signal_log: persist agent panel verdict + per-persona takes to SQLite
Add panel_verdict, panel_confidence, panel_rationale, panel_takes_json columns to the signals table (additive, idempotent ALTER TABLE migration for existing DBs). _report_row now reads the panel fields attach_panel writes onto the SignalReport, so LLM panel verdicts stop evaporating on process exit. Also documents the Oanda re-pin (round_trip_cost stays $0.30 for cross-book comparability and the live TP gate; $0.65 is the measured headline) and adds the feed-divergence / parity / shadow-scan study tooling referenced by CLAUDE.md.
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Harwinder Sekhon
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#!/usr/bin/env python3
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"""
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Phase 1 — historical candle divergence study (data source change test)
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=======================================================================
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Fetches the RAW closed-bar series for XAU/USD from two providers over a
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multi-month window via the normal provider stack (`fetch_range`, which
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paginates under the per-request bar cap and drops the forming candle),
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then quantifies how the feeds diverge:
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* coverage: % shared timestamps, feed-only bars, where they cluster
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* OHLC |Δ| distribution (mean/median/p90/p95/p99/max, $ and bias)
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* |ΔClose| vs mean ATR14 (the scale the signal engine cares about)
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* threshold exceedance (how many bars differ by more than X $)
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* bar-direction agreement (sign of close−open)
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* close-return correlation on consecutive bars
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* per-hour and per-month drift
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Both feeds are mid-price (Oanda mid of MBA candles; Tiingo resampled mid;
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Twelve Data its own mid). Frames are cached to parquet so re-runs are
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instant; pass --no-cache to force a fresh fetch.
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Usage:
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venv/bin/python scripts/feed_divergence_study.py --a oanda --b tiingo \
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--tfs M15,H1,H4 --days 365
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"""
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import argparse
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import sys
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import time
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from pathlib import Path
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import numpy as np
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import pandas as pd
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sys.path.insert(0, str(Path(__file__).resolve().parent.parent))
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from config import PlatformConfig, Timeframe, XAUUSD
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from providers import make_data_provider
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REPO = Path(__file__).resolve().parent.parent
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CACHE_DIR = REPO / "backtest" / "cache"
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RESEARCH_DIR = REPO / "backtest" / "research"
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_TF_LOOKUP = {t.value: t for t in Timeframe}
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_TF_LOOKUP.update({
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"M1": Timeframe.M1, "M5": Timeframe.M5, "M15": Timeframe.M15,
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"M30": Timeframe.M30, "H1": Timeframe.H1, "H4": Timeframe.H4,
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"D1": Timeframe.D1, "W1": Timeframe.W1,
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})
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def wilder_atr(df: pd.DataFrame, period: int = 14) -> pd.Series:
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hl = df["High"] - df["Low"]
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hc = (df["High"] - df["Close"].shift(1)).abs()
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lc = (df["Low"] - df["Close"].shift(1)).abs()
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tr = pd.concat([hl, hc, lc], axis=1).max(axis=1)
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return tr.ewm(alpha=1.0 / period, adjust=False).mean()
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def fmt_stats(name: str, s: pd.Series) -> str:
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a = s.abs()
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return (f" {name:<6} mean ${a.mean():.3f} med ${a.median():.3f} "
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f"p90 ${a.quantile(0.90):.3f} p95 ${a.quantile(0.95):.3f} "
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f"p99 ${a.quantile(0.99):.3f} max ${a.max():.2f} "
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f"bias {s.mean():+.4f}")
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def cache_path(name: str, tf: Timeframe, start: pd.Timestamp,
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end: pd.Timestamp) -> Path:
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return (CACHE_DIR /
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f"{name}_XAU_USD_{tf.value}_{start:%Y%m%d}_{end:%Y%m%d}.parquet")
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def load_or_fetch(provider, name: str, tf: Timeframe, start, end,
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no_cache: bool):
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cp = cache_path(name, tf, start, end)
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if not no_cache and cp.exists():
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df = pd.read_parquet(cp)
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print(f" [{name}] loaded {len(df):,} bars from cache "
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f"{cp.name}")
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return df
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t0 = time.time()
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print(f" [{name}] fetching {tf.value} {start.date()} → {end.date()} ...")
