546 lines
24 KiB
Python
546 lines
24 KiB
Python
#!/usr/bin/env python3
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"""
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Trade Data Manager - Centralized trade data capture and training case management
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Handles:
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- Comprehensive model input capture during trade execution
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- Storage in testcases structure (positive/negative)
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- Case indexing and management
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- Integration with existing negative case trainer
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- Cold start training data preparation
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"""
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import os
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import json
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import pickle
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import logging
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from datetime import datetime
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from typing import Dict, List, Any, Optional, Tuple
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import numpy as np
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logger = logging.getLogger(__name__)
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class TradeDataManager:
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"""Centralized manager for trade data capture and training case storage"""
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def __init__(self, base_dir: str = "testcases"):
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self.base_dir = base_dir
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self.cases_cache = {} # In-memory cache of recent cases
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self.max_cache_size = 100
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# Initialize directory structure
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self._setup_directory_structure()
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logger.info(f"TradeDataManager initialized with base directory: {base_dir}")
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def _setup_directory_structure(self):
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"""Setup the testcases directory structure"""
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try:
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for case_type in ['positive', 'negative']:
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for subdir in ['cases', 'sessions', 'models']:
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dir_path = os.path.join(self.base_dir, case_type, subdir)
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os.makedirs(dir_path, exist_ok=True)
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logger.debug("Directory structure setup complete")
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except Exception as e:
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logger.error(f"Error setting up directory structure: {e}")
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def capture_comprehensive_model_inputs(self, symbol: str, action: str, current_price: float,
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orchestrator=None, data_provider=None) -> Dict[str, Any]:
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"""Capture comprehensive model inputs for cold start training"""
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try:
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logger.info(f"Capturing model inputs for {action} trade on {symbol} at ${current_price:.2f}")
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model_inputs = {
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'timestamp': datetime.now().isoformat(),
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'symbol': symbol,
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'action': action,
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'price': current_price,
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'capture_type': 'trade_execution'
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}
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# 1. Market State Features
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try:
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market_state = self._get_comprehensive_market_state(symbol, current_price, data_provider)
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model_inputs['market_state'] = market_state
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logger.debug(f"Captured market state: {len(market_state)} features")
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except Exception as e:
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logger.warning(f"Error capturing market state: {e}")
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model_inputs['market_state'] = {}
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# 2. CNN Features and Predictions
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try:
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cnn_data = self._get_cnn_features_and_predictions(symbol, orchestrator)
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model_inputs['cnn_features'] = cnn_data.get('features', {})
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model_inputs['cnn_predictions'] = cnn_data.get('predictions', {})
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logger.debug(f"Captured CNN data: {len(cnn_data)} items")
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except Exception as e:
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logger.warning(f"Error capturing CNN data: {e}")
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model_inputs['cnn_features'] = {}
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model_inputs['cnn_predictions'] = {}
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# 3. DQN/RL State Features
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try:
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dqn_state = self._get_dqn_state_features(symbol, current_price, orchestrator)
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model_inputs['dqn_state'] = dqn_state
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logger.debug(f"Captured DQN state: {len(dqn_state) if dqn_state else 0} features")
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except Exception as e:
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logger.warning(f"Error capturing DQN state: {e}")
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model_inputs['dqn_state'] = {}
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# 4. COB (Order Book) Features
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try:
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cob_data = self._get_cob_features_for_training(symbol, orchestrator)
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model_inputs['cob_features'] = cob_data
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logger.debug(f"Captured COB features: {len(cob_data) if cob_data else 0} features")
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except Exception as e:
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logger.warning(f"Error capturing COB features: {e}")
