feat(nautilus): initial integration

nautilus_actor_test_implementation_5x.py

@@ -3,10 +3,11 @@ import numpy as np
 import asyncio
 import json
 import math
+import httpx
+import websockets
 from typing import Dict, List, Optional, Tuple, Any
 from enum import Enum
 from collections import deque
-import httpx
 import random  # Added for _simulate_websocket_ticks
 
 # Nautilus imports - following test pattern
@@ -45,6 +46,239 @@ class MarketRegime(Enum):
     TRANSITION = "TRANSITION"
     SIDEWAYS = "SIDEWAYS"
 
+# ============================================================================
+# EXTRACTED FROM STANDALONE: REAL WEBSOCKET INFRASTRUCTURE
+# ============================================================================
+
+@dataclass
+class TickData:
+    """Universal tick data structure from standalone"""
+    symbol: str
+    price: float
+    quantity: float
+    timestamp: int
+    is_buyer_maker: bool
+    trade_id: int
+    exchange: str
+    raw_data: Dict = None
+
+    def __post_init__(self):
+        if self.raw_data is None:
+            self.raw_data = {}
+
+@dataclass  
+class ExchangeConfig:
+    """Exchange-specific configuration from standalone"""
+    name: str
+    websocket_limit_per_second: int
+    max_streams_per_connection: int
+    max_connections_per_window: int
+    connection_window_seconds: int
+    base_websocket_url: str
+    requires_auth: bool = False
+    ping_interval: float = 20.0
+    ping_timeout: float = 10.0
+
+class BinanceAdapter:
+    """EXTRACTED FROM STANDALONE: Binance-specific WebSocket adapter"""
+    
+    def __init__(self):
+        self.config = ExchangeConfig(
+            name="binance",
+            websocket_limit_per_second=10,
+            max_streams_per_connection=1024,
+            max_connections_per_window=300,
+            connection_window_seconds=300,  # 5 minutes
+            base_websocket_url="wss://stream.binance.com:9443",
+            requires_auth=False
+        )
+        self.logger = Logger(f"BINANCE_ADAPTER")
+    
+    def get_websocket_url(self, symbols: List[str]) -> str:
+        """Build Binance WebSocket URL with combined streams"""
+        if len(symbols) == 1:
+            symbol = symbols[0].lower()
+            return f"{self.config.base_websocket_url}/ws/{symbol}@trade"
+        else:
+            # Combined stream approach
+            streams = [f"{symbol.lower()}@trade" for symbol in symbols]
+            stream_string = "/".join(streams)
+            return f"{self.config.base_websocket_url}/stream?streams={stream_string}"
+    
+    def parse_message(self, message: str) -> Optional[TickData]:
+        """EXTRACTED FROM STANDALONE: Parse Binance trade message"""
+        try:
+            data = json.loads(message)
+            
+            # Handle combined stream format
+            if 'stream' in data and 'data' in data:
+                stream_name = data['stream']
+                trade_data = data['data']
+            else:
+                # Single stream format
+                trade_data = data
+                stream_name = trade_data.get('e', '')
+            
+            # Only process trade events
+            if not (stream_name.endswith('@trade') or trade_data.get('e') == 'trade'):
+                return None
+            
+            return TickData(
+                symbol=trade_data['s'],
+                price=float(trade_data['p']),
+                quantity=float(trade_data['q']),
+                timestamp=int(trade_data['T']),
+                is_buyer_maker=trade_data['m'],
+                trade_id=int(trade_data['t']),
+                exchange="binance",
+                raw_data=trade_data
+            )
+            
+        except (json.JSONDecodeError, KeyError, ValueError) as e:
+            self.logger.error(f"Failed to parse Binance message: {e}")
+            return None
+    
+    def calculate_optimal_distribution(self, symbols: List[str]) -> List[List[str]]:
+        """EXTRACTED FROM STANDALONE: Calculate optimal symbol distribution across connections"""
+        # Conservative: leave room for message bursts
+        safety_margin = 0.7
+        symbols_per_connection = int(
+            min(
+                self.config.max_streams_per_connection * safety_margin,
+                self.config.websocket_limit_per_second * 5  # 5-second buffer
+            )
+        )
+        
+        # Group symbols into chunks
+        symbol_groups = []
+        for i in range(0, len(symbols), symbols_per_connection):
+            group = symbols[i:i + symbols_per_connection]
+            symbol_groups.append(group)
+        
+        return symbol_groups
+
+class SiloqyWebSocketConnection:
+    """EXTRACTED FROM STANDALONE: WebSocket connection adapted for Nautilus msgbus"""
+    
+    def __init__(self, connection_id: str, symbols: List[str], 
+                 binance_adapter: BinanceAdapter, main_actor_ref):
+        self.connection_id = connection_id
+        self.symbols = symbols
+        self.adapter = binance_adapter
+        self.main_actor = main_actor_ref  # Reference to SILOQYMainActor for msgbus access
+        
+        self.websocket = None
