data input audit, cleanup

utils/audit_plotter.py

@@ -0,0 +1,158 @@
+"""
+Audit Plotter
+
+Create PNG snapshots of model input data at inference time:
+- Subplot 1: 1s candlesticks for recent window
+- Subplot 2: COB bucket volumes and imbalance near current price
+
+Windows-safe, ASCII-only logging messages.
+"""
+
+from __future__ import annotations
+
+import os
+import math
+import logging
+from datetime import datetime
+from typing import List, Tuple
+
+try:
+    import matplotlib
+    # Use a non-interactive backend suitable for headless servers
+    matplotlib.use("Agg")
+    import matplotlib.pyplot as plt
+except Exception:
+    matplotlib = None  # type: ignore
+    plt = None  # type: ignore
+
+
+logger = logging.getLogger(__name__)
+
+
+def _extract_recent_ohlcv(base_data, max_bars: int = 120) -> Tuple[List[datetime], List[float], List[float], List[float], List[float]]:
+    """Return recent 1s OHLCV arrays (time, open, high, low, close). Falls back to 1m if needed."""
+    series = base_data.ohlcv_1s if getattr(base_data, "ohlcv_1s", None) else []
+    if not series or len(series) < 5:
+        series = base_data.ohlcv_1m if getattr(base_data, "ohlcv_1m", None) else []
+
+    series = series[-max_bars:] if series else []
+    times = [b.timestamp for b in series]
+    opens = [float(b.open) for b in series]
+    highs = [float(b.high) for b in series]
+    lows = [float(b.low) for b in series]
+    closes = [float(b.close) for b in series]
+    return times, opens, highs, lows, closes
+
+
+def _extract_cob(base_data, max_buckets: int = 40):
+    """Return sorted price buckets and metrics from COBData."""
+    cob = getattr(base_data, "cob_data", None)
+    if cob is None or not getattr(cob, "price_buckets", None):
+        return [], [], [], []
+
+    # Sort by price and clip
+    prices = sorted(list(cob.price_buckets.keys()))[:max_buckets]
+    bid_vol = []
+    ask_vol = []
+    imb = []
+    for p in prices:
+        bucket = cob.price_buckets.get(p, {})
+        b = float(bucket.get("bid_volume", 0.0))
+        a = float(bucket.get("ask_volume", 0.0))
+        bid_vol.append(b)
+        ask_vol.append(a)
+        denom = (b + a) if (b + a) > 0 else 1.0
+        imb.append((b - a) / denom)
+    return prices, bid_vol, ask_vol, imb
+
+
+def save_inference_audit_image(base_data, model_name: str, symbol: str, out_root: str = "audit_inputs") -> str:
+    """Save a PNG snapshot of input data. Returns path if saved, else empty string."""
+    if matplotlib is None or plt is None:
+        logger.warning("matplotlib not available; skipping audit image")
+        return ""
+
+    try:
+        # Ensure output directory structure
+        day_dir = datetime.utcnow().strftime("%Y%m%d")
+        out_dir = os.path.join(out_root, day_dir)
+        os.makedirs(out_dir, exist_ok=True)
+
+        # File name: {ts}_{symbol}_{model}.png (ASCII-only)
+        ts_str = datetime.utcnow().strftime("%H%M%S_%f")
+        safe_symbol = symbol.replace("/", "-")
+        fname = f"{ts_str}_{safe_symbol}_{model_name}.png"
+        out_path = os.path.join(out_dir, fname)
+
+        # Extract data
+        times, o, h, l, c = _extract_recent_ohlcv(base_data)
+        prices, bid_v, ask_v, imb = _extract_cob(base_data)
+        current_price = float(getattr(getattr(base_data, "cob_data", None), "current_price", 0.0))
+
+        # Prepare figure
+        fig = plt.figure(figsize=(12, 7), dpi=110)
+        gs = fig.add_gridspec(2, 1, height_ratios=[3, 2])
+
+        # Candlestick subplot
+        ax1 = fig.add_subplot(gs[0, 0])
+        if times:
+            x = list(range(len(times)))
+            # Plot high-low wicks
+            ax1.vlines(x, l, h, color="#444444", linewidth=1)
+            # Plot body as rectangle via bar with bottom=min(open, close) and height=abs(diff)
+            bodies = [c[i] - o[i] for i in range(len(o))]
+            bottoms = [min(o[i], c[i]) for i in range(len(o))]
+            colors = ["#00aa55" if bodies[i] >= 0 else "#cc3333" for i in range(len(bodies))]
+            heights = [abs(bodies[i]) if abs(bodies[i]) > 1e-9 else 1e-9 for i in range(len(bodies))]
+            ax1.bar(x, heights, bottom=bottoms, color=colors, width=0.6, align="center", edgecolor="#222222", linewidth=0.5)
+            # Labels
+            ax1.set_title(f"{safe_symbol} Candles (recent)")
+            ax1.set_ylabel("Price")
+            ax1.grid(True, linestyle=":", linewidth=0.6, alpha=0.6)
+        else:
+            ax1.text(0.5, 0.5, "No OHLCV data", ha="center", va="center")
+
+        # COB subplot
+        ax2 = fig.add_subplot(gs[1, 0])
+        if prices:
+            # Normalize x as offsets around current price if available
+            if current_price > 0:
+                xvals = [p - current_price for p in prices]
+                ax2.axvline(0.0, color="#666666", linestyle="--", linewidth=1.0)
+                ax2.set_xlabel("Price offset")
+            else:
+                xvals = prices
+                ax2.set_xlabel("Price")
+
+            # Plot bid/ask volumes
+            ax2.plot(xvals, bid_v, label="bid_vol", color="#2c7fb8")
+            ax2.plot(xvals, ask_v, label="ask_vol", color="#d95f0e")
+            # Secondary axis for imbalance
+            ax2b = ax2.twinx()
+            ax2b.plot(xvals, imb, label="imbalance", color="#6a3d9a", linewidth=1.2)
+            ax2b.set_ylabel("Imbalance")
+            ax2.set_ylabel("Volume")
+            ax2.grid(True, linestyle=":", linewidth=0.6, alpha=0.6)
+            # Build combined legend
+            lines, labels = ax2.get_legend_handles_labels()
+            lines2, labels2 = ax2b.get_legend_handles_labels()
+            ax2.legend(lines + lines2, labels + labels2, loc="upper right")
+            ax2.set_title("COB Buckets (recent)")
+        else:
+            ax2.text(0.5, 0.5, "No COB data", ha="center", va="center")
+
+        fig.tight_layout()
+        fig.savefig(out_path, bbox_inches="tight")
+        plt.close(fig)
+
+        logger.info(f"Saved audit image: {out_path}")
+        return out_path
+    except Exception as ex:
+        logger.error(f"Failed to save audit image: {ex}")
+        try:
+            plt.close("all")
+        except Exception:
+            pass
+        return ""
+
+