Harwinder Sekhon
8521ab909a
Three display/warning-only upgrades to the news engine, all behind the
existing keyword path as fallback — signals are never gated on LLM
output (event_risk_caps_signals / sentiment_affects_signals stay False
per the 2026-07 audit; backtester use_news=False untouched):
- Headline sentiment: one batched call per 600s cache window (capped at
25 new headlines, sha1-cached so repeats are never re-sent) overrides
the keyword scores per currency with the gold-inverse doctrine encoded
in the prompt.
- Release surprises: get_event_risk_level's description now says which
way the print pulls GOLD ("— gold bearish: strong jobs lift yields"),
fixing the documented numeric-only gap; risk level and windows
unchanged.
- Market summary: 1-2 sentence macro blurb on SignalReport.news_summary,
rendered in Telegram alerts (📰) and the CLI (🧠).
New llm_client.py: requests-only OpenAI-compatible client (no SDK), one
attempt per call, UTC-day request cap, singleton so the cap survives
per-scan NewsEngine reconstruction. Config: deepseek block in
config.json + DEEPSEEK_API_KEY env; absent key = fully inert.
Live-measured API behavior baked in: V4-Flash is a hybrid thinking model
— requests send thinking:disabled (reasoning otherwise blew the timeout
and could exhaust max_tokens before the answer); prompts are static
module constants so DeepSeek's prefix cache prices repeat calls at the
cache-hit rate; scores use compact [s, xau] pairs; timeout 12s.
Tests 273 → 286 (new Module 19 + deepseek config tests).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01Nsd8HcrV67GbCZXxZEn1Ma
77 lines
11 KiB
Markdown
77 lines
11 KiB
Markdown
# CLAUDE.md
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This file provides guidance to Claude Code (claude.ai/code) when working with code in this repository.
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## What this is
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Signal-intelligence platform for **XAU/USD (gold — the only supported pair)**. It fetches OHLCV from the active data provider (**Oanda v20 since 2026-07-28**; Twelve Data and Tiingo remain registered fallbacks), scores 9 technical indicators per timeframe with regime-adaptive weights, checks multi-timeframe agreement and news risk, grades the signal (A+…F), and generates a full trade setup (entry, SL, TP1/TP2, trailing plan). Delivery: Telegram bot, CLI, and an Oanda practice-account auto-execution daemon. A realism-focused backtester replays history through the *exact same* signal code.
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Every numeric threshold in `config.py` and `pair_signals/xauusd.py` was backtested or is load-bearing for a backtested result. Validation evidence lives in the factory/module docstrings and in `~/.claude/projects/.../memory/`.
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## Commands
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```bash
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python test_all.py # QA suite: 286 tests, 19 modules, no network (mocked)
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python main.py --pair XAUUSD --timeframe H1 --detail # CLI signal report (--json for full dump)
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python telegram_bot.py # the bot (refuses to boot without credentials)
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python oanda_daemon.py # auto-execution daemon on Oanda practice account
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# Backtests
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python backtest/gpu_backtest.py --pair XAUUSD --days 365
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python backtest/gpu_backtest.py --pair XAUUSD --start 2025-01-01 --end 2025-06-01 \
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--primary-tf 15min --confirm-tfs 1h,4h
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# key flags: --spread --quality A+,A,B,C --strategies --workers --max-hold-bars
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# --warmup-bars --cooldown-bars --no-cache --export-csv out.csv --detail
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```
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**`test_all.py` is NOT pytest** — it uses a custom `@test("name")` decorator that runs each test immediately at import; don't grep for `def test_` or try `pytest test_all.py`. Run the whole file; it prints per-module results and exits non-zero on failure. There is no way to run a single test short of commenting modules out. Tests must stay green; every new gate/knob needs tests. When patching weekend logic in tests, patch `providers.base._is_forex_weekend`.
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Python 3.12; a `venv/` exists in-repo. Dependencies in `requirements.txt` (numpy, pandas, requests, twelvedata, python-telegram-bot ≥20, websockets).
