"""Shared helpers used by the app, live_runner and the feature pipeline.""" import math import pandas as pd MINUTES_PER_CANDLE = {"1m": 1, "5m": 5, "10m": 10, "15m": 15, "30m": 30, "1h": 60, "4h": 240, "1d": 1440} # SMA_20/Bollinger need 20 candles; the rest is safety margin. INDICATOR_WARMUP_CANDLES = 30 # History handed to a model for a single live prediction. Comfortably above # every model's minimum (TimesFM's 32 is the largest) even on weekday-only # forex calendars, where ~5/7 of the requested days carry candles. PREDICTION_HISTORY_CANDLES = 200 def infer_step(index: pd.DatetimeIndex): """Median candle spacing, used to project forecasts past the last candle.""" if len(index) < 2: return pd.Timedelta(minutes=1) diffs = index.to_series().diff().dropna() if diffs.empty: return pd.Timedelta(minutes=1) return diffs.median() def future_index(last_timestamp, step, n): """`n` timestamps spaced `step` apart, starting after last_timestamp.""" return [last_timestamp + step * (i + 1) for i in range(n)] def history_days_for_candles(timeframe: str, candles: int, minimum_days: int = 1) -> int: """Calendar days that cover `candles` candles of this timeframe. Markets that close (forex, weekends) yield fewer candles than this, so callers should treat the result as a lower bound and clamp it against the data source's own history limit.""" minutes = MINUTES_PER_CANDLE.get(timeframe, 60) * max(int(candles), 0) return max(minimum_days, math.ceil(minutes / (24 * 60))) def feature_warmup_days(timeframe: str, minimum_days: int = 2) -> int: """Extra days of history the indicators need before the tested period.""" return history_days_for_candles(timeframe, INDICATOR_WARMUP_CANDLES, minimum_days=minimum_days) def drop_forming_candle(df: pd.DataFrame, features_df: pd.DataFrame = None): """Drop the newest candle while it is still forming. Yahoo returns the in-progress candle, whose Close keeps moving, so grading a prediction against it compares against an unsettled value. features_df is trimmed with it to keep the two positionally aligned.""" if df is None or len(df) == 0: return df, features_df last = df.index[-1] now = pd.Timestamp.now(tz="UTC") if last.tzinfo is None: now = now.tz_localize(None) if now - last >= infer_step(df.index): return df, features_df df = df.iloc[:-1] if features_df is not None: features_df = features_df.iloc[:-1].reset_index(drop=True) return df, features_df