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df = provider.fetch_range(XAUUSD, tf, start, end)
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print(f" [{name}] fetched {len(df):,} bars in {time.time() - t0:.1f}s")
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df.to_parquet(cp)
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print(f" [{name}] cached → {cp.name}")
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return df
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def compare(tf: Timeframe, a_name: str, b_name: str, a: pd.DataFrame,
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b: pd.DataFrame):
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print("\n" + "=" * 80)
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print(f"{tf.value} — {a_name.upper()} vs {b_name.upper()}, XAU/USD")
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print("=" * 80)
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common = a.index.intersection(b.index)
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a_only = a.index.difference(b.index)
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b_only = b.index.difference(a.index)
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print(f"\nCOVERAGE")
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print(f" {a_name} bars : {len(a):>8,} head {a.index[0]} tail {a.index[-1]}")
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print(f" {b_name} bars : {len(b):>8,} head {b.index[0]} tail {b.index[-1]}")
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print(f" shared : {len(common):>8,} "
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f"({100 * len(common) / max(len(a.index.union(b.index)), 1):.2f}% of union)")
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print(f" {a_name}-only : {len(a_only):>8,} "
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f"({100 * len(a_only) / max(len(a), 1):.2f}% of {a_name})")
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print(f" {b_name}-only : {len(b_only):>8,} "
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f"({100 * len(b_only) / max(len(b), 1):.2f}% of {b_name})")
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if len(common) == 0:
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print(" !! no shared timestamps — feeds on different bar grids")
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return
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for label, idx in ((f"{a_name}-only", a_only),
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(f"{b_name}-only", b_only)):
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if not len(idx):
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continue
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by_date = pd.Series(1, index=idx).groupby(idx.date).sum()
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top = by_date.sort_values(ascending=False).head(6)
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print(f" {label} clusters on: "
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+ ", ".join(f"{d} ({n})" for d, n in top.items()))
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x = a.loc[common]
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y = b.loc[common]
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atr = wilder_atr(x).dropna()
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mean_price = x["Close"].mean()
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print(f"\nSCALE REFERENCES ({a_name} feed)")
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print(f" mean close : ${mean_price:,.2f}")
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print(f" mean bar range: ${(x['High'] - x['Low']).mean():.3f}")
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print(f" mean ATR14 : ${atr.mean():.3f} median ${atr.median():.3f}")
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print(f"\nPER-BAR DIFFS ({a_name} − {b_name}, $)")
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diffs = {}
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for col in ("Open", "High", "Low", "Close"):
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d = x[col] - y[col]
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diffs[col] = d
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print(fmt_stats(col, d))
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dclose = diffs["Close"].abs()
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print(f"\n |ΔClose| as % of mean ATR14 : "
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f"mean {100 * dclose.mean() / atr.mean():.1f}% "
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f"p95 {100 * dclose.quantile(0.95) / atr.mean():.1f}%")
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print(f"\nTHRESHOLD EXCEEDANCE (|ΔClose|)")
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for thr in (0.10, 0.30, 0.65, 1.00, 2.00, 5.00):
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pct = 100 * (dclose > thr).mean()
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print(f" > ${thr:<5.2f}: {pct:6.2f}% of bars ({(dclose > thr).sum():,})")
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# direction agreement
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a_dir = np.sign(x["Close"] - x["Open"])
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b_dir = np.sign(y["Close"] - y["Open"])
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both_nonflat = (a_dir != 0) & (b_dir != 0)
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dir_agree = 100 * (a_dir[both_nonflat] == b_dir[both_nonflat]).mean()
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print(f"\nAGREEMENT")
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print(f" bar direction (sign of close−open) agree: {dir_agree:.2f}%"
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f" (n={both_nonflat.sum():,})")
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step = pd.Series(common, index=common).diff().median()
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a_ret = x["Close"].pct_change()
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b_ret = y["Close"].pct_change()
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step_ok = pd.Series(common, index=common).diff().le(step + pd.Timedelta(seconds=1))
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corr = a_ret[step_ok].corr(b_ret[step_ok])
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print(f" close-return correlation (consecutive bars): {corr:.5f}")
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# by-hour
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hours = common.hour
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rows = []
