mirror of
https://github.com/Sabermrddz/QuantCore-FX.git
synced 2026-08-15 03:38:05 +00:00
layer one v4
This commit is contained in:
saber
+6
-261
@@ -10,9 +10,6 @@ Fetches forex data from a local MetaTrader 5 terminal.
|
||||
Requirements:
|
||||
- MetaTrader 5 terminal installed and running with a demo/live account
|
||||
- pip install MetaTrader5
|
||||
|
||||
Fallback:
|
||||
- MockDataFeeder for testing without MT5
|
||||
"""
|
||||
|
||||
import time
|
||||
@@ -219,7 +216,7 @@ class Mt5DataFeeder:
|
||||
continue
|
||||
rates = self._mt5.copy_rates_from_pos(mt5_pair, tf, 0, count)
|
||||
if rates is not None:
|
||||
closes = [r.close for r in rates]
|
||||
closes = [r["close"] for r in rates]
|
||||
all_closes[pair] = closes
|
||||
return all_closes
|
||||
|
||||
@@ -263,11 +260,11 @@ class Mt5DataFeeder:
|
||||
candles = []
|
||||
for r in rates:
|
||||
candles.append({
|
||||
"time": datetime.fromtimestamp(r.time).isoformat(),
|
||||
"open": r.open,
|
||||
"high": r.high,
|
||||
"low": r.low,
|
||||
"close": r.close,
|
||||
"time": datetime.fromtimestamp(r["time"]).isoformat(),
|
||||
"open": r["open"],
|
||||
"high": r["high"],
|
||||
"low": r["low"],
|
||||
"close": r["close"],
|
||||
})
|
||||
return candles
|
||||
|
||||
@@ -314,256 +311,4 @@ class Mt5DataFeeder:
|
||||
print("[MT5] Streaming stopped")
|
||||
|
||||
|
||||
class MockDataFeeder:
|
||||
"""Mock data feeder for testing — simulates intraday prices for all 28 pairs."""
|
||||
|
||||
USD_PAIRS = ["EUR_USD", "GBP_USD", "AUD_USD", "NZD_USD",
|
||||
"USD_JPY", "USD_CAD", "USD_CHF"]
|
||||
|
||||
def __init__(self):
|
||||
self.base_prices = {
|
||||
"EUR_USD": 1.0850,
|
||||
"GBP_USD": 1.2650,
|
||||
"AUD_USD": 0.6650,
|
||||
"NZD_USD": 0.6050,
|
||||
"USD_JPY": 149.50,
|
||||
"USD_CAD": 1.3750,
|
||||
"USD_CHF": 0.8920,
|
||||
}
|
||||
self.price_callbacks = []
|
||||
self.connected = True
|
||||
self._running = False
|
||||
self._cached_bars: Dict[str, List[float]] = {}
|
||||
self._tick_index = 0
|
||||
|
||||
def test_connection(self) -> bool:
|
||||
return True
|
||||
|
||||
def get_all_major_pairs(self) -> List[str]:
|
||||
pairs = []
|
||||
for base in config.CURRENCIES:
|
||||
for quote in config.CURRENCIES:
|
||||
if base != quote:
|
||||
pairs.append(f"{base}_{quote}")
|
||||
return pairs
|
||||
|
||||
def generate_mock_bars(self, n_bars: int = 288) -> Dict[str, List[float]]:
|
||||
"""Generate n_bars simulated M5 close prices with realistic behavior.
|
||||
|
||||
Uses an Ornstein-Uhlenbeck process (mean-reverting random walk with
|
||||
drift) for each of the 7 USD pairs, then derives all 28 cross rates.
|
||||
This gives 24h (288 M5 bars) of realistic forex data where Z-scores
|
||||
reflect genuine multi-hour deviations.
|
||||
|
||||
Caches the generated bars so subsequent tick prices are anchored
|
||||
to the last bar close — not the initial base price.
