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Provider abstraction: providers/ package with BaseDataProvider template

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One class per provider (TwelveData, Oanda, Tiingo), all subclassing
BaseDataProvider which owns cache, validation/cleaning, freshness +
boundary guarantees, fetch_range pagination, and streaming stubs —
subclasses implement only _fetch_raw. config.json data_providers.active
selects the live feed; data_provider.py / oanda_provider.py stay as
back-compat shims. Module 16 provider-abstraction tests (253 total green).

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01Mc7XKYyPySVXiUpcN82QEK
This commit is contained in:
Harwinder Sekhon
2026-07-28 20:09:00 -04:00
parent 95f8c47d4f
commit c8beb7e3ae
17 changed files with 1573 additions and 935 deletions
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CLAUDE.md
+30 -14
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@@ -15,7 +15,12 @@ This file is the authoritative developer/agent reference. The human-facing docs
| `config.py` | ~374 | All config dataclasses, `PAIR_INFO` registry, per-pair strategy configs. **`PlatformConfig` defaults ARE the tuned XAU config.** | | `config.py` | ~374 | All config dataclasses, `PAIR_INFO` registry, per-pair strategy configs. **`PlatformConfig` defaults ARE the tuned XAU config.** |
| `app_config.py` | ~290 | config.json loader/validation, env-precedence resolvers, repo-root `.env` loader (setdefault at import), `apply_pair_overrides` deployment overlay | | `app_config.py` | ~290 | config.json loader/validation, env-precedence resolvers, repo-root `.env` loader (setdefault at import), `apply_pair_overrides` deployment overlay |
| `config.json.example` | 24 | committed schema template; real gitignored config.json holds secrets + deployment settings | | `config.json.example` | 24 | committed schema template; real gitignored config.json holds secrets + deployment settings |
| `data_provider.py` | ~347 | Twelve Data SDK wrapper: fetch, rate-limit (55 credits/min), in-memory cache, validation/cleaning, freshness checks | | `providers/base.py` | ~400 | `BaseDataProvider`: shared cache, validation/cleaning, freshness + boundary guarantees, `fetch_range` pagination, streaming stubs. Subclasses implement only `_fetch_raw` |
| `providers/twelve_data.py` | ~240 | `TwelveDataProvider` (alias `ForexDataProvider`): TD SDK fetch, rate-limit (55 credits/min), WS quote streaming |
| `providers/oanda.py` | ~190 | `OandaDataProvider`: v20 REST MBA candles, real bid/ask spread, date-window fetch |
| `providers/tiingo.py` | ~200 | `TiingoDataProvider`: FX endpoint mid-price candles (no volume, no spread — see Tiingo note), named errors for every failure shape |
| `providers/__init__.py` | ~55 | `PROVIDER_REGISTRY` + `make_data_provider` (config.json `data_providers.active` selects) |
| `data_provider.py` / `oanda_provider.py` | ~25 | back-compat shims re-exporting from `providers/` |
| `engine.py` | ~1173 | `TechnicalEngine`: computes all indicators on one DataFrame → `TechnicalAnalysis` (composite score, regime, key levels) | | `engine.py` | ~1173 | `TechnicalEngine`: computes all indicators on one DataFrame → `TechnicalAnalysis` (composite score, regime, key levels) |
| `chart_patterns.py` | ~280 | Chart-pattern detectors for the XAU_CP archetype (pure functions, ATR-unit geometry, first-close-beyond triggers) | | `chart_patterns.py` | ~280 | Chart-pattern detectors for the XAU_CP archetype (pure functions, ATR-unit geometry, first-close-beyond triggers) |
| `signal_aggregator.py` | ~1447 | `SignalAggregator`: MTF analysis, news integration, gates/penalties, quality grade, trade-setup generation → `SignalReport` | | `signal_aggregator.py` | ~1447 | `SignalAggregator`: MTF analysis, news integration, gates/penalties, quality grade, trade-setup generation → `SignalReport` |
@@ -24,7 +29,7 @@ This file is the authoritative developer/agent reference. The human-facing docs
| `pair_signals/__init__.py` | 52 | `PAIR_PRODUCERS` registry + `produce_signal()` | | `pair_signals/__init__.py` | 52 | `PAIR_PRODUCERS` registry + `produce_signal()` |
| `pair_signals/xauusd.py` | 71 | XAU config factory + per-timeframe overrides (docstring = validation record) | | `pair_signals/xauusd.py` | 71 | XAU config factory + per-timeframe overrides (docstring = validation record) |
| `main.py` | ~348 | CLI: `python main.py --pair XAUUSD --timeframe H1 --detail/--json` | | `main.py` | ~348 | CLI: `python main.py --pair XAUUSD --timeframe H1 --detail/--json` |
| `test_all.py` | ~3100 | QA suite: **210 tests in 14 modules**, no live API needed. Must stay green. | | `test_all.py` | ~4100 | QA suite: **253 tests in 16 modules**, no live API needed. Must stay green. |
| `backtest/gpu_backtest.py` | ~2231 | Bar-replay backtester (CuPy→NumPy fallback) using the real `SignalAggregator` | | `backtest/gpu_backtest.py` | ~2231 | Bar-replay backtester (CuPy→NumPy fallback) using the real `SignalAggregator` |
| `backtest/diagnose_filters.py` | 609 | Filter-diagnosis tooling | | `backtest/diagnose_filters.py` | 609 | Filter-diagnosis tooling |
| `backtest/research/` | — | Calendar research infra (`ff_calendar_scraper.py`, `calendar_store.py`) + result CSVs | | `backtest/research/` | — | Calendar research infra (`ff_calendar_scraper.py`, `calendar_store.py`) + result CSVs |
@@ -230,15 +235,25 @@ Two entry points:
--- ---
## data_provider.py — ForexDataProvider ## providers/ — data-provider abstraction (refactored 2026-07-25)
- Twelve Data SDK (`TDClient.time_series(...).as_pandas()`), symbols normalized to `"XAU/USD"` form; renames lowercase columns → capitalized; sorts oldest-first; localizes UTC. One class per provider, all subclassing **`providers/base.py BaseDataProvider`**, which owns every behavior the signal pipeline depends on — defined ONCE (a test enforces that neither subclass overrides shared methods):
- **Rate limit**: 55 credits/min sliding window (`_throttle`), blocks with sleep when exhausted.
- **In-memory cache**: key `{symbol}_{tf}`, TTL = candle duration (M5 300 s … H4 14400 s); a cached frame is evicted and refetched if it fails the freshness check **or the boundary check** (`_has_latest_closed_bar`: the frame must contain the most recent fully closed bar, weekend-exempt — a wall-clock TTL alone would serve mid-candle snapshots at the next boundary and scans would run one bar behind). Fresh fetches enforce the same boundary guarantee: a response missing the just-closed bar (feed latency at the boundary) gets one grace retry after `FRESH_FETCH_RETRY_SECONDS` (3 s), then proceeds with a loud warning. Cache and throttle are lock-protected (one provider is shared across the bot's thread pool). - **In-memory cache**: key `{symbol}_{tf}`, TTL = candle duration (M5 300 s … H4 14400 s); a cached frame is evicted and refetched if it fails the freshness check **or the boundary check** (`_has_latest_closed_bar`: the frame must contain the most recent fully closed bar, weekend-exempt — a wall-clock TTL alone would serve mid-candle snapshots at the next boundary and scans would run one bar behind). Fresh fetches enforce the same boundary guarantee: a response missing the just-closed bar (feed latency at the boundary) gets one grace retry after `FRESH_FETCH_RETRY_SECONDS` (3 s), then proceeds with a loud warning. Cache is lock-protected (one provider is shared across the bot's thread pool).
- **`_drop_forming_candle`**: Twelve Data includes the current partial candle; the scanner fires seconds after boundary, so the last bar is dropped if its close time is in the future. Without this every indicator would read a seconds-old stub and signals would repaint. - **`_drop_forming_candle`**: some feeds include the current partial candle; the scanner fires seconds after boundary, so the last bar is dropped if its close time is in the future. Without this every indicator would read a seconds-old stub and signals would repaint. (No-op on feeds that only return complete candles, e.g. Oanda.)
- **Freshness** (`_is_data_fresh`): last bar older than 3× candle duration → stale (warns; live path suppresses signal if the PRIMARY TF is stale). Weekends exempt (Fri 22:00→Sun 22:00 UTC). - **Freshness** (`is_data_fresh`, public): last bar older than 3× candle duration → stale (warns; live path suppresses signal if the PRIMARY TF is stale). Weekends exempt (Fri 22:00→Sun 22:00 UTC).
- **`_validate_and_clean`**: drop all-NaN rows → ffill (limit 3) → drop NaN closes → sort + dedupe (keep last) → drop future timestamps (>now+5 min) → repair OHLC inconsistencies (High=max, Low=min of O/C/existing) → remove >10σ return outliers (spike bar only — the opposite-direction snap-back bar right after it is kept, else every spike punched a two-bar hole) → warn if < ~210 bars. - **`_validate_and_clean`** (public wrapper `validate_and_clean`): drop all-NaN rows → ffill (limit 3) → drop NaN closes → sort + dedupe (keep last) → drop future timestamps (>now+5 min) → repair OHLC inconsistencies (High=max, Low=min of O/C/existing) → remove >10σ return outliers (spike bar only — the opposite-direction snap-back bar right after it is kept, else every spike punched a two-bar hole) → warn if < ~210 bars.
- `outputsize = max(300, min(days×bars_per_day+20, 5000))`; TD caps at 5000/call (the backtester paginates by date). - **`fetch_range(symbol, tf, start, end)`**: paginated RAW date-range fetch under `MAX_BARS_PER_REQUEST` (5000) — the backtester's `fetch_history` calls this, so ANY registered provider can feed the backtester.
- `outputsize = max(300, min(days×bars_per_day+20, 5000))`; `CANDLE_SECONDS`/`BARS_PER_DAY` tables live on the base class (the aggregator's bar-close clock reads `BaseDataProvider.CANDLE_SECONDS`).
- **Streaming capability (optional)**: `supports_streaming` flag + async generator `iter_ticks(symbols, on_connect)` yielding `(canonical_symbol, price)` for one connection's lifetime; the caller owns reconnect/backoff. Errors: each provider raises its own `DATA_ERROR`, always a subclass of `DataIntegrityError` — catch the base type provider-agnostically.
**A subclass implements only `_fetch_raw(symbol, tf, outputsize, start=None, end=None)`** (normalized frame: capitalized OHLCV, UTC tz-aware index named "Datetime", oldest-first) plus symbol/interval maps and optional capabilities. To add a provider: one module in `providers/`, one `PROVIDER_REGISTRY` entry in `providers/__init__.py`, one config.json `data_providers` block. The live feed is selected by config.json `data_providers.active` (registration alone changes nothing).
- **`providers/twelve_data.py` `TwelveDataProvider`** (alias `ForexDataProvider`): TD SDK (`TDClient.time_series(...).as_pandas()`), symbols normalized to `"XAU/USD"` form; lowercase→capitalized columns, newest-first→oldest-first; **rate limit** 55 credits/min sliding window (`_throttle`, lock-protected, blocks with sleep). Implements streaming (`ws.twelvedata.com` quotes WS, 10 s heartbeat, `_parse_ws_price`).
- **`providers/oanda.py` `OandaDataProvider`**: v20 REST MBA candles (complete-only), real bid/ask spread via `get_spread` override; credentials default to the config.json `oanda` block so the registry can build it config-only (explicit `api_token`/`base_url` args still accepted — the daemon passes them). Date-window fetches send `from`/`to` and omit `count` (v20 rejects the combination).
- **`providers/tiingo.py` `TiingoDataProvider`**: `/tiingo/fx/{ticker}/prices` resampled mid-price candles; no volume (filled 0.0), W1 unmapped (raises). Tiingo takes date windows, not bar counts — live fetches derive `startDate` from the requested count × candle duration × 1.6 weekend pad. Auth in the header (key never in URLs/logs). Every failure shape raises `TiingoDataError` with a named cause (429 quota, 401/403 auth, empty response, malformed candle, missing key). **Candles only** — `get_spread` stays on the base default; the free quote endpoint's indicative spread must not be re-added (see Tiingo spread-monitor removal note).
- **`data_provider.py` / `oanda_provider.py` are back-compat shims** re-exporting from `providers/`; `ForexDataProvider` is the historical name of the TD provider.
- **No silent failures**: provider errors all subclass `DataIntegrityError` and carry a named cause; the aggregator logs per-TF fetch failures and degrades the report (missing primary → NEUTRAL/F "data unavailable"); `make_data_provider` raises on an unknown `active` name; keyless providers warn at construction and raise at fetch.
--- ---
@@ -270,7 +285,7 @@ Run: `python telegram_bot.py` (credentials resolve env `TELEGRAM_TOKEN`/`TELEGRA
- **Subscriber channel** (`TELEGRAM_CHANNEL_ID`, `-100…`; `""` disables): auto-scan signal alerts + breach alerts also post there (bot needs channel-admin). Monetization = Telegram Stars subscription invite links; Telegram handles membership, the bot has zero payment code. The channel feed keeps running even when the owner toggles DM auto-scan off (`_feed_active()` = DM chats OR channel). - **Subscriber channel** (`TELEGRAM_CHANNEL_ID`, `-100…`; `""` disables): auto-scan signal alerts + breach alerts also post there (bot needs channel-admin). Monetization = Telegram Stars subscription invite links; Telegram handles membership, the bot has zero payment code. The channel feed keeps running even when the owner toggles DM auto-scan off (`_feed_active()` = DM chats OR channel).
- **Auto-scan**: boot-starts if `TELEGRAM_CHAT_ID` set (initial M15 scan populates the level cache first). Candle-boundary loops for M5/M15/H1/H4, firing at boundary + 10 s. Each scan runs all `scan_pairs` concurrently, updates the level cache, then broadcasts. - **Auto-scan**: boot-starts if `TELEGRAM_CHAT_ID` set (initial M15 scan populates the level cache first). Candle-boundary loops for M5/M15/H1/H4, firing at boundary + 10 s. Each scan runs all `scan_pairs` concurrently, updates the level cache, then broadcasts.
- **Alert gating**: quality threshold (`_alert_min_quality`, default "C", menu cycles C→B→A) + fingerprint dedup per (symbol, TF) on (signal, quality, direction) with 1-hour re-arm — a persisting identical signal doesn't re-send every candle, but a setup whose entry moved ≥ half the last-ALERTED risk distance (new pullback/swing anchor; compared against the stored last-alert entry/risk, a stable reference immune to per-candle ATR drift) re-alerts. The fingerprint is committed only **after** a message reaches ≥1 target (`_commit_alert`), so a failed Telegram send doesn't consume the alert. - **Alert gating**: quality threshold (`_alert_min_quality`, default "C", menu cycles C→B→A) + fingerprint dedup per (symbol, TF) on (signal, quality, direction) with 1-hour re-arm — a persisting identical signal doesn't re-send every candle, but a setup whose entry moved ≥ half the last-ALERTED risk distance (new pullback/swing anchor; compared against the stored last-alert entry/risk, a stable reference immune to per-candle ATR drift) re-alerts. The fingerprint is committed only **after** a message reaches ≥1 target (`_commit_alert`), so a failed Telegram send doesn't consume the alert.
- **WebSocket monitor**: subscribes every `scan_pairs` symbol to TD quotes WS; 10 s heartbeat; exponential reconnect (≤60 s). On tick crossing any cached key level (`swing_high/low_1..3`, `ema_trend`, `bb_upper/lower`, `kc_upper/lower`; cache TTL 1 h) → immediate M15 rescan → "LEVEL BREAK" alert if actionable+changed (same gates as auto-scan), 5-min per-pair cooldown. - **WebSocket monitor**: the provider owns the connection/protocol (`BaseDataProvider.iter_ticks` streaming capability — TD implements it; heartbeat + message parsing live in `providers/twelve_data.py`); the bot owns exponential reconnect (≤60 s) + breach dispatch, and disables the monitor with a log line if the active provider has `supports_streaming=False`. On tick crossing any cached key level (`swing_high/low_1..3`, `ema_trend`, `bb_upper/lower`, `kc_upper/lower`; cache TTL 1 h) → immediate M15 rescan → "LEVEL BREAK" alert if actionable+changed (same gates as auto-scan), 5-min per-pair cooldown.
