feat: collect Bybit orderbook observations for training

2026-07-15 00:36:56 +03:00
parent d0869b5d29
commit 2967cd607c
14 changed files with 374 additions and 21 deletions
@@ -62,6 +62,57 @@ def test_prune_deletes_only_one_bounded_batch_per_table(tmp_path) -> None:
    assert len(storage.recent_signals(PRUNE_BATCH_SIZE + 10)) == 5


+def test_market_observation_export_is_symbol_scoped_and_paginated(tmp_path) -> None:
+    storage = Storage(tmp_path / "tradebot.sqlite3")
+    first_id = storage.insert_market_observation(
+        symbol="BTCUSDT",
+        bid_price=100.0,
+        bid_size=2.0,
+        ask_price=101.0,
+        ask_size=1.0,
+        mid_price=100.5,
+        microprice=100.6666666667,
+        spread_bps=99.50248756,
+        imbalance=1 / 3,
+        last_price=100.4,
+        source_timestamp_ms=1_789_000_000_000,
+    )
+    second_id = storage.insert_market_observation(
+        symbol="BTCUSDT",
+        bid_price=101.0,
+        bid_size=1.0,
+        ask_price=102.0,
+        ask_size=1.0,
+        mid_price=101.5,
+        microprice=101.5,
+        spread_bps=98.52216749,
+        imbalance=0.0,
+        last_price=101.4,
+        source_timestamp_ms=1_789_000_030_000,
+    )
+    storage.insert_market_observation(
+        symbol="ETHUSDT",
+        bid_price=10.0,
+        bid_size=1.0,
+        ask_price=11.0,
+        ask_size=1.0,
+        mid_price=10.5,
+        microprice=10.5,
+        spread_bps=952.38095238,
+        imbalance=0.0,
+        last_price=10.4,
+    )
+
+    rows = storage.market_observations_after(
+        symbol="BTCUSDT",
+        after_id=first_id,
+        limit=1,
+    )
+
+    assert [row["id"] for row in rows] == [second_id]
+    assert rows[0]["source_timestamp_ms"] == 1_789_000_030_000
+
+
 def test_runtime_compaction_preserves_durable_state_and_bounds_telemetry(tmp_path) -> None:
    database = tmp_path / "tradebot.sqlite3"
    storage = Storage(database)