@vizzor/cli 0.13.1 → 0.14.5

package/chronovisor-engine/src/training/data_loader.py

@@ -0,0 +1,635 @@
+"""Data loader — reads OHLCV, snapshots, and prediction outcomes from PostgreSQL."""
+
+import json
+import os
+
+import numpy as np
+import pandas as pd
+import psycopg2
+
+DEFAULT_SYMBOLS = ["BTC", "ETH", "SOL", "DOGE", "LINK", "XRP", "BNB", "ADA"]
+
+TIMEFRAME_TO_MINUTES = {
+    "1m": 1,
+    "3m": 3,
+    "5m": 5,
+    "15m": 15,
+    "30m": 30,
+    "1h": 60,
+    "2h": 120,
+    "4h": 240,
+    "6h": 360,
+    "12h": 720,
+    "1d": 1440,
+}
+
+
+def get_connection():
+    """Create PostgreSQL connection from DATABASE_URL env var."""
+    url = os.getenv("DATABASE_URL")
+    if not url:
+        raise RuntimeError("DATABASE_URL environment variable is required")
+    return psycopg2.connect(url)
+
+
+def get_training_symbols(limit: int | None = None) -> list[str]:
+    """Discover symbols available in PostgreSQL and use them as the training universe.
+
+    Falls back to DEFAULT_SYMBOLS when the DB is empty or discovery fails.
+    """
+    fallback = DEFAULT_SYMBOLS[:limit] if limit is not None else DEFAULT_SYMBOLS
+    conn = None
+    try:
+        conn = get_connection()
+        query = """
+            SELECT symbol, COUNT(*) AS rows
+            FROM ohlcv
+            GROUP BY symbol
+            HAVING COUNT(*) >= 120
+            ORDER BY rows DESC, symbol ASC
+        """
+        df = pd.read_sql(query, conn)
+        symbols = df["symbol"].dropna().astype(str).str.upper().tolist()
+        if limit is not None:
+            symbols = symbols[:limit]
+        return symbols or fallback
+    except Exception:
+        return fallback
+    finally:
+        if conn is not None:
+            conn.close()
+
+
+def load_ohlcv(symbol: str, timeframe: str = "4h", days: int = 90) -> pd.DataFrame:
+    """Load OHLCV data for a symbol from PostgreSQL.
+
+    Returns DataFrame with columns: time, open, high, low, close, volume, trades
+    """
+    conn = get_connection()
+    query = """
+        SELECT time, open, high, low, close, volume, trades
+        FROM ohlcv
+        WHERE symbol = %s AND timeframe = %s AND time >= NOW() - make_interval(days => %s)
+        ORDER BY time ASC
+    """
+    df = pd.read_sql(query, conn, params=(symbol, timeframe, days))
+    conn.close()
+    return df
+
+
+def load_market_snapshots(symbol: str, days: int = 90) -> pd.DataFrame:
+    """Load enriched market snapshots for a symbol."""
+    conn = get_connection()
+    query = """
+        SELECT
+            time,
+            symbol,
+            price,
+            volume_24h,
+            market_cap,
+            fear_greed,
+            funding_rate,
+            open_interest,
+            rsi,
+            macd_histogram,
+            bollinger_pct_b
+        FROM market_snapshots
+        WHERE symbol = %s
+          AND time >= NOW() - make_interval(days => %s)
+        ORDER BY time ASC
+    """
+    df = pd.read_sql(query, conn, params=(symbol, days))
+    conn.close()
+    return df
+
+
+def create_sequences(df: pd.DataFrame, window: int = 100, horizon: int = 4):
+    """Create training sequences from OHLCV DataFrame.
+
+    Args:
+        df: OHLCV DataFrame
+        window: lookback window size
+        horizon: prediction horizon in candles
+
+    Returns:
+        X: numpy array of shape (n_samples, window, n_features)
+        y: numpy array of labels (0=down, 1=sideways, 2=up)
+    """
+    cols = ["open", "high", "low", "close", "volume"]
+    data = df[cols].values
+
+    # Normalize each window independently
+    X, y = [], []
+    for i in range(window, len(data) - horizon):
+        window_data = data[i - window : i]
+        # Normalize by first close in window
+        base_price = window_data[0, 3]
+        if base_price == 0:
+            continue
+        normalized = window_data / base_price
+        X.append(normalized)
+
+        # Label: price change over horizon
+        future_close = data[i + horizon - 1, 3]
+        current_close = data[i - 1, 3]
+        pct_change = (future_close - current_close) / current_close * 100
+
+        if pct_change > 1.0:
+            y.append(2)  # up
+        elif pct_change < -1.0:
+            y.append(0)  # down
+        else:
+            y.append(1)  # sideways
+
+    return np.array(X, dtype=np.float32), np.array(y, dtype=np.int64)
+
+
+def load_signals_dataset(days: int = 90) -> pd.DataFrame:
+    """Load agent decisions with outcomes for signal classifier training.