- **Commands**: `/start` (menu), `/scan` (buttons: per pair — M5/M15/H1/H4 + Scan All TFs), `/autoscan` (toggle DM copy), `/status` (loops, WS, live prices, level cache, cooldowns), `/cache` (age per pair/TF), `/clearcache`, `/help`. - **Commands**: `/start` (menu), `/scan` (buttons: per pair — M5/M15/H1/H4 + Scan All TFs), `/autoscan` (toggle DM copy), `/status` (loops, WS, live prices, level cache, cooldowns), `/cache` (age per pair/TF), `/clearcache`, `/help`.
- **Tiingo spread monitor: REMOVED 2026-07-23** (shipped 2026-07-22, removed next day). Tiingo's free `/tiingo/fx/top` publishes a two-tier *indicative* spread for gold — exactly $0.10 in liquid hours and exactly $0.70 in the 21:00–00:00 UTC rollover window / news moments (verified: 273-sample production log + live probes; only those two values ever occur). Quotes are mid ± a posted increment, not executable depth, so the feature could never validate the $0.30 backtest cost assumption. Do not re-add a spread display from Tiingo's free FX feed. - **Tiingo spread monitor: REMOVED 2026-07-23** (shipped 2026-07-22, removed next day). Tiingo's free `/tiingo/fx/top` publishes a two-tier *indicative* spread for gold — exactly $0.10 in liquid hours and exactly $0.70 in the 21:00–00:00 UTC rollover window / news moments (verified: 273-sample production log + live probes; only those two values ever occur). Quotes are mid ± a posted increment, not executable depth, so the feature could never validate the $0.30 backtest cost assumption. Do not re-add a spread display from Tiingo's free FX feed.
- Signal messages (redesigned 2026-07-24, `format_signal_message`): verdict header first, then trade setup, then a condensed one-line indicator summary (`EMA↑ RSI→ …`, `_indicator_summary`) + warnings. The setup block includes an **informational 100-pip TP line** (`_INFO_TP_PIPS`, display-only — entry ± 100 pips, ≈R vs stop; NOT part of the backtested exit model) and the **trailing-stop management plan** (arm price + trail distance, read from the `trail_arm_r`/`trail_dist_r` stamped on the setup by the producing per-TF config). Risk disclaimer on every outbound message. - Signal messages (redesigned 2026-07-24, `format_signal_message`): verdict header first, then trade setup, then a condensed one-line indicator summary (`EMA↑ RSI→ …`, `_indicator_summary`) + warnings. The setup block includes an **informational 100-pip TP line** (`_INFO_TP_PIPS`, display-only — entry ± 100 pips, ≈R vs stop; NOT part of the backtested exit model) and the **trailing-stop management plan** (arm price + trail distance, read from the `trail_arm_r`/`trail_dist_r` stamped on the setup by the producing per-TF config). Risk disclaimer on every outbound message.
@@ -314,13 +329,13 @@ Report: summary metrics (total R, PF, Sharpe on R, max DD, MFE/MAE), breakdowns
**Comparability note (2026-07-16):** the parity/realism fixes of that date (EMA-ribbon port to the GPU engine, exact-pandas Bollinger precompute, raw-path entry re-anchoring, per-TF D1 warmup, live confirm-map CLI default, outlier snap-back retention) all shift books slightly vs earlier runs. Books produced before these fixes are not directly comparable — re-run the baseline before any before/after tuning comparison. **Comparability note (2026-07-16):** the parity/realism fixes of that date (EMA-ribbon port to the GPU engine, exact-pandas Bollinger precompute, raw-path entry re-anchoring, per-TF D1 warmup, live confirm-map CLI default, outlier snap-back retention) all shift books slightly vs earlier runs. Books produced before these fixes are not directly comparable — re-run the baseline before any before/after tuning comparison.
Data: paginated TD fetches (5000-bar chunks) cached as parquet in `backtest/cache/` keyed by symbol/TF/window; warmup pad ≥60 days before the window for EMA200, extended per-TF so slow confirmation TFs get ≥210 bars at window start (D1 gets ~299 days — 62 days gave only ~61 bars: no EMA200, unlike live's 300-bar outputsize floor). `--confirm-tfs` defaults to the pair factory's live confirmation map (pass it explicitly to override); a hardcoded default here previously made the standard invocation backtest a different MTF setup than the bot scans. Data: paginated fetches via `provider.fetch_range` (5000-bar chunks; works with any registered provider) cached as parquet in `backtest/cache/` keyed by symbol/TF/window; warmup pad ≥60 days before the window for EMA200, extended per-TF so slow confirmation TFs get ≥210 bars at window start (D1 gets ~299 days — 62 days gave only ~61 bars: no EMA200, unlike live's 300-bar outputsize floor). `--confirm-tfs` defaults to the pair factory's live confirmation map (pass it explicitly to override); a hardcoded default here previously made the standard invocation backtest a different MTF setup than the bot scans.
--- ---
## test_all.py — QA suite ## test_all.py — QA suite
`python test_all.py` — **210 tests, 14 modules** (config, data_provider, engine, news_engine, signal_aggregator, main, telegram_bot, integration, pair_signals registry + engine-bug regressions, 2026-07-16 audit-fix regressions, chart patterns, app_config, .env loader + bot resilience). No network needed (mocked). Uses a custom `@test("name")` decorator that runs immediately (NOT pytest — don't grep for `def test_`). Exit code non-zero on failure. Includes: the xauusd-factory ≡ inline-config equivalence test, engine bug-fix regression tests (Module 9b), a live-vs-GPU engine parity sweep incl. the EMA-ribbon path (Module 11), config.json loading/precedence/validation coverage (Module 13), and `.env` loader + bot-resilience coverage (Module 14). **Any signal-logic change must keep this green and should add tests.** `python test_all.py` — **253 tests, 16 modules** (config, data_provider, engine, news_engine, signal_aggregator, main, telegram_bot, integration, pair_signals registry + engine-bug regressions, 2026-07-16 audit-fix regressions, chart patterns, app_config, .env loader + bot resilience, Oanda provider/executor/daemon, provider abstraction). No network needed (mocked). Uses a custom `@test("name")` decorator that runs immediately (NOT pytest — don't grep for `def test_`). Exit code non-zero on failure. Includes: the xauusd-factory ≡ inline-config equivalence test, engine bug-fix regression tests (Module 9b), a live-vs-GPU engine parity sweep incl. the EMA-ribbon path (Module 11), config.json loading/precedence/validation coverage (Module 13), and `.env` loader + bot-resilience coverage (Module 14). **Any signal-logic change must keep this green and should add tests.**
--- ---
@@ -330,7 +345,8 @@ Precedence for every credential/deployment setting: **env var → config.json
| Variable | Purpose | Default | | Variable | Purpose | Default |
|---|---|---| |---|---|---|
| `TWELVE_DATA_API_KEY` | market data key | none — falls through to config.json `data_providers.twelve_data.api_key`, then fails fast | | `TWELVE_DATA_API_KEY` | market data key (twelve_data only) | none — falls through to config.json `data_providers.twelve_data.api_key`, then fails fast |
| `TIINGO_API_KEY` | market data key (tiingo only) | none — falls through to config.json `data_providers.tiingo.api_key`, then fails fast |
| `TELEGRAM_TOKEN` | bot token | none — falls through to config.json `telegram.token`, then refuses to boot | | `TELEGRAM_TOKEN` | bot token | none — falls through to config.json `telegram.token`, then refuses to boot |
| `TELEGRAM_CHAT_ID` | owner chat id (boot auto-scan + owner lock) | none — falls through to config.json `telegram.chat_id`, then refuses to boot | | `TELEGRAM_CHAT_ID` | owner chat id (boot auto-scan + owner lock) | none — falls through to config.json `telegram.chat_id`, then refuses to boot |
| `TELEGRAM_CHANNEL_ID` | subscriber channel (`-100…`); `""` disables the feed | none — falls through to config.json `telegram.channel_id` | | `TELEGRAM_CHANNEL_ID` | subscriber channel (`-100…`); `""` disables the feed | none — falls through to config.json `telegram.channel_id` |
app_config.py
+18 -6
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@@ -282,15 +282,27 @@ def telegram_channel_id(app: Optional[AppConfig] = None) -> str:
return env if env is not None else app.telegram_channel_id return env if env is not None else app.telegram_channel_id
def provider_api_key(app: Optional[AppConfig] = None) -> str: # Per-provider env-var overrides for API keys (env → config.json → "").
"""API key for the ACTIVE provider. The env override is per-provider _PROVIDER_ENV_KEYS = {
(TWELVE_DATA_API_KEY applies only when twelve_data is active).""" "twelve_data": "TWELVE_DATA_API_KEY",
"tiingo": "TIINGO_API_KEY",
}
def provider_api_key(
app: Optional[AppConfig] = None, provider: Optional[str] = None
) -> str:
"""API key for `provider` (default: the ACTIVE provider). The env
override is per-provider (TWELVE_DATA_API_KEY applies only to
twelve_data, TIINGO_API_KEY only to tiingo)."""
app = app or get_app_config() app = app or get_app_config()
if app.active_provider == "twelve_data": name = provider or app.active_provider
env = os.environ.get("TWELVE_DATA_API_KEY") env_key = _PROVIDER_ENV_KEYS.get(name)
if env_key:
env = os.environ.get(env_key)
if env: if env:
return env return env
block = app.provider_settings.get(app.active_provider, {}) block = app.provider_settings.get(name, {})
return str(block.get("api_key", "")) return str(block.get("api_key", ""))
backtest/diagnose_filters.py
+2 -2
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@@ -51,7 +51,7 @@ from gpu_backtest import ( # noqa: E402
precompute_indicators, precompute_indicators,
_is_xau_blocked_by_calendar, _is_xau_blocked_by_calendar,
) )
from data_provider import ForexDataProvider # noqa: E402 from providers import make_data_provider # noqa: E402
logger = logging.getLogger("diagnose_filters") logger = logging.getLogger("diagnose_filters")
@@ -206,7 +206,7 @@ def run_diagnosis(
confirmation_timeframes=list(confirm_tfs), confirmation_timeframes=list(confirm_tfs),
) )
provider = ForexDataProvider(platform_cfg) provider = make_data_provider(platform_cfg)
# ── Load data ── # ── Load data ──
timeframes = [primary_tf] + list(confirm_tfs) timeframes = [primary_tf] + list(confirm_tfs)
backtest/gpu_backtest.py
+11 -67
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@@ -55,7 +55,7 @@ from config import ( # noqa: E402
Timeframe, Timeframe,
XAUUSD, XAUUSD,
) )
from data_provider import ForexDataProvider, make_data_provider # noqa: E402 from providers import BaseDataProvider, make_data_provider # noqa: E402
from engine import IndicatorSignal, TechnicalAnalysis, TechnicalEngine # noqa: E402 from engine import IndicatorSignal, TechnicalAnalysis, TechnicalEngine # noqa: E402
from signal_aggregator import SignalAggregator, SignalReport, TradeSetup # noqa: E402 from signal_aggregator import SignalAggregator, SignalReport, TradeSetup # noqa: E402
@@ -941,7 +941,7 @@ def _cache_path(symbol: str, tf: Timeframe, start: datetime, end: datetime) -> P
def fetch_history( def fetch_history(
provider: ForexDataProvider, provider: BaseDataProvider,
symbol: str, symbol: str,
timeframe: Timeframe, timeframe: Timeframe,
start: datetime, start: datetime,
@@ -949,12 +949,13 @@ def fetch_history(
use_cache: bool = True, use_cache: bool = True,
clean: bool = True, clean: bool = True,
) -> pd.DataFrame: ) -> pd.DataFrame:
"""Fetch OHLCV between start/end with parquet caching and pagination. """Fetch OHLCV between start/end with parquet caching.
Twelve Data caps responses at 5000 bars; we paginate by date range so Pagination under the provider's per-request bar cap lives in
multi-month M5/M15 backtests work. `BaseDataProvider.fetch_range`, so any registered provider can feed
the backtester.
The parquet cache stores the RAW series; `_validate_and_clean` runs on The parquet cache stores the RAW series; `validate_and_clean` runs on
load. Pass clean=False to get the raw price path — trade resolution must load. Pass clean=False to get the raw price path — trade resolution must
use it, because cleaning drops >10σ spike bars (news candles) that hit use it, because cleaning drops >10σ spike bars (news candles) that hit
stops in reality. (Caches written before this change already contain stops in reality. (Caches written before this change already contain
@@ -967,73 +968,16 @@ def fetch_history(
df = pd.read_parquet(path) df = pd.read_parquet(path)
if df.index.tz is None: if df.index.tz is None:
df.index = df.index.tz_localize("UTC") df.index = df.index.tz_localize("UTC")
return provider._validate_and_clean(df, symbol, timeframe) if clean else df return provider.validate_and_clean(df, symbol, timeframe) if clean else df
logger.info(f"Fetching {symbol} {timeframe.value} from {start.date()} to {end.date()}") logger.info(f"Fetching {symbol} {timeframe.value} from {start.date()} to {end.date()}")
# Bars-per-call estimate to size each window safely under the 5000 cap. df = provider.fetch_range(symbol, timeframe, start, end)
bars_per_day = ForexDataProvider.BARS_PER_DAY[timeframe]
days_per_chunk = max(1, int(4500 / bars_per_day))
chunks: List[pd.DataFrame] = []
cursor_end = end
empty_streak = 0
while cursor_end > start:
cursor_start = max(start, cursor_end - timedelta(days=days_per_chunk))
try:
chunk = provider._fetch_twelve_data(
symbol=symbol,
timeframe=timeframe,
outputsize=5000,
start_date=cursor_start.strftime("%Y-%m-%d %H:%M:%S"),
end_date=cursor_end.strftime("%Y-%m-%d %H:%M:%S"),
)
except Exception as e:
# Twelve Data raises BadRequest for windows with no data (weekends,
# holidays, asset gaps). Skip the window, step back, retry — but
# bail out after a few consecutive empties to avoid spinning.
logger.warning(
f"Chunk {cursor_start.date()}–{cursor_end.date()} failed: {e}"
)
empty_streak += 1
if empty_streak >= 3:
break
cursor_end = cursor_start - timedelta(seconds=1)
continue
if chunk is None or chunk.empty:
empty_streak += 1
if empty_streak >= 3:
break
cursor_end = cursor_start - timedelta(seconds=1)
continue
empty_streak = 0
chunks.append(chunk)
# Step back; dedup on concat.
cursor_end = chunk.index[0] - timedelta(seconds=1)
if len(chunk) < 2:
break
if not chunks:
raise RuntimeError(f"No data fetched for {symbol} {timeframe.value}")
df = pd.concat(chunks).sort_index()
df = df[~df.index.duplicated(keep="last")]
# Fetches ending "now" include the still-forming candle — drop it so the
# cache only ever contains closed bars.
df = provider._drop_forming_candle(df, timeframe)
