Remove Tiingo spread monitor (indicative two-tier feed, unvalidatable)
Tiingo's free /tiingo/fx/top publishes only a two-tier indicative spread for gold ($0.10 liquid hours / $0.70 rollover+news; verified on 273 production samples + live probes) — mid ± a posted increment, not executable depth, so it can never validate the $0.30 backtest cost assumption. Removed one day after shipping: tiingo_provider.py, the sampler/quote plumbing in telegram_bot.py, the channel_spread_detail config knob and tiingo_api_key resolver, and Module 14's Tiingo tests (221 -> 210). CLAUDE.md documents the verdict: do not re-add a spread display from Tiingo's free FX feed. Claude-Session: https://claude.ai/code/session_01BoZKi67Ct6QTeiFJmybXSw
This commit is contained in:
Harwinder Sekhon
+8
-144
@@ -67,12 +67,9 @@ from config import (
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)
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from app_config import (
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get_app_config, provider_api_key, telegram_token, telegram_chat_id,
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telegram_channel_id, tiingo_api_key,
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telegram_channel_id,
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)
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from data_provider import ForexDataProvider, make_data_provider
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from tiingo_provider import (
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Quote, TiingoQuoteProvider, WIDE_SPREAD_MULTIPLE, log_quote,
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)
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from pair_signals import PAIR_PRODUCERS
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from signal_aggregator import SignalAggregator, SignalReport
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@@ -92,9 +89,8 @@ _console_handler = logging.StreamHandler()
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_console_handler.setFormatter(_log_formatter)
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# 3-hour rotation × 240 backups = 30 days retention. Handlers sit on the
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# ROOT logger (force=True guarantees ownership even if something logged
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# first), so every module logger — data_provider, tiingo_provider,
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# news_engine, signal_aggregator, websockets, telegram.ext — lands in
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# the same file.
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# first), so every module logger — data_provider, news_engine,
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# signal_aggregator, websockets, telegram.ext — lands in the same file.
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_file_handler = logging.handlers.TimedRotatingFileHandler(
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os.path.join(_LOG_DIR, "telegram.log"),
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when="h", interval=3, backupCount=240, encoding="utf-8",
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@@ -213,32 +209,6 @@ def _get_shared_dp() -> ForexDataProvider:
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return _shared_dp
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# ── Tiingo bid/ask spread monitor (optional; no key → feature off) ───
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# Warn-only BY DESIGN: there is no historical bid/ask to replay, so a
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# suppressing gate could never be validated (live == backtest rule).
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# Signals never consume bid/ask — this is execution-cost visibility.
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_TIINGO_KEY = tiingo_api_key()
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_tiingo: Optional[TiingoQuoteProvider] = (
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TiingoQuoteProvider(_TIINGO_KEY) if _TIINGO_KEY else None
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)
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_last_quotes: Dict[str, Quote] = {}
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_QUOTE_MAX_AGE = 600 # cached quote stays displayable this long
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_SPREAD_SAMPLE_SECONDS = 300 # sampler cadence (→ logs/spread_log.csv)
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# config.json telegram.channel_spread_detail: True while the channel is
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# internal/testing → it gets raw bid/ask like the owner DM. MUST be
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# flipped back to false before the channel goes public (Tiingo free
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# tier is internal-use-only).
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_CHANNEL_SPREAD_DETAIL = _APP.channel_spread_detail
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def _spread_detail_for(chat_id: int) -> bool:
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"""Owner DMs always get raw quote numbers; the channel only while
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config.json marks it internal."""
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return chat_id != CHANNEL_ID or _CHANNEL_SPREAD_DETAIL
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# ── Signal formatting ─────────────────────────────────────────────────
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_SIGNAL_EMOJI = {
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@@ -294,37 +264,6 @@ def _live_price_line(symbol: str) -> Optional[str]:
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return f"📡 Live: *{_fmt_price(price)}* ({age:.0f}s tick)"
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def _spread_lines(symbol: str, include_quote: bool = True) -> List[str]:
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"""Live bid/ask + wide-spread warning for signal messages.
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Empty when Tiingo is off or the cached quote is stale.
