636f0304ae
- Strip multi-pair plumbing; drop synthetic-data fallback - Add BacktestConfig + walk-forward replay through the live signal pipeline - Add metrics module (PF, Sharpe, Sortino, max DD, trade journal) - Add parallel grid optimizer with disk parquet cache - Add H4 ADX regime gate (--regime-filter, --regime-min-adx) — cuts chop losses ~84% in 2023 H1 while preserving trend edge Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
351 lines
12 KiB
Python
351 lines
12 KiB
Python
"""
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ForexBot2 — Data Provider (Twelve Data, USD/JPY only)
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=======================================================
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Fetches and validates OHLCV from Twelve Data. No synthetic fallback —
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if the API fails the caller learns about it. Adds a parquet on-disk
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cache so the backtest worker pool reuses one download instead of
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hammering Twelve Data 27 times during a parameter sweep.
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"""
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import logging
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import os
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import time
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from collections import deque
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from typing import Dict, Optional
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import pandas as pd
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import requests
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from config import PlatformConfig, Timeframe, USDJPY, DISPLAY, PIP_VALUE
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logger = logging.getLogger(__name__)
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class DataIntegrityError(Exception):
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"""Raised when data fails validation checks."""
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pass
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class ForexDataProvider:
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"""Twelve Data REST client + on-disk parquet cache."""
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TD_BASE_URL = "https://api.twelvedata.com"
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TD_INTERVALS = {
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Timeframe.M1: "1min",
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Timeframe.M5: "5min",
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Timeframe.M15: "15min",
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Timeframe.M30: "30min",
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Timeframe.H1: "1h",
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Timeframe.H4: "4h",
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Timeframe.D1: "1day",
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Timeframe.W1: "1week",
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}
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BARS_PER_DAY = {
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Timeframe.M1: 1440,
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Timeframe.M5: 288,
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Timeframe.M15: 96,
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Timeframe.M30: 48,
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Timeframe.H1: 24,
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Timeframe.H4: 6,
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Timeframe.D1: 1,
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Timeframe.W1: 0.143,
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}
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# Free plan: 8 credits / minute
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RATE_LIMIT = 8
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RATE_WINDOW = 60.0
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def __init__(self, config: PlatformConfig):
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self.config = config
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self._api_key = (
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os.environ.get("TWELVE_DATA_API_KEY")
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or config.twelve_data_api_key
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)
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self._cache: Dict[str, pd.DataFrame] = {}
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self._cache_timestamps: Dict[str, float] = {}
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self._request_times: deque = deque()
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self._session = requests.Session()
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self._session.headers.update({
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"User-Agent": "Mozilla/5.0 (compatible; ForexIntel/1.0)"
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})
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@staticmethod
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def _to_td_symbol(symbol: str) -> str:
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clean = symbol.replace("=X", "")
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return f"{clean[:3]}/{clean[3:]}"
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# ── Public API ─────────────────────────────────────────────────
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def fetch_ohlcv(
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self,
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symbol: str = USDJPY,
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timeframe: Timeframe = Timeframe.H1,
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lookback_days: Optional[int] = None,
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) -> pd.DataFrame:
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"""Fetch OHLCV with in-memory caching for live mode."""
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if lookback_days is None:
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lookback_days = self.config.data_lookback_days
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cache_key = f"{symbol}_{timeframe.value}"
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now = time.time()
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if (
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cache_key in self._cache_timestamps
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and (now - self._cache_timestamps[cache_key]) < self.config.refresh_interval
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and cache_key in self._cache
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):
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cached = self._cache.get(cache_key)
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if cached is not None and not cached.empty:
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return cached
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outputsize = max(
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300,
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min(int(lookback_days * self.BARS_PER_DAY[timeframe]) + 20, 5000),
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)
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df = self._fetch_twelve_data(symbol, timeframe, outputsize)
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df = self._validate_and_clean(df, symbol, timeframe)
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self._cache[cache_key] = df
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self._cache_timestamps[cache_key] = now
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return df
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def fetch_full_history(
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self,
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symbol: str = USDJPY,
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timeframe: Timeframe = Timeframe.H1,
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max_bars: int = 5000,
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use_disk_cache: bool = True,
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start_date: Optional[str] = None,
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end_date: Optional[str] = None,
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) -> pd.DataFrame:
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"""
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Pull the largest window Twelve Data allows in one call.
