Verified against a live account before and after writing it. CHART_FUTURES delivers one true-OHLCV minute bar per symbol per minute, LEVEL_ONE_FUTURES reports delayed: false, and consecutive bars arrived sixty seconds apart through the production code path. Yahoo stays. Schwab serves no futures history whatever, so seed_source resolves to Yahoo even when SEED_SOURCE=schwab is asked for — the pairing is the intended configuration rather than a fallback. The symbols differ, ES=F against /ES, so Settings.live_symbol picks the live one while seeding always uses Yahoo's. Three findings worth keeping, each of which cost a round trip: - get_quote() singular returns the wrong instrument entirely. It puts the symbol in the URL path, where the leading slash is normalised away, so /ES resolves to Eversource Energy at $72 and returns HTTP 200 with a populated body. Only get_quotes() plural, which passes symbols as a query parameter, returns the future. A 200 is not evidence; assetMainType is. - Streaming requires the Accounts and Trading product. StreamClient.login() reads /trader/v1/userPreference for its socket URL, and that path does not exist in Market Data Production. - /ES resolves to the active contract on Schwab's side, so the contract roll handling the plan left open needs no code. The stream drops the oldest queued message rather than stalling the socket, and surfaces a dead pump task instead of waiting forever on a queue nothing fills. schwab-py moves into requirements.txt, imported only when LIVE_SOURCE=schwab. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
195 lines
8.4 KiB
Python
195 lines
8.4 KiB
Python
import asyncio
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import logging
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from dataclasses import dataclass, field
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from app.analysis.alerts import Alert, AlertEngine
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from app.bars.models import Bar, Timeframe
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from app.bars.aggregator import Aggregator
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from app.analysis.bar_space import price_in_bar_space
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from app.analysis.horizontals import build_prior_day_levels
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from app.analysis.levels import Level
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from app.analysis.moving_averages import build_ma_levels
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from app.analysis.vwap import build_vwap_level
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from app.analysis.confluence import Cluster, cluster_levels
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from app.analysis.indicators import atr
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from app.analysis.manual_lines import ManualLineStore
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from app.bars.store import InMemoryBarStore
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from app.config import Settings
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from app.market.factory import live_source, seed_source
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from app.market.stream import StreamService
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from app.notify.ntfy import send_ntfy
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logger = logging.getLogger(__name__)
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@dataclass
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class Runtime:
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settings: Settings
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store: InMemoryBarStore = field(init=False)
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stream: StreamService = field(init=False)
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subscribers: set[asyncio.Queue[dict]] = field(default_factory=set)
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aggregator: Aggregator = field(init=False)
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levels: list[Level] = field(default_factory=list)
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clusters: list[Cluster] = field(default_factory=list)
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price: float | None = None
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atr15: float = 0.0
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manual_lines: ManualLineStore = field(init=False)
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ma_levels: list[Level] = field(default_factory=list)
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alert_engine: AlertEngine = field(init=False)
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_sent_levels: dict[str, dict] = field(default_factory=dict)
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_notify_tasks: set[asyncio.Task] = field(default_factory=set)
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def __post_init__(self) -> None:
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self.store = InMemoryBarStore(self.settings.max_bars_per_tf)
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self.aggregator = Aggregator(self.settings.enabled_timeframes)
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self.manual_lines = ManualLineStore(self.settings.manual_lines_path)
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# One engine for the process, not one per browser connection. Cooldowns
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# are only meaningful if they outlive a page reload, and a phone push
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# must not depend on a tab being open to produce it.
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self.alert_engine = AlertEngine(
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self.settings.confluence_min_score, self.settings.alert_cooldown_seconds
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)
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self.levels = self.manual_lines.levels()
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self.stream = StreamService(live_source(self.settings), self.settings.live_symbol)
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self.stream.add_handler(self.on_bar)
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async def on_bar(self, bar: Bar) -> None:
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evaluate_alerts = False
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for aggregated in self.aggregator.update(bar):
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self.store.put(aggregated)
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self.broadcast({"type": "bar", "bar": aggregated})
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if self.settings.ma_sets.get(aggregated.tf):
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self.rebuild_levels()
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if aggregated.tf is Timeframe.M1 and aggregated.closed:
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self.price = aggregated.c
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evaluate_alerts = True
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if evaluate_alerts:
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values = atr(self.store.get(Timeframe.M15), 14)
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self.atr15 = next((value for value in reversed(values) if value is not None), 0.0)
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# VWAP re-prices every minute, so levels are rebuilt here too. The
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# broadcast is a delta, which is what keeps that affordable.
