""" Data ingestion, validation, causal resampling, freshness, and local caching for Yahoo Finance OHLCV data (spec sections 7-14, 55-56, 81, 105). NETWORK NOTE: fetch_ohlcv() makes a real yfinance HTTP call. In a network-isolated environment this raises DataSourceError with the underlying exception attached — that is the correct, honest failure mode (spec section 4: "expose the exact failure ... do not fabricate a result"), not a bug to work around with mock data. """ from __future__ import annotations import hashlib import io import sqlite3 from dataclasses import dataclass from datetime import datetime, timezone from pathlib import Path from typing import Optional import numpy as np import pandas as pd import config as cfg class DataSourceError(Exception): pass class DataValidationError(Exception): pass @dataclass class ValidationReport: rows_in: int rows_out: int duplicates_removed: int invalid_ohlc_removed: int nan_rows_removed: int timezone: str monotonic: bool warnings: list def fetch_ohlcv(symbol: str, interval: str, start=None, end=None, period: Optional[str] = None) -> pd.DataFrame: """Real yfinance retrieval of a NATIVE Yahoo interval. Derived timeframes (e.g. 10m) must be built with causal_resample() from their configured source interval — this function refuses to guess.""" try: import yfinance as yf except ImportError as e: raise DataSourceError(f"yfinance is not installed: {e}") from e if interval not in cfg.NATIVE_INTRADAY + cfg.NATIVE_OTHER: raise DataSourceError( f"'{interval}' is not a native Yahoo interval. Fetch " f"{cfg.DERIVED_MAP.get(interval, ('',))[0]} and call " f"causal_resample() instead (spec section 19)." ) max_days = cfg.YAHOO_INTRADAY_MAX_DAYS.get(interval) try: ticker = yf.Ticker(symbol) if period: df = ticker.history(period=period, interval=interval, auto_adjust=False) else: df = ticker.history(start=start, end=end, interval=interval, auto_adjust=False) except Exception as e: # network, symbol, rate-limit, etc. — surfaced, not masked raise DataSourceError(f"Yahoo Finance retrieval failed for {symbol}@{interval}: {e}") from e if df is None or df.empty: hint = f" Yahoo typically limits {interval} history to ~{max_days} days." if max_days else "" raise DataSourceError(f"No data returned for {symbol}@{interval}.{hint}") df = df.rename(columns=str.lower)[["open", "high", "low", "close", "volume"]] df.index = pd.to_datetime(df.index, utc=True) df.index.name = "timestamp" return df def validate_ohlcv(df: pd.DataFrame) -> tuple[pd.DataFrame, ValidationReport]: """Spec section 13. Removes/flags bad rows; never silently repairs a suspicious price. Every removal is counted in the report.""" warnings: list[str] = [] rows_in = len(df) out = df.sort_index().copy() dup = out.index.duplicated(keep="first") duplicates_removed = int(dup.sum()) out = out[~dup] monotonic = bool(out.index.is_monotonic_increasing) core = out[["open", "high", "low", "close"]] nan_mask = core.isna().any(axis=1) | ~np.isfinite(core.to_numpy(dtype=float)).all(axis=1) nan_rows_removed = int(nan_mask.sum()) out = out[~nan_mask] core = out[["open", "high", "low", "close"]] price_positive = (core > 0).all(axis=1) high_ok = out["high"] >= out[["open", "close", "low"]].max(axis=1) low_ok = out["low"] <= out[["open", "close", "high"]].min(axis=1) valid_ohlc = price_positive & high_ok & low_ok invalid_ohlc_removed = int((~valid_ohlc).sum()) out = out[valid_ohlc] if "volume" in out.columns: bad_vol = out["volume"] < 0 if bad_vol.any(): warnings.append( f"{int(bad_vol.sum())} row(s) had negative volume; marked " f"unavailable (NaN), never invented (section 11)." ) out.loc[bad_vol, "volume"] = np.nan report = ValidationReport( rows_in=rows_in, rows_out=len(out), duplicates_removed=duplicates_removed, invalid_ohlc_removed=invalid_ohlc_removed, nan_rows_removed=nan_rows_removed, timezone=str(out.index.tz), monotonic=monotonic, warnings=warnings, ) return out, report def causal_resample(df: pd.DataFrame, source_interval: str, target_interval: str) -> pd.DataFrame: """Builds a derived timeframe (e.g. 5m -> 10m) using only completed source candles that fall entirely within the bin (spec section 11). A trailing partial bin is dropped, never padded with future data.""" if target_interval not in