momentum-system/youtube_claims/recap/tape.py

"""Ticker verification against the tape + tape stats (ported from the pilot's join.py/ourside.py).

A transcript ticker is only trusted when that symbol's SIP minute tape that day can produce the
story he told: his entry price traded, then (if he named one) a high near his stated high, then
(if named) a low near his stated low. Otherwise we search the day's scanner names for the one
unique symbol whose tape fits. The scoring/resolution is pure -- bars come from an injected
`bars_for(symbol)` callable, so it is unit-tested with fake bars."""

from __future__ import annotations

import datetime as dt
import json
import re
from pathlib import Path
from typing import Callable, Sequence

# a bar is (ts_et naive datetime, open, high, low, close, volume)
Bar = tuple
_SYM = re.compile(r"[A-Z]{1,5}")


def path_score(bars: Sequence[Bar], entry: float | None, sh: float | None, sl: float | None) -> float | None:
    """None if the tape can't produce his story; else a closeness score (lower = better).
    Story: entry trades (+-2% of the day's range), then a high within 2.5% of stated_high,
    then a low within 3% of stated_low."""
    if not bars:
        return None
    lo = min(b[3] for b in bars)
    hi = max(b[2] for b in bars)
    if entry is not None and not (lo * 0.98 <= entry <= hi * 1.02):
        return None
    if sh is None:
        return 0.5 if entry is not None else None
    t_entry = next((i for i, b in enumerate(bars)
                    if entry is None or (b[3] <= entry * 1.01 and b[2] >= entry * 0.99)), None)
    if t_entry is None:
        return None
    best = None
    for i in range(t_entry, len(bars)):
        err = abs(bars[i][2] - sh) / sh
        if err > 0.025:
            continue
        e2 = err
        if sl is not None:
            later = [abs(b[3] - sl) / sl for b in bars[i:]]
            if not later or min(later) > 0.03:
                continue
            e2 += min(later)
        best = e2 if best is None else min(best, e2)
    return best


def loose_fit(bars: Sequence[Bar], entry: float | None, sh: float | None, sl: float | None) -> bool:
    """Order-free check: every level he named traded at SOME point that day (entry inside the
    day's range, a bar high within 2.5% of stated_high, a bar low within 3% of stated_low).
    Used only for the ticker he NAMED -- the name is a strong prior, and he often tells the
    flush-then-squeeze out of order ("squeezed to 5 ... it had come from 2.35")."""
    if not bars or (entry is None and sh is None):
        return False
    lo, hi = min(b[3] for b in bars), max(b[2] for b in bars)
    if entry is not None and not (lo * 0.98 <= entry <= hi * 1.02):
        return False
    if sh is not None and not any(abs(b[2] - sh) / sh <= 0.025 for b in bars):
        return False
    if sl is not None and not any(abs(b[3] - sl) / sl <= 0.03 for b in bars):
        return False
    return True


def resolve(item: dict, bars_for: Callable[[str], Sequence[Bar]], scanner_syms: Sequence[str]) -> tuple[str | None, str]:
    """(symbol, how). how: price_verified (his name fits the tape in order) | price_verified_loose
    (his name has all his levels, out of order) | price_matched_scanner (a unique scanner name
    fits in order) | ambiguous:A,B | no_price_match | unverified (no price given)."""
    heard = (item.get("ticker_heard") or "").upper().replace(" ", "")
    guess = (item.get("ticker_guess") or "").upper().replace(" ", "")
    entry, sh, sl = item.get("entry_price"), item.get("stated_high"), item.get("stated_low")
    cands = [c for c in dict.fromkeys([guess, heard]) if c and _SYM.fullmatch(c)]
    if entry is None and sh is None:
        return (cands[0] if cands else None), "unverified"
    for c in cands:
        if path_score(bars_for(c), entry, sh, sl) is not None:
            return c, "price_verified"
    for c in cands:
        if loose_fit(bars_for(c), entry, sh, sl):
            return c, "price_verified_loose"
    scored = []
    for s in dict.fromkeys(scanner_syms):
        if s in cands:
            continue
        sc = path_score(bars_for(s), entry, sh, sl)
        if sc is not None:
            scored.append((sc, s))
    scored.sort()
    if len(scored) == 1 or (len(scored) > 1 and scored[0][0] + 0.01 < scored[1][0]):
        return scored[0][1], "price_matched_scanner"
    if scored:
        return None, "ambiguous:" + ",".join(s for _, s in scored[:4])
    return (cands[0] if cands else None), "no_price_match"


def entry_time(bars: Sequence[Bar], entry: float | None, sh: float | None) -> dt.datetime | None:
    """First minute the tape traded his entry price, before his stated high (if any)."""
    if entry is None or not bars:
        return None
    stop = len(bars)
    if sh:
        hi_i = next((i for i, b in enumerate(bars) if abs(b[2] - sh) / sh <= 0.025), None)
        if hi_i is not None:
            stop = hi_i + 1
    for b in bars[:stop]:
        if b[3] <= entry * 1.005 and b[2] >= entry * 0.995:
            return b[0]
    return None