# Trim to requested window. `start`/`end` are already tz-aware UTC
# datetimes — wrapping with pd.Timestamp(..., tz=...) would raise on
# already-localized inputs.
end_ts = pd.Timestamp(end)
start_ts = pd.Timestamp(start)
df = df[(df.index >= start_ts) & (df.index <= end_ts)]
if use_cache: if use_cache:
df.to_parquet(path) df.to_parquet(path)
logger.info(f"Cached {len(df)} raw bars to {path.name}") logger.info(f"Cached {len(df)} raw bars to {path.name}")
return provider._validate_and_clean(df, symbol, timeframe) if clean else df return provider.validate_and_clean(df, symbol, timeframe) if clean else df
# ═════════════════════════════════════════════════════════════════════ # ═════════════════════════════════════════════════════════════════════
@@ -1703,7 +1647,7 @@ def run_backtest(
# ≥210 bars (outputsize floor). Target data_provider's min_required # ≥210 bars (outputsize floor). Target data_provider's min_required
# (210 bars); ×7/5 converts trading days to calendar days. Intraday # (210 bars); ×7/5 converts trading days to calendar days. Intraday
# TFs stay on the base pad, so their books are unchanged. # TFs stay on the base pad, so their books are unchanged.
bars_per_day = ForexDataProvider.BARS_PER_DAY[tf] bars_per_day = BaseDataProvider.BARS_PER_DAY[tf]
min_pad_days = int(np.ceil(210 / bars_per_day * 7 / 5)) + 5 min_pad_days = int(np.ceil(210 / bars_per_day * 7 / 5)) + 5
tf_start = bt_cfg.start - timedelta(days=max(pad_days, min_pad_days)) tf_start = bt_cfg.start - timedelta(days=max(pad_days, min_pad_days))
df = fetch_history( df = fetch_history(
config.json.example
+3
View File
@@ -9,6 +9,9 @@
"active": "twelve_data", "active": "twelve_data",
"twelve_data": { "twelve_data": {
"api_key": "REPLACE_WITH_YOUR_TWELVE_DATA_API_KEY" "api_key": "REPLACE_WITH_YOUR_TWELVE_DATA_API_KEY"
},
"tiingo": {
"api_key": "REPLACE_WITH_YOUR_TIINGO_API_KEY_OR_EMPTY"
} }
}, },
"scanning": { "scanning": {
data_provider.py
+20 -399
View File
@@ -1,403 +1,24 @@
""" """
ForexBot2 — Data Provider (Twelve Data SDK) ForexBot2 — Data Provider (back-compat shim)
========================================================== =============================================
Fetches and validates OHLCV via the official `twelvedata` Python SDK. The provider implementations live in the `providers/` package:
providers/base.py BaseDataProvider (shared contract + behavior)
providers/twelve_data.py TwelveDataProvider (SDK fetch, throttle, WS)
providers/oanda.py OandaDataProvider (v20 REST, real spread)
`ForexDataProvider` is the historical name of the Twelve Data provider and
is kept as an alias so existing imports keep working.
""" """
import logging from providers import ( # noqa: F401
import threading BaseDataProvider,
import time DataIntegrityError,
from collections import deque PROVIDER_REGISTRY,
from typing import Dict, Optional TwelveDataProvider,
make_data_provider,
_is_forex_weekend,
)
import pandas as pd # Historical name for the Twelve Data provider.
from twelvedata import TDClient ForexDataProvider = TwelveDataProvider
from app_config import AppConfigError, get_app_config, provider_api_key
from config import PlatformConfig, Timeframe, XAUUSD, PAIR_INFO
logger = logging.getLogger(__name__)
def _is_forex_weekend(now=None) -> bool:
"""Forex market closed: Friday 22:00 UTC → Sunday 22:00 UTC."""
if now is None:
now = pd.Timestamp.now(tz="UTC")
wd = now.weekday()
hour = now.hour
if wd == 4 and hour >= 22:
return True
if wd == 5:
return True
if wd == 6 and hour < 22:
return True
return False
class DataIntegrityError(Exception):
"""Raised when data fails validation checks."""
pass
class ForexDataProvider:
"""Twelve Data SDK client + on-disk parquet cache."""
TD_INTERVALS = {
Timeframe.M1: "1min",
Timeframe.M5: "5min",
Timeframe.M15: "15min",
Timeframe.M30: "30min",
Timeframe.H1: "1h",
Timeframe.H4: "4h",
Timeframe.D1: "1day",
Timeframe.W1: "1week",
}
BARS_PER_DAY = {
Timeframe.M1: 1440, Timeframe.M5: 288, Timeframe.M15: 96,
Timeframe.M30: 48, Timeframe.H1: 24, Timeframe.H4: 6,
Timeframe.D1: 1, Timeframe.W1: 0.143,
}
CANDLE_SECONDS = {
Timeframe.M1: 60, Timeframe.M5: 300, Timeframe.M15: 900,
Timeframe.M30: 1800, Timeframe.H1: 3600, Timeframe.H4: 14400,
Timeframe.D1: 86400, Timeframe.W1: 604800,
}
RATE_LIMIT = 55
RATE_WINDOW = 60.0
# 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
def __init__(self, config: PlatformConfig):
self.config = config
self._api_key = provider_api_key() or None
self._cache: Dict[str, pd.DataFrame] = {}
self._cache_timestamps: Dict[str, float] = {}
# The bot shares one provider across a thread pool; cache eviction
# and the throttle deque are check-then-act and need locking.
self._cache_lock = threading.Lock()
self._throttle_lock = threading.Lock()
self._request_times: deque = deque()
self._td: Optional[TDClient] = (
TDClient(apikey=self._api_key) if self._api_key else None
)
@staticmethod
def _to_td_symbol(symbol: str) -> str:
if "/" in symbol:
return symbol
clean = symbol.replace("=X", "")
return f"{clean[:3]}/{clean[3:]}"
# ── Public API ─────────────────────────────────────────────────
def fetch_ohlcv(
self,
symbol: str = XAUUSD,
timeframe: Timeframe = Timeframe.H1,
lookback_days: Optional[int] = None,
) -> pd.DataFrame:
"""Fetch OHLCV with in-memory caching for live mode."""
if lookback_days is None:
lookback_days = self.config.data_lookback_days
cache_key = f"{symbol}_{timeframe.value}"
now = time.time()
cache_ttl = self.CANDLE_SECONDS.get(timeframe, self.config.refresh_interval)
with self._cache_lock:
cached = self._cache.get(cache_key)
cached_at = self._cache_timestamps.get(cache_key)
if (
cached is not None
and cached_at is not None
and (now - cached_at) < cache_ttl
and not cached.empty
):
if (self._is_data_fresh(cached, symbol, timeframe)
and self._has_latest_closed_bar(cached, timeframe)):
return cached
logger.warning(f"{symbol} {timeframe.value}: cached data is stale, refetching")
with self._cache_lock:
self._cache.pop(cache_key, None)
self._cache_timestamps.pop(cache_key, None)
outputsize = max(
300,
min(int(lookback_days * self.BARS_PER_DAY[timeframe]) + 20, 5000),
)
df = self._fetch_twelve_data(symbol, timeframe, outputsize)
df = self._drop_forming_candle(df, timeframe)
df = self._validate_and_clean(df, symbol, timeframe)
# The closed-bar guarantee must hold for FRESH responses too, not
# just cache hits: the scanner fires seconds after the boundary,
# and a lagging feed can answer without the just-closed bar — the
# scan would silently analyze (and session-check) the previous
# bar. Give the feed one short grace retry, then proceed loudly.
if (not df.empty and not self._has_latest_closed_bar(df, timeframe)):
time.sleep(self.FRESH_FETCH_RETRY_SECONDS)
retry = self._fetch_twelve_data(symbol, timeframe, outputsize)
retry = self._drop_forming_candle(retry, timeframe)
retry = self._validate_and_clean(retry, symbol, timeframe)
if retry is not None and not retry.empty:
df = retry
if not self._has_latest_closed_bar(df, timeframe):
logger.warning(
f"{symbol} {timeframe.value}: feed lagging — just-closed bar "
f"still missing after retry; this scan may run one bar behind"
)
if not self._is_data_fresh(df, symbol, timeframe):
logger.warning(
f"STALE DATA from API: {symbol} {timeframe.value} — "
f"last bar {df.index[-1]} is too old. Signal quality may be degraded."
)
with self._cache_lock:
self._cache[cache_key] = df
self._cache_timestamps[cache_key] = now
return df
def _has_latest_closed_bar(self, df: pd.DataFrame, timeframe: Timeframe) -> bool:
"""Cached data must include the most recent fully closed bar.
The TTL alone is wall-clock based: a snapshot fetched mid-candle is
still within TTL at the next candle boundary but is missing the bar
that just closed, so every boundary scan would analyze — and run the
bar-close session check against — the previous bar.
"""
now = pd.Timestamp.now(tz="UTC")
if _is_forex_weekend(now):
return True
candle_seconds = self.CANDLE_SECONDS.get(timeframe, 3600)
dur = pd.Timedelta(seconds=candle_seconds)
expected_label = now.floor(dur) - dur
return df.index[-1] >= expected_label
def _drop_forming_candle(self, df: pd.DataFrame, timeframe: Timeframe) -> pd.DataFrame:
"""Drop the still-forming last candle so analysis only sees closed bars.
Twelve Data's time_series includes the current partial candle; the
scanner fires seconds after the boundary, so without this guard every
indicator reads a seconds-old stub bar and signals repaint.
"""
if df is None or df.empty:
return df
candle_seconds = self.CANDLE_SECONDS.get(timeframe, 3600)
now = pd.Timestamp.now(tz="UTC")
if df.index[-1] + pd.Timedelta(seconds=candle_seconds) > now:
df = df.iloc[:-1]
return df
def _is_data_fresh(self, df: pd.DataFrame, symbol: str, timeframe: Timeframe) -> bool:
"""Check if the last candle is within acceptable age for this timeframe."""
if df is None or df.empty:
return False
now = pd.Timestamp.now(tz="UTC")
if _is_forex_weekend(now):
return True
last_bar = df.index[-1]
candle_seconds = self.CANDLE_SECONDS.get(timeframe, 3600)
max_age_seconds = candle_seconds * 3
age_seconds = (now - last_bar).total_seconds()
if age_seconds > max_age_seconds:
logger.warning(
f"{symbol} {timeframe.value}: last bar {last_bar.strftime('%Y-%m-%d %H:%M')} "
f"is {age_seconds / 60:.0f}m old (limit: {max_age_seconds / 60:.0f}m)"
)
return False
return True
def clear_cache(self) -> int:
"""Wipe all cached data. Returns number of entries cleared."""
with self._cache_lock:
count = len(self._cache)
self._cache.clear()
self._cache_timestamps.clear()
logger.info(f"Cache cleared: {count} entries wiped")
return count
def get_pair_info(self, symbol: str = XAUUSD) -> Dict:
info = PAIR_INFO.get(symbol, PAIR_INFO[XAUUSD])
return {"symbol": symbol, **info}
# ── Private ────────────────────────────────────────────────────
def _throttle(self, credits: int = 1) -> None:
"""Pro tier: 55 credits / minute. Block until budget allows."""
while True:
with self._throttle_lock:
now = time.time()
while self._request_times and now - self._request_times[0] >= self.RATE_WINDOW:
self._request_times.popleft()
available = self.RATE_LIMIT - len(self._request_times)
if available >= credits:
for _ in range(credits):
self._request_times.append(time.time())
return
used = len(self._request_times)
wait = (self._request_times[0] + self.RATE_WINDOW) - now + 0.2
logger.info(
f"Rate limit: {used}/{self.RATE_LIMIT} credits used "
f"— waiting {wait:.1f}s..."
)
time.sleep(wait)
def _fetch_twelve_data(
self,
symbol: str,
timeframe: Timeframe,
outputsize: int,
start_date: Optional[str] = None,
end_date: Optional[str] = None,
) -> pd.DataFrame:
if self._td is None:
raise DataIntegrityError(
"No data-provider API key. Set the TWELVE_DATA_API_KEY env "
"var or data_providers.twelve_data.api_key in config.json."
)
td_symbol = self._to_td_symbol(symbol)
interval = self.TD_INTERVALS[timeframe]
self._throttle(credits=1)
kwargs = {
"symbol": td_symbol,
"interval": interval,
"outputsize": min(outputsize, 5000),
"timezone": "UTC",
}
if start_date:
kwargs["start_date"] = start_date
if end_date:
kwargs["end_date"] = end_date
try:
df = self._td.time_series(**kwargs).as_pandas()
except Exception as e:
raise DataIntegrityError(
f"Twelve Data fetch failed for {td_symbol}: {e}"
) from e
if df is None or df.empty:
raise DataIntegrityError(f"Empty response from Twelve Data for {td_symbol}")
# SDK returns lowercase columns; engine expects capitalised.
df = df.rename(columns={
"open": "Open", "high": "High", "low": "Low",
"close": "Close", "volume": "Volume",
})
for col in ("Open", "High", "Low", "Close", "Volume"):
if col in df.columns:
df[col] = pd.to_numeric(df[col], errors="coerce")
if "Volume" not in df.columns:
df["Volume"] = 0.0
# SDK returns newest-first; engine + indicators want oldest-first.
df = df.sort_index()
if df.index.tz is None:
df.index = df.index.tz_localize("UTC")
df.index.name = "Datetime"
logger.debug(f"Fetched {len(df)} bars for {td_symbol} @ {interval}")
return df
def _validate_and_clean(
self, df: pd.DataFrame, symbol: str, timeframe: Timeframe
) -> pd.DataFrame:
if df is None or df.empty:
raise DataIntegrityError(f"Empty dataset for {symbol}")
original_len = len(df)
df = df.dropna(subset=["Open", "High", "Low", "Close"], how="all")
df = df.ffill(limit=3)
df = df.dropna(subset=["Close"])
df = df.sort_index()
df = df[~df.index.duplicated(keep="last")]
now = pd.Timestamp.utcnow()
future_mask = df.index > now + pd.Timedelta(minutes=5)
if future_mask.any():
logger.warning(f"{symbol}: Dropping {future_mask.sum()} future timestamps")
df = df[~future_mask]
invalid_ohlc = (
(df["High"] < df["Low"]) |
(df["High"] < df["Open"]) |
(df["High"] < df["Close"]) |
(df["Low"] > df["Open"]) |
(df["Low"] > df["Close"])
)
if invalid_ohlc.any():
logger.warning(f"{symbol}: Fixing {invalid_ohlc.sum()} OHLC-inconsistent bars")
for idx in df[invalid_ohlc].index:
vals = [df.loc[idx, "Open"], df.loc[idx, "Close"]]
df.loc[idx, "High"] = max(vals + [df.loc[idx, "High"]])
df.loc[idx, "Low"] = min(vals + [df.loc[idx, "Low"]])
returns = df["Close"].pct_change()
std_ret = returns.std()
if std_ret > 0:
dev = returns - returns.mean()
outlier_mask = dev.abs() > 10 * std_ret
# A spike bar makes the NEXT bar's return look extreme too (it is
# measured against the spike). If the previous bar is flagged and
# this bar reverses direction, it is the legitimate snap-back —
# keep it, or every spike would punch a two-bar hole in the data.
recovery = (
outlier_mask
& outlier_mask.shift(1, fill_value=False)
& (dev * dev.shift(1) < 0)
)
outlier_mask = outlier_mask & ~recovery
if outlier_mask.any():
logger.warning(f"{symbol}: Removing {outlier_mask.sum()} extreme outlier bars")
df = df[~outlier_mask]
min_required = max(
self.config.technical.ema_trend,
200,
) + 10
if len(df) < min_required:
logger.warning(
f"{symbol} {timeframe.value}: Only {len(df)} bars "
f"(need {min_required}). Some indicators will be partial."