+
+    Returns DataFrame with signal features and outcome labels.
+    """
+    conn = get_connection()
+    query = """
+        SELECT
+            d.signals,
+            d.action,
+            d.confidence,
+            d.created_at,
+            d.symbol
+        FROM agent_decisions d
+        WHERE d.created_at >= EXTRACT(EPOCH FROM NOW() - make_interval(days => %s)) * 1000
+        ORDER BY d.created_at ASC
+    """
+    df = pd.read_sql(query, conn, params=(days,))
+    conn.close()
+    return df
+
+
+def load_predictions(days: int = 30) -> pd.DataFrame:
+    """Load model predictions with actual outcomes for evaluation.
+
+    Uses the repo's `predictions` table rather than the older `model_predictions`
+    name referenced by early training prototypes.
+    """
+    conn = get_connection()
+    query = """
+        SELECT
+            p.model,
+            p.symbol,
+            p.direction,
+            p.actual_outcome,
+            p.actual_change_pct,
+            p.probability,
+            p.features,
+            p.horizon,
+            p.predicted_at,
+            p.evaluated_at,
+            p.was_correct
+        FROM predictions p
+        WHERE p.predicted_at >= NOW() - make_interval(days => %s)
+          AND p.actual_change_pct IS NOT NULL
+          AND p.features IS NOT NULL
+        ORDER BY p.predicted_at ASC
+    """
+    df = pd.read_sql(query, conn, params=(days,))
+    conn.close()
+
+    if "features" in df.columns:
+        df["features"] = df["features"].apply(
+            lambda value: json.loads(value)
+            if isinstance(value, str)
+            else (value if isinstance(value, dict) else {})
+        )
+
+    return df
+
+
+def _timeframe_minutes(timeframe: str) -> int:
+    return TIMEFRAME_TO_MINUTES.get(timeframe, 240)
+
+
+def _compute_rsi(series: pd.Series, period: int = 14) -> pd.Series:
+    delta = series.diff()
+    gains = delta.clip(lower=0)
+    losses = -delta.clip(upper=0)
+    avg_gain = gains.rolling(period).mean()
+    avg_loss = losses.rolling(period).mean().replace(0, np.nan)
+    rs = avg_gain / avg_loss
+    rsi = 100 - (100 / (1 + rs))
+    return rsi.fillna(50.0)
+
+
+def _merge_snapshot_features(frame: pd.DataFrame, symbol: str, days: int) -> pd.DataFrame:
+    snapshots = load_market_snapshots(symbol, days)
+    if snapshots.empty:
+        frame["market_cap"] = 0.0
+        frame["fear_greed"] = 50.0
+        frame["funding_rate"] = 0.0
+        frame["open_interest"] = 0.0
+        frame["snapshot_rsi"] = frame["rsi"]
+        frame["macd_histogram"] = 0.0
+        frame["bollinger_pct_b"] = 0.5
+        return frame
+
+    snapshots = snapshots.copy()
+    snapshots["time"] = pd.to_datetime(snapshots["time"], utc=True)
+    merged = pd.merge_asof(
+        frame.sort_values("time"),
+        snapshots.sort_values("time").rename(columns={"rsi": "snapshot_rsi"}),
+        on="time",
+        by="symbol",
+        direction="backward",
+        tolerance=pd.Timedelta("24h"),
+    )
+    merged["market_cap"] = merged["market_cap"].fillna(0.0)
+    merged["fear_greed"] = merged["fear_greed"].fillna(50.0)
+    merged["funding_rate"] = merged["funding_rate"].fillna(0.0)
+    merged["open_interest"] = merged["open_interest"].fillna(0.0)
+    merged["snapshot_rsi"] = merged["snapshot_rsi"].fillna(merged["rsi"])
+    merged["macd_histogram"] = merged["macd_histogram"].fillna(0.0)
+    merged["bollinger_pct_b"] = merged["bollinger_pct_b"].fillna(0.5)
+    return merged
+
+
+def build_feature_frame(
+    symbol: str,
+    timeframe: str = "4h",
+    days: int = 180,
+) -> pd.DataFrame:
+    """Build a real historical feature frame from OHLCV + optional snapshots."""
