Add calendar research infra: FF scraper + verified event store

Scrapes Forex Factory weekly pages (epoch datelines, actual/forecast/
impact/betterWorse) into backtest/cache/calendar.parquet (gitignored;
rebuild with the scraper). Timestamps verified: NFP/CPI/ECB times exact
across DST, and high-impact event bars average 3.5x ATR with the spike
vanishing at +/-1h shifts. calendar_store provides precise_events and
event_window_mask for screens and counterfactuals.

backtest/research/calendar_store.py

@@ -0,0 +1,94 @@
+"""Load and query the historical economic calendar (backtest side).
+
+The store is built by `ff_calendar_scraper.py`. Timestamps are unix
+epoch (UTC) — verified against known release times and price-volatility
+alignment (see scraper docstring).
+
+Key API:
+    cal = load_calendar()                          # full DataFrame, `utc` column
+    ev  = precise_events(cal, ["USD", "EUR"])      # high-impact, minute-accurate
+    mask = event_window_mask(bar_index, ev.utc, before, after)
+"""
+from pathlib import Path
+from typing import Iterable, Optional
+
+import numpy as np
+import pandas as pd
+
+PARQUET = Path(__file__).resolve().parent.parent / "cache" / "calendar.parquet"
+
+# timeLabel values that mean "no intraday time" — these events cannot
+# anchor an M5/M15 window (German Prelim CPI is the notable High one).
+_UNTIMED = {"All Day", "Tentative", ""}
+
+
+def _parse_release_value(raw) -> float:
+    """'0.3%' / '-1.7%' / '228K' / '1.1M' -> float (nan if unparseable)."""
+    import re
+    if raw is None or (isinstance(raw, float) and np.isnan(raw)):
+        return np.nan
+    m = re.search(r"(-?\d+(?:\.\d+)?)\s*([kmbt])?",
+                  str(raw).replace(",", ""), re.IGNORECASE)
+    if not m:
+        return np.nan
+    mult = {"k": 1e3, "m": 1e6, "b": 1e9, "t": 1e12}.get(
+        (m.group(2) or "").lower(), 1.0)
+    return float(m.group(1)) * mult
+
+
+def load_calendar(path: Path = PARQUET) -> pd.DataFrame:
+    df = pd.read_parquet(path)
+    df["utc"] = pd.to_datetime(df.dateline, unit="s", utc=True)
+    for col in ("actual", "forecast", "previous"):
+        df[f"{col}_num"] = df[col].map(_parse_release_value)
+    df["surprise"] = df.actual_num - df.forecast_num
+    return df
+
+
+def precise_events(
+    cal: pd.DataFrame,
+    currencies: Iterable[str] = ("USD", "EUR"),
+    impacts: Iterable[str] = ("high",),
+    require_values: bool = False,
+) -> pd.DataFrame:
+    """Events with a minute-accurate timestamp, filtered by currency/impact."""
+    out = cal[cal.currency.isin(list(currencies))
+              & cal.impactName.isin(list(impacts))
+              & ~cal.timeMasked.astype(bool)
+              & ~cal.timeLabel.fillna("").isin(_UNTIMED)]
+    if require_values:
+        out = out.dropna(subset=["actual_num", "forecast_num"])
+    return out.sort_values("utc").reset_index(drop=True)
+
+
+def event_window_mask(
+    bar_index: pd.DatetimeIndex,
+    event_times: pd.Series,
+    before: pd.Timedelta = pd.Timedelta(minutes=30),
+    after: pd.Timedelta = pd.Timedelta(minutes=30),
+) -> np.ndarray:
+    """Boolean mask: bar OPEN time falls inside [event-before, event+after).
+
+    Use on a backtest's entry times to identify trades entered around
+    releases (avoidance counterfactuals, event-window cost models).
+    """
+    starts = pd.DatetimeIndex(event_times) - before
+    ends = pd.DatetimeIndex(event_times) + after
+    order = np.argsort(starts.values)
+    starts, ends = starts.values[order], ends.values[order]
+    # merge overlapping windows, then interval-stab each bar time
+    merged_s, merged_e = [], []
+    for s, e in zip(starts, ends):
+        if merged_e and s <= merged_e[-1]:
+            merged_e[-1] = max(merged_e[-1], e)
+        else:
+            merged_s.append(s)
+            merged_e.append(e)
+    ms = np.array(merged_s)
+    me = np.array(merged_e)
+    ts = bar_index.values
+    pos = np.searchsorted(ms, ts, side="right") - 1
+    ok = pos >= 0
+    res = np.zeros(len(ts), dtype=bool)
+    res[ok] = ts[ok] < me[pos[ok]]
+    return res