""" ForexBot2 — Data Provider (Twelve Data SDK) ========================================================== Fetches and validates OHLCV via the official `twelvedata` Python SDK. """ import logging import os import time from collections import deque from typing import Dict, Optional import pandas as pd from twelvedata import TDClient from config import PlatformConfig, Timeframe, USDJPY, PAIR_INFO logger = logging.getLogger(__name__) 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 def __init__(self, config: PlatformConfig): self.config = config self._api_key = ( os.environ.get("TWELVE_DATA_API_KEY") or config.twelve_data_api_key ) self._cache: Dict[str, pd.DataFrame] = {} self._cache_timestamps: Dict[str, float] = {} 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 = USDJPY, 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) if ( cache_key in self._cache_timestamps and (now - self._cache_timestamps[cache_key]) < cache_ttl and cache_key in self._cache ): cached = self._cache.get(cache_key) if cached is not None and not cached.empty: if self._is_data_fresh(cached, symbol, timeframe): return cached logger.warning(f"{symbol} {timeframe.value}: cached data is stale, refetching") del self._cache[cache_key] del self._cache_timestamps[cache_key] outputsize = max( 300, min(int(lookback_days * self.BARS_PER_DAY[timeframe]) + 20, 5000), ) df = self._fetch_twelve_data(symbol, timeframe, outputsize) df = self._validate_and_clean(df, symbol, timeframe) 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." ) self._cache[cache_key] = df self._cache_timestamps[cache_key] = now 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 now.weekday() >= 5: 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.""" count = len(self._cache) self._cache.clear() self._cache_timestamps.clear() logger.info(f"Cache cleared: {count} entries wiped") return count def get_latest_price(self, symbol: str = USDJPY) -> Optional[float]: try: df = self.fetch_ohlcv(symbol, Timeframe.M5, lookback_days=1) if df is not None and not df.empty: return float(df["Close"].iloc[-1]) except Exception: pass return None def get_spread_estimate(self, symbol: str = USDJPY) -> float: try: df = self.fetch_ohlcv(symbol, Timeframe.M5, lookback_days=1) if df is not None and not df.empty: return float((df["High"] - df["Low"]).median()) except Exception: pass info = PAIR_INFO.get(symbol, PAIR_INFO[USDJPY]) return info["pip_value"] def get_pair_info(self, symbol: str = USDJPY) -> Dict: info = PAIR_INFO.get(symbol, PAIR_INFO[USDJPY]) return {"symbol": symbol, **info} # ── Private ──────────────────────────────────────────────────── def _throttle(self, credits: int = 1) -> None: """Pro tier: 55 credits / minute. Block until budget allows.""" while True: 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 wait = (self._request_times[0] + self.RATE_WINDOW) - now + 0.2 logger.info( f"Rate limit: {len(self._request_times)}/{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 Twelve Data API key. Set TWELVE_DATA_API_KEY env var " "or config.twelve_data_api_key." ) 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"]) 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: outlier_mask = (returns - returns.mean()).abs() > 10 * std_ret 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." ) df = df.sort_index() df = df[~df.index.duplicated(keep="last")] cleaned = original_len - len(df) if cleaned > 0: logger.info(f"{symbol}: Cleaned {cleaned}/{original_len} bars") return df