+    df = load_ohlcv(symbol, timeframe, days)
+    if df.empty or len(df) < 80:
+        return pd.DataFrame()
+
+    frame = df.copy()
+    frame["symbol"] = symbol
+    frame["time"] = pd.to_datetime(frame["time"], utc=True)
+    frame["close"] = frame["close"].astype(float)
+    frame["open"] = frame["open"].astype(float)
+    frame["high"] = frame["high"].astype(float)
+    frame["low"] = frame["low"].astype(float)
+    frame["volume"] = frame["volume"].astype(float)
+    frame["trades"] = frame["trades"].astype(float)
+
+    tf_minutes = _timeframe_minutes(timeframe)
+    candles_24h = max(1, int(round(1440 / tf_minutes)))
+    candles_7d = max(candles_24h, int(round(10080 / tf_minutes)))
+
+    frame["return_1"] = frame["close"].pct_change().fillna(0.0) * 100
+    frame["returns_1d"] = frame["close"].pct_change(candles_24h).fillna(0.0) * 100
+    frame["returns_7d"] = frame["close"].pct_change(candles_7d).fillna(0.0) * 100
+    frame["future_return_1d"] = (
+        frame["close"].shift(-candles_24h) / frame["close"] - 1
+    ).fillna(0.0) * 100
+    frame["future_return_7d"] = (
+        frame["close"].shift(-candles_7d) / frame["close"] - 1
+    ).fillna(0.0) * 100
+
+    frame["volatility_5"] = frame["return_1"].rolling(5).std().fillna(0.0)
+    frame["volatility_10"] = frame["return_1"].rolling(10).std().fillna(0.0)
+    frame["volatility_14d"] = frame["return_1"].rolling(max(14, candles_24h)).std().fillna(0.0)
+
+    rolling_volume = frame["volume"].rolling(20).mean().replace(0, np.nan)
+    frame["volume_ratio"] = (frame["volume"] / rolling_volume).replace([np.inf, -np.inf], np.nan).fillna(1.0)
+    frame["volume_24h"] = frame["volume"].rolling(candles_24h).sum().fillna(frame["volume"])
+
+    frame["rsi"] = _compute_rsi(frame["close"])
+    sma20 = frame["close"].rolling(20).mean().replace(0, np.nan)
+    sma200 = frame["close"].rolling(200).mean().replace(0, np.nan)
+    std20 = frame["close"].rolling(20).std(ddof=0)
+    frame["bb_width"] = ((std20 * 4) / sma20).replace([np.inf, -np.inf], np.nan).fillna(0.0)
+    frame["price_vs_sma20"] = ((frame["close"] - sma20) / sma20).replace([np.inf, -np.inf], np.nan).fillna(0.0) * 100
+    frame["price_vs_sma200"] = ((frame["close"] - sma200) / sma200).replace([np.inf, -np.inf], np.nan).fillna(0.0) * 100
+
+    frame["range_pct"] = (
+        (frame["high"] - frame["low"]) / frame["open"].replace(0, np.nan)
+    ).replace([np.inf, -np.inf], np.nan).fillna(0.0) * 100
+    frame["body_pct"] = (
+        (frame["close"] - frame["open"]).abs() / frame["open"].replace(0, np.nan)
+    ).replace([np.inf, -np.inf], np.nan).fillna(0.0) * 100
+    frame["wick_imbalance"] = (
+        ((frame["high"] - frame[["open", "close"]].max(axis=1))
+         - (frame[["open", "close"]].min(axis=1) - frame["low"]))
+        / frame["open"].replace(0, np.nan)
+    ).replace([np.inf, -np.inf], np.nan).fillna(0.0) * 100
+    frame["trade_intensity"] = (
+        frame["trades"] / frame["volume"].replace(0, np.nan)
+    ).replace([np.inf, -np.inf], np.nan).fillna(0.0)
+
+    frame = _merge_snapshot_features(frame, symbol, days)
+    frame["price_change_24h"] = frame["returns_1d"]
+    frame["price_change_7d"] = frame["returns_7d"]
+    frame["volume_to_mcap_ratio"] = (
+        frame["volume_24h"] / frame["market_cap"].replace(0, np.nan)
+    ).replace([np.inf, -np.inf], np.nan).fillna(0.0)
+    frame["rank"] = 0.0
+
+    return frame.dropna().reset_index(drop=True)
+
+
+def load_trend_training_frame(
+    symbols: list[str] | None = None,
+    days: int = 180,
+    timeframe: str = "4h",
+) -> pd.DataFrame:
+    """Load real historical features for trend scoring."""
