Chris Amow
52e657fb1e
CHART_FUTURES emits a bar only once its minute is over, so the chart stepped once a minute and sat still in between, which reads as a dead feed. LEVEL_ONE_FUTURES carries real trades on the same socket and the same login — no extra REST call, no extra rate limit — and reports delayed: False on this account. It was verified back in M6 and never subscribed to. It is now, building a forming bar for the current minute that the authoritative CHART_FUTURES bar then supersedes. Three constraints shaped it, each a real bug avoided: - Tick bars never reach the aggregator. It accumulates with current.v += incoming.v, so re-sending the same forming minute would add its volume into every higher timeframe again on every update. Runtime.on_bar returns early for an unclosed bar: store, set price, broadcast, stop. - Emissions are throttled, SCHWAB_TICK_SECONDS default 1.0, because /ES trades many times a second and each emission is a store write plus a broadcast to every open socket. Negative drops the Level 1 subscription entirely. - A tick for a minute CHART_FUTURES has already closed is dropped, or a late trade would overwrite a settled exchange bar with a partial one. Bid-only updates are skipped rather than carried forward: a bid is not a trade and must not extend a candle's high or low. Alerts stay on closed bars — a level is judged on a settled bar, not a price that may not last the minute — which needed no change, since on_bar already gated on closed. Verified against the live socket: 15 forming bars and 2 closed bars in 100 seconds, the closed bar superseding each forming minute. Verified in a browser: the last candle's high and low visibly extend within the minute, no console errors. 85 tests pass, four of them new. The plan gains the cold-restart options asked for: make seeding non-quadratic first, then persist cooldowns, then persist bars. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
84 lines
3.3 KiB
Python
84 lines
3.3 KiB
Python
from pathlib import Path
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from pydantic_settings import BaseSettings, SettingsConfigDict
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from app.bars.models import Timeframe
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TIMEFRAME_WEIGHT = {
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Timeframe.M1: 1,
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Timeframe.M2: 1,
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Timeframe.M5: 1,
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Timeframe.M15: 2,
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Timeframe.M30: 3,
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Timeframe.H1: 4,
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Timeframe.D1: 16,
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}
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MA_WEIGHT_FACTOR = 0.75
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class Settings(BaseSettings):
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model_config = SettingsConfigDict(env_file=".env", extra="ignore")
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live_source: str = "yahoo"
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seed_source: str = "yahoo"
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yahoo_symbol: str = "ES=F"
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yahoo_poll_seconds: float = 20
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seed_1h_range: str = "730d"
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seed_1m_range: str = "8d"
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timeframes: str = "1m,5m,15m,30m,1h,1d"
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base_timeframes: str = "1m,30m,1d"
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max_bars_per_tf: int = 5000
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ma_sets__1d: str = "sma10,sma20,sma50,sma100,sma200"
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daily_anchor_et: str = "18:00"
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manual_lines_path: Path = Path("./data/manual_lines.json")
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# Schwab. Empty until the app's keys are issued; nothing reads them while
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# live_source is yahoo. The token lives under data/ so it lands on the
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# Coolify persistent volume — a rebuild would otherwise log you out, and
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# re-authenticating is an interactive browser flow.
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schwab_api_key: str = ""
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schwab_app_secret: str = ""
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schwab_callback_url: str = "https://chart.amow.com/api/qt"
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schwab_token_path: Path = Path("./data/.schwab_token.json")
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schwab_symbol: str = "/ES"
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# Seconds between forming-bar emissions built from LEVEL_ONE_FUTURES ticks.
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# Set negative to drop the Level 1 subscription and take closed minute bars
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# only. 1.0 is a candle that visibly moves without a broadcast per trade.
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schwab_tick_seconds: float = 1.0
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confluence_min_score: float = 28
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# Four hours, chosen from the sweep in scripts/calibrate_alerts.py. Suppression is
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# per price zone, so an unrelated zone still alerts immediately; this only
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# governs how often the *same* area repeats itself.
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alert_cooldown_seconds: int = 14400
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ntfy_topic: str = ""
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ntfy_server: str = "https://ntfy.sh"
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chart_auth_token: str = ""
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replay_file: Path | None = None
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@property
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def live_symbol(self) -> str:
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"""What the live source calls the instrument.
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Yahoo wants ES=F, Schwab wants /ES. Seeding always uses the Yahoo
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symbol, because Yahoo is always the source of history.
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"""
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return self.schwab_symbol if self.live_source == "schwab" else self.yahoo_symbol
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@property
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def enabled_timeframes(self) -> list[Timeframe]:
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return [Timeframe(value.strip()) for value in self.timeframes.split(",") if value.strip()]
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@property
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def ma_sets(self) -> dict[Timeframe, list[tuple[str, int]]]:
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configured = {Timeframe.D1: self.ma_sets__1d}
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result: dict[Timeframe, list[tuple[str, int]]] = {}
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for tf, value in configured.items():
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definitions = []
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for item in filter(None, (part.strip().lower() for part in value.split(","))):
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kind = "sma" if item.startswith("sma") else "ema" if item.startswith("ema") else ""
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if not kind or not item[len(kind) :].isdigit():
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raise ValueError(f"Invalid MA definition: {item}")
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definitions.append((kind, int(item[len(kind) :])))
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result[tf] = definitions
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return result
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