Sample Data Integration Pipeline

[iAmGiG]

Summary

Implement a complete sample data handling pipeline for Alpha Vantage options data to enable development and testing without API dependencies.

Completed Components

1. Data Loading and Parsing

• ✅ src/data_sources/sample_data_loader.py - Loads and parses Alpha Vantage sample JSON
• ✅ SampleDataProvider class with cache-like interface
• ✅ Support for filtering by symbol, date, and Greeks

2. Data Validation

• ✅ src/validation/options_data_validator.py - Comprehensive options data validation
• ✅ Greek bounds checking (delta, gamma, theta, vega)
• ✅ Logical consistency validation (expiration dates, strikes, etc.)
• ✅ Quality metrics calculation

3. GEX Calculation Interface

• ✅ src/gex/sample_data_gex.py - Bridges sample data with existing GEX engine
• ✅ Automatic spot price estimation from options data
• ✅ GEX breakdown by strike
• ✅ Zero gamma flip point calculation
• ✅ Peak gamma strike identification
• ✅ Formatted report generation

4. Agent-Based Data Retrieval

• ✅ src/agents/data_retrieval_agent.py - Unified agent interface
• ✅ Pattern detection capabilities (Short Put Arbitrage)
• ✅ Parallel processing with AgentOrchestrator
• ✅ Seamless transition path to production data

5. Testing

• ✅ tests/test_sample_data_pipeline.py - Comprehensive test suite
• ✅ End-to-end pipeline validation
• ✅ All components tested successfully

Key Features

• Sample Data Location: Uses sample_data/alpha_vantage_sample02.json for testing
• Production Ready: Designed to transition to .cache/ directory when live data pipeline is implemented
• Validation: Automatic data validation with configurable strict/lenient modes
• Caching: In-memory caching for improved performance
• Agent Interface: Multi-agent support for parallel processing

Test Results

Testing Sample Data Pipeline...
============================================================
✓ Loaded 998 option contracts
✓ Converted to DataFrame with 998 rows
✓ Found 1 unique symbols: ['IBM']
✓ Agent initialized with 1 symbols
✓ Calculated GEX for IBM
  Net GEX: $3,464,648
  Spot Price: $149.08
  Flip Point: $98.21
============================================================
All tests passed successfully!

Next Steps

1. Expand sample data to include more symbols (SPY, SPX)
2. Implement caching to .cache/ directory structure
3. Add real-time data streaming when API keys available
4. Integrate with LLM pattern detection

Related Issues

• 🔴 Data Pipeline Foundation #3 Data Pipeline Foundation
• 🟡 GEX Calculation Module #4 GEX Calculation Module
• Data Ingestion: Options Chain Data Parser #14 Data Ingestion Parser
• GEX Calculation Caching: Pre-computed Gamma Exposure Storage #18 GEX Calculation Caching

Labels

data-pipeline gex-calculation api-integration

[iAmGiG]

Sample Data Integration Pipeline is complete. All components implemented and tested successfully:

✅ Complete sample data loading and parsing system
✅ Alpha Vantage JSON data integration
✅ Comprehensive options data validation
✅ GEX calculation interface with sample data
✅ Agent-based data retrieval system
✅ Pattern detection capabilities
✅ Full testing pipeline

Key features working:

• Loads sample_data/alpha_vantage_sample02.json
• Validates 998+ option contracts
• Calculates GEX metrics with flip points
• Provides agent interface for multi-symbol processing
• Supports seamless transition to production data

Next steps handled in separate issues: Issue #18 (GEX Caching), Issue #25 (Utils Integration)