+    rows: list[pd.DataFrame] = []
+    for symbol in symbols or get_training_symbols():
+        frame = build_feature_frame(symbol, timeframe=timeframe, days=days)
+        if frame.empty:
+            continue
+        trend_score = np.clip(50 + frame["future_return_1d"] * 4, 0, 100)
+        rows.append(
+            frame[
+                [
+                    "price_change_24h",
+                    "price_change_7d",
+                    "volume_24h",
+                    "market_cap",
+                    "volume_to_mcap_ratio",
+                    "rank",
+                ]
+            ].assign(y=trend_score, symbol=symbol)
+        )
+
+    if not rows:
+        return pd.DataFrame()
+    return pd.concat(rows, ignore_index=True)
+
+
+def load_regime_training_frame(
+    symbols: list[str] | None = None,
+    days: int = 240,
+    timeframe: str = "4h",
+) -> pd.DataFrame:
+    """Load real historical features for regime classification."""
+    rows: list[pd.DataFrame] = []
+    for symbol in symbols or get_training_symbols():
+        frame = build_feature_frame(symbol, timeframe=timeframe, days=days)
+        if frame.empty:
+            continue
+
+        labels = np.full(len(frame), "ranging", dtype=object)
+        labels[(frame["fear_greed"] < 20) & (frame["future_return_1d"] < -6)] = "capitulation"
+        labels[(frame["volatility_14d"] > frame["volatility_14d"].quantile(0.75)) & (np.abs(frame["returns_1d"]) < 2)] = "volatile"
+        labels[(frame["returns_7d"] > 5) & (frame["price_vs_sma200"] > 0)] = "trending_bull"
+        labels[(frame["returns_7d"] < -5) & (frame["price_vs_sma200"] < 0)] = "trending_bear"
+
+        rows.append(
+            frame[
+                [
+                    "returns_1d",
+                    "returns_7d",
+                    "volatility_14d",
+                    "volume_ratio",
+                    "rsi",
+                    "bb_width",
+                    "fear_greed",
+                    "funding_rate",
+                    "price_vs_sma200",
+                ]
+            ].assign(y=labels, symbol=symbol)
+        )
+
+    if not rows:
+        return pd.DataFrame()
+    return pd.concat(rows, ignore_index=True)
+
+
+def load_pump_training_frame(
+    symbols: list[str] | None = None,
+    days: int = 30,
+    timeframe: str = "1m",
+) -> pd.DataFrame:
+    """Load real historical microstructure features for pump/dump training."""
+    rows: list[pd.DataFrame] = []
+    for symbol in symbols or get_training_symbols():
+        frame = build_feature_frame(symbol, timeframe=timeframe, days=days)
+        if frame.empty or len(frame) < 120:
+            continue
+
+        future_return = (frame["close"].shift(-5) / frame["close"] - 1).fillna(0.0) * 100
+        pos = np.maximum(frame["return_1"], 0)
+        neg = np.maximum(-frame["return_1"], 0)
+        pump_frame = pd.DataFrame(
+            {
+                "return_1": frame["return_1"],
+                "volume_ratio": frame["volume_ratio"],
+                "cusum_up": pos.rolling(8).sum().fillna(0.0),
+                "cusum_down": neg.rolling(8).sum().fillna(0.0),
+                "volatility_5": frame["volatility_5"],
+                "y": np.where(
+                    (future_return > 1.2) & (frame["volume_ratio"] > 2.0),
+                    1,
+                    np.where(
+                        (future_return < -1.2) & (frame["volume_ratio"] > 2.0),
+                        2,
+                        0,
+                    ),
+                ),
+                "symbol": symbol,
+            }
+        )
+        rows.append(pump_frame)
+
+    if not rows:
+        return pd.DataFrame()
+    return pd.concat(rows, ignore_index=True).replace([np.inf, -np.inf], 0.0).fillna(0.0)
+
+
+def load_microstructure_training_frame(
+    symbols: list[str] | None = None,
+    days: int = 30,
+    timeframe: str = "1m",
+) -> pd.DataFrame:
+    """Load real historical features for short-horizon microstructure models."""