+        self.is_running = False
+        self.retry_count = 0
+        self.messages_received = 0
+        self.last_message_time = 0.0
+        self.connected_at = None
+        
+        self.logger = Logger(f"WS_{connection_id}")
+        self.logger.info(f"WebSocket connection initialized for {len(symbols)} symbols")
+    
+    async def start(self) -> None:
+        """Start the WebSocket connection"""
+        self.is_running = True
+        
+        while self.is_running:
+            try:
+                await self._connect_and_run()
+            except Exception as e:
+                self.logger.error(f"Connection {self.connection_id} error: {e}")
+                
+                if self.is_running:
+                    await self._handle_reconnection()
+                else:
+                    break
+    
+    async def _connect_and_run(self) -> None:
+        """EXTRACTED FROM STANDALONE: Connect to WebSocket and run message loop"""
+        url = self.adapter.get_websocket_url(self.symbols)
+        
+        self.logger.info(f"Connecting to Binance: {url[:100]}...")
+        
+        async with websockets.connect(
+            url,
+            ping_interval=self.adapter.config.ping_interval,
+            ping_timeout=self.adapter.config.ping_timeout,
+            close_timeout=10
+        ) as websocket:
+            self.websocket = websocket
+            self.connected_at = time.time()
+            self.retry_count = 0
+            
+            self.logger.info(f"Connection {self.connection_id} established")
+            
+            # Message processing loop
+            async for message in websocket:
+                if not self.is_running:
+                    break
+                
+                try:
+                    await self._process_message(message)
+                except Exception as e:
+                    self.logger.error(f"Message processing error: {e}")
+    
+    async def _process_message(self, message: str) -> None:
+        """Process incoming WebSocket message and convert to Nautilus format"""
+        self.messages_received += 1
+        self.last_message_time = time.time()
+        
+        # Parse message using Binance adapter
+        tick_data = self.adapter.parse_message(message)
+        if tick_data:
+            # Convert TickData to SiloqyTradeTick and publish via Nautilus msgbus
+            try:
+                # Create SiloqyTradeTick object
+                siloqy_tick = SiloqyTradeTick(
+                    instrument_id=tick_data.symbol,
+                    price=round(tick_data.price, 8),
+                    size=round(tick_data.quantity, 8),
+                    ts_event=tick_data.timestamp * 1000000,  # Convert ms to ns
+                    ts_init=int(time.time_ns()),
+                    open_price=None,  # Will be set by candle logic
+                    candle_open_time=None,  # Will be set by candle logic
+                    tick_side=None,
+                    exchange="BINANCE",
+                    liquidity_flag=None
+                )
+                
+                # Get candle information from main actor
+                if hasattr(self.main_actor, 'active_candles') and self.main_actor.active_candles:
+                    symbol = tick_data.symbol
+                    if symbol in self.main_actor.active_candles:
+                        candle = self.main_actor.active_candles[symbol]
+                        siloqy_tick.open_price = candle.get('open_price', tick_data.price)
+                        siloqy_tick.candle_open_time = candle.get('open_time', int(time.time() * 1000))
+                
+                # Process through main actor's tick handling (preserves all candle logic)
+                self.main_actor.on_websocket_tick(
+                    tick_data.symbol, 
+                    tick_data.price, 
+                    tick_data.quantity, 
+                    tick_data.timestamp
+                )
+                
+            except Exception as e:
+                self.logger.error(f"Failed to process tick: {e}")
+    
+    async def _handle_reconnection(self) -> None:
+        """Handle reconnection with exponential backoff"""
+        self.retry_count += 1
+        delay = min(2 ** self.retry_count, 60)  # Max 60 seconds
+        
+        self.logger.warning(f"Reconnecting in {delay}s (attempt {self.retry_count})")
+        await asyncio.sleep(delay)
+    
+    async def stop(self) -> None:
+        """Stop the connection"""
+        self.logger.info(f"Stopping connection {self.connection_id}")
+        self.is_running = False
+        
+        if self.websocket:
+            await self.websocket.close()
+    
 # --------------------------------------------------------------------
 # SILOQY Custom Tick - PRESERVED with fixes
 # --------------------------------------------------------------------
@@ -95,6 +329,7 @@ class SILOQYSymbolDiscoveryConfig(ActorConfig):
 class SILOQYMainActorConfig(ActorConfig):
     candle_interval_ms: int = 15 * 60 * 1000
     throttle_mode: bool = False
+    enable_real_data: bool = False  # NEW: Enable real WebSocket data
 
