2 Commits

Author	SHA1	Message	Date
ramseshk	00bb06434e	fix: collector WebSocket trade parsing + DuckDB 1.5 API compatibility ... data/collectors/hyperliquid.py: - Fixed _handle_trades to handle HL WebSocket trade data as list[dict] (each trade dict has its own 'coin' field) instead of assuming single dict - Fixed _poll_funding and _poll_open_interest to guard against data[0] being list vs dict (mainnet vs testnet response format difference) data/duckdb_load.py: - Replaced deprecated duckdb.from_sequence() with executemany() for l2_snapshots, trades, and funding table inserts (DuckDB 1.5.x API) Tick runner verified on real mainnet BTC data: - 324 events (45 L2 + 279 trades), VPIN-gated A-S MM, 1 trade, 98 cancels - HFT dashboard generated with 8 panels from real tick data	2026-08-11 14:45:48 +08:00
ramseshk	a7f811eb81	feat: Phase 1 — real-time & historical data system ... New data/ module with: - data/store.py: Parquet-based raw message storage with background writer thread. Messages partitioned by channel/coin/date. Thread-safe queue. Supports pyarrow Parquet with zstd compression. Includes read_range() helper for replay. - data/collectors/hyperliquid.py: HL WebSocket + REST collector - WebSocket: l2Book (full book reconstruction), trades, allMids (mark prices) - REST pollers: funding rates, predicted funding, open interest, liquidations - Per-coin OrderBook class with snapshot/update reconstruction - Sequence gap detection with per-coin re-snapshot on gap - Latency tracking (exchange transport, signal, order, roundtrip) - Periodic stats reporter (book stats + latency summary every 60s) - CLI entrypoint: python -m data.collectors.hyperliquid --coins BTC ETH - data/normalizer.py: Timestamp normalization (ms, s, ISO strings from HL/Binance/Bybit/OKX/Coinbase/Deribit) + SequenceTracker with gap detection - data/latency.py: Rolling-window latency metrics (p50/p90/p95/p99) for transport, signal computation, order submission, and roundtrip - Added pyarrow + aiohttp to requirements.txt	2026-08-07 14:28:21 +08:00