Add initial implementation of the Orderflow Backtest System with OBI and CVD metrics integration, including core modules for storage, strategies, and visualization. Introduced persistent metrics storage in SQLite, optimized memory usage, and enhanced documentation.

parsers/__init__.py

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+"""Parsing utilities for transforming raw persisted data into domain models."""
+
+

parsers/orderbook_parser.py

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+from __future__ import annotations
+
+from ast import literal_eval
+from typing import Dict
+import logging
+
+from models import OrderbookLevel
+
+
+class OrderbookParser:
+    """Parser for orderbook side text into structured levels.
+
+    Maintains a price cache for memory efficiency and provides a method to
+    parse a side into a dictionary of price -> OrderbookLevel.
+    """
+
+    def __init__(self, price_cache: dict[float, float] | None = None, debug: bool = False) -> None:
+        self._price_cache: dict[float, float] = price_cache or {}
+        self._debug = debug
+
+    def parse_side(self, text: str, side_dict: Dict[float, OrderbookLevel]) -> None:
+        """Parse orderbook side data from text and populate the provided dictionary."""
+        if not text or text.strip() == "":
+            return
+        try:
+            arr = literal_eval(text)
+            for p, s, lc, oc in arr:
+                price = float(p)
+                size = float(s)
+                price = self._price_cache.get(price, price)
+                if size > 0:
+                    side_dict[price] = OrderbookLevel(
+                        price=price,
+                        size=size,
+                        liquidation_count=int(lc),
+                        order_count=int(oc),
+                    )
+        except Exception as e:
+            if self._debug:
+                logging.exception("Error parsing orderbook data")
+                logging.debug(f"Text sample: {text[:100]}...")
+            else:
+                logging.error(f"Failed to parse orderbook data: {type(e).__name__}")
+
+