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## Configuration & credentials
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Precedence for every credential/deployment setting: **env var → config.json → refuse to run** (no hardcoded fallbacks). A gitignored repo-root `.env` is loaded at `app_config` import via `os.environ.setdefault`. `config.json` (gitignored; schema in `config.json.example`) holds secrets plus deployment settings: `data_providers.active` (the live-feed switch), `data_providers.streaming` (optional tick-stream provider for the level-breach monitor), `scanning.pairs`/`timeframes`, per-pair `blocked_hours_utc`, `log_level`. Key env vars: `TELEGRAM_TOKEN`, `TELEGRAM_CHAT_ID`, `TELEGRAM_CHANNEL_ID`, `TWELVE_DATA_API_KEY`, `TIINGO_API_KEY`, `OANDA_ACCOUNT_ID`/`OANDA_API_TOKEN`/`OANDA_BASE_URL`, `DEEPSEEK_API_KEY` (news LLM; the `deepseek` config.json block holds model/enabled/timeout/daily cap).
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## Architecture
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### End-to-end pipeline (every scan)
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```
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providers/<active>.fetch_ohlcv() per TF: throttle, fetch, drop forming candle, validate/clean, cache
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→ engine.TechnicalEngine.analyze() per TF: 9 scored indicators + ATR context → regime → composite score
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→ signal_aggregator.analyze_pair() live entry point (weekend/day filters, fetch, staleness)
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└─ analyze_from_dataframes() replayable core: MTF agreement → news → bonuses/penalties →
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final signal + quality grade → gates → trade setup → reasons
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→ SignalReport consumed by telegram_bot.py, main.py, oanda_daemon.py, backtester
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```
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Signal currency everywhere is `SignalStrength` (−2..+2). DataFrames are UTC tz-aware, oldest-first, capitalized OHLCV columns. Everything runs on **closed bars only** — the forming candle is dropped, and session/hour filters evaluate **bar-CLOSE time** (bar label + candle duration) identically in live and backtest.
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### Layers
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- **`providers/`** — one class per provider subclassing `BaseDataProvider` (`providers/base.py`), which owns everything the pipeline depends on: TTL+boundary cache, forming-candle drop, freshness check, validate/clean, paginated `fetch_range` (feeds the backtester from any provider), optional tick streaming. Subclasses implement only `_fetch_raw` + symbol/interval maps. Registry + `make_data_provider(config, name=None)` in `providers/__init__.py`; config.json `data_providers.active` selects the live candle feed and the optional `data_providers.streaming` scalar selects a different provider for the tick stream. A test enforces that subclasses don't override shared base methods (`supports_streaming`/`iter_ticks` are the sanctioned streaming override points). Tiingo streams mid-price ticks (`wss://api.tiingo.com/fx`) — do not re-add spread display from its free FX feed (two-tier indicative quotes, removed 2026-07-23); the no-spread rule extends to the WS stream.
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- **`engine.py`** — `TechnicalEngine`: 9 scored indicators (ema_trend, rsi, macd, bollinger, adx, roc, keltner, divergence, candlestick) + ATR as context. Regime classification (trending_up/down, `trending` = mixed/direction-UNKNOWN, transitioning, ranging) drives per-indicator weight multipliers and regime-aware RSI reinterpretation. Compute order matters (ATR first; MACD always computed even when not a pillar — divergence needs the histogram). Private series ride on the result as `_underscore` attrs; scorers/formatters skip anything `_`-prefixed or weight-0.
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- **`signal_aggregator.py`** — MTF agreement, diminishing-decay penalty system, exhaustion hard block, quality grading, then an ordered chain of post-grade gates (session, XAU SELL quality/vol/hour, regime blocks, M5 noise gates), then three setup generators: XAU ATR (A+/A), generic swing-based, plus the M5 pullback (`XAU_PB`) and chart-pattern (`XAU_CP`, `chart_patterns.py`) entry paths. `TradeSetup.strategy` selects trailing params; trail params are stamped on the setup from the *producing* config so per-TF overrides reach formatters.
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- **`pair_signals/`** — per-pair config factories. **Always use the factory (`produce_signal` / `make_config`), never bare `PlatformConfig()`** — the factory applies the config.json overlay first, then the validated per-TF deltas (M5 hour-9 block, M15 trail arm 0.70, M15 SELL-hour block, etc.; evidence in the docstring). A test enforces factory ≡ inline-config equivalence. Confirmation map: M5→[M15,H1], M15→[M5,H1], H1→[M15,H4], H4→[H1,D1].