 class DOLPHINRegimeActorConfig(ActorConfig):
     max_symbols: int = 5000
@@ -200,6 +435,7 @@ class SILOQYSymbolDiscoveryActor(Actor):
                 raise Exception(f"Failed to fetch exchange info: {response.status_code}")
     
     async def _fetch_stats_and_reconstruct_candles(self):
+        """PRESERVED: All original rate limiting with Nautilus async patterns"""
         url = "https://api.binance.com/api/v3/ticker/24hr"
         klines_url = "https://api.binance.com/api/v3/klines"
         ticker_url = "https://api.binance.com/api/v3/ticker/price"
@@ -315,7 +551,7 @@ class SILOQYSymbolDiscoveryActor(Actor):
                 except Exception as e:
                     self.log.error(f"Request failed: {str(e)}")
                 
-                # PRESERVED: Original rate limiting
+                # PRESERVED: Original rate limiting with Nautilus async
                 elapsed = time.time() - start_time
                 if i + 50 < len(self.symbols):
                     sleep_time = max(0, rate_limit_interval - elapsed)
@@ -353,6 +589,7 @@ class SILOQYMainActor(Actor):
         # Preserve original configuration
         self.candle_interval_ms = config.candle_interval_ms
         self.throttle_mode = config.throttle_mode
+        self.enable_real_data = config.enable_real_data  # NEW: Real data capability
         self.connections = {}
         self.connection_tasks = {}
         
@@ -360,6 +597,11 @@ class SILOQYMainActor(Actor):
         self.symbols = []
         self.active_candles = {}
         
+        # WebSocket infrastructure - NEW
+        self.binance_adapter = BinanceAdapter() if self.enable_real_data else None
+        self.websocket_connections: Dict[str, SiloqyWebSocketConnection] = {}
+        self.websocket_tasks: Dict[str, asyncio.Task] = {}
+        
         # WebSocket tasks - managed by Nautilus ActorExecutor
         self.ws_tasks = []
         
@@ -369,6 +611,11 @@ class SILOQYMainActor(Actor):
         if self.throttle_mode:
             self.log.warning("THROTTLE MODE: Main actor will use reduced tick generation")
         
+        if self.enable_real_data:
+            self.log.info("REAL DATA MODE: Will connect to Binance WebSocket streams")
+        else:
+            self.log.info("SIMULATION MODE: Will generate simulated ticks")
+        
         self.log.info("SILOQYMainActor initialized with Nautilus ActorExecutor")
     
     def on_start(self) -> None:
@@ -393,6 +640,12 @@ class SILOQYMainActor(Actor):
     def on_stop(self) -> None:
         """Stop the actor - Nautilus handles executor cleanup"""
         self.log.info("Nautilus ActorExecutor: SILOQYMainActor stopping")
+        
+        # Stop WebSocket connections if running
+        if self.enable_real_data:
+            for conn in self.websocket_connections.values():
+                asyncio.create_task(conn.stop())
+        
         # Nautilus kernel handles executor shutdown - no manual cleanup needed
     
     async def on_start_async(self) -> None:
@@ -401,8 +654,11 @@ class SILOQYMainActor(Actor):
             self.log.info("Nautilus ActorExecutor: Waiting for symbol discovery to complete...")
             await asyncio.wait_for(self.discovery_complete.wait(), timeout=120.0)
             
-            # PRESERVED: Start WebSocket connections
-            await self._start_websocket_connections()
+            # ENHANCED: Start real or simulated connections based on configuration
+            if self.enable_real_data:
+                await self._start_real_websocket_connections()
+            else:
+                await self._start_simulated_connections()
             
             self.log.info("Nautilus ActorExecutor: SILOQYMainActor startup completed successfully")
             
@@ -423,7 +679,6 @@ class SILOQYMainActor(Actor):
         except Exception as e:
             self.log.error(f"Nautilus ActorExecutor: Error handling symbols discovered: {e}")
     
