""" ChromaDB vector store for fast PDF similarity search. Uses vector embeddings of PDFs for efficient similarity search across thousands of historical snapshots. """ from typing import List, Dict, Any, Optional, Tuple from pathlib import Path import numpy as np import json try: import chromadb from chromadb.config import Settings CHROMADB_AVAILABLE = True except ImportError: CHROMADB_AVAILABLE = False print("⚠️ ChromaDB not installed. Vector search will be unavailable.") print(" Install with: pip install chromadb") class PDFVectorStore: """ Vector store for PDF embeddings using ChromaDB. Stores PDF arrays as embeddings for fast similarity search. Falls back gracefully if ChromaDB is not available. """ def __init__(self, persist_directory: str = None): """ Initialize vector store. Args: persist_directory: Directory to persist ChromaDB data. If None, uses default location. """ self.available = CHROMADB_AVAILABLE if not self.available: print("⚠️ PDFVectorStore initialized but ChromaDB unavailable") self.client = None self.collection = None return # Set up persistence directory if persist_directory is None: project_root = Path(__file__).parent.parent.parent persist_directory = str(project_root / 'data' / 'chromadb') Path(persist_directory).mkdir(parents=True, exist_ok=True) # Initialize ChromaDB client self.client = chromadb.Client(Settings( chroma_db_impl="duckdb+parquet", persist_directory=persist_directory )) # Get or create collection self.collection = self.client.get_or_create_collection( name="pdf_snapshots", metadata={"description": "Option-implied PDF snapshots"} ) print(f"✅ ChromaDB vector store initialized: {persist_directory}") def _normalize_pdf(self, pdf: np.ndarray) -> np.ndarray: """ Normalize PDF for embedding storage. Args: pdf: PDF array Returns: Normalized PDF (unit norm) """ # Ensure it's a probability distribution pdf = pdf / np.sum(pdf) # Normalize to unit norm for cosine similarity norm = np.linalg.norm(pdf) if norm > 0: pdf = pdf / norm return pdf def _create_embedding(self, pdf: np.ndarray, strikes: np.ndarray) -> List[float]: """ Create embedding from PDF. For now, we use the normalized PDF directly as the embedding. Could be enhanced with dimensionality reduction (PCA, etc.) Args: pdf: PDF values strikes: Strike prices Returns: Embedding as list of floats """ # Normalize PDF embedding = self._normalize_pdf(pdf) # Convert to list for ChromaDB return embedding.tolist() def add_snapshot( self, snapshot_id: int, pdf: np.ndarray, strikes: np.ndarray, metadata: Dict[str, Any] ): """ Add a PDF snapshot to the vector store. Args: snapshot_id: Database ID of snapshot pdf: PDF values strikes: Strike prices metadata: Additional metadata (ticker, date, stats, etc.) """ if not self.available: return # Create embedding embedding = self._create_embedding(pdf, strikes) # Store in ChromaDB self.collection.add( embeddings=[embedding], documents=[json.dumps(metadata)], ids=[str(snapshot_id)] ) def add_snapshots_batch( self, snapshots: List[Dict[str, Any]] ): """ Add multiple snapshots at once (more efficient). Args: snapshots: List of dicts with keys: id, pdf, strikes, metadata """ if not self.available: return embeddings = [] documents = [] ids = [] for snapshot in snapshots: embedding = self._create_embedding( snapshot['pdf'], snapshot['strikes'] ) embeddings.append(embedding) documents.append(json.dumps(snapshot.get('metadata', {}))) ids.append(str(snapshot['id'])) self.collection.add( embeddings=embeddings, documents=documents, ids=ids ) print(f"✅ Added {len(snapshots)} snapshots to vector store") def find_similar( self, pdf: np.ndarray, strikes: np.ndarray, n_results: int = 10, min_similarity: float = 0.0, where: Dict[str, Any] = None ) -> List[Dict[str, Any]]: """ Find similar PDFs using vector similarity search. Args: pdf: Query PDF strikes: Query strikes n_results: Number of results to return min_similarity: Minimum similarity threshold (0-1) where: Filter conditions (e.g., {"ticker": "SPY"}) Returns: List of similar snapshots with similarity scores """ if not self.available: print("⚠️ ChromaDB unavailable, cannot search") return [] # Create query embedding query_embedding = self._create_embedding(pdf, strikes) # Search results = self.collection.query( query_embeddings=[query_embedding], n_results=n_results, where=where ) # Format results similar_snapshots = [] for i, snapshot_id in enumerate(results['ids'][0]): distance = results['distances'][0][i] # Convert distance to similarity (cosine similarity) # ChromaDB uses L2 distance, convert to cosine similarity # For normalized vectors: cos_sim = 1 - (distance^2 / 2) similarity = 1 - (distance ** 2 / 2) if similarity >= min_similarity: metadata = json.loads(results['documents'][0][i]) similar_snapshots.append({ 'id': int(snapshot_id), 'similarity': similarity, 'distance': distance, 'metadata': metadata }) return similar_snapshots def delete_snapshot(self, snapshot_id: int): """ Remove a snapshot from the vector store. Args: snapshot_id: Database ID of snapshot """ if not self.available: return self.collection.delete(ids=[str(snapshot_id)]) def get_count(self) -> int: """ Get total number of snapshots in vector store. Returns: Count of snapshots """ if not self.available: return 0 return self.collection.count() def persist(self): """Persist the vector store