feat: collect Bybit orderbook observations for training

tests/test_market_data.py

@@ -1,7 +1,8 @@
 from __future__ import annotations
 
-from crypto_spot_bot.market_data import _candles_due, _closed_candles, _is_closed_kline_row
+from crypto_spot_bot.market_data import MarketData, _candles_due, _closed_candles, _is_closed_kline_row
 from crypto_spot_bot.models import Candle
+from crypto_spot_bot.storage import Storage
 
 
 def test_closed_candles_excludes_current_open_interval() -> None:
@@ -26,3 +27,37 @@ def test_rest_candles_refresh_only_after_next_bar_closes() -> None:
 
     assert _candles_due([candle], "1", now_ms=11 * 60_000 + 30_000) is False
     assert _candles_due([candle], "1", now_ms=12 * 60_000) is True
+
+
+def test_orderbook_handler_samples_sizes_and_microstructure(make_settings, tmp_path) -> None:
+    settings = make_settings(
+        tmp_path,
+        market_observation_enabled=True,
+        market_observation_sample_seconds=30.0,
+    )
+    storage = Storage(settings.database_path)
+    market = MarketData(settings, object(), storage)
+
+    market._handle_orderbook(
+        "BTCUSDT",
+        {"b": [["100", "3"]], "a": [["101", "1"]]},
+        source_timestamp_ms=1_789_000_000_000,
+    )
+    market._handle_orderbook(
+        "BTCUSDT",
+        {"b": [["100", "4"]], "a": [["101", "1"]]},
+        source_timestamp_ms=1_789_000_001_000,
+    )
+
+    metrics = market.orderbook_metrics["BTCUSDT"]
+    rows = storage.market_observations_after(symbol="BTCUSDT")
+    assert metrics["bid_size"] == 4.0
+    assert metrics["ask_size"] == 1.0
+    assert metrics["imbalance"] == 0.6
+    assert metrics["microprice"] == 100.8
+    assert len(rows) == 1
+    assert rows[0]["bid_size"] == 3.0
+    assert rows[0]["ask_size"] == 1.0
+    assert rows[0]["imbalance"] == 0.5
+    assert rows[0]["microprice"] == 100.75
+    assert rows[0]["source_timestamp_ms"] == 1_789_000_000_000