cfg.DERIVED_MAP: raise ValueError(f"{target_interval} is not a configured derived timeframe") expected_source, bars_per_bin = cfg.DERIVED_MAP[target_interval] if expected_source != source_interval: raise ValueError(f"{target_interval} must be derived from {expected_source}, got {source_interval}") rule = f"{cfg.TIMEFRAME_MINUTES[target_interval]}min" agg = {"open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"} resampler = df.resample(rule, label="left", closed="left") resampled = resampler.agg(agg) # A derived bin is only valid if it is backed by the full count of # source candles — otherwise it may be an incomplete trailing bin # that would silently borrow a "future" partial candle. counts = resampler["close"].count() complete = counts >= bars_per_bin resampled = resampled[complete] if df["volume"].isna().all(): resampled["volume"] = np.nan # never invent volume return resampled.dropna(subset=["open", "high", "low", "close"]) class LocalCache: """SQLite-backed local cache — no external DB service (spec section 76). Corrupted/mismatched entries are simply cache misses, never returned as if they were valid (section 105).""" def __init__(self, path: str = "cache.sqlite3"): self.path = Path(path) self._conn = sqlite3.connect(self.path) self._conn.execute( """CREATE TABLE IF NOT EXISTS ohlcv_cache ( cache_key TEXT PRIMARY KEY, symbol TEXT, interval TEXT, source TEXT, start_ts TEXT, end_ts TEXT, fetched_at TEXT, payload TEXT )""" ) self._conn.commit() @staticmethod def _key(symbol, interval, source, start, end) -> str: raw = f"{symbol}|{interval}|{source}|{start}|{end}" return hashlib.sha256(raw.encode()).hexdigest() def get(self, symbol, interval, source, start, end) -> Optional[pd.DataFrame]: key = self._key(symbol, interval, source, start, end) row = self._conn.execute( "SELECT payload FROM ohlcv_cache WHERE cache_key=?", (key,) ).fetchone() if row is None: return None try: return pd.read_json(io.StringIO(row[0]), orient="split") except ValueError: return None # corrupted entry -> treat as miss, never as valid data def set(self, symbol, interval, source, start, end, df: pd.DataFrame): key = self._key(symbol, interval, source, start, end) payload = df.to_json(orient="split", date_format="iso") self._conn.execute( """INSERT OR REPLACE INTO ohlcv_cache (cache_key, symbol, interval, source, start_ts, end_ts, fetched_at, payload) VALUES (?,?,?,?,?,?,?,?)""", (key, symbol, interval, source, str(start), str(end), datetime.now(timezone.utc).isoformat(), payload), ) self._conn.commit() def data_freshness(latest_ts: pd.Timestamp, interval: str) -> dict: """Spec section 57. Freshness is judged relative to the bar size — one stale 1-minute bar is very different from one stale 1-day bar.""" now = pd.Timestamp.now(tz="UTC") age = now - latest_ts bar_minutes = cfg.TIMEFRAME_MINUTES[interval] age_bars = age.total_seconds() / 60 / bar_minutes if age_bars <= 1.5: status = "fresh" elif age_bars <= 5: status = "delayed" else: status = "stale" return { "latest_market_ts": latest_ts.isoformat(), "system_ts": now.isoformat(), "age_seconds": age.total_seconds(), "age_bars": round(age_bars, 2), "status": status, } def resolve_history_window(label: str): """Turns a HISTORY_WINDOW_CHOICES label ("1 day", "6 months", "2 years", "max") into either ("period", "max") for yfinance's period shorthand, or ("start", ) for everything else. yfinance's `period` parameter only accepts a fixed enum (1d, 5d, 1mo, 3mo, 6mo, 1y, 2y, 5y, 10y, ytd, max) -- it does NOT accept arbitrary values like "15d" or "4mo", so any day/month count outside that enum has to be expressed as an explicit start date instead. """ from datetime import datetime, timezone from dateutil.relativedelta import relativedelta label = label.strip().lower() if label == "max": return "period", "max" now = datetime.now(timezone.utc) parts = label.split() if len(parts) != 2: raise ValueError(f"Unrecognized history window: {label!r}") n = int(parts[0]) unit = parts[1] if unit.startswith("day"): return "start", now - relativedelta(days=n) if unit.startswith("month"): return "start", now - relativedelta(months=n) if unit.startswith("year"): return "start", now - relativedelta(years=n) raise ValueError(f"Unrecognized history window unit: {unit!r} in {label!r}")