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include_quote=False is the subscriber-channel variant: Tiingo's
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free tier is licensed internal-use-only (no redistributing the
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data), so raw bid/ask/spread numbers stay in the owner DM — the
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channel gets only a number-free wide-spread caution."""
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q = _last_quotes.get(symbol)
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if q is None or q.age_seconds() > _QUOTE_MAX_AGE:
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return []
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assumed = PAIR_INFO.get(symbol, {}).get("default_spread", 0.0)
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wide = assumed > 0 and q.spread >= WIDE_SPREAD_MULTIPLE * assumed
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if not include_quote:
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return [
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"⚠️ Spread unusually wide right now — execution cost is "
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"elevated, consider waiting for it to normalize"
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] if wide else []
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lines = [
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f"💱 Bid/Ask: {_fmt_price(q.bid)} / {_fmt_price(q.ask)}"
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f" (spread ${q.spread:.2f})"
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]
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if wide:
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lines.append(
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f"⚠️ Wide spread: ${q.spread:.2f} ≈ {q.spread / assumed:.1f}× the "
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f"${assumed:.2f} cost the strategy was validated at — "
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f"execution is expensive right now"
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)
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return lines
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_DISCLAIMER = (
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"⚠️ _Not financial advice. For educational and research purposes only. "
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"Trading forex/CFDs carries a high risk of loss — do your own analysis "
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@@ -332,7 +271,7 @@ _DISCLAIMER = (
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)
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def format_signal_message(report: SignalReport, spread_detail: bool = True) -> str:
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def format_signal_message(report: SignalReport) -> str:
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sig = report.final_signal
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emoji = _SIGNAL_EMOJI.get(sig, "⬜")
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qe = _QUALITY_EMOJI.get(report.signal_quality, "")
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@@ -353,7 +292,6 @@ def format_signal_message(report: SignalReport, spread_detail: bool = True) -> s
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live = _live_price_line(report.symbol)
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if live:
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lines.append(live)
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lines += _spread_lines(report.symbol, include_quote=spread_detail)
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lines += [
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f"📊 Regime: {regime_str} | Vol: {vol_str}",
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"",
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@@ -551,24 +489,6 @@ async def run_signal(
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)
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async def _refresh_quotes(symbols: List[str]) -> None:
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"""Fetch fresh Tiingo quotes (blocking HTTP) off the event loop —
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called just before alerts go out so the spread block reflects the
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moment of entry, and by the 5-min sampler."""
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if _tiingo is None:
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return
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loop = asyncio.get_running_loop()
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for symbol in set(symbols):
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try:
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quote = await loop.run_in_executor(
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_executor, _tiingo.get_quote, symbol)
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except Exception as exc:
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logger.warning(f"Tiingo quote refresh failed for {symbol}: {exc}")
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continue
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if quote is not None:
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_last_quotes[symbol] = quote
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# ── Alert gating (quality threshold + dedup) ─────────────────────────
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_QUALITY_RANK = {"A+": 4, "A": 3, "B": 2, "C": 1}
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@@ -697,13 +617,10 @@ async def _scan_timeframe(
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and _passes_quality(r.signal_quality)
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and _should_alert(f"{r.symbol}_{tf.value}", r)
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]
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if actionable:
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await _refresh_quotes([r.symbol for r in actionable])
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sent_ok: Set[int] = set()
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for chat_id in _signal_targets():
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for i, report in enumerate(actionable):
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detail = format_signal_message(
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report, spread_detail=_spread_detail_for(chat_id))
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detail = format_signal_message(report)
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try:
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await bot.send_message(chat_id, detail, parse_mode=ParseMode.MARKDOWN)
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sent_ok.add(i)
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@@ -801,11 +718,9 @@ async def _handle_breach(bot, ws_symbol: str, pair_symbol: str, price: float, le
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f"⚡ *LEVEL BREAK* — {_escape_md(display)} crossed "
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f"*{_escape_md(label)}* @ `{_fmt_price(price)}`\n\n"
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)
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await _refresh_quotes([pair_symbol])
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sent = False
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for chat_id in _signal_targets():
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detail = header + format_signal_message(
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report, spread_detail=_spread_detail_for(chat_id))
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detail = header + format_signal_message(report)
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try:
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await bot.send_message(chat_id, detail, parse_mode=ParseMode.MARKDOWN)
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sent = True
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@@ -927,37 +842,6 @@ async def _candle_loop(bot, tf: Timeframe, interval_minutes: int) -> None:
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logger.info(f"{label} auto-scan loop stopped")
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def _weekend_closed(now: datetime) -> bool:
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"""Fri 22:00 → Sun 22:00 UTC — the window the platform treats as
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market-closed (same as the weekend filter)."""