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self.rebuild_levels()
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self.rebuild_clusters(evaluate_alerts=True)
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def broadcast(self, event: dict) -> None:
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for queue in self.subscribers.copy():
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if queue.full():
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queue.get_nowait()
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queue.put_nowait(event)
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def rebuild_levels(self) -> None:
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self.ma_levels = build_ma_levels(
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{tf: self.store.get(tf) for tf in self.settings.ma_sets},
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self.settings.ma_sets,
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)
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minute_bars = self.store.get(Timeframe.M1)
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manual = self.manual_lines.levels()
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self.position_manual_levels(manual, minute_bars)
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self.levels = (
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self.ma_levels
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+ build_prior_day_levels(self.store.get(Timeframe.D1), self.price)
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+ build_vwap_level(minute_bars)
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+ manual
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)
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self.broadcast_level_delta()
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self.rebuild_clusters()
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@staticmethod
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def position_manual_levels(levels: list[Level], bars: list[Bar]) -> None:
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"""Price sloped lines across bars rather than seconds.
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The chart spaces bars evenly, so the line a person drew advances per bar.
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Pricing it per second instead put the alert somewhere the line visibly
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was not — 147 points out across a weekend.
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"""
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if not bars:
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return
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times = [bar.t for bar in bars]
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now = times[-1]
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for level in levels:
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if level.slope:
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level.current_p = price_in_bar_space(level, times, now)
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def broadcast_level_delta(self) -> None:
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"""Send only levels whose serialised form actually changed.
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A daily moving average carries hundreds of points and changes once a
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session; VWAP changes every minute. Broadcasting the whole set on the
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VWAP cadence would push the entire history every minute, so subscribers
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get a delta and merge it by id.
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"""
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current = {level.id: level.to_dict() for level in self.levels}
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changed = [value for id_, value in current.items() if self._sent_levels.get(id_) != value]
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removed = [id_ for id_ in self._sent_levels if id_ not in current]
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self._sent_levels = current
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if changed or removed:
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self.broadcast({"type": "levels", "changed": changed, "removed": removed})
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def rebuild_clusters(self, evaluate_alerts: bool = False) -> None:
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if self.price is None or self.stream.last_bar_t is None:
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return
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self.clusters = cluster_levels(self.levels, self.stream.last_bar_t, self.price, self.atr15)
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self.broadcast({"type": "clusters", "price": self.price, "clusters": self.clusters})
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if evaluate_alerts:
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# Evaluated over every level, deliberately ignoring per-connection
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# layer preferences: those are a display choice made in one browser,
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# and a push notification has no business depending on them.
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self.dispatch_alerts(
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self.alert_engine.evaluate(
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self.clusters,
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self.price,
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self.atr15,
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self.stream.last_bar_t,
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self.stream.symbol,
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)
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)
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def dispatch_alerts(self, alerts: list[Alert]) -> None:
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tripped: set[str] = set()
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for alert in alerts:
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self.broadcast({"type": "alert", "cluster": alert.cluster, "message": alert.message})
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task = asyncio.create_task(self.notify(alert.message))
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# Held so the task is not garbage collected mid-flight.
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self._notify_tasks.add(task)
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task.add_done_callback(self._notify_tasks.discard)
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tripped.update(alert.tripped)
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if tripped:
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self.disarm(tripped)
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def disarm(self, ids: set[str]) -> None:
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"""A hand-placed level fires once, then waits to be re-armed."""
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changed = False
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for line_id in ids:
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try:
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self.manual_lines.update(line_id, {"armed": False})
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changed = True
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except KeyError:
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continue
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# Rebuilt after the loop, not inside it: rebuild_levels re-enters
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# rebuild_clusters, and doing that mid-dispatch would rewrite the very
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# clusters being iterated.
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if changed:
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self.rebuild_levels()
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async def notify(self, message: str) -> None:
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try:
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await send_ntfy(self.settings.ntfy_server, self.settings.ntfy_topic, message)
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except Exception:
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# A push outage must not take down the stream or the sockets.
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logger.warning("ntfy delivery failed", exc_info=True)
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async def start(self) -> asyncio.Task:
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try:
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source = seed_source(self.settings)
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# Always the Yahoo symbol: Schwab has no history to seed from.
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seed_symbol = self.settings.yahoo_symbol
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await self.stream.seed(
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source, Timeframe.H1, self.settings.seed_1h_range, seed_symbol
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)
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await self.stream.seed(
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source, Timeframe.M1, self.settings.seed_1m_range, seed_symbol
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)
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except Exception:
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# A transient seed failure must not prevent the live stream or UI starting.
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pass
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return asyncio.create_task(self.stream.run(), name="market-stream")
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