)
cleaned = original_len - len(df)
if cleaned > 0:
logger.info(f"{symbol}: Cleaned {cleaned}/{original_len} bars")
return df
# ── Provider registry ─────────────────────────────────────────────────
# config.json data_providers.active selects from here. Adding a provider
# later = one adapter class + one entry + one config block.
PROVIDER_REGISTRY: Dict[str, type] = {"twelve_data": ForexDataProvider}
def make_data_provider(config: PlatformConfig) -> ForexDataProvider:
"""Build the ACTIVE data provider (config.json: data_providers.active)."""
name = get_app_config().active_provider
cls = PROVIDER_REGISTRY.get(name)
if cls is None:
raise AppConfigError(
f'Unknown data provider "{name}"; '
f"registered: {sorted(PROVIDER_REGISTRY)}")
return cls(config)
oanda_daemon.py
+1 -1
View File
@@ -46,7 +46,7 @@ from app_config import (
from config import PAIR_INFO, PlatformConfig, Timeframe, XAUUSD from config import PAIR_INFO, PlatformConfig, Timeframe, XAUUSD
from signal_aggregator import SignalAggregator, SignalReport, SignalStrength from signal_aggregator import SignalAggregator, SignalReport, SignalStrength
from pair_signals import PAIR_PRODUCERS from pair_signals import PAIR_PRODUCERS
from oanda_provider import OandaDataProvider from providers.oanda import OandaDataProvider
from oanda_executor import OandaExecutor, OandaAPIError from oanda_executor import OandaExecutor, OandaAPIError
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
oanda_provider.py
+6 -358
View File
@@ -1,361 +1,9 @@
""" """
ForexBot2 — Oanda v20 Data Provider ForexBot2 — Oanda provider (back-compat shim)
==================================== ==============================================
Drop-in replacement for ForexDataProvider that fetches OHLCV candles The implementation lives in `providers/oanda.py`; shared behavior is in
from the Oanda v20 REST API. Returns the same DataFrame format `providers/base.py`. This module keeps the historical import path working.
(Open/High/Low/Close/Volume, UTC DatetimeIndex, oldest-first, closed
bars only) so the signal pipeline (engine + aggregator) runs unchanged.
Additionally exposes real bid/ask spread from Oanda's MBA candles.
""" """
import logging from providers.base import _is_forex_weekend # noqa: F401
import threading from providers.oanda import OandaDataError, OandaDataProvider # noqa: F401
import time
from typing import Dict, Optional
import pandas as pd
import requests
from config import PAIR_INFO, PlatformConfig, Timeframe, XAUUSD
logger = logging.getLogger(__name__)
class OandaDataError(Exception):
"""Raised when an Oanda data fetch fails or returns invalid data."""
def _is_forex_weekend(now=None) -> bool:
if now is None:
now = pd.Timestamp.now(tz="UTC")
wd = now.weekday()
hour = now.hour
if wd == 4 and hour >= 22:
return True
if wd == 5:
return True
if wd == 6 and hour < 22:
return True
return False
class OandaDataProvider:
"""Oanda v20 REST candle provider with in-memory caching."""
OANDA_GRANULARITY = {
Timeframe.M1: "M1",
Timeframe.M5: "M5",
Timeframe.M15: "M15",
Timeframe.M30: "M30",
Timeframe.H1: "H1",
Timeframe.H4: "H4",
Timeframe.D1: "D",
Timeframe.W1: "W",
}
OANDA_INSTRUMENT = {
"XAU/USD": "XAU_USD",
}
BARS_PER_DAY = {
Timeframe.M1: 1440, Timeframe.M5: 288, Timeframe.M15: 96,
Timeframe.M30: 48, Timeframe.H1: 24, Timeframe.H4: 6,
Timeframe.D1: 1, Timeframe.W1: 0.143,
}
CANDLE_SECONDS = {
Timeframe.M1: 60, Timeframe.M5: 300, Timeframe.M15: 900,
Timeframe.M30: 1800, Timeframe.H1: 3600, Timeframe.H4: 14400,
Timeframe.D1: 86400, Timeframe.W1: 604800,
}
FRESH_FETCH_RETRY_SECONDS = 3.0
def __init__(self, config: PlatformConfig, api_token: str, base_url: str):
self.config = config
self._base_url = base_url.rstrip("/")
self._session = requests.Session()
self._session.headers.update({
"Authorization": f"Bearer {api_token}",
"Accept-Datetime-Format": "RFC3339",
"Content-Type": "application/json",
})
self._cache: Dict[str, pd.DataFrame] = {}
self._cache_timestamps: Dict[str, float] = {}
self._cache_lock = threading.Lock()
self._spread_cache: Dict[str, float] = {}
# ── Public API ─────────────────────────────────────────────────
def fetch_ohlcv(
self,
symbol: str = XAUUSD,
timeframe: Timeframe = Timeframe.H1,
lookback_days: Optional[int] = None,
) -> pd.DataFrame:
if lookback_days is None:
lookback_days = self.config.data_lookback_days
cache_key = f"{symbol}_{timeframe.value}"
now = time.time()
cache_ttl = self.CANDLE_SECONDS.get(timeframe, 3600)
with self._cache_lock:
cached = self._cache.get(cache_key)
cached_at = self._cache_timestamps.get(cache_key)
if (
cached is not None
and cached_at is not None
and (now - cached_at) < cache_ttl
and not cached.empty
):
if (self._is_data_fresh(cached, symbol, timeframe)
and self._has_latest_closed_bar(cached, timeframe)):
return cached
logger.warning(
"%s %s: cached data is stale, refetching",
symbol, timeframe.value)
with self._cache_lock:
self._cache.pop(cache_key, None)
self._cache_timestamps.pop(cache_key, None)
count = max(300, min(int(lookback_days * self.BARS_PER_DAY[timeframe]) + 20, 5000))
df = self._fetch_oanda_candles(symbol, timeframe, count)
df = self._validate_and_clean(df, symbol, timeframe)
if not df.empty and not self._has_latest_closed_bar(df, timeframe):
time.sleep(self.FRESH_FETCH_RETRY_SECONDS)
try:
retry = self._fetch_oanda_candles(symbol, timeframe, count)
retry = self._validate_and_clean(retry, symbol, timeframe)
if retry is not None and not retry.empty:
df = retry
except OandaDataError as e:
logger.warning(
"%s %s: boundary retry refetch failed (%s) — keeping "
"original data", symbol, timeframe.value, e)
if not self._has_latest_closed_bar(df, timeframe):
logger.warning(
"%s %s: feed lagging — just-closed bar still missing "
"after retry; this scan may run one bar behind",
symbol, timeframe.value)
if not self._is_data_fresh(df, symbol, timeframe):
logger.warning(
"STALE DATA from Oanda: %s %s — last bar %s is too old. "
"Signal quality may be degraded.",
symbol, timeframe.value,
df.index[-1] if not df.empty else "N/A")
with self._cache_lock:
self._cache[cache_key] = df
self._cache_timestamps[cache_key] = now
return df
def get_pair_info(self, symbol: str = XAUUSD) -> Dict:
info = PAIR_INFO.get(symbol, PAIR_INFO[XAUUSD])
return {"symbol": symbol, **info}
def get_spread(self, symbol: str = XAUUSD) -> float:
return self._spread_cache.get(
symbol, PAIR_INFO.get(symbol, PAIR_INFO[XAUUSD])["default_spread"])
def clear_cache(self) -> int:
with self._cache_lock:
count = len(self._cache)
self._cache.clear()
self._cache_timestamps.clear()
logger.info("Cache cleared: %d entries wiped", count)
return count
# ── Private ────────────────────────────────────────────────────
def _to_oanda_instrument(self, symbol: str) -> str:
if symbol in self.OANDA_INSTRUMENT:
return self.OANDA_INSTRUMENT[symbol]
return symbol.replace("/", "_")
def _fetch_oanda_candles(
self, symbol: str, timeframe: Timeframe, count: int
) -> pd.DataFrame:
instrument = self._to_oanda_instrument(symbol)
granularity = self.OANDA_GRANULARITY.get(timeframe)
if granularity is None:
raise OandaDataError(
f"Unsupported timeframe {timeframe} for Oanda")
url = f"{self._base_url}/v3/instruments/{instrument}/candles"
params = {
"granularity": granularity,
"count": min(count, 5000),
"price": "MBA",
"dailyAlignment": 0,
"alignmentTimezone": "Etc/UTC",
}
try:
resp = self._session.get(url, params=params, timeout=30)
except requests.RequestException as e:
raise OandaDataError(
f"Oanda candle fetch failed for {instrument}: {e}") from e
if resp.status_code != 200:
raise OandaDataError(
f"Oanda candle fetch failed for {instrument}: "
f"HTTP {resp.status_code}: {resp.text[:300]}")
try:
data = resp.json()
except ValueError as e:
raise OandaDataError(
f"Oanda candle response for {instrument} is not valid "
f"JSON: {e}") from e
candles = data.get("candles", [])
if not candles:
raise OandaDataError(
f"Empty candle response from Oanda for {instrument}")
rows = []
last_bid_close = None
last_ask_close = None
for c in candles:
if not c.get("complete", False):
continue
mid = c.get("mid", {})
bid = c.get("bid", {})
ask = c.get("ask", {})
rows.append({
"Datetime": pd.Timestamp(c["time"]).tz_convert("UTC"),
"Open": float(mid.get("o", 0)),
"High": float(mid.get("h", 0)),
"Low": float(mid.get("l", 0)),
"Close": float(mid.get("c", 0)),
"Volume": int(c.get("volume", 0)),
})
if bid and ask:
last_bid_close = float(bid.get("c", 0))
last_ask_close = float(ask.get("c", 0))
if not rows:
raise OandaDataError(
f"No complete candles from Oanda for {instrument}")
if last_bid_close and last_ask_close:
self._spread_cache[symbol] = round(
last_ask_close - last_bid_close, 4)
df = pd.DataFrame(rows)
df = df.set_index("Datetime")
df = df.sort_index()
if df.index.tz is None:
df.index = df.index.tz_localize("UTC")
df.index.name = "Datetime"
for col in ("Open", "High", "Low", "Close"):
df[col] = pd.to_numeric(df[col], errors="coerce")
df["Volume"] = pd.to_numeric(df["Volume"], errors="coerce").fillna(0).astype(float)
logger.debug(
"Fetched %d bars for %s @ %s from Oanda",
len(df), instrument, granularity)
return df
def _has_latest_closed_bar(self, df: pd.DataFrame, timeframe: Timeframe) -> bool:
if df.empty:
return False
now = pd.Timestamp.now(tz="UTC")
if _is_forex_weekend(now):
return True
candle_seconds = self.CANDLE_SECONDS.get(timeframe, 3600)
dur = pd.Timedelta(seconds=candle_seconds)
expected_label = now.floor(dur) - dur
return df.index[-1] >= expected_label
def _is_data_fresh(
self, df: pd.DataFrame, symbol: str, timeframe: Timeframe
) -> bool:
if df is None or df.empty:
return False
now = pd.Timestamp.now(tz="UTC")
if _is_forex_weekend(now):
return True
last_bar = df.index[-1]
candle_seconds = self.CANDLE_SECONDS.get(timeframe, 3600)
max_age_seconds = candle_seconds * 3
age_seconds = (now - last_bar).total_seconds()
if age_seconds > max_age_seconds:
logger.warning(
"%s %s: last bar %s is %dm old (limit: %dm)",
symbol, timeframe.value,
last_bar.strftime("%Y-%m-%d %H:%M"),
age_seconds / 60, max_age_seconds / 60)
return False
return True
def _validate_and_clean(
self, df: pd.DataFrame, symbol: str, timeframe: Timeframe
) -> pd.DataFrame:
if df is None or df.empty:
raise OandaDataError(f"Empty dataset for {symbol}")
original_len = len(df)
df = df.dropna(subset=["Open", "High", "Low", "Close"], how="all")
df = df.ffill(limit=3)
df = df.dropna(subset=["Close"])
df = df.sort_index()
df = df[~df.index.duplicated(keep="last")]
now = pd.Timestamp.utcnow()
future_mask = df.index > now + pd.Timedelta(minutes=5)
if future_mask.any():
logger.warning(
"%s: Dropping %d future timestamps", symbol, future_mask.sum())
df = df[~future_mask]
invalid_ohlc = (
(df["High"] < df["Low"])
| (df["High"] < df["Open"])
| (df["High"] < df["Close"])
| (df["Low"] > df["Open"])
| (df["Low"] > df["Close"])
)
if invalid_ohlc.any():
logger.warning(
"%s: Fixing %d OHLC-inconsistent bars",
symbol, invalid_ohlc.sum())
for idx in df[invalid_ohlc].index:
vals = [df.loc[idx, "Open"], df.loc[idx, "Close"]]
df.loc[idx, "High"] = max(vals + [df.loc[idx, "High"]])
df.loc[idx, "Low"] = min(vals + [df.loc[idx, "Low"]])
returns = df["Close"].pct_change()
std_ret = returns.std()
if std_ret > 0:
dev = returns - returns.mean()
outlier_mask = dev.abs() > 10 * std_ret
recovery = (
outlier_mask
& outlier_mask.shift(1, fill_value=False)
& (dev * dev.shift(1) < 0)
)
outlier_mask = outlier_mask & ~recovery
if outlier_mask.any():
logger.warning(
"%s: Removing %d extreme outlier bars",
symbol, outlier_mask.sum())
df = df[~outlier_mask]
min_required = max(self.config.technical.ema_trend, 200) + 10
if len(df) < min_required:
logger.warning(
"%s %s: Only %d bars (need %d). Some indicators will be partial.",
symbol, timeframe.value, len(df), min_required)
cleaned = original_len - len(df)
if cleaned > 0:
logger.info("%s: Cleaned %d/%d bars", symbol, cleaned, original_len)
return df
pair_signals/__init__.py
+2 -2
View File
@@ -12,7 +12,7 @@ from typing import Optional, List, Dict, Callable
from config import PlatformConfig, Timeframe from config import PlatformConfig, Timeframe
from signal_aggregator import SignalAggregator, SignalReport from signal_aggregator import SignalAggregator, SignalReport
from data_provider import ForexDataProvider from providers import BaseDataProvider
PAIR_PRODUCERS: Dict[str, Callable] = {} PAIR_PRODUCERS: Dict[str, Callable] = {}
@@ -28,7 +28,7 @@ def get_supported_pairs() -> List[str]:
def produce_signal( def produce_signal(
symbol: str, symbol: str,
primary_tf: Timeframe, primary_tf: Timeframe,
data_provider: ForexDataProvider, data_provider: BaseDataProvider,
confirmation_tfs: Optional[List[Timeframe]] = None, confirmation_tfs: Optional[List[Timeframe]] = None,
) -> SignalReport: ) -> SignalReport:
config_factory = PAIR_PRODUCERS.get(symbol) config_factory = PAIR_PRODUCERS.get(symbol)
providers/__init__.py
+54
View File
@@ -0,0 +1,54 @@
"""
ForexBot2 — Data-provider package
==================================
One class per provider, all subclassing `BaseDataProvider` (which owns
caching, validation, boundary guarantees, and range pagination — the
behavior the signal pipeline depends on).
Adding a provider = one module implementing `_fetch_raw` + one registry
entry + one config.json `data_providers` block. The live feed is selected
by config.json `data_providers.active`; registration alone changes
nothing.
"""
from typing import Dict
from app_config import AppConfigError, get_app_config
from config import PlatformConfig
from providers.base import BaseDataProvider, DataIntegrityError, _is_forex_weekend
from providers.twelve_data import TwelveDataProvider
from providers.oanda import OandaDataError, OandaDataProvider
from providers.tiingo import TiingoDataError, TiingoDataProvider
#: config.json data_providers.active selects from here.