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model_inputs['cob_features'] = {}
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# 5. Technical Indicators
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try:
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technical_indicators = self._get_technical_indicators(symbol, data_provider)
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model_inputs['technical_indicators'] = technical_indicators
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logger.debug(f"Captured technical indicators: {len(technical_indicators)} indicators")
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except Exception as e:
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logger.warning(f"Error capturing technical indicators: {e}")
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model_inputs['technical_indicators'] = {}
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# 6. Recent Price History (for context)
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try:
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price_history = self._get_recent_price_history(symbol, data_provider, periods=50)
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model_inputs['price_history'] = price_history
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logger.debug(f"Captured price history: {len(price_history)} periods")
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except Exception as e:
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logger.warning(f"Error capturing price history: {e}")
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model_inputs['price_history'] = []
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total_features = sum(len(v) if isinstance(v, (dict, list)) else 1 for v in model_inputs.values())
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logger.info(f"✅ Captured {total_features} total features for cold start training")
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return model_inputs
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except Exception as e:
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logger.error(f"Error capturing model inputs: {e}")
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return {
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'timestamp': datetime.now().isoformat(),
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'symbol': symbol,
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'action': action,
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'price': current_price,
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'error': str(e)
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}
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def store_trade_for_training(self, trade_record: Dict[str, Any]) -> Optional[str]:
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"""Store trade for future cold start training in testcases structure"""
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try:
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# Determine if this will be a positive or negative case based on eventual P&L
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pnl = trade_record.get('pnl', 0)
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case_type = "positive" if pnl >= 0 else "negative"
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# Create testcases directory structure
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case_dir = os.path.join(self.base_dir, case_type)
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cases_dir = os.path.join(case_dir, "cases")
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# Create unique case ID
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timestamp = datetime.now().strftime("%Y%m%d_%H%M%S")
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symbol_clean = trade_record['symbol'].replace('/', '')
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case_id = f"{case_type}_{timestamp}_{symbol_clean}_pnl_{pnl:.4f}".replace('.', 'p').replace('-', 'neg')
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# Store comprehensive case data as pickle (for complex model inputs)
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case_filepath = os.path.join(cases_dir, f"{case_id}.pkl")
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with open(case_filepath, 'wb') as f:
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pickle.dump(trade_record, f)
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# Store JSON summary for easy viewing
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json_filepath = os.path.join(cases_dir, f"{case_id}.json")
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json_summary = {
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'case_id': case_id,
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'timestamp': trade_record.get('entry_time', datetime.now()).isoformat() if hasattr(trade_record.get('entry_time'), 'isoformat') else str(trade_record.get('entry_time')),
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'symbol': trade_record['symbol'],
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'side': trade_record['side'],
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'entry_price': trade_record['entry_price'],
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'pnl': pnl,
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'confidence': trade_record.get('confidence', 0),
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'trade_type': trade_record.get('trade_type', 'unknown'),
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'model_inputs_captured': bool(trade_record.get('model_inputs_at_entry')),
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'training_ready': trade_record.get('training_ready', False),
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'feature_counts': {
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'market_state': len(trade_record.get('entry_market_state', {})),
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'cnn_features': len(trade_record.get('model_inputs_at_entry', {}).get('cnn_features', {})),
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'dqn_state': len(trade_record.get('model_inputs_at_entry', {}).get('dqn_state', {})),
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'cob_features': len(trade_record.get('model_inputs_at_entry', {}).get('cob_features', {})),
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'technical_indicators': len(trade_record.get('model_inputs_at_entry', {}).get('technical_indicators', {})),
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'price_history': len(trade_record.get('model_inputs_at_entry', {}).get('price_history', []))
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}
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}
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with open(json_filepath, 'w') as f:
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json.dump(json_summary, f, indent=2, default=str)
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# Update case index
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self._update_case_index(case_dir, case_id, json_summary, case_type)
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# Add to cache
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self.cases_cache[case_id] = json_summary