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On-disk parquet cache prevents re-download across worker subprocesses
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during an optimizer sweep.
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"""
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cache_path = self._disk_cache_path(symbol, timeframe, start_date, end_date)
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if use_disk_cache and os.path.exists(cache_path):
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try:
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df = pd.read_parquet(cache_path)
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if df.index.tz is None:
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df.index = df.index.tz_localize("UTC")
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logger.info(
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f"Loaded {len(df)} bars from disk cache: {cache_path}"
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)
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return df
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except Exception as e:
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logger.warning(f"Disk cache read failed ({e}); refetching.")
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outputsize = min(max_bars, 5000)
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df = self._fetch_twelve_data(
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symbol, timeframe, outputsize,
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start_date=start_date, end_date=end_date,
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)
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df = self._validate_and_clean(df, symbol, timeframe)
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if use_disk_cache:
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os.makedirs(os.path.dirname(cache_path), exist_ok=True)
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try:
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df.to_parquet(cache_path)
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logger.info(f"Cached {len(df)} bars → {cache_path}")
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except Exception as e:
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logger.warning(f"Disk cache write failed: {e}")
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return df
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def get_latest_price(self, symbol: str = USDJPY) -> Optional[float]:
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try:
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df = self.fetch_ohlcv(symbol, Timeframe.M5, lookback_days=1)
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if df is not None and not df.empty:
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return float(df["Close"].iloc[-1])
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except Exception:
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pass
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return None
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def get_spread_estimate(self, symbol: str = USDJPY) -> float:
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"""Estimate spread from recent M5 H-L median; fallback to 1 pip on JPY."""
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try:
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df = self.fetch_ohlcv(symbol, Timeframe.M5, lookback_days=1)
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if df is not None and not df.empty:
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return float((df["High"] - df["Low"]).median())
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except Exception:
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pass
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# Fallback: 1 pip = 0.01 for JPY pairs
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return PIP_VALUE
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def get_pair_info(self, symbol: str = USDJPY) -> Dict:
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return {
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"symbol": symbol,
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"display": DISPLAY,
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"pip_value": PIP_VALUE,
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"is_jpy_pair": True,
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}
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# ── Private ────────────────────────────────────────────────────
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def _disk_cache_path(
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self,
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symbol: str,
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timeframe: Timeframe,
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start_date: Optional[str] = None,
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end_date: Optional[str] = None,
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) -> str:
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clean = symbol.replace("=X", "").lower()
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suffix = ""
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if start_date or end_date:
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suffix = f"_{start_date or 'min'}_{end_date or 'max'}"
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return os.path.join(
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self.config.backtest.cache_dir,
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f"{clean}_{timeframe.value}{suffix}.parquet",
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)
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def _throttle(self, credits: int = 1) -> None:
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"""Free tier: 8 credits / minute. Block until budget allows."""
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while True:
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now = time.time()
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while self._request_times and now - self._request_times[0] >= self.RATE_WINDOW:
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self._request_times.popleft()
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available = self.RATE_LIMIT - len(self._request_times)
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if available >= credits:
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for _ in range(credits):
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self._request_times.append(time.time())
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return
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wait = (self._request_times[0] + self.RATE_WINDOW) - now + 0.2
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logger.info(
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f"Rate limit: {len(self._request_times)}/{self.RATE_LIMIT} credits used "
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f"— waiting {wait:.1f}s..."
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)
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time.sleep(wait)
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def _fetch_twelve_data(
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self,
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symbol: str,
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timeframe: Timeframe,
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outputsize: int,
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start_date: Optional[str] = None,
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end_date: Optional[str] = None,
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) -> pd.DataFrame:
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if not self._api_key:
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raise DataIntegrityError(
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"No Twelve Data API key. Set TWELVE_DATA_API_KEY env var "
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"or config.twelve_data_api_key."