PROVIDER_REGISTRY: Dict[str, type] = {
"twelve_data": TwelveDataProvider,
"oanda": OandaDataProvider,
"tiingo": TiingoDataProvider,
}
def make_data_provider(config: PlatformConfig) -> BaseDataProvider:
"""Build the ACTIVE data provider (config.json: data_providers.active)."""
name = get_app_config().active_provider
cls = PROVIDER_REGISTRY.get(name)
if cls is None:
raise AppConfigError(
f'Unknown data provider "{name}"; '
f"registered: {sorted(PROVIDER_REGISTRY)}")
return cls(config)
__all__ = [
"BaseDataProvider",
"DataIntegrityError",
"OandaDataError",
"OandaDataProvider",
"TiingoDataError",
"TiingoDataProvider",
"TwelveDataProvider",
"PROVIDER_REGISTRY",
"make_data_provider",
"_is_forex_weekend",
]
providers/base.py
+423
View File
@@ -0,0 +1,423 @@
"""
ForexBot2 — Provider base class
================================
`BaseDataProvider` owns everything that must behave identically no matter
where the bars come from: in-memory caching with candle-duration TTL, the
closed-bar boundary guarantee, freshness checks, validation/cleaning, the
forming-candle drop, and paginated date-range fetching for the backtester.
A concrete provider implements only:
_fetch_raw(symbol, timeframe, outputsize, start, end) -> pd.DataFrame
returning a normalized frame (capitalized OHLCV columns, UTC tz-aware
DatetimeIndex named "Datetime", oldest-first), plus optionally
`get_spread` and the streaming-quote capability (`supports_streaming` +
`iter_ticks`).
The signal pipeline (engine + aggregator + backtester) consumes ONLY the
public contract defined here, so swapping providers never touches signal
code.
"""
import logging
import threading
import time
from abc import ABC, abstractmethod
from datetime import datetime, timedelta
from typing import AsyncIterator, Callable, Dict, Optional, Sequence, Tuple
import pandas as pd
from config import PAIR_INFO, PlatformConfig, Timeframe, XAUUSD
logger = logging.getLogger(__name__)
def _is_forex_weekend(now=None) -> bool:
"""Forex market closed: Friday 22:00 UTC → Sunday 22:00 UTC."""
if now is None:
now = pd.Timestamp.now(tz="UTC")
wd = now.weekday()
hour = now.hour
if wd == 4 and hour >= 22:
return True
if wd == 5:
return True
if wd == 6 and hour < 22:
return True
return False
class DataIntegrityError(Exception):
"""Raised when data fails validation checks."""
pass
class BaseDataProvider(ABC):
"""Shared OHLCV provider behavior; subclasses supply the raw fetch."""
#: Registry name; overridden per provider.
name: str = "base"
#: Exception type this provider raises for fetch/validation failures.
#: Provider-specific errors subclass DataIntegrityError so consumers
#: can catch one type regardless of the active provider.
DATA_ERROR = DataIntegrityError
BARS_PER_DAY = {
Timeframe.M1: 1440, Timeframe.M5: 288, Timeframe.M15: 96,
Timeframe.M30: 48, Timeframe.H1: 24, Timeframe.H4: 6,
Timeframe.D1: 1, Timeframe.W1: 0.143,
}
CANDLE_SECONDS = {
Timeframe.M1: 60, Timeframe.M5: 300, Timeframe.M15: 900,
Timeframe.M30: 1800, Timeframe.H1: 3600, Timeframe.H4: 14400,
Timeframe.D1: 86400, Timeframe.W1: 604800,
}
#: Hard per-request bar cap shared by Twelve Data and Oanda.
MAX_BARS_PER_REQUEST = 5000
# 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
def __init__(self, config: PlatformConfig):
self.config = config
self._cache: Dict[str, pd.DataFrame] = {}
self._cache_timestamps: Dict[str, float] = {}
# The bot shares one provider across a thread pool; cache eviction
# is check-then-act and needs locking.
self._cache_lock = threading.Lock()
# ── Abstract: the only provider-specific piece ─────────────────
@abstractmethod
def _fetch_raw(
self,
symbol: str,
timeframe: Timeframe,
outputsize: int,
start: Optional[datetime] = None,
end: Optional[datetime] = None,
) -> pd.DataFrame:
"""Fetch up to `outputsize` bars, optionally bounded by start/end
(tz-aware UTC datetimes). Must return a normalized frame:
capitalized OHLCV columns, UTC DatetimeIndex named "Datetime",
oldest-first. Raise self.DATA_ERROR on failure."""
# ── Public API ─────────────────────────────────────────────────
def fetch_ohlcv(
self,
symbol: str = XAUUSD,
timeframe: Timeframe = Timeframe.H1,
lookback_days: Optional[int] = None,
) -> pd.DataFrame:
"""Fetch OHLCV with in-memory caching for live mode."""
if lookback_days is None:
lookback_days = self.config.data_lookback_days
cache_key = f"{symbol}_{timeframe.value}"
now = time.time()
cache_ttl = self.CANDLE_SECONDS.get(timeframe, self.config.refresh_interval)
with self._cache_lock:
cached = self._cache.get(cache_key)
cached_at = self._cache_timestamps.get(cache_key)
if (
cached is not None
and cached_at is not None
and (now - cached_at) < cache_ttl
and not cached.empty
):
if (self._is_data_fresh(cached, symbol, timeframe)
and self._has_latest_closed_bar(cached, timeframe)):
return cached
logger.warning(f"{symbol} {timeframe.value}: cached data is stale, refetching")
with self._cache_lock:
self._cache.pop(cache_key, None)
self._cache_timestamps.pop(cache_key, None)
outputsize = max(
300,
min(int(lookback_days * self.BARS_PER_DAY[timeframe]) + 20,
self.MAX_BARS_PER_REQUEST),
)
df = self._fetch_raw(symbol, timeframe, outputsize)
df = self._drop_forming_candle(df, timeframe)
df = self._validate_and_clean(df, symbol, timeframe)
# The closed-bar guarantee must hold for FRESH responses too, not
# just cache hits: the scanner fires seconds after the boundary,
# and a lagging feed can answer without the just-closed bar — the
# scan would silently analyze (and session-check) the previous
# bar. Give the feed one short grace retry, then proceed loudly.
if not df.empty and not self._has_latest_closed_bar(df, timeframe):
time.sleep(self.FRESH_FETCH_RETRY_SECONDS)
try:
retry = self._fetch_raw(symbol, timeframe, outputsize)
retry = self._drop_forming_candle(retry, timeframe)
retry = self._validate_and_clean(retry, symbol, timeframe)
if retry is not None and not retry.empty:
df = retry
except DataIntegrityError as e:
logger.warning(
f"{symbol} {timeframe.value}: boundary retry refetch "
f"failed ({e}) — keeping original data")
if not self._has_latest_closed_bar(df, timeframe):
logger.warning(
f"{symbol} {timeframe.value}: feed lagging — just-closed bar "
f"still missing after retry; this scan may run one bar behind"
)
if not self._is_data_fresh(df, symbol, timeframe):
logger.warning(
f"STALE DATA from API: {symbol} {timeframe.value} — "
f"last bar {df.index[-1]} is too old. Signal quality may be degraded."
)
with self._cache_lock:
self._cache[cache_key] = df
self._cache_timestamps[cache_key] = now
return df
def fetch_range(
self,
symbol: str,
timeframe: Timeframe,
start: datetime,
end: datetime,
) -> pd.DataFrame:
"""Fetch the RAW closed-bar series between start/end, paginating
under the per-request bar cap. Returns uncleaned bars (the
backtester resolves trades on the raw price path); callers wanting
the signal-side series run `validate_and_clean` on the result."""
bars_per_day = self.BARS_PER_DAY[timeframe]
days_per_chunk = max(1, int(4500 / bars_per_day))
chunks = []
cursor_end = end
empty_streak = 0
while cursor_end > start:
cursor_start = max(start, cursor_end - timedelta(days=days_per_chunk))
try:
chunk = self._fetch_raw(
symbol, timeframe, self.MAX_BARS_PER_REQUEST,
start=cursor_start, end=cursor_end,
)
except Exception as e:
# Providers raise for windows with no data (weekends,
# holidays, asset gaps). Skip the window, step back, retry
# — but bail after a few consecutive empties.
logger.warning(
f"Chunk {cursor_start.date()}–{cursor_end.date()} failed: {e}"
)
empty_streak += 1
if empty_streak >= 3:
break
cursor_end = cursor_start - timedelta(seconds=1)
continue
if chunk is None or chunk.empty:
empty_streak += 1
if empty_streak >= 3:
break
cursor_end = cursor_start - timedelta(seconds=1)
continue
empty_streak = 0
chunks.append(chunk)
# Step back; dedup on concat.
cursor_end = chunk.index[0] - timedelta(seconds=1)
if len(chunk) < 2:
break
if not chunks:
raise RuntimeError(f"No data fetched for {symbol} {timeframe.value}")
df = pd.concat(chunks).sort_index()
df = df[~df.index.duplicated(keep="last")]
# Fetches ending "now" include the still-forming candle — drop it
# so callers only ever see closed bars.
df = self._drop_forming_candle(df, timeframe)
start_ts = pd.Timestamp(start)
end_ts = pd.Timestamp(end)
return df[(df.index >= start_ts) & (df.index <= end_ts)]
def is_data_fresh(
self, df: pd.DataFrame, symbol: str, timeframe: Timeframe
) -> bool:
"""Public freshness check (last bar within 3 candle durations)."""
return self._is_data_fresh(df, symbol, timeframe)
def validate_and_clean(
self, df: pd.DataFrame, symbol: str, timeframe: Timeframe
) -> pd.DataFrame:
"""Public entry to the shared cleaning pipeline."""
return self._validate_and_clean(df, symbol, timeframe)
def clear_cache(self) -> int:
"""Wipe all cached data. Returns number of entries cleared."""
with self._cache_lock:
count = len(self._cache)
self._cache.clear()
self._cache_timestamps.clear()
logger.info(f"Cache cleared: {count} entries wiped")
return count
def get_pair_info(self, symbol: str = XAUUSD) -> Dict:
info = PAIR_INFO.get(symbol, PAIR_INFO[XAUUSD])
return {"symbol": symbol, **info}
def get_spread(self, symbol: str = XAUUSD) -> float:
"""Latest observed round-trip spread; providers without live
bid/ask fall back to the pair's assumed default."""
return PAIR_INFO.get(symbol, PAIR_INFO[XAUUSD])["default_spread"]
# ── Streaming-quote capability (optional) ──────────────────────
#: True when the provider can stream live ticks via `iter_ticks`.
supports_streaming: bool = False
def iter_ticks(
self,
symbols: Sequence[str],
on_connect: Optional[Callable[[], None]] = None,
) -> AsyncIterator[Tuple[str, float]]:
"""Async generator yielding (canonical_symbol, price) ticks for one
connection's lifetime; the caller owns reconnect/backoff. Providers
that support it set `supports_streaming = True` and override."""
raise NotImplementedError(
f"{self.name} provider does not support streaming quotes")
# ── Shared internals ───────────────────────────────────────────
def _has_latest_closed_bar(self, df: pd.DataFrame, timeframe: Timeframe) -> bool:
"""Cached data must include the most recent fully closed bar.
The TTL alone is wall-clock based: a snapshot fetched mid-candle is
still within TTL at the next candle boundary but is missing the bar
that just closed, so every boundary scan would analyze — and run the
bar-close session check against — the previous bar.
"""
if df is None or df.empty:
return False
now = pd.Timestamp.now(tz="UTC")
if _is_forex_weekend(now):
return True
candle_seconds = self.CANDLE_SECONDS.get(timeframe, 3600)
dur = pd.Timedelta(seconds=candle_seconds)
expected_label = now.floor(dur) - dur
return df.index[-1] >= expected_label
def _drop_forming_candle(self, df: pd.DataFrame, timeframe: Timeframe) -> pd.DataFrame:
"""Drop the still-forming last candle so analysis only sees closed bars.
Some feeds include the current partial candle; the scanner fires
seconds after the boundary, so without this guard every indicator
reads a seconds-old stub bar and signals repaint. Feeds that only
return complete candles pass through unchanged.
"""
if df is None or df.empty:
return df
candle_seconds = self.CANDLE_SECONDS.get(timeframe, 3600)
now = pd.Timestamp.now(tz="UTC")
if df.index[-1] + pd.Timedelta(seconds=candle_seconds) > now:
df = df.iloc[:-1]
return df
def _is_data_fresh(self, df: pd.DataFrame, symbol: str, timeframe: Timeframe) -> bool:
"""Check if the last candle is within acceptable age for this timeframe."""
if df is None or df.empty:
return False
now = pd.Timestamp.now(tz="UTC")
if _is_forex_weekend(now):
return True
last_bar = df.index[-1]
candle_seconds = self.CANDLE_SECONDS.get(timeframe, 3600)
max_age_seconds = candle_seconds * 3
age_seconds = (now - last_bar).total_seconds()
if age_seconds > max_age_seconds:
logger.warning(
f"{symbol} {timeframe.value}: last bar {last_bar.strftime('%Y-%m-%d %H:%M')} "
f"is {age_seconds / 60:.0f}m old (limit: {max_age_seconds / 60:.0f}m)"
)
return False
return True
def _validate_and_clean(
self, df: pd.DataFrame, symbol: str, timeframe: Timeframe
) -> pd.DataFrame:
if df is None or df.empty:
raise self.DATA_ERROR(f"Empty dataset for {symbol}")
original_len = len(df)
df = df.dropna(subset=["Open", "High", "Low", "Close"], how="all")
df = df.ffill(limit=3)
df = df.dropna(subset=["Close"])
df = df.sort_index()
df = df[~df.index.duplicated(keep="last")]
now = pd.Timestamp.utcnow()
future_mask = df.index > now + pd.Timedelta(minutes=5)
if future_mask.any():
logger.warning(f"{symbol}: Dropping {future_mask.sum()} future timestamps")
df = df[~future_mask]
invalid_ohlc = (
(df["High"] < df["Low"]) |
(df["High"] < df["Open"]) |
(df["High"] < df["Close"]) |
(df["Low"] > df["Open"]) |
(df["Low"] > df["Close"])
)
if invalid_ohlc.any():
logger.warning(f"{symbol}: Fixing {invalid_ohlc.sum()} OHLC-inconsistent bars")
for idx in df[invalid_ohlc].index:
vals = [df.loc[idx, "Open"], df.loc[idx, "Close"]]
df.loc[idx, "High"] = max(vals + [df.loc[idx, "High"]])
df.loc[idx, "Low"] = min(vals + [df.loc[idx, "Low"]])
returns = df["Close"].pct_change()
std_ret = returns.std()
if std_ret > 0:
dev = returns - returns.mean()
outlier_mask = dev.abs() > 10 * std_ret
# A spike bar makes the NEXT bar's return look extreme too (it is
# measured against the spike). If the previous bar is flagged and
# this bar reverses direction, it is the legitimate snap-back —
# keep it, or every spike would punch a two-bar hole in the data.
recovery = (
outlier_mask
& outlier_mask.shift(1, fill_value=False)
& (dev * dev.shift(1) < 0)
)
outlier_mask = outlier_mask & ~recovery
if outlier_mask.any():
logger.warning(f"{symbol}: Removing {outlier_mask.sum()} extreme outlier bars")
df = df[~outlier_mask]
min_required = max(
self.config.technical.ema_trend,
200,
) + 10
if len(df) < min_required:
logger.warning(
f"{symbol} {timeframe.value}: Only {len(df)} bars "
f"(need {min_required}). Some indicators will be partial."
)
cleaned = original_len - len(df)
if cleaned > 0:
logger.info(f"{symbol}: Cleaned {cleaned}/{original_len} bars")
return df
providers/oanda.py
+192
View File
@@ -0,0 +1,192 @@
"""
ForexBot2 — Oanda v20 data provider
====================================
OHLCV candles from the Oanda v20 REST API. All shared behavior (cache,
validation, boundary guarantees, range pagination) lives in
`BaseDataProvider`; this module only maps symbols/granularities, parses
Oanda's candle JSON, and exposes the real bid/ask spread from MBA candles.
