abstract base class for data connectors."""
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@abc.abstractmethod
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def connect(self) -> bool:
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"""Establish connection to data source."""
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pass
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@abc.abstractmethod
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def disconnect(self):
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"""Close connection."""
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pass
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@abc.abstractmethod
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def get_ohlcv(
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self,
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symbol: str,
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interval: Interval,
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start_date: datetime,
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end_date: datetime,
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limit: Optional[int] = None
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) -> List[OHLCV]:
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"""
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Fetch historical OHLCV data.
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Args:
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symbol: Trading symbol (e.g., "AAPL")
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interval: Time interval
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start_date: Start of period
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end_date: End of period
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limit: Maximum number of records to return
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Returns:
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List of OHLCV objects
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"""
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pass
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@abc.abstractmethod
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def get_instrument_info(self, symbol: str) -> InstrumentInfo:
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"""Get instrument metadata."""
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pass
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@abc.abstractmethod
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def subscribe_ohlcv(
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self,
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symbols: List[str],
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interval: Interval,
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callback
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):
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"""
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Subscribe to real-time OHLCV updates.
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Args:
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symbols: List of symbols to subscribe to
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interval: Interval for updates
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callback: Function to call with new OHLCV data
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"""
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pass
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@abc.abstractmethod
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def unsubscribe(self, symbols: List[str]):
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"""Cancel subscriptions."""
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pass
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@property
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@abc.abstractmethod
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def is_connected(self) -> bool:
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"""Check if connector is currently connected."""
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pass
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@property
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@abc.abstractmethod
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def request_count(self) -> int:
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"""Total number of API requests made."""
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pass |