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for h in range(24):
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m = hours == h
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if not m.any():
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continue
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rows.append({"hour_utc": h, "bars": int(m.sum()),
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"mean_abs_dclose": dclose[m].mean(),
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"p95_abs_dclose": dclose[m].quantile(0.95)})
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by_hour = pd.DataFrame(rows)
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print(f"\nBY UTC HOUR (mean |ΔClose|, $)")
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print(by_hour.to_string(index=False,
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float_format=lambda v: f"{v:.3f}"))
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print(f"\nBY MONTH (mean |ΔClose|, $)")
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months = dclose.groupby(common.tz_localize(None).to_period("M")).mean()
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for p, v in months.items():
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print(f" {p}: {v:.3f}")
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return {
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"tf": tf.value, "a": a_name, "b": b_name,
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"a_bars": len(a), "b_bars": len(b), "common": len(common),
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"a_only": len(a_only), "b_only": len(b_only),
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"dir_agree_pct": round(dir_agree, 3),
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"ret_corr": round(corr, 5),
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"mean_abs_dclose": dclose.mean(),
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"p95_abs_dclose": dclose.quantile(0.95),
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"max_abs_dclose": dclose.max(),
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"dclose_pct_atr_mean": 100 * dclose.mean() / atr.mean(),
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}
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def main():
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ap = argparse.ArgumentParser()
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ap.add_argument("--a", required=True)
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ap.add_argument("--b", required=True)
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ap.add_argument("--tfs", default="M15,H1,H4",
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help="comma-separated timeframe values (default M15,H1,H4)")
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ap.add_argument("--days", type=int, default=365)
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ap.add_argument("--end", default=None, help="UTC end date (default now)")
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ap.add_argument("--no-cache", action="store_true")
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args = ap.parse_args()
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tfs = []
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for s in args.tfs.split(","):
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s = s.strip()
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tf = _TF_LOOKUP.get(s)
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if tf is None:
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sys.exit(f"unknown timeframe '{s}'; use one of "
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f"{sorted(_TF_LOOKUP)}")
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tfs.append(tf)
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end = pd.Timestamp(args.end, tz="UTC") if args.end \
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else pd.Timestamp.now(tz="UTC")
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start = end - pd.Timedelta(days=args.days)
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cfg = PlatformConfig()
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pa = make_data_provider(cfg, args.a)
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pb = make_data_provider(cfg, args.b)
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summary = []
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for tf in tfs:
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print(f"\n{'─' * 80}\nWINDOW {start.date()} → {end.date()} "
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f"({args.days} days), {tf.value}")
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try:
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a = load_or_fetch(pa, args.a, tf, start, end, args.no_cache)
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except Exception as e:
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print(f" !! {args.a} {tf.value} fetch failed: {e}")
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continue
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try:
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b = load_or_fetch(pb, args.b, tf, start, end, args.no_cache)
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except Exception as e:
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print(f" !! {args.b} {tf.value} fetch failed: {e}")
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continue
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r = compare(tf, args.a, args.b, a, b)
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if r:
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summary.append(r)
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print("\n" + "=" * 80)
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print("SUMMARY TABLE")
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print("=" * 80)
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sdf = pd.DataFrame(summary)
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print(sdf.to_string(index=False,
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float_format=lambda v: f"{v:.4f}"))
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out = RESEARCH_DIR / f"feed_divergence_{args.a}_vs_{args.b}.csv"
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if len(sdf):
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sdf.to_csv(out, index=False, float_format="%.6f")
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print(f"\nSummary written to {out}")
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if __name__ == "__main__":
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main()
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