ForexBot2/providers/tiingo.py

"""
ForexBot2 — Tiingo data provider
=================================
OHLCV candles from Tiingo's FX endpoint
(`/tiingo/fx/{ticker}/prices`, resampled mid-price bars, no volume).
Tiingo is streaming-only in production: its REST candles remain available
for comparison research, but it is not a designated candle fallback.
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: candles and mid-price ticks 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, and the
WebSocket stream (`iter_ticks`) exposes the mid price only, never
bid/ask or a derived spread.
"""

import json
import logging
from datetime import datetime
from typing import AsyncIterator, Callable, Optional, Sequence, Tuple

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 17:00 → Sun 18:00 New York; see providers/base.py), 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:
        try:
            return self.TIINGO_TICKER[symbol]
        except KeyError:
            raise TiingoDataError(
                f"Unsupported symbol {symbol!r} for Tiingo") from None

    # ── 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

    # ── Streaming quotes ───────────────────────────────────────────

    supports_streaming = True

    WS_URL = "wss://api.tiingo.com/fx"

    @staticmethod
    def _parse_ws_message(raw: str) -> Optional[Tuple[str, float]]:
        """Parse one WS message; return (tiingo_ticker, mid_price) for
        quote updates, None for heartbeats ("H"), subscription acks
        ("I"), malformed JSON, or quotes without a usable price.

        Server error messages ("E", e.g. bad token) RAISE TiingoDataError:
        Tiingo authenticates inside the socket via the subscribe message,
        so an auth failure arrives as a data message followed by a clean
        close — swallowing it would make the caller's reconnect loop
        hammer the endpoint with no backoff (backoff only grows on
        exceptions).
        """
        try:
            msg = json.loads(raw)
        except json.JSONDecodeError:
            logger.warning("Tiingo WS: malformed JSON, skipping")
            return None

        mtype = msg.get("messageType")
        if mtype == "H":
            return None
        if mtype == "I":
            logger.info("Tiingo WS: subscription acknowledged")
            return None
        if mtype == "E":
            raise TiingoDataError(
                f"Tiingo WS server error: {str(msg.get('response'))[:200]}")
        if mtype != "A":
            return None

        data = msg.get("data")
        if not isinstance(data, list) or len(data) < 8 or data[0] != "Q":
            return None
        # Live-verified field order (2026-08-03): ["Q", ticker, timestamp,
        # bidSize, bid, mid, askSize, ask] — ask is index 7, NOT 6 as the
        # docs' table suggests (index 6 is askSize).
        ticker = data[1]
        bid, mid, ask = data[4], data[5], data[7]
        if mid is None and bid is not None and ask is not None:
            mid = (bid + ask) / 2
        try:
            return ticker, float(mid)
        except (TypeError, ValueError):
            logger.warning("Tiingo WS: quote for %s has no usable price",
                           ticker)
            return None

    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, mid) ticks.

        The caller owns the reconnect/backoff loop around this generator.
        Divergences from the Twelve Data reference implementation, both
        deliberate: `on_connect` fires on the FIRST RECEIVED message (the
        "I" ack in practice) rather than after the subscribe send, so a
        rejected token cannot reset the caller's backoff; and there is no
        client heartbeat task — Tiingo sends "H" frames itself and the
        websockets library's built-in ping keepalive detects dead sockets.
        """
        import websockets

        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.")

        ws_to_pair = {self._to_tiingo_ticker(s): s for s in symbols}
        async with websockets.connect(self.WS_URL) as ws:
            await ws.send(json.dumps({
                "eventName": "subscribe",
                "authorization": self._api_key,
                "eventData": {
                    "thresholdLevel": 5,
                    "tickers": sorted(ws_to_pair),
                },
            }))
            logger.info(
                "Tiingo WS connected, subscribing to %d tickers",
                len(ws_to_pair))
            connected = False
            async for raw in ws:
                parsed = self._parse_ws_message(raw)
                if not connected:
                    connected = True
                    if on_connect is not None:
                        on_connect()
                if parsed is None:
                    continue
                pair_symbol = ws_to_pair.get(parsed[0])
                if pair_symbol is None:
                    continue
                yield pair_symbol, parsed[1]