-    # FIXED: SILOQYMainActor.handle_candles_initial
     def handle_candles_initial(self, data):
         """Handle initial candles from discovery actor and properly initialize the candle dict."""
         try:
@@ -448,8 +703,53 @@ class SILOQYMainActor(Actor):
         except Exception as e:
             self.log.error(f"Nautilus ActorExecutor: Error handling candles initial: {e}")
     
-    async def _start_websocket_connections(self):
-        """PRESERVED: Original WebSocket connection logic with Nautilus ActorExecutor"""
+    async def _start_real_websocket_connections(self):
+        """NEW: Start real Binance WebSocket connections with throttle control"""
+        self.log.info("Starting REAL Binance WebSocket connections for live data...")
+        
+        # Apply throttle mode limits to WebSocket connections
+        symbols_to_use = self.symbols
+        if self.throttle_mode:
+            symbols_to_use = self.symbols[:10]  # Limit to 10 symbols in throttle mode
+            self.log.warning(f"THROTTLE MODE: Limited real data to {len(symbols_to_use)} symbols")
+        
+        # Calculate optimal symbol distribution
+        symbol_groups = self.binance_adapter.calculate_optimal_distribution(symbols_to_use)
+        
+        self.log.info(f"Real WebSocket distribution:")
+        self.log.info(f"   - Total symbols: {len(symbols_to_use)}")
+        self.log.info(f"   - Connections needed: {len(symbol_groups)}")
+        
+        # Start WebSocket connections
+        for i, symbol_group in enumerate(symbol_groups):
+            connection_id = f"binance_real_{i:03d}"
+            
+            connection = SiloqyWebSocketConnection(
+                connection_id=connection_id,
+                symbols=symbol_group,
+                binance_adapter=self.binance_adapter,
+                main_actor_ref=self
+            )
+            
+            self.websocket_connections[connection_id] = connection
+            
+            # Use Nautilus ActorExecutor for WebSocket task management
+            if hasattr(self, '_executor') and self._executor:
+                future = self._executor.submit(connection.start())
+                self.log.info(f"Real WebSocket {connection_id} submitted to ActorExecutor")
+            else:
+                task = asyncio.create_task(connection.start())
+                self.websocket_tasks[connection_id] = task
+                self.log.warning(f"Real WebSocket {connection_id} started with asyncio fallback")
+            
+            # Rate limit connection establishment
+            if i < len(symbol_groups) - 1:
+                await asyncio.sleep(1.0)  # 1 second between connections
+        
+        self.log.info(f"Started {len(symbol_groups)} real WebSocket connections")
+    
+    async def _start_simulated_connections(self):
+        """PRESERVED: Original WebSocket simulation logic with Nautilus ActorExecutor"""
         self.log.info("Starting WebSocket simulation for tick generation...")
         self.log.info(f"Will simulate ticks for first 10 of {len(self.symbols)} symbols")
         
@@ -464,6 +764,7 @@ class SILOQYMainActor(Actor):
             self.ws_tasks.append(task)
         
     async def _simulate_websocket_ticks(self):        
+        """PRESERVED: Original simulation logic"""
         # Adjust tick rate for throttle mode
         tick_delay = 0.1 if self.throttle_mode else 0.01
         symbols_to_simulate = min(5 if self.throttle_mode else 10, len(self.symbols))
@@ -489,7 +790,8 @@ class SILOQYMainActor(Actor):
                     log_interval = 500 if self.throttle_mode else 1000
                     if tick_count % log_interval == 0:
                         mode_indicator = "THROTTLE" if self.throttle_mode else ""
-                        self.log.info(f"Generated {tick_count} ticks {mode_indicator} - latest: {symbol}@{price:.2f}")
+                        data_source = "REAL" if self.enable_real_data else "SIM"
+                        self.log.info(f"Generated {tick_count} ticks {mode_indicator} {data_source} - latest: {symbol}@{price:.2f}")
                     
                 await asyncio.sleep(tick_delay)
         except asyncio.CancelledError:
@@ -880,7 +1182,8 @@ def test_siloqy_actors_with_nautilus_process_management():
         config={
             "component_id": "SILOQY-MAIN-ACTOR",
             "candle_interval_ms": 15 * 60 * 1000,
-            "throttle_mode": True  # ENABLED: Reduced tick generation
+            "throttle_mode": True,  # ENABLED: Reduced tick generation
+            "enable_real_data": False  # CHANGE TO True for real WebSocket data
         }
     )