mirror of
https://github.com/Sabermrddz/QuantCore-FX.git
synced 2026-08-02 13:37:45 +00:00
228 lines
8.4 KiB
Python
228 lines
8.4 KiB
Python
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from typing import Dict, List, Optional, Tuple
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from collections import deque
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import statistics
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import config
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class TechnicalAnalyzer:
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"""Real-time technical analysis with bar-anchored statistics (Task 1.1).
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Maintains two data streams:
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1. Bar history (M1/M5 candles) — the multi-hour statistical anchor
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for μ and σ (config.BAR_LOOKBACK_BARS, default 288 M5 bars = 24h).
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2. Live tick/poll deques — fast recent movement for display.
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Z-score formula (priority):
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If bar history has >= 2 bars: Z = (tick - μ_bars) / σ_bars
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Otherwise (fallback): Z = (tick - μ_ticks) / σ_ticks
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μ and σ prefer the multi-hour bar frame, but fall back to tick-based
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statistics when bars haven't been seeded yet.
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"""
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def __init__(self, lookback: int = None):
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if lookback is None:
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lookback = config.BAR_LOOKBACK_BARS
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self.bar_lookback = lookback
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self.tick_lookback = 20
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self.bar_history: Dict[str, deque] = {}
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self.price_history: Dict[str, deque] = {}
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self.volume_history: Dict[str, deque] = {}
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self.z_scores: Dict[str, float] = {}
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self.extremes: Dict[str, bool] = {}
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for base in config.CURRENCIES:
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for quote in config.CURRENCIES:
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if base != quote:
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pair = f"{base}_{quote}"
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self.bar_history[pair] = deque(maxlen=self.bar_lookback)
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self.price_history[pair] = deque(maxlen=self.tick_lookback)
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self.volume_history[pair] = deque(maxlen=self.tick_lookback)
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self.z_scores[pair] = 0.0
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self.extremes[pair] = False
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def add_bar(self, currency_pair: str, close: float, high: float = None,
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low: float = None, volume: int = 0):
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"""Add a completed M1/M5 bar to the multi-hour historical frame."""
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if currency_pair not in self.bar_history:
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return
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self.bar_history[currency_pair].append(close)
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def add_price_data(self, currency_pair: str, close_price: float,
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volume: float = 0):
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"""Add tick/poll price."""
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if currency_pair not in self.price_history:
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return
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self.price_history[currency_pair].append(close_price)
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if volume > 0:
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self.volume_history[currency_pair].append(volume)
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self._update_z_score(currency_pair)
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def _get_mean_std(self, currency_pair: str) -> Tuple[float, float]:
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"""Compute μ and σ, preferring bar history over tick history.
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Falls back to tick data when bars haven't been seeded yet,
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so the system works immediately from the first price update.
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"""
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bars = list(self.bar_history[currency_pair])
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if len(bars) >= 2:
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try:
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return (statistics.mean(bars), statistics.stdev(bars))
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except (ValueError, statistics.StatisticsError):
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pass
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ticks = list(self.price_history[currency_pair])
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if len(ticks) >= 2:
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try:
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return (statistics.mean(ticks), statistics.stdev(ticks))
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except (ValueError, statistics.StatisticsError):
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pass
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return (0.0, 0.0)
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def _update_z_score(self, currency_pair: str):
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prices = list(self.price_history[currency_pair])
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if len(prices) < 1:
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self.z_scores[currency_pair] = 0.0
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self.extremes[currency_pair] = False
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return
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mu, sigma = self._get_mean_std(currency_pair)
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if sigma == 0.0:
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self.z_scores[currency_pair] = 0.0
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self.extremes[currency_pair] = False
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return
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current_price = prices[-1]
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z_score = (current_price - mu) / sigma
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self.z_scores[currency_pair] = z_score
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self.extremes[currency_pair] = abs(z_score) >= config.Z_SCORE_THRESHOLD
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def get_z_score(self, currency_pair: str) -> float:
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return self.z_scores.get(currency_pair, 0.0)
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def is_extreme(self, currency_pair: str) -> bool:
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return self.extremes.get(currency_pair, False)
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def get_overbought_pairs(self) -> List[str]:
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return [pair for pair, z in self.z_scores.items() if z >= config.Z_SCORE_THRESHOLD]
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def get_oversold_pairs(self) -> List[str]:
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return [pair for pair, z in self.z_scores.items() if z <= -config.Z_SCORE_THRESHOLD]
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def get_volatility(self, currency_pair: str) -> float:
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"""Volatility from bar history, falling back to ticks."""