|
||||
"""
|
||||
import random
|
||||
bars: Dict[str, List[float]] = {}
|
||||
usd_pair_bars: Dict[str, List[float]] = {}
|
||||
|
||||
for pair in self.USD_PAIRS:
|
||||
base = self.base_prices.get(pair, 1.0)
|
||||
series = []
|
||||
price = base
|
||||
drift = random.uniform(-config.MOCK_DRIFT, config.MOCK_DRIFT)
|
||||
theta = config.MOCK_THETA
|
||||
long_term_mean = base
|
||||
|
||||
for i in range(n_bars):
|
||||
noise = random.gauss(0, config.MOCK_NOISE_STD)
|
||||
reversion = theta * (long_term_mean - price)
|
||||
seasonal = config.MOCK_SEASONAL_AMP * random.uniform(-1, 1)
|
||||
price = price + reversion + drift + seasonal + noise
|
||||
series.append(price)
|
||||
|
||||
usd_pair_bars[pair] = series
|
||||
|
||||
pairs_list = self.get_all_major_pairs()
|
||||
for pair in pairs_list:
|
||||
base_c, quote_c = pair.split("_")
|
||||
derived = []
|
||||
for i in range(n_bars):
|
||||
usd_rates = {"USD": 1.0}
|
||||
for up in self.USD_PAIRS:
|
||||
b, q = up.split("_")
|
||||
mid = usd_pair_bars[up][i]
|
||||
if b == "USD":
|
||||
usd_rates[q] = 1.0 / mid if mid else 0
|
||||
else:
|
||||
usd_rates[b] = mid
|
||||
bv = usd_rates.get(base_c, 0)
|
||||
qv = usd_rates.get(quote_c, 1)
|
||||
derived.append(bv / qv if qv else 0)
|
||||
bars[pair] = derived
|
||||
|
||||
self._cached_bars = bars
|
||||
self._tick_index = 0
|
||||
return bars
|
||||
|
||||
def _current_bar_prices(self) -> Dict[str, float]:
|
||||
"""Get the latest bar close prices for all pairs."""
|
||||
if not self._cached_bars:
|
||||
return {}
|
||||
prices = {}
|
||||
for pair in self.get_all_major_pairs():
|
||||
bars = self._cached_bars.get(pair)
|
||||
if bars:
|
||||
prices[pair] = bars[-1]
|
||||
return prices
|
||||
|
||||
def _tick_price(self, pair: str) -> float:
|
||||
"""Return price anchored to last bar close + small noise.
|
||||
|
||||
Uses the last bar close from _cached_bars as the anchor, so the
|
||||
tick price is always near the most recent bar and Z-scores reflect
|
||||
the bar position relative to the 24-hour history, not random noise.
|
||||
"""
|
||||
import random
|
||||
last_bars = self._cached_bars.get(pair) if self._cached_bars else None
|
||||
if last_bars and len(last_bars) > 0:
|
||||
base = last_bars[-1]
|
||||
else:
|
||||
base = self.base_prices.get(pair, 1.0)
|
||||
return base + random.uniform(-config.MOCK_TICK_NOISE, config.MOCK_TICK_NOISE)
|
||||
|
||||
def get_current_price(self, currency_pair: str) -> Optional[Dict]:
|
||||
"""Get price for any pair, deriving cross rates from USD pairs."""
|
||||
import random
|
||||
usd_rates = {}
|
||||
for p in self.USD_PAIRS:
|
||||
base, quote = p.split("_")
|
||||
mid = self._tick_price(p)
|
||||
if base == "USD":
|
||||
usd_rates[quote] = 1.0 / mid if mid != 0 else None
|
||||
else:
|
||||
usd_rates[base] = mid
|
||||
usd_rates["USD"] = 1.0
|
||||
|
||||
base_c, quote_c = currency_pair.split("_")
|
||||
base_val = usd_rates.get(base_c)
|
||||
quote_val = usd_rates.get(quote_c)
|
||||
if base_val is None or quote_val is None:
|
||||
return None
|
||||
price = base_val / quote_val
|
||||
return {
|
||||
"pair": currency_pair,
|
||||
"time": datetime.now().isoformat(),
|
||||
"mid": price,
|
||||
"bid": price - config.MOCK_BID_ASK_SPREAD,
|
||||
"ask": price + config.MOCK_BID_ASK_SPREAD,
|
||||
}
|
||||
|
||||
def fetch_all_rates(self) -> Dict[str, float]:
|
||||
"""Derive all 28 cross rates from 7 USD pairs (same as Mt5DataFeeder)."""