"""
import logging
from datetime import datetime
from typing import Dict, Optional
import pandas as pd
import requests
from app_config import oanda_api_token, oanda_base_url
from config import PAIR_INFO, PlatformConfig, Timeframe, XAUUSD
from providers.base import BaseDataProvider, DataIntegrityError
logger = logging.getLogger(__name__)
class OandaDataError(DataIntegrityError):
"""Raised when an Oanda data fetch fails or returns invalid data."""
class OandaDataProvider(BaseDataProvider):
"""Oanda v20 REST candle provider."""
name = "oanda"
DATA_ERROR = OandaDataError
OANDA_GRANULARITY = {
Timeframe.M1: "M1",
Timeframe.M5: "M5",
Timeframe.M15: "M15",
Timeframe.M30: "M30",
Timeframe.H1: "H1",
Timeframe.H4: "H4",
Timeframe.D1: "D",
Timeframe.W1: "W",
}
OANDA_INSTRUMENT = {
"XAU/USD": "XAU_USD",
}
def __init__(
self,
config: PlatformConfig,
api_token: Optional[str] = None,
base_url: Optional[str] = None,
):
super().__init__(config)
# Credentials default to the config.json `oanda` block / env vars
# so the provider registry can build this class with config only.
if api_token is None:
api_token = oanda_api_token()
if base_url is None:
base_url = oanda_base_url()
self._base_url = base_url.rstrip("/")
self._session = requests.Session()
self._session.headers.update({
"Authorization": f"Bearer {api_token}",
"Accept-Datetime-Format": "RFC3339",
"Content-Type": "application/json",
})
self._spread_cache: Dict[str, float] = {}
# ── Public extras ──────────────────────────────────────────────
def get_spread(self, symbol: str = XAUUSD) -> float:
return self._spread_cache.get(
symbol, PAIR_INFO.get(symbol, PAIR_INFO[XAUUSD])["default_spread"])
# ── Raw fetch ──────────────────────────────────────────────────
def _fetch_raw(
self,
symbol: str,
timeframe: Timeframe,
outputsize: int,
start: Optional[datetime] = None,
end: Optional[datetime] = None,
) -> pd.DataFrame:
if start is not None or end is not None:
return self._fetch_oanda_candles(
symbol, timeframe, outputsize, start, end)
return self._fetch_oanda_candles(symbol, timeframe, outputsize)
def _to_oanda_instrument(self, symbol: str) -> str:
if symbol in self.OANDA_INSTRUMENT:
return self.OANDA_INSTRUMENT[symbol]
return symbol.replace("/", "_")
def _fetch_oanda_candles(
self,
symbol: str,
timeframe: Timeframe,
count: int,
start: Optional[datetime] = None,
end: Optional[datetime] = None,
) -> pd.DataFrame:
instrument = self._to_oanda_instrument(symbol)
granularity = self.OANDA_GRANULARITY.get(timeframe)
if granularity is None:
raise OandaDataError(
f"Unsupported timeframe {timeframe} for Oanda")
url = f"{self._base_url}/v3/instruments/{instrument}/candles"
params = {
"granularity": granularity,
"price": "MBA",
"dailyAlignment": 0,
"alignmentTimezone": "Etc/UTC",
}
# v20 rejects `count` combined with both `from` and `to`; a date
# window replaces it (used by fetch_range pagination).
if start is not None and end is not None:
params["from"] = pd.Timestamp(start).isoformat()
params["to"] = pd.Timestamp(end).isoformat()
else:
params["count"] = min(count, self.MAX_BARS_PER_REQUEST)
try:
resp = self._session.get(url, params=params, timeout=30)
except requests.RequestException as e:
raise OandaDataError(
f"Oanda candle fetch failed for {instrument}: {e}") from e
if resp.status_code != 200:
raise OandaDataError(
f"Oanda candle fetch failed for {instrument}: "
f"HTTP {resp.status_code}: {resp.text[:300]}")
try:
data = resp.json()
except ValueError as e:
raise OandaDataError(
f"Oanda candle response for {instrument} is not valid "
f"JSON: {e}") from e
candles = data.get("candles", [])
if not candles:
raise OandaDataError(
f"Empty candle response from Oanda for {instrument}")
rows = []
last_bid_close = None
last_ask_close = None
for c in candles:
if not c.get("complete", False):
continue
mid = c.get("mid", {})
bid = c.get("bid", {})
ask = c.get("ask", {})
rows.append({
"Datetime": pd.Timestamp(c["time"]).tz_convert("UTC"),
"Open": float(mid.get("o", 0)),
"High": float(mid.get("h", 0)),
"Low": float(mid.get("l", 0)),
"Close": float(mid.get("c", 0)),
"Volume": int(c.get("volume", 0)),
})
if bid and ask:
last_bid_close = float(bid.get("c", 0))
last_ask_close = float(ask.get("c", 0))
if not rows:
raise OandaDataError(
f"No complete candles from Oanda for {instrument}")
if last_bid_close and last_ask_close:
self._spread_cache[symbol] = round(
last_ask_close - last_bid_close, 4)
df = pd.DataFrame(rows)
df = df.set_index("Datetime")
df = df.sort_index()
if df.index.tz is None:
df.index = df.index.tz_localize("UTC")
df.index.name = "Datetime"
for col in ("Open", "High", "Low", "Close"):
df[col] = pd.to_numeric(df[col], errors="coerce")
df["Volume"] = pd.to_numeric(df["Volume"], errors="coerce").fillna(0).astype(float)
logger.debug(
"Fetched %d bars for %s @ %s from Oanda",
len(df), instrument, granularity)
return df
providers/tiingo.py
+200
View File
@@ -0,0 +1,200 @@
"""
ForexBot2 — Tiingo data provider
=================================
OHLCV candles from Tiingo's FX endpoint
(`/tiingo/fx/{ticker}/prices`, resampled mid-price bars, no volume).
All shared behavior (cache, validation, boundary guarantees, range
pagination) lives in `BaseDataProvider`; this module only maps
symbols/resample frequencies, sizes the request window, and parses
Tiingo's JSON into the normalized frame.
Every failure mode raises `TiingoDataError` (a `DataIntegrityError`)
with a specific message — the scan loops log it and carry on; nothing
fails silently. NOTE: this is the CANDLE feed only. Tiingo's free
`/tiingo/fx/top` quote endpoint publishes indicative two-tier spreads
and must not be used for spread display (removed 2026-07-23) —
`get_spread` deliberately stays on the base-class default.
"""
import logging
from datetime import datetime
from typing import Optional
import pandas as pd
import requests
from app_config import provider_api_key
from config import PlatformConfig, Timeframe
from providers.base import BaseDataProvider, DataIntegrityError
logger = logging.getLogger(__name__)
class TiingoDataError(DataIntegrityError):
"""Raised when a Tiingo data fetch fails or returns invalid data."""
class TiingoDataProvider(BaseDataProvider):
"""Tiingo FX REST candle provider."""
name = "tiingo"
DATA_ERROR = TiingoDataError
BASE_URL = "https://api.tiingo.com"
TIINGO_RESAMPLE = {
Timeframe.M1: "1min",
Timeframe.M5: "5min",
Timeframe.M15: "15min",
Timeframe.M30: "30min",
Timeframe.H1: "1hour",
Timeframe.H4: "4hour",
Timeframe.D1: "1day",
# W1 intentionally unmapped: the FX endpoint has no weekly
# resample — requesting it raises loudly instead of guessing.
}
TIINGO_TICKER = {
"XAU/USD": "xauusd",
}
# Window padding over the theoretical bar span: FX is closed ~2/7 of
# the week (Fri 22:00 → Sun 22:00 UTC), so a calendar window must be
# wider than `bars × candle_seconds` to yield the requested count.
WINDOW_PAD_FACTOR = 1.6
def __init__(self, config: PlatformConfig, api_key: Optional[str] = None):
super().__init__(config)
# Credentials default to env TIINGO_API_KEY → config.json
# data_providers.tiingo.api_key, so the provider registry can
# build this class with config only.
if api_key is None:
api_key = provider_api_key(provider="tiingo")
self._api_key = api_key or None
if self._api_key is None:
logger.warning(
"Tiingo provider built WITHOUT an API key — every fetch "
"will fail with a named error. Set the TIINGO_API_KEY env "
"var or data_providers.tiingo.api_key in config.json.")
self._session = requests.Session()
self._session.headers.update({
"Content-Type": "application/json",
# Header auth keeps the key out of URLs (and out of logs).
"Authorization": f"Token {api_key}" if api_key else "",
})
def _to_tiingo_ticker(self, symbol: str) -> str:
if symbol in self.TIINGO_TICKER:
return self.TIINGO_TICKER[symbol]
return symbol.replace("/", "").replace("=X", "").lower()
# ── Raw fetch ──────────────────────────────────────────────────
def _fetch_raw(
self,
symbol: str,
timeframe: Timeframe,
outputsize: int,
start: Optional[datetime] = None,
end: Optional[datetime] = None,
) -> pd.DataFrame:
if self._api_key is None:
raise TiingoDataError(
"No Tiingo API key. Set the TIINGO_API_KEY env var or "
"data_providers.tiingo.api_key in config.json.")
resample = self.TIINGO_RESAMPLE.get(timeframe)
if resample is None:
raise TiingoDataError(
f"Unsupported timeframe {timeframe} for Tiingo "
f"(no FX resample frequency)")
ticker = self._to_tiingo_ticker(symbol)
# Tiingo takes date windows, not bar counts: derive the start
# from the requested count for live fetches.
if start is None:
span = self.CANDLE_SECONDS[timeframe] * (outputsize + 10)
start_ts = (pd.Timestamp.now(tz="UTC")
- pd.Timedelta(seconds=span * self.WINDOW_PAD_FACTOR))
else:
start_ts = pd.Timestamp(start)
params = {
"resampleFreq": resample,
"startDate": start_ts.strftime("%Y-%m-%dT%H:%M:%S"),
}
if end is not None:
params["endDate"] = pd.Timestamp(end).strftime("%Y-%m-%dT%H:%M:%S")
url = f"{self.BASE_URL}/tiingo/fx/{ticker}/prices"
try:
resp = self._session.get(url, params=params, timeout=30)
except requests.RequestException as e:
raise TiingoDataError(
f"Tiingo candle fetch failed for {ticker}: {e}") from e
if resp.status_code == 429:
raise TiingoDataError(
f"Tiingo rate limit hit for {ticker} (HTTP 429) — "
f"plan quota exhausted; scan will retry next boundary")
if resp.status_code in (401, 403):
raise TiingoDataError(
f"Tiingo auth failed for {ticker} (HTTP {resp.status_code}) "
f"— check TIINGO_API_KEY / config.json api_key")
if resp.status_code != 200:
raise TiingoDataError(
f"Tiingo candle fetch failed for {ticker}: "
f"HTTP {resp.status_code}: {resp.text[:300]}")
try:
data = resp.json()
except ValueError as e:
raise TiingoDataError(
f"Tiingo candle response for {ticker} is not valid "
f"JSON: {e}") from e
if not isinstance(data, list) or not data:
raise TiingoDataError(
f"Empty candle response from Tiingo for {ticker} "
f"(window {params['startDate']} → "
f"{params.get('endDate', 'now')}; check ticker and plan "
f"history limits)")
rows = []
for item in data:
if "date" not in item:
raise TiingoDataError(
f"Malformed Tiingo candle for {ticker}: missing "
f"'date' in {str(item)[:120]}")
rows.append({
"Datetime": pd.Timestamp(item["date"]),
"Open": item.get("open"),
"High": item.get("high"),
"Low": item.get("low"),
"Close": item.get("close"),
# FX endpoint has no volume; 0.0 keeps the engine contract.
"Volume": 0.0,
})
df = pd.DataFrame(rows)
df = df.set_index("Datetime")
df = df.sort_index()
if df.index.tz is None:
df.index = df.index.tz_localize("UTC")
else:
df.index = df.index.tz_convert("UTC")
df.index.name = "Datetime"
for col in ("Open", "High", "Low", "Close"):
df[col] = pd.to_numeric(df[col], errors="coerce")
if df["Close"].isna().all():
raise TiingoDataError(
f"Tiingo response for {ticker} has no numeric closes — "
f"feed format changed?")
logger.debug(
"Fetched %d bars for %s @ %s from Tiingo",
len(df), ticker, resample)
return df
providers/twelve_data.py
+238
View File
@@ -0,0 +1,238 @@
"""
ForexBot2 — Twelve Data provider
=================================
OHLCV via the official `twelvedata` SDK plus streaming quotes over the
Twelve Data WebSocket. All shared behavior (cache, validation, boundary
guarantees, range pagination) lives in `BaseDataProvider`.
"""
import asyncio
import json
import logging
import threading
import time
from collections import deque
from datetime import datetime
from typing import AsyncIterator, Callable, Optional, Sequence, Tuple
import pandas as pd
from twelvedata import TDClient
from app_config import provider_api_key
from config import PAIR_INFO, PlatformConfig, Timeframe
from providers.base import BaseDataProvider, DataIntegrityError
logger = logging.getLogger(__name__)
class TwelveDataProvider(BaseDataProvider):
"""Twelve Data SDK client with credit throttling and WS quotes."""
name = "twelve_data"
TD_INTERVALS = {
Timeframe.M1: "1min",
Timeframe.M5: "5min",
Timeframe.M15: "15min",
Timeframe.M30: "30min",
Timeframe.H1: "1h",
Timeframe.H4: "4h",
Timeframe.D1: "1day",
Timeframe.W1: "1week",
}
RATE_LIMIT = 55
RATE_WINDOW = 60.0
WS_URL = "wss://ws.twelvedata.com/v1/quotes/price?apikey={api_key}"
def __init__(self, config: PlatformConfig):
super().__init__(config)
self._api_key = provider_api_key(provider="twelve_data") or None
self._throttle_lock = threading.Lock()
self._request_times: deque = deque()
self._td: Optional[TDClient] = (
TDClient(apikey=self._api_key) if self._api_key else None
)
@staticmethod
def _to_td_symbol(symbol: str) -> str:
if "/" in symbol:
return symbol
clean = symbol.replace("=X", "")
return f"{clean[:3]}/{clean[3:]}"
# ── Raw fetch ──────────────────────────────────────────────────
def _fetch_raw(
self,
symbol: str,
timeframe: Timeframe,
outputsize: int,
start: Optional[datetime] = None,
end: Optional[datetime] = None,
) -> pd.DataFrame:
return self._fetch_twelve_data(
symbol, timeframe, outputsize,
start_date=start.strftime("%Y-%m-%d %H:%M:%S") if start else None,
end_date=end.strftime("%Y-%m-%d %H:%M:%S") if end else None,
)
def _throttle(self, credits: int = 1) -> None:
"""Pro tier: 55 credits / minute. Block until budget allows."""
while True:
with self._throttle_lock:
now = time.time()
while self._request_times and now - self._request_times[0] >= self.RATE_WINDOW:
self._request_times.popleft()
available = self.RATE_LIMIT - len(self._request_times)
if available >= credits:
for _ in range(credits):
self._request_times.append(time.time())
return
used = len(self._request_times)
wait = (self._request_times[0] + self.RATE_WINDOW) - now + 0.2
logger.info(
f"Rate limit: {used}/{self.RATE_LIMIT} credits used "
f"— waiting {wait:.1f}s..."
)
time.sleep(wait)
def _fetch_twelve_data(
self,
symbol: str,
timeframe: Timeframe,
outputsize: int,
start_date: Optional[str] = None,
end_date: Optional[str] = None,
) -> pd.DataFrame:
if self._td is None:
raise DataIntegrityError(
"No data-provider API key. Set the TWELVE_DATA_API_KEY env "
"var or data_providers.twelve_data.api_key in config.json."