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if len(self.cases_cache) > self.max_cache_size:
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# Remove oldest entry
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oldest_key = next(iter(self.cases_cache))
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del self.cases_cache[oldest_key]
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logger.info(f"✅ Stored {case_type} case for training: {case_id}")
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logger.info(f" PKL: {case_filepath}")
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logger.info(f" JSON: {json_filepath}")
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return case_id
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except Exception as e:
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logger.error(f"Error storing trade for training: {e}")
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import traceback
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logger.error(traceback.format_exc())
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return None
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def _update_case_index(self, case_dir: str, case_id: str, case_summary: Dict[str, Any], case_type: str):
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"""Update the case index file"""
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try:
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index_file = os.path.join(case_dir, "case_index.json")
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# Load existing index or create new one
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if os.path.exists(index_file):
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with open(index_file, 'r') as f:
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index_data = json.load(f)
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else:
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index_data = {"cases": [], "last_updated": None}
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# Add new case
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index_entry = {
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"case_id": case_id,
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"timestamp": case_summary['timestamp'],
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"symbol": case_summary['symbol'],
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"pnl": case_summary['pnl'],
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"training_priority": self._calculate_training_priority(case_summary, case_type),
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"retraining_count": 0,
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"feature_counts": case_summary['feature_counts']
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}
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index_data["cases"].append(index_entry)
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index_data["last_updated"] = datetime.now().isoformat()
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# Save updated index
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with open(index_file, 'w') as f:
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json.dump(index_data, f, indent=2)
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logger.debug(f"Updated case index: {case_id}")
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except Exception as e:
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logger.error(f"Error updating case index: {e}")
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def _calculate_training_priority(self, case_summary: Dict[str, Any], case_type: str) -> int:
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"""Calculate training priority based on case characteristics"""
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try:
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pnl = abs(case_summary.get('pnl', 0))
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confidence = case_summary.get('confidence', 0)
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# Higher priority for larger losses/gains and high confidence wrong predictions
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if case_type == "negative":
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# Larger losses get higher priority, especially with high confidence
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priority = min(5, int(pnl * 10) + int(confidence * 2))
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else:
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# Profits get medium priority unless very large
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priority = min(3, int(pnl * 5) + 1)
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return max(1, priority) # Minimum priority of 1
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except Exception:
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return 1 # Default priority
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def get_training_cases(self, case_type: str = "negative", limit: int = 50) -> List[Dict[str, Any]]:
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"""Get training cases for model training"""
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try:
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case_dir = os.path.join(self.base_dir, case_type)
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index_file = os.path.join(case_dir, "case_index.json")
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if not os.path.exists(index_file):
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return []
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with open(index_file, 'r') as f:
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index_data = json.load(f)
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# Sort by training priority (highest first) and limit
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cases = sorted(index_data["cases"],
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key=lambda x: x.get("training_priority", 1),
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reverse=True)[:limit]
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return cases
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except Exception as e:
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logger.error(f"Error getting training cases: {e}")
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return []
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def load_case_data(self, case_id: str, case_type: str = None) -> Optional[Dict[str, Any]]:
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"""Load full case data from pickle file"""
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try:
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# Determine case type if not provided
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if case_type is None:
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case_type = "positive" if "positive" in case_id else "negative"
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case_filepath = os.path.join(self.base_dir, case_type, "cases", f"{case_id}.pkl")
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if not os.path.exists(case_filepath):
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logger.warning(f"Case file not found: {case_filepath}")
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return None