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- **`news_engine.py`** — Forex Factory calendar (MyFXBook RSS fallback) + RSS keyword sentiment with gold-inverse keywords. Class-level caches (fresh engine per scan). Optional DeepSeek enrichment via `llm_client.py` (requests-only, no SDK): batched headline sentiment overriding keyword scores, gold-direction on release surprises, and a market-summary blurb (`SignalReport.news_summary`) — **display/warning-only, keyword fallback on any failure, inert without a key**; prompts are static module constants (DeepSeek prefix-cache pricing) and requests send `thinking: disabled` (V4-Flash reasoning otherwise blows the timeout). By XAU-tuned default, event risk and sentiment **warn but do not gate signals** (`event_risk_caps_signals=False`, `sentiment_affects_signals=False`) — the LLM does not change that.
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- **`telegram_bot.py`** — owner-locked bot + subscriber channel; candle-boundary auto-scan loops (M5/M15/H1/H4, boundary+10 s), alert quality threshold + fingerprint dedup (committed only after a successful send), 📰 LLM market-context line on alerts when available, WebSocket level-breach monitor fed by the streaming provider (`data_providers.streaming`, falling back to the active provider; auto-disabled when the resolved provider can't stream or has no API key — Oanda does not stream, Tiingo does). Rotating log: `logs/telegram.log`, 3-h rotation × 240 backups.
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- **`oanda_daemon.py` / `oanda_executor.py`** — practice-account auto-execution. Book-parity rules (see daemon docstring): no broker-side TP (trailing model — TP1/TP2 advisory), 5-bar per-TF cooldown, trail ratchets at bar close exactly once per bar. Accepted divergence: one position total.
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- **`backtest/gpu_backtest.py`** — bar-by-bar replay through the real `analyze_from_dataframes` (news off). Realism model (do not regress): next-bar-open entries re-anchored to the raw price path, round-trip `--spread` charged per trade, trade resolution on RAW bars (cleaning applies only to signal-side data), same-bar SL+TP tie → SL first, gap fills at bar open, trail ratchet at bar close only. Indicators are precomputed once per TF (CuPy GPU or NumPy fallback — check the `Backend:` log line); replay fans out over worker processes and the 5-bar cooldown is applied in an ordered pass afterwards, so parallel and sequential books are identical. Parquet cache in `backtest/cache/` keyed by provider/symbol/TF/window. `backtest/*.csv` are gitignored pinned trade books from past campaigns — used for manual before/after comparison. `backtest/instructions_for_backtest.txt` lists what every backtest report must record.
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## Rules for making changes (read before editing signal logic)
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1. **Never change a tuned value without re-validation.** Acceptance rule: positive total R in BOTH train and validation halves of a ≥12-month window, PF ≥ 1.3, at realistic cost (XAU $0.30 round trip), trailing exits, next-open fills. Marginal edges must additionally pass the 2024-06→2025-03 out-of-sample window — within-year splits alone have approved configs that later failed OOS.
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2. **Per-timeframe overrides live in the pair factory**, never in global defaults — the same knob has opposite effects on different TFs (proven repeatedly: `tp_floor_rr`, hour-9 block, trail params). Document validation evidence in the factory docstring.
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3. **Pair isolation is a hard invariant.** XAU gates in the aggregator are display-name-gated so a future pair port cannot inherit gold-calibrated logic by accident.
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4. **Live == backtest parity.** If you add a live gate, add it to the replay path in the same commit; all time filters evaluate bar-close time in both paths.
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5. **ROC stays weighted** even though it's correlated with MACD/Keltner/EMA — zeroing it backtested 13R worse; composite thresholds are calibrated with it.
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6. **Backtester realism knobs are results-critical** (raw-path resolution, spread charging, next-open entry, SL-first ties, close-only trail). Touching them invalidates comparability with all pinned books.
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7. **The forming candle must stay dropped** — live signals repaint otherwise.
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8. Don't add config fields nothing reads; don't disable indicators in production paths (`disabled_indicators` is for experiments only).
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9. EUR/USD was removed 2026-07-16 after a no-edge verdict (cost-to-volatility; last commit with EUR support: `7d3fd95`). Do not re-add without new data. BTC/ETH work lives on unmerged branches only.
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## Current state notes (2026-07-30)
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- Oanda v20 is the live feed (`data_providers.active: "oanda"`), but the pinned backtest books are still Twelve-Data-pinned and the backtest cost assumption is $0.30 while measured real spreads are ~$0.65–0.72 — re-pin books on Oanda bars before treating feed-switch comparisons as valid (see Oanda/TD divergence study in memory).
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- Human-facing docs in `docs/` (`user_guide.html`, `beginner_guide.html` + PDF builds) must be kept in sync when signal behavior changes.
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