to disk.""" if not self.available: return self.client.persist() print("✅ Vector store persisted to disk") def clear(self): """Clear all data from vector store (use with caution!).""" if not self.available: return # Delete collection and recreate self.client.delete_collection("pdf_snapshots") self.collection = self.client.create_collection( name="pdf_snapshots", metadata={"description": "Option-implied PDF snapshots"} ) print("⚠️ Vector store cleared") class HybridPatternMatcher: """ Combines ChromaDB vector search with SQLite relational queries for efficient pattern matching. Uses ChromaDB for fast initial retrieval, then SQLite for detailed filtering and statistical comparison. """ def __init__(self, vector_store: PDFVectorStore, pdf_archive): """ Initialize hybrid matcher. Args: vector_store: PDFVectorStore instance pdf_archive: PDFArchive instance """ self.vector_store = vector_store self.pdf_archive = pdf_archive def find_similar_patterns( self, current_pdf: np.ndarray, current_strikes: np.ndarray, current_stats: Dict[str, Any], ticker: str = 'SPY', n_candidates: int = 50, n_results: int = 10, min_similarity: float = 0.7, days_to_expiry_range: Tuple[int, int] = (20, 40) ) -> List[Dict[str, Any]]: """ Find similar historical patterns using hybrid approach. 1. Fast vector search to get candidates (ChromaDB) 2. Detailed statistical comparison on candidates (in-memory) 3. Return top matches Args: current_pdf: Current PDF values current_strikes: Current strike prices current_stats: Current PDF statistics ticker: Stock ticker n_candidates: Number of candidates from vector search n_results: Final number of results to return min_similarity: Minimum similarity threshold days_to_expiry_range: Filter by DTE range Returns: List of similar patterns with scores """ # If ChromaDB unavailable, fall back to database-only search if not self.vector_store.available: print("⚠️ ChromaDB unavailable, using database-only search") return self._fallback_search( current_pdf, current_strikes, current_stats, ticker, n_results, min_similarity, days_to_expiry_range ) # Step 1: Vector search for candidates candidates = self.vector_store.find_similar( pdf=current_pdf, strikes=current_strikes, n_results=n_candidates, min_similarity=0.5, # Lower threshold for candidates where={"ticker": ticker} ) if not candidates: print("⚠️ No candidates found in vector search") return [] # Step 2: Get full snapshot data for candidates candidate_ids = [c['id'] for c in candidates] candidate_snapshots = [] for cid in candidate_ids: snapshot = self.pdf_archive.get_snapshot_by_id(cid) if snapshot and days_to_expiry_range[0] <= snapshot.days_to_expiry <= days_to_expiry_range[1]: candidate_snapshots.append({ 'id': snapshot.id, 'date': snapshot.timestamp.strftime('%Y-%m-%d'), 'pdf': snapshot.get_pdf_values(), 'strikes': snapshot.get_strikes(), 'stats': snapshot.get_statistics(), 'spot': snapshot.spot_price, 'dte': snapshot.days_to_expiry }) # Step 3: Detailed comparison using pattern matcher from src.core.patterns import PDFPatternMatcher matcher = PDFPatternMatcher( similarity_threshold=min_similarity, max_matches=n_results ) matches = matcher.find_similar_patterns( current_pdf=current_pdf, current_strikes=current_strikes, current_stats=current_stats, historical_data=candidate_snapshots ) return matches def _fallback_search( self, current_pdf: np.ndarray, current_strikes: np.ndarray, current_stats: Dict[str, Any], ticker: str, n_results: int, min_similarity: float, days_to_expiry_range: Tuple[int, int] ) -> List[Dict[str, Any]]: """ Fallback pattern matching using only database. Uses PDFPatternMatcher with all historical snapshots. """ # Get historical data from database historical_data = self.pdf_archive.get_snapshots_for_pattern_matching( ticker=ticker, max_snapshots=100, days_to_expiry_range=days_to_expiry_range ) # Use pattern matcher from src.core.patterns import PDFPatternMatcher matcher = PDFPatternMatcher( similarity_threshold=min_similarity, max_matches=n_results ) matches = matcher.find_similar_patterns( current_pdf=current_pdf, current_strikes=current_strikes, current_stats=current_stats, historical_data=historical_data ) return matches if __name__ == "__main__": # Test vector store if CHROMADB_AVAILABLE: print("Testing ChromaDB Vector Store...") # Create vector store vector_store = PDFVectorStore() print(f"✅ Vector store created, count: {vector_store.get_count()}") # Create test PDFs strikes = np.linspace(400, 500, 100) pdf1 = np.exp(-0.5 * ((strikes - 450) / 15)**2) pdf1 = pdf1 / np.trapz(pdf1, strikes) pdf2 = np.exp(-0.5 * ((strikes - 451) / 14)**2) pdf2 = pdf2 / np.trapz(pdf2, strikes) # Add snapshots vector_store.add_snapshot( snapshot_id=1, pdf=pdf1, strikes=strikes, metadata={'ticker': 'SPY', 'date': '2024-01-01'} ) vector_store.add_snapshot( snapshot_id=2, pdf=pdf2, strikes=strikes, metadata={'ticker': 'SPY', 'date': '2024-01-02'} ) print(f"✅ Added 2 snapshots, count: {vector_store.get_count()}") # Search for similar similar = vector_store.find_similar( pdf=pdf1, strikes=strikes, n_results=5 ) print(f"✅ Found {len(similar)} similar snapshots") for s in similar: print(f" - ID {s['id']}: similarity={s['similarity']:.2%}") # Persist vector_store.persist() print("\n✅ All vector store tests passed!") else: print("⚠️ ChromaDB not available, skipping tests")