""" Toy cross-venue analytics pipeline This script demonstrates a very small, deterministic cross-venue merge workflow that mirrors the MVP idea of aggregating signals from multiple venues without sharing raw data. It is intentionally lightweight and self-contained to serve as a starter. Run: python3 blueprint/toy_cross_venue_pipeline.py """ from __future__ import annotations from dataclasses import dataclass from typing import Dict, List import time @dataclass class LocalMarketContext: venue_id: str symbol: str timeframe: str @dataclass class MarketSignal: venue_id: str symbol: str timestamp: float features: Dict[str, float] @dataclass class AggregatedSignal: venue_set: List[str] feature_vector: Dict[str, float] privacy_budget_used: float nonce: int def simulate_two_venues() -> List[MarketSignal]: now = time.time() sigs = [ MarketSignal( venue_id="venue-A", symbol="ABC", timestamp=now, features={"liquidity_proxy": 0.82, "order_flow_intensity": 0.55, "volatility_proxy": 1.15}, ), MarketSignal( venue_id="venue-B", symbol="ABC", timestamp=now, features={"liquidity_proxy": 0.78, "order_flow_intensity": 0.60, "volatility_proxy": 1.10}, ), ] return sigs def aggregate_signals(signals: List[MarketSignal]) -> AggregatedSignal: if not signals: return AggregatedSignal(venue_set=[], feature_vector={}, privacy_budget_used=0.0, nonce=0) # Simple averaging across venues for each feature keys = set().union(*(s.features.keys() for s in signals)) avg = {k: 0.0 for k in keys} for s in signals: for k in keys: avg[k] = avg[k] + s.features.get(k, 0.0) n = float(len(signals)) feature_vector = {k: (v / n) for k, v in avg.items()} privacy_budget_used = min([s.features.get("privacy_budget", 0.0) for s in signals] or [0.0]) return AggregatedSignal(venue_set=[s.venue_id for s in signals], feature_vector=feature_vector, privacy_budget_used=privacy_budget_used, nonce=int(now_epoch()) ) def now_epoch() -> int: return int(time.time()) def main(): signals = simulate_two_venues() agg = aggregate_signals(signals) print("Toy AggregatedSignal") print(" venues:", agg.venue_set) print(" features:") for k, v in agg.feature_vector.items(): print(f" {k}: {v:.4f}") print(" privacy_budget_used:", agg.privacy_budget_used) print(" nonce:", agg.nonce) if __name__ == "__main__": main()