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bars = list(self.bar_history[currency_pair])
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if len(bars) >= 2:
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try:
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return statistics.stdev(bars)
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except (ValueError, statistics.StatisticsError):
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pass
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ticks = list(self.price_history[currency_pair])
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if len(ticks) >= 2:
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try:
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return statistics.stdev(ticks)
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except (ValueError, statistics.StatisticsError):
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pass
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return 0.0
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def get_mean_price(self, currency_pair: str) -> float:
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"""Mean from bar history, falling back to ticks."""
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bars = list(self.bar_history[currency_pair])
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if len(bars) >= 1:
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return statistics.mean(bars)
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ticks = list(self.price_history[currency_pair])
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if len(ticks) >= 1:
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return statistics.mean(ticks)
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return 0.0
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def is_mean_reverting(self, currency_pair: str, threshold: float = 0.5) -> bool:
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z = self.get_z_score(currency_pair)
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return abs(z) < threshold
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def get_last_price(self, currency_pair: str) -> Optional[float]:
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prices = self.price_history.get(currency_pair)
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if prices and len(prices) > 0:
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return prices[-1]
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return None
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def get_all_z_scores(self) -> Dict[str, float]:
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return self.z_scores.copy()
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def get_status_for_pair(self, currency_pair: str) -> Dict:
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z_score = self.get_z_score(currency_pair)
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volatility = self.get_volatility(currency_pair)
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mean_price = self.get_mean_price(currency_pair)
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is_extreme = self.is_extreme(currency_pair)
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if z_score > 2.5:
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status = "SEVERELY OVERBOUGHT"
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elif z_score > 2.0:
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status = "OVERBOUGHT"
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elif z_score > 0.5:
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status = "Moderately Overbought"
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elif z_score < -2.5:
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status = "SEVERELY OVERSOLD"
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elif z_score < -2.0:
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status = "OVERSOLD"
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elif z_score < -0.5:
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status = "Moderately Oversold"
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else:
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status = "Neutral"
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return {
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'pair': currency_pair,
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'z_score': z_score,
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'volatility': volatility,
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'mean_price': mean_price,
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'is_extreme': is_extreme,
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'status': status
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}
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def seed_bars(self, historical_bars: Dict[str, List[float]]):
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"""Seed bar_history with 288 M5 bars (24h) of historical close prices.
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Args:
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historical_bars: dict mapping pair -> list of close prices (oldest first)
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"""
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for pair, closes in historical_bars.items():
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if pair in self.bar_history:
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self.bar_history[pair].clear()
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for c in closes[-self.bar_lookback:]:
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self.bar_history[pair].append(c)
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if len(self.bar_history[pair]) >= 2:
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mu, sigma = self._get_mean_std(pair)
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ticks = list(self.price_history[pair])
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if ticks and sigma > 0:
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z = (ticks[-1] - mu) / sigma
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self.z_scores[pair] = z
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self.extremes[pair] = abs(z) >= config.Z_SCORE_THRESHOLD
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def clear_history(self):
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for pair in self.bar_history:
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self.bar_history[pair].clear()
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self.price_history[pair].clear()
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self.volume_history[pair].clear()
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self.z_scores[pair] = 0.0
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self.extremes[pair] = False
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class TechnicalSignal:
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"""Generates technical entry/exit signals based on Z-scores."""
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def __init__(self, analyzer: TechnicalAnalyzer):
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self.analyzer = analyzer
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def should_enter_on_extreme(self, currency_pair: str) -> bool:
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return self.analyzer.is_extreme(currency_pair)
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def should_exit_on_mean_reversion(self, currency_pair: str) -> bool:
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return self.analyzer.is_mean_reverting(currency_pair, threshold=0.5)
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def get_signal_strength(self, currency_pair: str) -> float:
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z = self.analyzer.get_z_score(currency_pair)
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return min(abs(z) / 3.0 * 100, 100.0)
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