Harwinder Sekhon
c00ed4471b
Removed (all recoverable from git history):
- llm_provider_switch_plan.txt: 2026-08-08 DeepSeek/Anthropic multi-provider plan that
was never implemented (llm_client.py is DeepSeek-only, no `anthropic` anywhere)
- docs/superpowers/specs/2026-07-21-centralized-config-design.md: spec of the
config.json migration that merged the same day; its plan sibling was already
deleted in b936d44. app_config's docstring pointer goes with it.
- scripts/compare_oanda_tiingo.py: Phase 0 recent-tail smoke test, superseded by the
Phase 1/2 study scripts (result recorded in the test plan)
- backtest/research/fetch_oanda_m15.py + oanda_td_divergence.py + its by-hour CSV:
the 2026-07-24 Oanda-vs-Twelve-Data study, superseded by the 2026-08-14 feed
divergence report (which keeps a one-line citation)
- backtest/research/burst_profile.py and hour_analysis.py: superseded by burst_map.py
and book_report.py
- backtest/research/panel_payload_drytest_2026-08-15.py: one-off live DeepSeek probe;
its .jsonl evidence stays
Added to git: the three 2026-08-14 research reports (feed divergence, re-pin
verification, signal parity), their CSV, and docs/data_source_change_test_plan.md -
CLAUDE.md cites them as standing evidence and their driver scripts were already
committed. The test plan no longer refers to auto-execution.
Hygiene:
- .gitignore: drop oanda_state.json (daemon removed 2026-09-03) and the vanished
backtest/trailgrid dirs; ignore .coverage
- docs/architecture_diagram.py only writes the PNG when run as a script (it used
to plot on import); test box refreshed to 461 tests / 31 modules; PNG regenerated
(the committed one still drew the removed daemon)
- backtest/instructions_for_backtest.txt: manual-journal head replaced by the
actual reporting checklist; the 2026-09-06 addendum is unchanged
- doc drift: README/publisher list all six published files; news_summary.php says
4 h (not 24 h) and drops the pre-id sha1 fallback whose window closed;
analyze_signal_log lists six lenses and --scan-outcomes; agent_panel cost model
says 4 requests by default; tiingo comment cites the NY-anchored weekend;
Module 21 title no longer says "execution lifecycle"
Suite: 461 passed, 0 failed.
Claude-Session: https://claude.ai/code/session_0156YhogLytzj9P2iH1skGbL
82 lines
5.3 KiB
Markdown
82 lines
5.3 KiB
Markdown
# Feed Divergence Study — Oanda vs Tiingo vs Twelve Data (Phase 1)
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**Date:** 2026-08-14
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**Test plan:** `docs/data_source_change_test_plan.md`
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**Tool:** `scripts/feed_divergence_study.py` (fetch_range over 365d, parquet-cached)
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**Window:** 2025-08-14 → 2026-08-14 (12 months); Oanda-vs-TD truncated at TD cache head (2026-07-23)
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## Headline
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Three mid-price feeds for the *same* XAU/USD instrument are **not** interchangeable:
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| Pair | mean \|ΔClose\| | p95 \|ΔClose\| | direction agree (M5/M15/H1) | bias | extra bars |
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|---|---|---|---|---|---|
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| Oanda vs **Tiingo** | ~$0.13 | ~$0.29 | 97.7% / 98.3% / 98.5% | ~0 | Tiingo +3–5% (weekend) |
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| Oanda vs **Twelve Data** | ~$3.0 | ~$11.9 | 81.0% / 88.7% / 92.7% | −$1.06 (TD high) | — |
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- **Oanda ↔ Tiingo are near-identical** on shared bars (~1–2% of ATR on close), but Tiingo emits ~22 hours of Sunday bars/week that Oanda omits.
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- **Oanda ↔ Twelve Data diverge massively** — ~$3 mean close gap (≈30% of M5 ATR, ~30% of M15 ATR), a systematic ~$1 bias (TD quoted ~$1 high), and 19% of M5 bars even disagree on bar *direction*. This is the documented "Oanda/TD divergence" that motivated re-pinning the books on Oanda bars.
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## Oanda vs Tiingo — detailed
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Both feeds: same bar grid, same head/tail timestamps. Tiingo simply has more bars (Sunday bars).