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with open(case_filepath, 'rb') as f:
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case_data = pickle.load(f)
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return case_data
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except Exception as e:
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logger.error(f"Error loading case data for {case_id}: {e}")
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return None
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def cleanup_old_cases(self, days_to_keep: int = 30):
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"""Clean up old test cases to manage storage"""
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try:
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from datetime import timedelta
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cutoff_date = datetime.now() - timedelta(days=days_to_keep)
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for case_type in ['positive', 'negative']:
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case_dir = os.path.join(self.base_dir, case_type)
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cases_dir = os.path.join(case_dir, "cases")
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if not os.path.exists(cases_dir):
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continue
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# Get case index
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index_file = os.path.join(case_dir, "case_index.json")
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if os.path.exists(index_file):
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with open(index_file, 'r') as f:
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index_data = json.load(f)
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# Filter cases to keep
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cases_to_keep = []
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cases_removed = 0
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for case in index_data["cases"]:
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case_date = datetime.fromisoformat(case["timestamp"])
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if case_date > cutoff_date:
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cases_to_keep.append(case)
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else:
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# Remove case files
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case_id = case["case_id"]
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pkl_file = os.path.join(cases_dir, f"{case_id}.pkl")
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json_file = os.path.join(cases_dir, f"{case_id}.json")
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for file_path in [pkl_file, json_file]:
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if os.path.exists(file_path):
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os.remove(file_path)
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cases_removed += 1
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# Update index
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index_data["cases"] = cases_to_keep
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index_data["last_updated"] = datetime.now().isoformat()
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with open(index_file, 'w') as f:
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json.dump(index_data, f, indent=2)
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if cases_removed > 0:
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logger.info(f"Cleaned up {cases_removed} old {case_type} cases")
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except Exception as e:
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logger.error(f"Error cleaning up old cases: {e}")
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# Helper methods for feature extraction
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def _get_comprehensive_market_state(self, symbol: str, current_price: float, data_provider) -> Dict[str, float]:
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"""Get comprehensive market state features"""
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try:
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if not data_provider:
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return {'current_price': current_price}
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market_state = {'current_price': current_price}
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# Get historical data for features
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df = data_provider.get_historical_data(symbol, '1m', limit=100)
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if df is not None and not df.empty:
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prices = df['close'].values
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volumes = df['volume'].values
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# Price features
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market_state['price_sma_5'] = float(prices[-5:].mean())
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market_state['price_sma_20'] = float(prices[-20:].mean())
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market_state['price_std_20'] = float(prices[-20:].std())
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market_state['price_rsi'] = self._calculate_rsi(prices, 14)
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# Volume features
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market_state['volume_current'] = float(volumes[-1])
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market_state['volume_sma_20'] = float(volumes[-20:].mean())
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market_state['volume_ratio'] = float(volumes[-1] / volumes[-20:].mean())
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# Trend features
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market_state['price_momentum_5'] = float((prices[-1] - prices[-5]) / prices[-5])
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market_state['price_momentum_20'] = float((prices[-1] - prices[-20]) / prices[-20])
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# Add timestamp features
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now = datetime.now()
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market_state['hour_of_day'] = now.hour
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market_state['minute_of_hour'] = now.minute
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market_state['day_of_week'] = now.weekday()
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return market_state
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except Exception as e:
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logger.warning(f"Error getting market state: {e}")
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return {'current_price': current_price}
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def _calculate_rsi(self, prices, period=14):
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"""Calculate RSI indicator"""
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try:
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deltas = np.diff(prices)
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gains = np.where(deltas > 0, deltas, 0)