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)
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td_symbol = self._to_td_symbol(symbol)
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interval = self.TD_INTERVALS[timeframe]
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self._throttle(credits=1)
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params = {
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"symbol": td_symbol,
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"interval": interval,
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"outputsize": outputsize,
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"apikey": self._api_key,
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"timezone": "UTC",
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"format": "json",
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}
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if start_date:
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params["start_date"] = start_date
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if end_date:
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params["end_date"] = end_date
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resp = self._session.get(
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f"{self.TD_BASE_URL}/time_series",
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params=params,
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timeout=30,
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)
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resp.raise_for_status()
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data = resp.json()
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if data.get("status") == "error":
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raise DataIntegrityError(
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f"Twelve Data error for {td_symbol}: {data.get('message', 'unknown')}"
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)
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values = data.get("values")
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if not values:
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raise DataIntegrityError(f"Empty response from Twelve Data for {td_symbol}")
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records = [
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{
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"Datetime": pd.Timestamp(v["datetime"], tz="UTC"),
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"Open": float(v["open"]),
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"High": float(v["high"]),
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"Low": float(v["low"]),
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"Close": float(v["close"]),
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"Volume": float(v.get("volume") or 0),
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}
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for v in reversed(values)
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]
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df = pd.DataFrame(records).set_index("Datetime")
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df.index.name = "Datetime"
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logger.debug(f"Fetched {len(df)} bars for {td_symbol} @ {interval}")
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return df
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def _validate_and_clean(
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self, df: pd.DataFrame, symbol: str, timeframe: Timeframe
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) -> pd.DataFrame:
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if df is None or df.empty:
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raise DataIntegrityError(f"Empty dataset for {symbol}")
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original_len = len(df)
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df = df.dropna(subset=["Open", "High", "Low", "Close"], how="all")
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df = df.ffill(limit=3)
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df = df.dropna(subset=["Close"])
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now = pd.Timestamp.utcnow()
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future_mask = df.index > now + pd.Timedelta(minutes=5)
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if future_mask.any():
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logger.warning(f"{symbol}: Dropping {future_mask.sum()} future timestamps")
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df = df[~future_mask]
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invalid_ohlc = (
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(df["High"] < df["Low"]) |
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(df["High"] < df["Open"]) |
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(df["High"] < df["Close"]) |
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(df["Low"] > df["Open"]) |
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(df["Low"] > df["Close"])
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)
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if invalid_ohlc.any():
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logger.warning(f"{symbol}: Fixing {invalid_ohlc.sum()} OHLC-inconsistent bars")
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for idx in df[invalid_ohlc].index:
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vals = [df.loc[idx, "Open"], df.loc[idx, "Close"]]
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df.loc[idx, "High"] = max(vals + [df.loc[idx, "High"]])
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df.loc[idx, "Low"] = min(vals + [df.loc[idx, "Low"]])
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returns = df["Close"].pct_change()
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std_ret = returns.std()
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if std_ret > 0:
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outlier_mask = (returns - returns.mean()).abs() > 10 * std_ret
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if outlier_mask.any():
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logger.warning(f"{symbol}: Removing {outlier_mask.sum()} extreme outlier bars")
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df = df[~outlier_mask]
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min_required = max(
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self.config.technical.ema_trend,
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self.config.technical.ichimoku_senkou_b,
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200,
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) + 10
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if len(df) < min_required:
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logger.warning(
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f"{symbol} {timeframe.value}: Only {len(df)} bars "
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f"(need {min_required}). Some indicators will be partial."
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)
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df = df.sort_index()
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df = df[~df.index.duplicated(keep="last")]
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cleaned = original_len - len(df)
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if cleaned > 0:
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logger.info(f"{symbol}: Cleaned {cleaned}/{original_len} bars")
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return df
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