Openbb Enrichment Integration

OpenBB Enrichment Integration

Experiment Overview

Context

The Alpaca_trading system had significant blind spots: no fundamental data, no macro/economic context, no real earnings calendar, no sentiment/news, no options analytics. OpenBB fills these gaps as a parallel enrichment layer.

CRITICAL: OpenBB NEVER touches OHLCV data. Alpaca API remains mandatory for all price/volume data.

Architecture

CURRENT:
  Alpaca API (OHLCV) --> DataFetcher --> Cache --> GPU Env (59 features)
                                            |
  OpenBB Platform --> OpenBBDataProvider ---+--> Selection (sector lookups via FMP)
    |                                      +--> Risk Manager (VIX scaling)
    |                                      +--> Calendar Features (macro modulation)
    +-- FMP, FRED, Benzinga providers

Verified Workflow

1. OpenBBDataProvider (Singleton)

from alpaca_trading.data.openbb_provider import OpenBBDataProvider, get_openbb_provider

provider = get_openbb_provider()

# Check availability (True if SDK installed + any API key configured)
if provider.is_available:
    profile = provider.get_equity_profile("AAPL")    # FMP fundamentals
    vix = provider.get_latest_vix()                   # FRED VIX level
    spread = provider.get_yield_curve_spread()         # T10Y2Y

2. Key Design Choices

• Lazy SDK init: _ensure_sdk() loads OpenBB only on first method call
• Thread-safe singleton: __new__ with threading.Lock()
• SQLite cache: {cache_dir}/openbb_cache.db with per-type TTL
• FMP rate limiting: 250/day free tier tracked with sliding window
• API key priority: config/openbb_keys.json > env vars > Colab Secrets
• Graceful degradation: All methods return None when unavailable

3. Mock Pattern for Tests (CRITICAL)

# CORRECT — patch at source module (lazy import inside methods)
@patch("alpaca_trading.data.openbb_provider.get_openbb_provider")
def test_something(self, mock_get):
    mock_provider = MagicMock()
    mock_provider.is_available = True
    mock_get.return_value = mock_provider
    ...

# WRONG — fails because get_openbb_provider is not a module-level attribute
@patch("alpaca_trading.risk.integrated_risk.get_openbb_provider")

4. Colab Installation

# In notebook setup cell — do NOT install openbb[all] (~100+ packages)
!pip install openbb-core openbb-equity openbb-economy openbb-news openbb-derivatives

Failed Attempts

Final Parameters

# Cache TTL (seconds)
CACHE_TTL = {
    'equity_profile': 2592000,   # 30 days (quarterly data)
    'fred_series': 14400,        # 4 hours
    'earnings_calendar': 86400,  # 1 day
    'company_news': 300,         # 5 minutes
    'options_chain': 3600,       # 1 hour
}

# FMP rate limit
FMP_MAX_REQUESTS_PER_DAY = 250  # Free tier

# Dependencies (requirements.txt)
openbb-core>=4.3.0
openbb-equity>=4.3.0
openbb-economy>=4.3.0
openbb-news>=4.3.0
openbb-derivatives>=4.3.0

Files Created/Modified

Testing

41 tests across 6 test classes, all passing:

python -m pytest tests/test_openbb_integration.py -v
# Full suite: 1002 passed, 96 skipped

References

• OpenBB Platform: https://docs.openbb.co/platform
• FMP API: https://site.financialmodelingprep.com/developer/docs
• FRED API: https://fred.stlouisfed.org/docs/api/fred/