providers: floor every live fetch at 1000 bars (H4/D1 indicator-seeding parity)

The engine's EMAs use ewm(adjust=False), so the first bar of a fetched
frame keeps weight (1-2/201)^n in the 200-bar trend EMA. With the 60-day
lookback the live H4 frame had 380 bars (seed weight 2.3%) and D1 300
(5%), while the backtester seeds from its whole cached history. Measured
on the deepest Oanda caches (267 H4 / 313 D1 bars sampled over two years,
raw and cleaned frames): ema_trend flipped on 2/267 H4 and 1/313 D1 bars
at those depths (composite off by up to 9.5 points) and on none from 600
bars up. MIN_LIVE_BARS = 1000 leaves a seed weight of e^-10; M5/M15
(5000) and H1 (1460) already exceed it and are unchanged. One request
either way. The backtester never calls fetch_ohlcv, so no book changes.

Tests: new Module 16 depth test; the Module 21 cache test's 300-bar
expectation becomes 1000. Suite 500 passed.

Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01NQDjW8rXYrJR4JDWMWKUij

providers/base.py

@@ -96,6 +96,20 @@ class BaseDataProvider(ABC):
     #: Hard per-request bar cap shared by Twelve Data and Oanda.
     MAX_BARS_PER_REQUEST = 5000
 
+    #: Minimum bars per LIVE fetch on every timeframe (2026-09-10,
+    #: indicator-seeding parity with the backtester). The engine's EMAs
+    #: use ewm(adjust=False), so the first bar of the fetched frame keeps
+    #: weight (1-2/201)^n in the 200-bar trend EMA. With the 60-day
+    #: lookback, H4 fetched 380 bars (seed weight 2.3%) and D1 300 (5%)
+    #: while the backtester seeds from its whole cached history. Measured
+    #: on the deepest Oanda caches (267 H4 / 313 D1 bars sampled over two
+    #: years, raw and cleaned frames alike): ema_trend flipped on 2/267 H4
+    #: and 1/313 D1 bars at those depths (composite off by up to 9.5
+    #: points) and on none from 600 bars up; 1000 leaves a seed weight of
+    #: e^-10. M5/M15 (5000) and H1 (1460) already exceed it and are
+    #: unchanged. One request either way (cap 5000).
+    MIN_LIVE_BARS = 1000
+
     # Grace wait before the one retry when a fresh response at a candle
     # boundary is missing the just-closed bar (feed latency).
     FRESH_FETCH_RETRY_SECONDS = 3.0
@@ -140,6 +154,12 @@ class BaseDataProvider(ABC):
 
     # ── Public API ─────────────────────────────────────────────────
 
+    def _live_outputsize(self, timeframe: Timeframe, lookback_days: int) -> int:
+        """Bars requested for one live fetch: the lookback in bars, floored
+        at MIN_LIVE_BARS (indicator seeding) and capped at the request cap."""
+        wanted = int(lookback_days * self.BARS_PER_DAY[timeframe]) + 20
+        return max(self.MIN_LIVE_BARS, min(wanted, self.MAX_BARS_PER_REQUEST))
+
     def fetch_ohlcv(
         self,
         symbol: str = XAUUSD,
@@ -151,11 +171,7 @@ class BaseDataProvider(ABC):
             lookback_days = self.config.data_lookback_days
 
         cache_key = f"{symbol}_{timeframe.value}"
-        outputsize = max(
-            300,
-            min(int(lookback_days * self.BARS_PER_DAY[timeframe]) + 20,
-                self.MAX_BARS_PER_REQUEST),
-        )
+        outputsize = self._live_outputsize(timeframe, lookback_days)
 
         while True:
             now = time.time()

test_all.py

@@ -4023,6 +4023,35 @@ def _():
     assert TiingoDataProvider.CANDLE_SECONDS is BaseDataProvider.CANDLE_SECONDS
 
 
+@test("providers: live fetch depth floors every TF at MIN_LIVE_BARS (H4/D1 seeding parity)")
+def _():
+    import providers.base as pbase
+
+    class _Depth(pbase.BaseDataProvider):
+        PROVIDER = "depth16"
+
+        def _fetch_raw(self, symbol, timeframe, outputsize,
+                       start=None, end=None):
+            raise RuntimeError("must not fetch")
+
+        def get_pair_info(self, symbol):
+            return PAIR_INFO[XAUUSD]
+
+    p = _Depth(PlatformConfig())   # data_lookback_days = 60
+    assert pbase.BaseDataProvider.MIN_LIVE_BARS == 1000
+    depth = {tf: p._live_outputsize(tf, 60) for tf in
+             (Timeframe.M5, Timeframe.M15, Timeframe.H1, Timeframe.H4, Timeframe.D1)}
+    # unchanged where the lookback already exceeds the floor ...
+    assert depth[Timeframe.M5] == 5000 and depth[Timeframe.M15] == 5000, depth
+    assert depth[Timeframe.H1] == 1460, depth
+    # ... raised where it did not (were 380 and 300 bars)
+    assert depth[Timeframe.H4] == 1000 and depth[Timeframe.D1] == 1000, depth
+    assert all(v <= pbase.BaseDataProvider.MAX_BARS_PER_REQUEST for v in depth.values())
+    assert p._live_outputsize(Timeframe.M5, 1) == 1000, "floor applies to short lookbacks"
+    # the seed bar's weight in the 200-bar trend EMA at the floor
+    assert (1 - 2 / 201) ** pbase.BaseDataProvider.MIN_LIVE_BARS < 1e-4
+
+
 @test("providers: fetch_range paginates, dedupes, and trims to the window")
 def _():
     class FakeProvider(BaseDataProvider):
@@ -5700,7 +5729,8 @@ def _():
     with patch("providers.base._is_forex_weekend", lambda now: False):
         p = _m21_stub_provider()
         p.fetch_ohlcv(XAUUSD, Timeframe.H1, lookback_days=1)
-        assert len(p.calls) == 1 and p.calls[0] == 300
+        # 1 day of H1 = 44 bars, floored at MIN_LIVE_BARS (2026-09-10).
+        assert len(p.calls) == 1 and p.calls[0] == 1000
         p.fetch_ohlcv(XAUUSD, Timeframe.H1, lookback_days=60)
         assert len(p.calls) == 2, \
             "a longer-lookback call within TTL must refetch, not serve the " \