mirror of
https://github.com/Sabermrddz/QuantCore-FX.git
synced 2026-08-09 17:00:57 +00:00
layer one v4
This commit is contained in:
saber
+104
-51
@@ -1,32 +1,22 @@
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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 math
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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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def __init__(self, lookback: int = None, timeframe: str = None):
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self.current_timeframe = timeframe or config.DEFAULT_TIMEFRAME
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tf_config = config.TIMEFRAMES.get(self.current_timeframe, config.TIMEFRAMES["M15"])
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if lookback is None:
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lookback = config.BAR_LOOKBACK_BARS
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lookback = tf_config["bars"]
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self.bar_lookback = lookback
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self.tick_lookback = 20
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self.atr_period = config.SL_ATR_PERIOD
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self.bar_history: Dict[str, deque] = {}
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self.ohlc_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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@@ -37,50 +27,60 @@ class TechnicalAnalyzer:
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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.ohlc_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 set_timeframe(self, tf_key: str):
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tf_config = config.TIMEFRAMES.get(tf_key)
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if not tf_config:
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return
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self.current_timeframe = tf_key
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new_lookback = tf_config["bars"]
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if new_lookback != self.bar_lookback:
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self.bar_lookback = new_lookback
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for pair in self.bar_history:
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self.bar_history[pair] = deque(
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list(self.bar_history[pair])[-new_lookback:],
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maxlen=new_lookback,
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)
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self.ohlc_history[pair] = deque(
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list(self.ohlc_history[pair])[-new_lookback:],
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maxlen=new_lookback,
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)
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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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if high is not None and low is not None:
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self.ohlc_history[currency_pair].append((close, high, low))
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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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@@ -89,13 +89,11 @@ class TechnicalAnalyzer:
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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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@@ -114,7 +112,6 @@ class TechnicalAnalyzer:
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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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@@ -130,7 +127,6 @@ class TechnicalAnalyzer:
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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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@@ -179,40 +175,97 @@ class TechnicalAnalyzer:
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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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'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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if pair not in self.bar_history:
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continue
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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 seed_ohlc(self, ohlc_data: Dict[str, List[Dict]]):
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"""Seed both bar_history and ohlc_history from full candle data.
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Each dict in the list must have 'close', 'high', 'low' keys.
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"""
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for pair, candles in ohlc_data.items():
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if pair not in self.bar_history:
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continue
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self.bar_history[pair].clear()
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self.ohlc_history[pair].clear()
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n_bars = min(len(candles), self.bar_lookback)
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for i in range(-n_bars, 0):
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c = candles[i]
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self.bar_history[pair].append(c["close"])
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self.ohlc_history[pair].append((c["close"], c["high"], c["low"]))
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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.ohlc_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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# ------------------------------------------------------------------
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# ATR + SL/TP
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# ------------------------------------------------------------------
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def calculate_atr(self, pair: str, period: int = None) -> Optional[float]:
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if period is None:
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period = self.atr_period
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ohlc = list(self.ohlc_history.get(pair, []))
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if len(ohlc) < period + 1:
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return None
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tr_values = []
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for i in range(1, len(ohlc)):
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_, h, l = ohlc[i]
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_, prev_c, _ = ohlc[i - 1]
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tr = max(h - l, abs(h - prev_c), abs(l - prev_c))
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tr_values.append(tr)
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if len(tr_values) < period:
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return None
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atr = sum(tr_values[-period:]) / period
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return atr
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def calculate_sl_tp(
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self, pair: str, direction: str, entry_price: float
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) -> Dict[str, float]:
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atr = self.calculate_atr(pair)
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result = {"entry": entry_price, "sl": None, "tp": None, "atr": atr}
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sl_mult = config.SL_ATR_MULTIPLIER
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rr = config.TRADE_RR_RATIO
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if atr is not None and atr > 0:
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sl_distance = atr * sl_mult
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tp_distance = sl_distance * rr
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if direction == "LONG":
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result["sl"] = entry_price - sl_distance
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result["tp"] = entry_price + tp_distance
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else:
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result["sl"] = entry_price + sl_distance
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result["tp"] = entry_price - tp_distance
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return result
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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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