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### Coverage (12 months)
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| TF | Oanda bars | Tiingo bars | shared | Oanda-only | Tiingo-only |
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|---|---|---|---|---|---|
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| M5 | 70,901 | 73,241 | 70,807 (96.6%) | 94 (0.13%) | 2,434 (3.32%) |
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| M15 | 23,640 | 24,922 | 23,615 (94.7%) | 25 (0.11%) | 1,307 (5.24%) |
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| H1 | 5,912 | 6,246 | 5,909 (94.6%) | 3 (0.05%) | 337 (5.40%) |
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| H4 | 1,597 | 1,657 | 1,597 (96.4%) | 0 | 60 (3.62%) |
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- **Tiingo-only bars cluster exclusively on Sundays** (e.g. M15: 88/Sunday; H1: 22/Sunday; H4: 5/Sunday). Tiingo's FX endpoint resamples continuously and does **not** apply the FX weekend calendar — it emits ~22h of flat/stale Sunday bars that Oanda omits.
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- Oanda-only bars cluster on holidays (2025-11-27 Thanksgiving, 2025-12-10, 2026-06-25) — a handful of bars, negligible.
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### Per-bar OHLC diffs (Oanda − Tiingo, $)
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| TF | Close mean | Close p95 | Close max | \|ΔClose\| / ATR14 (mean / p95) |
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|---|---|---|---|---|
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| M5 | $0.123 | $0.285 | $26.10 | 2.1% / 5.0% |
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| M15 | $0.128 | $0.290 | $26.10 | 1.3% / 2.9% |
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| H1 | $0.145 | $0.335 | $26.10 | 0.7% / 1.6% |
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| H4 | $0.168 | $0.340 | $17.53 | 0.4% / 0.8% |
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- Bias is ~zero on every TF (no systematic one-feed-high).
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- Tail outliers (p99/max up to $26–88) occur during fast moves — the two feeds' bar extremes disagree on the exact tick, as expected.
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- **Direction agreement is 97.7–98.4%**, return correlation 0.995–0.9997.
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- Divergence is concentrated at the Friday-close / Sunday-reopen boundary (UTC hours 20–22; mean |ΔClose| ~2–4× the 08–19h baseline).
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### Phase 1 pass/fail vs plan thresholds
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| Criterion | Plan threshold | Result | Verdict |
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| timestamp overlap | ≥ 99.5% | 94.6–96.6% | **FAIL** (Tiingo weekend bars) |
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| Close p95 \|Δ\| | ≤ 0.01% of price | ~0.0067% | PASS |
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| no systematic bias | mean Δ ≈ 0 | ~0 | PASS |
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The overlap "failure" is a *coverage* difference, not a data-quality one: the shared bars agree tightly, but Tiingo's extra Sunday bars mean the feeds have a different bar *count*. The signal pipeline's own `_is_forex_weekend` filter (NY-anchored) gates those Sunday bars, so live impact depends on whether any code trusts the feed's raw bar set directly.
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## Oanda vs Twelve Data — detailed (M5/M15/H1, cached TD parquets)
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| TF | common | mean \|ΔClose\| | median \|ΔClose\| | p95 | max | bias (TD−Oanda) | dir agree |
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|---|---|---|---|---|---|---|---|
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| M5 | 66,246 | $2.999 | $1.118 | $11.934 | $101.85 | +1.05 | 80.96% |
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| M15 | 22,090 | $2.951 | $1.051 | $11.848 | $101.85 | +1.08 | 88.71% |
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| H1 | 5,526 | $2.902 | $0.985 | $11.908 | $70.94 | +1.06 | 92.67% |
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- The ~$3 mean / ~$1 median / ~$12 p95 gap is **~23× larger** than the Oanda–Tiingo gap, and the ~$1 bias is systematic (Twelve Data quotes gold ~$1 high vs Oanda's true mid).
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- M5 direction agreement of **81%** means one bar in five disagrees on direction — M5 signals on TD bars are effectively a *different instrument* than on Oanda bars.
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- This matches the prior Oanda/TD M15 study of 2026-07-24 (`oanda_td_divergence.py`, removed 2026-09-06 as superseded by this report; mean |ΔClose| ~$3.3) and confirms the standing rule: **pinned Twelve-Data books are not comparable to Oanda live signals without a re-pin.**
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## Conclusions for the data-source switch
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1. **Oanda → Tiingo (or back) is signal-safe in magnitude** (price diffs ~1–2% of ATR, 98% direction agreement), *provided* the weekend-bar coverage difference is handled — Tiingo's Sunday bars must be gated by the aggregator's NY-anchored weekend filter, not by raw bar count.
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2. **Oanda → Twelve Data is a recalibration, not a formality.** Phase 2/3 must quantify the actual signal/book delta; the $3/$1 bias alone guarantees a large fraction of marginal bars flip.
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3. Re-pinning the books on Oanda bars (Phase 3) remains mandatory before any TD-pinned baseline is treated as a live expectation.
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## Next steps
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- Phase 2: signal-level replay parity (`analyze_from_dataframes` on both feeds) to turn price-diff stats into flip rates.
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- Phase 3: backtest re-pin on Oanda bars at $0.30 and $0.65.
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