|
||||
usd_rates: Dict[str, Optional[float]] = {}
|
||||
for p in self.USD_PAIRS:
|
||||
base, quote = p.split("_")
|
||||
mid = self._tick_price(p)
|
||||
if base == "USD":
|
||||
usd_rates[quote] = 1.0 / mid if mid != 0 else None
|
||||
else:
|
||||
usd_rates[base] = mid
|
||||
usd_rates["USD"] = 1.0
|
||||
|
||||
rates = {}
|
||||
for base in config.CURRENCIES:
|
||||
for quote in config.CURRENCIES:
|
||||
if base == quote:
|
||||
continue
|
||||
bv = usd_rates.get(base)
|
||||
qv = usd_rates.get(quote)
|
||||
if bv is not None and qv is not None:
|
||||
rates[f"{base}_{quote}"] = bv / qv
|
||||
return rates
|
||||
|
||||
def get_order_book(self, currency_pair: str) -> Optional[Dict]:
|
||||
"""Mock order book — simulated bid/ask/spread."""
|
||||
price = self.get_current_price(currency_pair)
|
||||
if not price:
|
||||
return None
|
||||
return {
|
||||
"pair": currency_pair,
|
||||
"bid": price["mid"] - config.MOCK_BID_ASK_SPREAD,
|
||||
"ask": price["mid"] + config.MOCK_BID_ASK_SPREAD,
|
||||
"spread": config.MOCK_BID_ASK_SPREAD * 2,
|
||||
"mid": price["mid"],
|
||||
"time": datetime.now().isoformat(),
|
||||
}
|
||||
|
||||
def fetch_historical_closes_all_pairs(
|
||||
self, days: int = 30, interval: str = "1d"
|
||||
) -> Dict[str, List[float]]:
|
||||
"""Mock historical close prices — random walk for all 28 pairs."""
|
||||
import random
|
||||
closes: Dict[str, List[float]] = {}
|
||||
pairs = self.get_all_major_pairs()
|
||||
all_rates = self.fetch_all_rates()
|
||||
for pair in pairs:
|
||||
base = all_rates.get(pair, 1.0)
|
||||
series = []
|
||||
price = base
|
||||
for _ in range(days):
|
||||
price += random.uniform(-config.MOCK_HISTORICAL_DAILY_NOISE, config.MOCK_HISTORICAL_DAILY_NOISE)
|
||||
series.append(price)
|
||||
closes[pair] = series
|
||||
return closes
|
||||
|
||||
def get_historical_candles(
|
||||
self,
|
||||
from_currency: str = "USD",
|
||||
to_currency: str = "JPY",
|
||||
interval: str = "1min",
|
||||
outputsize: str = "compact",
|
||||
) -> Optional[List[Dict]]:
|
||||
import random
|
||||
candles = []
|
||||
count = 100 if outputsize == "full" else 20
|
||||
pair = f"{from_currency}_{to_currency}"
|
||||
base = self._cached_bars.get(pair, [None])[-1] if self._cached_bars.get(pair) else 1.0
|
||||
for i in range(count):
|
||||
noise = random.uniform(-0.005, 0.005)
|
||||
price = base + noise
|
||||
candles.append({
|
||||
"time": (datetime.now() - timedelta(minutes=count - i)).isoformat(),
|
||||
"open": price,
|
||||
"high": price + 0.01,
|
||||
"low": price - 0.01,
|
||||
"close": price + random.uniform(-0.005, 0.005),
|
||||
})
|
||||
return candles
|
||||
|
||||
def stream_prices(self, instruments: List[str], callback: Callable, poll_interval: int = 1):
|
||||
"""Derive all 28 rates and feed callback for each instrument (same as MT5)."""
|
||||
self.price_callbacks.append(callback)
|
||||
self._running = True
|
||||
|
||||
def mock_stream():
|
||||
while self._running:
|
||||
all_rates = self.fetch_all_rates()
|
||||
for pair in instruments:
|
||||
rate = all_rates.get(pair)
|
||||
if rate:
|
||||
callback({
|
||||
"pair": pair,
|
||||
"time": datetime.now().isoformat(),
|
||||
"mid": rate,
|
||||
"bid": rate,
|
||||
"ask": rate,
|
||||
})
|
||||
time.sleep(poll_interval)
|
||||
|
||||
thread = threading.Thread(target=mock_stream, daemon=True)
|
||||
thread.start()
|
||||
|
||||
def stop_streaming(self):
|
||||
"""Stop the mock data stream."""
|
||||
self._running = False
|
||||
if config.DEBUG:
|
||||
print("[Mock] Streaming stopped")
|
||||
|
||||
def on_price_update(self, callback: Callable):
|
||||
self.price_callbacks.append(callback)
|
||||
|
||||
def on_error(self, callback: Callable):
|
||||
pass
|
||||
|
||||
Reference in New Issue
Block a user