)
td_symbol = self._to_td_symbol(symbol)
interval = self.TD_INTERVALS[timeframe]
self._throttle(credits=1)
kwargs = {
"symbol": td_symbol,
"interval": interval,
"outputsize": min(outputsize, self.MAX_BARS_PER_REQUEST),
"timezone": "UTC",
}
if start_date:
kwargs["start_date"] = start_date
if end_date:
kwargs["end_date"] = end_date
try:
df = self._td.time_series(**kwargs).as_pandas()
except Exception as e:
raise DataIntegrityError(
f"Twelve Data fetch failed for {td_symbol}: {e}"
) from e
if df is None or df.empty:
raise DataIntegrityError(f"Empty response from Twelve Data for {td_symbol}")
# SDK returns lowercase columns; engine expects capitalised.
df = df.rename(columns={
"open": "Open", "high": "High", "low": "Low",
"close": "Close", "volume": "Volume",
})
for col in ("Open", "High", "Low", "Close", "Volume"):
if col in df.columns:
df[col] = pd.to_numeric(df[col], errors="coerce")
if "Volume" not in df.columns:
df["Volume"] = 0.0
# SDK returns newest-first; engine + indicators want oldest-first.
df = df.sort_index()
if df.index.tz is None:
df.index = df.index.tz_localize("UTC")
df.index.name = "Datetime"
logger.debug(f"Fetched {len(df)} bars for {td_symbol} @ {interval}")
return df
# ── Streaming quotes ───────────────────────────────────────────
supports_streaming = True
@staticmethod
def _parse_ws_price(raw: str) -> Optional[Tuple[str, float]]:
"""Parse one WS message; return (ws_symbol, price) for price
events, None for everything else (logged where noteworthy)."""
try:
msg = json.loads(raw)
except json.JSONDecodeError:
logger.warning("WebSocket: malformed JSON, skipping")
return None
event = msg.get("event")
if event == "subscribe-status":
fails = msg.get("fails") or []
if fails:
logger.warning(f"WebSocket: failed to subscribe: {fails}")
return None
if event != "price":
return None
ws_symbol = msg.get("symbol")
try:
price = float(msg["price"])
except (KeyError, ValueError, TypeError) as e:
logger.warning(f"WebSocket: bad price data for {ws_symbol}: {e}")
return None
return ws_symbol, price
@staticmethod
async def _ws_heartbeat(ws) -> None:
"""Twelve Data drops idle WS connections; heartbeat every 10s keeps
it alive through quiet periods (weekends, low-liquidity hours)."""
while True:
await asyncio.sleep(10)
await ws.send(json.dumps({"action": "heartbeat"}))
async def iter_ticks(
self,
symbols: Sequence[str],
on_connect: Optional[Callable[[], None]] = None,
) -> AsyncIterator[Tuple[str, float]]:
"""One connection's lifetime of (canonical_symbol, price) ticks.
The TD WS speaks display symbols ("XAU/USD"); ticks are mapped back
to the canonical pair symbols passed in. The caller owns the
reconnect/backoff loop around this generator.
"""
import websockets
ws_to_pair = {PAIR_INFO[s]["display"]: s for s in symbols}
url = self.WS_URL.format(api_key=self._api_key or "")
async with websockets.connect(url) as ws:
subscribe = {
"action": "subscribe",
"params": {"symbols": ",".join(ws_to_pair)},
}
await ws.send(json.dumps(subscribe))
logger.info(f"WebSocket connected, subscribed to {len(ws_to_pair)} symbols")
if on_connect is not None:
on_connect()
hb_task = asyncio.create_task(self._ws_heartbeat(ws))
try:
async for raw in ws:
parsed = self._parse_ws_price(raw)
if parsed is None:
continue
pair_symbol = ws_to_pair.get(parsed[0])
if pair_symbol is None:
continue
yield pair_symbol, parsed[1]
finally:
hb_task.cancel()
signal_aggregator.py
+5 -5
View File
@@ -15,7 +15,7 @@ import pandas as pd
from chart_patterns import detect_chart_pattern from chart_patterns import detect_chart_pattern
from config import PlatformConfig, SignalStrength, Timeframe from config import PlatformConfig, SignalStrength, Timeframe
from data_provider import ForexDataProvider, make_data_provider from providers import BaseDataProvider, make_data_provider
from engine import TechnicalEngine, TechnicalAnalysis from engine import TechnicalEngine, TechnicalAnalysis
from news_engine import NewsEngine, FundamentalContext from news_engine import NewsEngine, FundamentalContext
@@ -180,7 +180,7 @@ class SignalAggregator:
try: try:
df = self.data_provider.fetch_ohlcv(symbol, tf) df = self.data_provider.fetch_ohlcv(symbol, tf)
dfs[tf] = df dfs[tf] = df
if not self.data_provider._is_data_fresh(df, symbol, tf): if not self.data_provider.is_data_fresh(df, symbol, tf):
stale_tfs.append(tf.value) stale_tfs.append(tf.value)
except Exception as e: except Exception as e:
logger.warning(f"Fetch failed for {symbol} {tf.value}: {e}") logger.warning(f"Fetch failed for {symbol} {tf.value}: {e}")
@@ -214,7 +214,7 @@ class SignalAggregator:
bar_close = ( bar_close = (
pd.Timestamp(report.timestamp) pd.Timestamp(report.timestamp)
+ pd.Timedelta( + pd.Timedelta(
seconds=ForexDataProvider.CANDLE_SECONDS[ seconds=BaseDataProvider.CANDLE_SECONDS[
self.config.primary_timeframe self.config.primary_timeframe
] ]
) )
@@ -637,7 +637,7 @@ class SignalAggregator:
close_h = ( close_h = (
pd.Timestamp(report.timestamp) pd.Timestamp(report.timestamp)
+ pd.Timedelta( + pd.Timedelta(
seconds=ForexDataProvider.CANDLE_SECONDS[ seconds=BaseDataProvider.CANDLE_SECONDS[
self.config.primary_timeframe self.config.primary_timeframe
] ]
) )
@@ -939,7 +939,7 @@ class SignalAggregator:
close_h = ( close_h = (
pd.Timestamp(report.timestamp) pd.Timestamp(report.timestamp)
+ pd.Timedelta( + pd.Timedelta(
seconds=ForexDataProvider.CANDLE_SECONDS[ seconds=BaseDataProvider.CANDLE_SECONDS[
self.config.primary_timeframe self.config.primary_timeframe
] ]
) )
telegram_bot.py
+34 -75
View File
@@ -38,7 +38,6 @@ Usage:
import asyncio import asyncio
import functools import functools
import json
import logging import logging
import logging.handlers import logging.handlers
import os import os
@@ -49,8 +48,6 @@ from concurrent.futures import ThreadPoolExecutor
from datetime import datetime, timezone from datetime import datetime, timezone
from typing import Dict, List, Optional, Set from typing import Dict, List, Optional, Set
import websockets
from telegram import InlineKeyboardButton, InlineKeyboardMarkup, Update from telegram import InlineKeyboardButton, InlineKeyboardMarkup, Update
from telegram.constants import ParseMode from telegram.constants import ParseMode
from telegram.error import BadRequest from telegram.error import BadRequest
@@ -66,10 +63,10 @@ from config import (
XAUUSD, PAIR_INFO, XAUUSD, PAIR_INFO,
) )
from app_config import ( from app_config import (
get_app_config, provider_api_key, telegram_token, telegram_chat_id, get_app_config, telegram_token, telegram_chat_id,
telegram_channel_id, telegram_channel_id,
) )
from data_provider import ForexDataProvider, make_data_provider from providers import BaseDataProvider, make_data_provider
from pair_signals import PAIR_PRODUCERS from pair_signals import PAIR_PRODUCERS
from signal_aggregator import SignalAggregator, SignalReport from signal_aggregator import SignalAggregator, SignalReport
@@ -127,9 +124,6 @@ SCAN_PAIRS = list(_APP.scan_pairs)
_PAIRS_LABEL = " + ".join(PAIR_INFO[p]["display"] for p in SCAN_PAIRS) _PAIRS_LABEL = " + ".join(PAIR_INFO[p]["display"] for p in SCAN_PAIRS)
_WS_TO_PAIR = {PAIR_INFO[p]["display"]: p for p in SCAN_PAIRS}
_WS_SYMBOLS = list(_WS_TO_PAIR.keys())
_LEVEL_KEYS = ( _LEVEL_KEYS = (
"swing_high_1", "swing_high_2", "swing_high_3", "swing_high_1", "swing_high_2", "swing_high_3",
"swing_low_1", "swing_low_2", "swing_low_3", "swing_low_1", "swing_low_2", "swing_low_3",
@@ -199,10 +193,10 @@ def _fmt_price(price: float) -> str:
# ── Shared data provider (single cache across all scans) ───────────── # ── Shared data provider (single cache across all scans) ─────────────
_shared_dp: Optional[ForexDataProvider] = None _shared_dp: Optional[BaseDataProvider] = None
def _get_shared_dp() -> ForexDataProvider: def _get_shared_dp() -> BaseDataProvider:
global _shared_dp global _shared_dp
if _shared_dp is None: if _shared_dp is None:
_shared_dp = make_data_provider(PlatformConfig()) _shared_dp = make_data_provider(PlatformConfig())
@@ -663,8 +657,6 @@ _last_price_ts: Dict[str, float] = {}
_scan_cooldowns: Dict[str, float] = {} _scan_cooldowns: Dict[str, float] = {}
_cfg = PlatformConfig() _cfg = PlatformConfig()
_WS_API_KEY = provider_api_key()
_WS_URL = f"wss://ws.twelvedata.com/v1/quotes/price?apikey={_WS_API_KEY}"
_WS_COOLDOWN = _cfg.ws_cooldown_seconds _WS_COOLDOWN = _cfg.ws_cooldown_seconds
_breach_tasks: Set[asyncio.Task] = set() _breach_tasks: Set[asyncio.Task] = set()
@@ -710,13 +702,13 @@ def _cleanup_cooldowns() -> None:
del _scan_cooldowns[k] del _scan_cooldowns[k]
async def _handle_breach(bot, ws_symbol: str, pair_symbol: str, price: float, level_name: str) -> None: async def _handle_breach(bot, pair_symbol: str, price: float, level_name: str) -> None:
now = time.time() now = time.time()
if now - _scan_cooldowns.get(pair_symbol, 0) < _WS_COOLDOWN: if now - _scan_cooldowns.get(pair_symbol, 0) < _WS_COOLDOWN:
return return
_scan_cooldowns[pair_symbol] = now _scan_cooldowns[pair_symbol] = now
display = PAIR_INFO.get(pair_symbol, {}).get("display", ws_symbol) display = PAIR_INFO.get(pair_symbol, {}).get("display", pair_symbol)
label = level_name.replace("_", " ").title() label = level_name.replace("_", " ").title()
logger.info(f"Level breach: {display} crossed {label} at {price} — rescanning M15") logger.info(f"Level breach: {display} crossed {label} at {price} — rescanning M15")
@@ -759,71 +751,41 @@ def _breach_task_done(task: asyncio.Task) -> None:
logger.error("Breach alert task failed", exc_info=task.exception()) logger.error("Breach alert task failed", exc_info=task.exception())
async def _ws_heartbeat(ws) -> None:
"""Twelve Data drops idle WS connections; heartbeat every 10s keeps it
alive through quiet periods (weekends, low-liquidity hours)."""
while True:
await asyncio.sleep(10)
await ws.send(json.dumps({"action": "heartbeat"}))
async def _ws_monitor(bot) -> None: async def _ws_monitor(bot) -> None:
"""Level-breach tick monitor. The provider owns the connection and
protocol (`iter_ticks`); this loop owns reconnect/backoff and breach
dispatch. Providers without streaming quotes simply disable it."""
dp = _get_shared_dp()
if not dp.supports_streaming:
logger.info(
"Data provider %r has no streaming quotes — "
"level-breach monitor disabled", dp.name)
return
backoff = 1 backoff = 1
while _feed_active(): while _feed_active():
hb_task: Optional[asyncio.Task] = None
try: try:
async with websockets.connect(_WS_URL) as ws: def _on_connect() -> None:
subscribe = { nonlocal backoff
"action": "subscribe",
"params": {"symbols": ",".join(_WS_SYMBOLS)},
}
await ws.send(json.dumps(subscribe))
logger.info(f"WebSocket connected, subscribed to {len(_WS_SYMBOLS)} symbols")
backoff = 1 backoff = 1
hb_task = asyncio.create_task(_ws_heartbeat(ws))
async for raw in ws: async for pair_symbol, price in dp.iter_ticks(
if not _feed_active(): SCAN_PAIRS, on_connect=_on_connect):
break if not _feed_active():
break
try: breached = _check_level_breach(pair_symbol, price)
msg = json.loads(raw) _last_prices[pair_symbol] = price
except json.JSONDecodeError: _last_price_ts[pair_symbol] = time.time()
logger.warning(f"WebSocket: malformed JSON, skipping")
continue
event = msg.get("event") if breached:
if event == "subscribe-status": task = asyncio.create_task(
fails = msg.get("fails") or [] _handle_breach(bot, pair_symbol, price, breached)
if fails: )
logger.warning(f"WebSocket: failed to subscribe: {fails}") _breach_tasks.add(task)
continue task.add_done_callback(_breach_task_done)
if event != "price":
continue
ws_symbol = msg.get("symbol") _cleanup_cooldowns()
pair_symbol = _WS_TO_PAIR.get(ws_symbol)
if not pair_symbol:
continue
try:
price = float(msg["price"])
except (KeyError, ValueError, TypeError) as e:
logger.warning(f"WebSocket: bad price data for {ws_symbol}: {e}")
continue
breached = _check_level_breach(pair_symbol, price)
_last_prices[pair_symbol] = price
_last_price_ts[pair_symbol] = time.time()
if breached:
task = asyncio.create_task(
_handle_breach(bot, ws_symbol, pair_symbol, price, breached)
)
_breach_tasks.add(task)
task.add_done_callback(_breach_task_done)
_cleanup_cooldowns()
except asyncio.CancelledError: except asyncio.CancelledError:
break break
@@ -831,9 +793,6 @@ async def _ws_monitor(bot) -> None:
logger.exception(f"WebSocket error, reconnecting in {backoff}s") logger.exception(f"WebSocket error, reconnecting in {backoff}s")
await asyncio.sleep(backoff) await asyncio.sleep(backoff)
backoff = min(backoff * 2, 60) backoff = min(backoff * 2, 60)
finally:
if hb_task is not None:
hb_task.cancel()
logger.info("WebSocket monitor stopped") logger.info("WebSocket monitor stopped")
@@ -998,9 +957,9 @@ def _status_text() -> str:
if _last_prices: if _last_prices:
lines.append("\n*Live Prices (WebSocket):*") lines.append("\n*Live Prices (WebSocket):*")
for ws_sym, pair in _WS_TO_PAIR.items(): for pair in SCAN_PAIRS:
price = _last_prices.get(pair) price = _last_prices.get(pair)
display = PAIR_INFO.get(pair, {}).get("display", ws_sym) display = PAIR_INFO.get(pair, {}).get("display", pair)
age = time.time() - _last_price_ts.get(pair, 0) age = time.time() - _last_price_ts.get(pair, 0)
if price is None: if price is None:
lines.append(f" {display}: waiting...") lines.append(f" {display}: waiting...")