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losses = np.where(deltas < 0, -deltas, 0)
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avg_gain = np.mean(gains[-period:])
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avg_loss = np.mean(losses[-period:])
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if avg_loss == 0:
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return 100.0
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rs = avg_gain / avg_loss
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rsi = 100 - (100 / (1 + rs))
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return float(rsi)
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except:
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return 50.0 # Neutral RSI
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def _get_cnn_features_and_predictions(self, symbol: str, orchestrator) -> Dict[str, Any]:
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"""Get CNN features and predictions from orchestrator"""
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try:
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if not orchestrator:
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return {}
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cnn_data = {}
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# Get CNN features if available
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if hasattr(orchestrator, 'latest_cnn_features'):
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cnn_features = getattr(orchestrator, 'latest_cnn_features', {}).get(symbol)
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if cnn_features is not None:
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cnn_data['features'] = cnn_features.tolist() if hasattr(cnn_features, 'tolist') else cnn_features
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# Get CNN predictions if available
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if hasattr(orchestrator, 'latest_cnn_predictions'):
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cnn_predictions = getattr(orchestrator, 'latest_cnn_predictions', {}).get(symbol)
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if cnn_predictions is not None:
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cnn_data['predictions'] = cnn_predictions.tolist() if hasattr(cnn_predictions, 'tolist') else cnn_predictions
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return cnn_data
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except Exception as e:
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logger.debug(f"Error getting CNN data: {e}")
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return {}
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def _get_dqn_state_features(self, symbol: str, current_price: float, orchestrator) -> Dict[str, Any]:
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"""Get DQN state features from orchestrator"""
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try:
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if not orchestrator:
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return {}
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# Get DQN state from orchestrator if available
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if hasattr(orchestrator, 'build_comprehensive_rl_state'):
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rl_state = orchestrator.build_comprehensive_rl_state(symbol)
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if rl_state is not None:
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return {
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'state_vector': rl_state.tolist() if hasattr(rl_state, 'tolist') else rl_state,
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'state_size': len(rl_state) if hasattr(rl_state, '__len__') else 0
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}
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return {}
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except Exception as e:
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logger.debug(f"Error getting DQN state: {e}")
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return {}
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def _get_cob_features_for_training(self, symbol: str, orchestrator) -> Dict[str, Any]:
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"""Get COB features for training"""
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try:
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if not orchestrator:
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return {}
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cob_data = {}
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# Get COB features from orchestrator
|
|
if hasattr(orchestrator, 'latest_cob_features'):
|
|
cob_features = getattr(orchestrator, 'latest_cob_features', {}).get(symbol)
|
|
if cob_features is not None:
|
|
cob_data['features'] = cob_features.tolist() if hasattr(cob_features, 'tolist') else cob_features
|
|
|
|
# Get COB snapshot
|
|
if hasattr(orchestrator, 'cob_integration') and orchestrator.cob_integration:
|
|
if hasattr(orchestrator.cob_integration, 'get_cob_snapshot'):
|
|
cob_snapshot = orchestrator.cob_integration.get_cob_snapshot(symbol)
|
|
if cob_snapshot:
|
|
cob_data['snapshot_available'] = True
|
|
cob_data['bid_levels'] = len(getattr(cob_snapshot, 'consolidated_bids', []))
|
|
cob_data['ask_levels'] = len(getattr(cob_snapshot, 'consolidated_asks', []))
|
|
else:
|
|
cob_data['snapshot_available'] = False
|
|
|
|
return cob_data
|
|
|
|
except Exception as e:
|
|
logger.debug(f"Error getting COB features: {e}")
|
|
return {}
|
|
|
|
def _get_technical_indicators(self, symbol: str, data_provider) -> Dict[str, float]:
|
|
"""Get technical indicators"""
|
|
try:
|
|
if not data_provider:
|
|
return {}
|
|
|
|
indicators = {}
|
|
|
|
# Get recent price data
|
|
df = data_provider.get_historical_data(symbol, '1m', limit=50)
|
|
if df is not None and not df.empty:
|
|
closes = df['close'].values
|
|
highs = df['high'].values
|
|
lows = df['low'].values
|
|
volumes = df['volume'].values
|
|
|
|
# Moving averages
|
|
indicators['sma_10'] = float(closes[-10:].mean())
|
|
indicators['sma_20'] = float(closes[-20:].mean())
|
|
|
|
# Bollinger Bands
|
|
sma_20 = closes[-20:].mean()
|
|
std_20 = closes[-20:].std()
|
|
indicators['bb_upper'] = float(sma_20 + 2 * std_20)
|
|
indicators['bb_lower'] = float(sma_20 - 2 * std_20)
|
|
indicators['bb_position'] = float((closes[-1] - indicators['bb_lower']) / (indicators['bb_upper'] - indicators['bb_lower']))
|
|
|
|
# MACD
|
|
ema_12 = closes[-12:].mean() # Simplified
|
|
ema_26 = closes[-26:].mean() # Simplified
|
|
indicators['macd'] = float(ema_12 - ema_26)
|
|
|
|
# Volatility
|
|
indicators['volatility'] = float(std_20 / sma_20)
|
|
|
|
return indicators
|
|
|
|
except Exception as e:
|
|
logger.debug(f"Error calculating technical indicators: {e}")
|
|
return {}
|
|
|
|
def _get_recent_price_history(self, symbol: str, data_provider, periods: int = 50) -> List[float]:
|
|
"""Get recent price history"""
|
|
try:
|
|
if not data_provider:
|
|
return []
|
|
|
|
df = data_provider.get_historical_data(symbol, '1m', limit=periods)
|
|
if df is not None and not df.empty:
|
|
return df['close'].tolist()
|
|
return []
|
|
except Exception as e:
|
|
logger.debug(f"Error getting price history: {e}")
|
|
return [] |