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wd, hr = now.weekday(), now.hour
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return (wd == 4 and hr >= 22) or wd == 5 or (wd == 6 and hr < 22)
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async def _spread_sampler_loop() -> None:
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"""Every 5 min: fetch bid/ask for each scanned pair, cache it for
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the alert formatter, and append to logs/spread_log.csv — the
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dataset that validates (or refutes) the assumed $0.30 round-trip
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cost every backtest charges."""
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try:
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while True:
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try:
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if not _weekend_closed(datetime.now(timezone.utc)):
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await _refresh_quotes(SCAN_PAIRS)
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for symbol in SCAN_PAIRS:
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q = _last_quotes.get(symbol)
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# Age guard: never log a stale row after a failed fetch.
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if q is not None and q.age_seconds() < _SPREAD_SAMPLE_SECONDS:
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log_quote(q)
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except Exception:
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logger.exception("Spread sampler: cycle failed")
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await asyncio.sleep(_SPREAD_SAMPLE_SECONDS)
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except asyncio.CancelledError:
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pass
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finally:
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logger.info("Spread sampler stopped")
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_TF_INTERVAL_MINUTES = {
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Timeframe.M5: 5, Timeframe.M15: 15, Timeframe.M30: 30,
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Timeframe.H1: 60, Timeframe.H4: 240, Timeframe.D1: 1440,
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@@ -968,11 +852,10 @@ _AUTOSCAN_LOOPS = [
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_ws_task: Optional[asyncio.Task] = None
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_spread_task: Optional[asyncio.Task] = None
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def _start_scheduler(bot) -> None:
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global _ws_task, _spread_task
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global _ws_task
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alive = [t for t in _autoscan_tasks if not t.done()]
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if not alive:
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_autoscan_tasks.clear()
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@@ -987,23 +870,15 @@ def _start_scheduler(bot) -> None:
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_ws_task = asyncio.create_task(_ws_monitor(bot))
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logger.info("WebSocket level-breach monitor started")
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if _tiingo is not None and (_spread_task is None or _spread_task.done()):
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_spread_task = asyncio.create_task(_spread_sampler_loop())
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logger.info("Tiingo spread sampler started (every %ss)",
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_SPREAD_SAMPLE_SECONDS)
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def _stop_scheduler() -> None:
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global _ws_task, _spread_task
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global _ws_task
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for t in _autoscan_tasks:
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t.cancel()
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_autoscan_tasks.clear()
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if _ws_task and not _ws_task.done():
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_ws_task.cancel()
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_ws_task = None
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if _spread_task and not _spread_task.done():
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_spread_task.cancel()
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_spread_task = None
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for t in list(_breach_tasks):
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t.cancel()
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_breach_tasks.clear()
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@@ -1101,17 +976,6 @@ def _status_text() -> str:
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else:
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lines.append("❌ WebSocket: *disconnected*")
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if _tiingo is not None:
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for pair in SCAN_PAIRS:
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q = _last_quotes.get(pair)
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display = PAIR_INFO.get(pair, {}).get("display", pair)
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if q is None:
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lines.append(f"💱 Spread ({display}): waiting for first quote")
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else:
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lines.append(
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f"💱 Spread ({display}): `${q.spread:.2f}` "
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f"({q.age_seconds():.0f}s ago)")
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if _last_prices:
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lines.append("\n*Live Prices (WebSocket):*")
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for ws_sym, pair in _WS_TO_PAIR.items():
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