test_all.py
+334 -6
View File
@@ -1561,7 +1561,6 @@ from telegram_bot import (
_seconds_until_boundary, _check_level_breach, _seconds_until_boundary, _check_level_breach,
scan_keyboard, SCAN_BUTTONS, SCAN_LOOKUP, scan_keyboard, SCAN_BUTTONS, SCAN_LOOKUP,
_update_level_cache, _last_prices, _level_cache, _level_cache_ts, _update_level_cache, _last_prices, _level_cache, _level_cache_ts,
_WS_TO_PAIR,
) )
@@ -1836,12 +1835,16 @@ def _():
_level_cache_ts.clear() _level_cache_ts.clear()
@test("_WS_TO_PAIR mapping covers every scanned pair") @test("streaming symbol mapping covers every scanned pair")
def _(): def _():
# iter_ticks maps the provider's WS symbols (display names) back to
# canonical pair symbols — the mapping must be invertible for every
# scanned pair or ticks would be silently dropped.
from telegram_bot import SCAN_PAIRS from telegram_bot import SCAN_PAIRS
ws_to_pair = {PAIR_INFO[p]["display"]: p for p in SCAN_PAIRS}
for p in SCAN_PAIRS: for p in SCAN_PAIRS:
assert _WS_TO_PAIR[PAIR_INFO[p]["display"]] == p assert ws_to_pair[PAIR_INFO[p]["display"]] == p
assert _WS_TO_PAIR["XAU/USD"] == XAUUSD assert ws_to_pair["XAU/USD"] == XAUUSD
# ══════════════════════════════════════════════════════════════════════ # ══════════════════════════════════════════════════════════════════════
@@ -2290,7 +2293,7 @@ def _():
stale = bars_ending(last_closed - pd.Timedelta(minutes=15)) stale = bars_ending(last_closed - pd.Timedelta(minutes=15))
fresh = bars_ending(last_closed) fresh = bars_ending(last_closed)
key = "XAU/USD_15min" key = "XAU/USD_15min"
with patch("data_provider._is_forex_weekend", return_value=False): with patch("providers.base._is_forex_weekend", return_value=False):
# (a) snapshot cached mid-candle 5 min ago, missing the # (a) snapshot cached mid-candle 5 min ago, missing the
# just-closed bar: TTL says fresh, boundary check must refetch. # just-closed bar: TTL says fresh, boundary check must refetch.
provider._cache[key] = stale provider._cache[key] = stale
@@ -2324,7 +2327,7 @@ def _():
last_closed = started - pd.Timedelta(minutes=15) last_closed = started - pd.Timedelta(minutes=15)
lagging = bars_ending(last_closed - pd.Timedelta(minutes=15)) lagging = bars_ending(last_closed - pd.Timedelta(minutes=15))
complete = bars_ending(last_closed) complete = bars_ending(last_closed)
with patch("data_provider._is_forex_weekend", return_value=False), \ with patch("providers.base._is_forex_weekend", return_value=False), \
patch.object(ForexDataProvider, "FRESH_FETCH_RETRY_SECONDS", 0.0): patch.object(ForexDataProvider, "FRESH_FETCH_RETRY_SECONDS", 0.0):
# (a) lagging first response → one retry returns the closed bar. # (a) lagging first response → one retry returns the closed bar.
with patch.object(provider, "_fetch_twelve_data", with patch.object(provider, "_fetch_twelve_data",
@@ -3963,6 +3966,331 @@ def _():
daemon._heartbeat_once() # must not raise daemon._heartbeat_once() # must not raise
# ══════════════════════════════════════════════════════════════════════
# MODULE 16: Provider abstraction (providers/ package)
# ══════════════════════════════════════════════════════════════════════
print("\n═══ Module 16: Provider abstraction ═══")
from providers import (
BaseDataProvider, PROVIDER_REGISTRY, TwelveDataProvider,
make_data_provider,
)
from providers.oanda import OandaDataProvider as _POanda
from providers.tiingo import TiingoDataError, TiingoDataProvider
@test("providers: registry holds all providers, active default builds TD")
def _():
assert PROVIDER_REGISTRY["twelve_data"] is TwelveDataProvider
assert PROVIDER_REGISTRY["oanda"] is _POanda
assert PROVIDER_REGISTRY["tiingo"] is TiingoDataProvider
dp = make_data_provider(PlatformConfig())
assert isinstance(dp, TwelveDataProvider)
assert isinstance(dp, BaseDataProvider)
@test("providers: single knob — data_providers.active selects the class")
def _():
from app_config import AppConfig
for name, cls in PROVIDER_REGISTRY.items():
fake = AppConfig()
fake.active_provider = name
fake.provider_settings = {name: {"api_key": ""}}
with patch("providers.get_app_config", return_value=fake):
dp = make_data_provider(PlatformConfig())
assert type(dp) is cls, f"active={name} built {type(dp).__name__}"
# An unknown name must fail loudly, not fall back silently.
from app_config import AppConfigError
fake = AppConfig()
fake.active_provider = "nonsense"
with patch("providers.get_app_config", return_value=fake):
try:
make_data_provider(PlatformConfig())
assert False, "unknown provider must raise"
except AppConfigError as e:
assert "nonsense" in str(e)
@test("providers: shared behavior is defined ONCE on the base class")
def _():
# The pre-refactor bug this guards against: Oanda's provider was a
# copy-paste of the TD one, so shared-logic fixes had to be made
# twice. Every shared method must now BE the base implementation.
for meth in ("fetch_ohlcv", "fetch_range", "_validate_and_clean",
"_is_data_fresh", "_has_latest_closed_bar",
"_drop_forming_candle", "clear_cache", "get_pair_info"):
for cls in PROVIDER_REGISTRY.values():
assert getattr(cls, meth) is getattr(BaseDataProvider, meth), \
f"{cls.__name__} overrides shared method {meth}"
assert TwelveDataProvider.CANDLE_SECONDS is BaseDataProvider.CANDLE_SECONDS
assert _POanda.BARS_PER_DAY is BaseDataProvider.BARS_PER_DAY
assert TiingoDataProvider.CANDLE_SECONDS is BaseDataProvider.CANDLE_SECONDS
@test("providers: back-compat shims re-export the real classes")
def _():
import data_provider as dp_shim
import oanda_provider as oa_shim
assert dp_shim.ForexDataProvider is TwelveDataProvider
assert dp_shim.make_data_provider is make_data_provider
assert oa_shim.OandaDataProvider is _POanda
from providers.base import DataIntegrityError as base_die
assert dp_shim.DataIntegrityError is base_die
# Provider-specific errors are catchable as the shared type.
assert issubclass(oa_shim.OandaDataError, base_die)
@test("providers: fetch_range paginates, dedupes, and trims to the window")
def _():
class FakeProvider(BaseDataProvider):
name = "fake"
def __init__(self, config):
super().__init__(config)
idx = pd.date_range("2026-06-01", "2026-06-30 23:00",
freq="1h", tz="UTC")
v = np.linspace(3000.0, 3100.0, len(idx))
self.series = pd.DataFrame(
{"Open": v, "High": v + 1, "Low": v - 1,
"Close": v, "Volume": 100.0}, index=idx)
self.series.index.name = "Datetime"
self.calls = 0
def _fetch_raw(self, symbol, timeframe, outputsize,
start=None, end=None):
self.calls += 1
df = self.series
if start is not None:
df = df[df.index >= pd.Timestamp(start)]
if end is not None:
df = df[df.index <= pd.Timestamp(end)]
# Overlap by a bar to prove concat dedupes.
return df.tail(min(len(df), 200))
# Keep the test date-stable: nothing here is "forming".
def _drop_forming_candle(self, df, timeframe):
return df
fp = FakeProvider(PlatformConfig())
start = datetime(2026, 6, 5, tzinfo=timezone.utc)
end = datetime(2026, 6, 25, tzinfo=timezone.utc)
df = fp.fetch_range("XAU/USD", Timeframe.H1, start, end)
assert fp.calls > 1, "a 20-day H1 window must take multiple chunks"
assert df.index.is_monotonic_increasing
assert not df.index.duplicated().any()
assert df.index[0] >= pd.Timestamp(start)
assert df.index[-1] <= pd.Timestamp(end)
expected = fp.series[(fp.series.index >= pd.Timestamp(start))
& (fp.series.index <= pd.Timestamp(end))]
assert len(df) == len(expected), \
f"window must be gapless: {len(df)} vs {len(expected)}"
@test("providers: streaming capability flags and base refusal")
def _():
assert TwelveDataProvider.supports_streaming is True
assert _POanda.supports_streaming is False
assert TiingoDataProvider.supports_streaming is False
class Minimal(BaseDataProvider):
name = "minimal"
def _fetch_raw(self, symbol, timeframe, outputsize,
start=None, end=None):
raise NotImplementedError
m = Minimal(PlatformConfig())
assert m.supports_streaming is False
try:
m.iter_ticks(["XAU/USD"])
assert False, "base iter_ticks must refuse"
except NotImplementedError:
pass
@test("providers: TD WS price-message parsing")
def _():
parse = TwelveDataProvider._parse_ws_price
assert parse('{"event":"price","symbol":"XAU/USD","price":"3345.5"}') \
== ("XAU/USD", 3345.5)
assert parse('{"event":"subscribe-status","fails":[]}') is None
assert parse('{"event":"heartbeat"}') is None
assert parse('not json{{') is None
assert parse('{"event":"price","symbol":"XAU/USD"}') is None # no price
assert parse('{"event":"price","symbol":"XAU/USD","price":"abc"}') is None
@test("providers: Oanda date-window fetch omits count and sends from/to")
def _():
captured = {}
def mock_get(self, url, params=None, timeout=None):
captured["params"] = params
return type("R", (), {
"status_code": 200,
"json": lambda self: {"candles": [{
"complete": True,
"time": "2026-06-02T10:00:00.000000000Z",
"mid": {"o": "3000", "h": "3001", "l": "2999", "c": "3000.5"},
"bid": {"c": "3000.2"}, "ask": {"c": "3000.8"},
"volume": 10,
}]},
})()
provider = _POanda.__new__(_POanda)
provider.config = PlatformConfig()
provider._base_url = "https://test"
provider._spread_cache = {}
provider._session = type("S", (), {"get": mock_get})()
start = datetime(2026, 6, 1, tzinfo=timezone.utc)
end = datetime(2026, 6, 3, tzinfo=timezone.utc)
df = provider._fetch_raw("XAU/USD", Timeframe.H1, 5000, start, end)
assert "count" not in captured["params"], \
"v20 rejects count combined with from/to"
assert captured["params"]["from"].startswith("2026-06-01")
assert captured["params"]["to"].startswith("2026-06-03")
assert len(df) == 1
# Live path (no window) keeps sending count only.
provider._fetch_raw("XAU/USD", Timeframe.H1, 300)
assert captured["params"]["count"] == 300
assert "from" not in captured["params"]
def _tiingo_provider(response):
"""TiingoDataProvider with a canned session response (no network)."""
provider = TiingoDataProvider.__new__(TiingoDataProvider)
provider.config = PlatformConfig()
provider._api_key = "test-key"
provider._spread_cache = {}
captured = {}
def mock_get(self, url, params=None, timeout=None):
captured["url"] = url
captured["params"] = params
return response
provider._session = type("S", (), {"get": mock_get})()
return provider, captured
def _tiingo_resp(status_code, payload):
return type("R", (), {
"status_code": status_code,
"json": lambda self: payload,
"text": json.dumps(payload) if not isinstance(payload, str) else payload,
})()
@test("providers: Tiingo parses FX JSON into the normalized frame")
def _():
payload = [
{"date": "2026-07-20T11:00:00.000Z", "ticker": "xauusd",
"open": 2403.0, "high": 2408.0, "low": 2401.0, "close": 2406.0},
# Deliberately out of order — provider must sort oldest-first.
{"date": "2026-07-20T10:00:00.000Z", "ticker": "xauusd",
"open": 2400.0, "high": 2405.0, "low": 2398.0, "close": 2403.0},
]
provider, captured = _tiingo_provider(_tiingo_resp(200, payload))
df = provider._fetch_raw("XAU/USD", Timeframe.H1, 300)
assert list(df.columns) == ["Open", "High", "Low", "Close", "Volume"]
assert df.index.name == "Datetime"
assert df.index.tz is not None, "Index must be tz-aware UTC"
assert df.index.is_monotonic_increasing, "must be oldest-first"
assert df.iloc[0]["Open"] == 2400.0 and df.iloc[1]["Close"] == 2406.0
assert (df["Volume"] == 0.0).all(), "FX endpoint has no volume"
assert captured["url"].endswith("/tiingo/fx/xauusd/prices")
assert captured["params"]["resampleFreq"] == "1hour"
assert "startDate" in captured["params"], \
"live fetch must derive a start window from the bar count"
assert "token" not in captured["params"], \
"key must travel in the auth header, never the URL"
@test("providers: Tiingo date-window fetch sends startDate AND endDate")
def _():
payload = [{"date": "2026-06-02T10:00:00.000Z",
"open": 1, "high": 2, "low": 0, "close": 1}]
provider, captured = _tiingo_provider(_tiingo_resp(200, payload))
start = datetime(2026, 6, 1, tzinfo=timezone.utc)
end = datetime(2026, 6, 3, tzinfo=timezone.utc)
provider._fetch_raw("XAU/USD", Timeframe.H1, 5000, start, end)
assert captured["params"]["startDate"].startswith("2026-06-01")
assert captured["params"]["endDate"].startswith("2026-06-03")
@test("providers: Tiingo fails LOUDLY on every bad-response shape")
def _():
cases = [
(_tiingo_resp(429, "quota"), "rate limit"),
(_tiingo_resp(401, "denied"), "auth failed"),
(_tiingo_resp(500, "boom"), "HTTP 500"),
(_tiingo_resp(200, []), "Empty candle response"),
(_tiingo_resp(200, [{"open": 1}]), "missing 'date'"),
(_tiingo_resp(200, [{"date": "2026-07-20T10:00:00Z",
"close": "n/a"}]), "no numeric closes"),
]
for resp, needle in cases:
provider, _cap = _tiingo_provider(resp)
try:
provider._fetch_raw("XAU/USD", Timeframe.H1, 300)
assert False, f"must raise for: {needle}"
except TiingoDataError as e:
assert needle.lower() in str(e).lower(), \
f"error must name the cause ({needle}): {e}"
# Missing key and unsupported timeframe are named errors too.
provider, _cap = _tiingo_provider(_tiingo_resp(200, []))
provider._api_key = None
try:
provider._fetch_raw("XAU/USD", Timeframe.H1, 300)
assert False, "missing key must raise"
except TiingoDataError as e:
assert "TIINGO_API_KEY" in str(e)
provider._api_key = "k"
try:
provider._fetch_raw("XAU/USD", Timeframe.W1, 300)
assert False, "unsupported TF must raise"
except TiingoDataError as e:
assert "Unsupported timeframe" in str(e)
# And everything above is catchable as the shared base error.
assert issubclass(TiingoDataError, DataIntegrityError)
@test("providers: per-provider env keys (TIINGO_API_KEY vs TWELVE_DATA_API_KEY)")
def _():
from app_config import AppConfig, provider_api_key
app = AppConfig()
app.active_provider = "tiingo"
app.provider_settings = {"tiingo": {"api_key": "json-tiingo"},
"twelve_data": {"api_key": "json-td"}}
with patch.dict(os.environ, {"TIINGO_API_KEY": "env-tiingo",
"TWELVE_DATA_API_KEY": "env-td"}):
assert provider_api_key(app) == "env-tiingo"
assert provider_api_key(app, provider="twelve_data") == "env-td"
with patch.dict(os.environ, {}, clear=False):
os.environ.pop("TIINGO_API_KEY", None)
assert provider_api_key(app) == "json-tiingo"
# The TD env var must never leak into another provider's key.
with patch.dict(os.environ, {"TWELVE_DATA_API_KEY": "env-td"}):
assert provider_api_key(app, provider="tiingo") == "json-tiingo"
@test("providers: aggregator bar-close clock uses the base-class table")
def _():
# signal_aggregator computes bar-CLOSE hours (session filter, SELL
# hour gate) from BaseDataProvider.CANDLE_SECONDS — a provider swap
# must never change the session clock.
import signal_aggregator as sa
assert sa.BaseDataProvider.CANDLE_SECONDS[Timeframe.M15] == 900
assert not hasattr(sa, "ForexDataProvider"), \
"aggregator must not depend on a concrete provider class"
# ══════════════════════════════════════════════════════════════════════ # ══════════════════════════════════════════════════════════════════════
# SUMMARY # SUMMARY
# ══════════════════════════════════════════════════════════════════════ # ══════════════════════════════════════════════════════════════════════