def entry_bucket(t: dt.datetime | None) -> str | None:
    if t is None:
        return None
    tt = t.time()
    return ("pre-7:00" if tt < dt.time(7) else "7:00-9:30" if tt < dt.time(9, 30)
            else "9:30-9:45" if tt < dt.time(9, 45) else "9:45+")


def tape_stats(bars: Sequence[Bar], prev_close: float | None) -> dict:
    """Premarket/RTH summary of one symbol-day (times are ET)."""
    out: dict = {"prev_close": prev_close}
    if not bars:
        return out
    pre = [b for b in bars if b[0].time() < dt.time(9, 30)]
    rth = [b for b in bars if dt.time(9, 30) <= b[0].time() < dt.time(16, 0)]
    if pre:
        out.update(pm_high=max(b[2] for b in pre), pm_low=min(b[3] for b in pre),
                   pm_volume=sum(b[5] for b in pre))
    if rth:
        o = rth[0][1]
        hod = max(rth, key=lambda b: b[2])
        out.update(open=o, hod=hod[2], hod_time=hod[0].strftime("%H:%M"), lod=min(b[3] for b in rth),
                   close=rth[-1][4], rth_volume=sum(b[5] for b in rth),
                   gap_pct=(o / prev_close - 1) if prev_close else None,
                   open_to_hod_pct=hod[2] / o - 1 if o else None)
    top = max(bars, key=lambda b: b[2])
    out["day_high"] = top[2]
    out["day_high_time"] = top[0].strftime("%H:%M")
    first = next((b for b in bars if prev_close and b[2] >= prev_close * 1.3), None)
    out["first_30pct_time"] = first[0].strftime("%H:%M") if first else None
    return out


class BarSource:
    """Complete SIP minute tape (04:00-20:00 ET) from Alpaca, cached on disk as JSON per
    symbol-day (bars of a finished day never change). Falls back to our own minute_bars
    when Alpaca has nothing -- ours miss the pre-discovery minutes of late-found names."""

    def __init__(self, cache_dir: Path, paper_con=None):
        self.cache_dir = Path(cache_dir)
        self.paper_con = paper_con
        self._mem: dict = {}
        self._client = None

    def _alpaca(self):
        if self._client is None:
            from alpaca_paper.client import AlpacaPaperClient
            from alpaca_paper.settings import AlpacaPaperSettings
            self._client = AlpacaPaperClient(AlpacaPaperSettings.from_env())
        return self._client

    def bars(self, sym: str, d: str) -> list[Bar]:
        key = (sym, str(d))
        if key in self._mem:
            return self._mem[key]
        f = self.cache_dir / str(d) / f"{sym}.json"
        if f.exists():
            rows = json.loads(f.read_text())
            out = [(dt.datetime.fromisoformat(r[0]), *r[1:]) for r in rows]
            self._mem[key] = out
            return out
        out = self._fetch(sym, str(d))
        if out or dt.date.fromisoformat(str(d)) < dt.date.today():
            f.parent.mkdir(parents=True, exist_ok=True)
            f.write_text(json.dumps([(b[0].isoformat(), *b[1:]) for b in out]))
        self._mem[key] = out
        return out

    def _fetch(self, sym: str, d: str) -> list[Bar]:
        from zoneinfo import ZoneInfo
        et = ZoneInfo("America/New_York")
        day = dt.date.fromisoformat(d)
        start = dt.datetime.combine(day, dt.time(4), et)
        end = dt.datetime.combine(day, dt.time(20), et)
        raw = []
        try:
            raw = self._alpaca().get_minute_bars(
                [sym], start_iso=start.astimezone(dt.timezone.utc).strftime("%Y-%m-%dT%H:%M:%SZ"),
                end_iso=end.astimezone(dt.timezone.utc).strftime("%Y-%m-%dT%H:%M:%SZ"), feed="sip").get(sym) or []
        except Exception:  # noqa: BLE001 -- unknown/delisted symbol, network: fall back below
            raw = []
        out = []
        for b in raw:
            ts = dt.datetime.fromisoformat(b["t"].replace("Z", "+00:00")).astimezone(et).replace(tzinfo=None)
            out.append((ts, float(b["o"]), float(b["h"]), float(b["l"]), float(b["c"]), float(b["v"])))
        if out or self.paper_con is None:
            return out
        with self.paper_con.cursor() as cur:   # our own bars (UTC-naive) as a fallback
            cur.execute("select timestamp, open, high, low, close, volume from minute_bars "
                        "where symbol=%s and session_date=%s order by timestamp", (sym, d))
            rows = cur.fetchall()
        utc = dt.timezone.utc
        return [(r[0].replace(tzinfo=utc).astimezone(et).replace(tzinfo=None), float(r[1]), float(r[2]),
                 float(r[3]), float(r[4]), float(r[5] or 0)) for r in rows]