+    rows: list[pd.DataFrame] = []
+    for symbol in symbols or get_training_symbols():
+        frame = build_feature_frame(symbol, timeframe=timeframe, days=days)
+        if frame.empty or len(frame) < 120:
+            continue
+
+        future_return = (frame["close"].shift(-3) / frame["close"] - 1).fillna(0.0) * 100
+        labels = np.where(future_return > 0.15, 2, np.where(future_return < -0.15, 0, 1))
+        rows.append(
+            frame[
+                [
+                    "return_1",
+                    "volume_ratio",
+                    "range_pct",
+                    "wick_imbalance",
+                    "trade_intensity",
+                    "price_vs_sma20",
+                    "volatility_5",
+                ]
+            ].assign(y=labels, symbol=symbol)
+        )
+
+    if not rows:
+        return pd.DataFrame()
+    return pd.concat(rows, ignore_index=True).replace([np.inf, -np.inf], 0.0).fillna(0.0)
+
+
+def load_target_outcomes(days: int = 180) -> list[dict]:
+    """Load supervised target-delta outcomes from resolved prediction history."""
+    df = load_predictions(days)
+    outcomes: list[dict] = []
+    for row in df.to_dict("records"):
+        features = row.get("features") or {}
+        change_pct = row.get("actual_change_pct")
+        if not isinstance(features, dict) or change_pct is None or pd.isna(change_pct):
+            continue
+        outcomes.append(
+            {
+                "symbol": row.get("symbol"),
+                "model": row.get("model"),
+                "horizon": str(row.get("horizon") or features.get("horizon") or "4h"),
+                "probability": float(row.get("probability") or 0.5),
+                "changePct": float(change_pct),
+                "features": features,
+            }
+        )
+    return outcomes
+
+
+def load_meta_prediction_frame(days: int = 180) -> pd.DataFrame:
+    """Load resolved model predictions for stacking/meta-confidence training."""
+    df = load_predictions(days)
+    if df.empty:
+        return pd.DataFrame()
+
+    rows: list[dict] = []
+    for row in df.to_dict("records"):
+        features = row.get("features") or {}
+        if not isinstance(features, dict):
+            features = {}
+        if row.get("was_correct") is None:
+            continue
+        rows.append(
+            {
+                "model": row.get("model"),
+                "horizon": str(row.get("horizon") or features.get("horizon") or "4h"),
+                "probability": float(row.get("probability") or 0.5),
+                "actual_change_pct": float(row.get("actual_change_pct") or 0.0),
+                "was_correct": int(bool(row.get("was_correct"))),
+                "rsi": float(features.get("rsi", 50)),
+                "macdHistogram": float(features.get("macdHistogram", 0)),
+                "volumeRatio": float(features.get("volumeRatio", 1)),
+                "atrPct": float(features.get("atrPct", 0)),
+                "fearGreed": float(features.get("fearGreed", 50)),
+            }
+        )
+
+    return pd.DataFrame(rows)
+
+
+def load_direction_outcomes(days: int = 90) -> list[dict]:
+    """Load direction-training outcomes from stored prediction history.
+
+    Returns a list of dicts shaped for DirectionTrainer:
+      - features: raw feature dict
+      - changePct: realized change percentage
+      - horizon: horizon label
+      - symbol: traded symbol
+    """
+
+    df = load_predictions(days)
+    outcomes: list[dict] = []
+
+    for row in df.to_dict("records"):
+        features = row.get("features") or {}
+        if not isinstance(features, dict) or not features:
+            continue
+
+        change_pct = row.get("actual_change_pct")
+        if change_pct is None or pd.isna(change_pct):
+            continue
+
+        horizon = row.get("horizon") or features.get("horizon") or "4h"
+
+        outcomes.append(
+            {
+                "symbol": row.get("symbol"),
+                "horizon": str(horizon),
+                "changePct": float(change_pct),
+                "features": features,
+            }
+        )
+
+    return outcomes
+
+
+def load_rug_labels(days: int = 180) -> pd.DataFrame:
+    """Load labelled rug pull data for supervised training.
+
+    Returns DataFrame with contract features and rug pull labels (0 = safe, 1 = rug).
+    """
+    conn = get_connection()
+    query = """
+        SELECT
+            r.contract_address,
+            r.chain,
+            r.bytecode_size,
+            r.is_verified,
+            r.holder_concentration,
+            r.has_proxy,
+            r.has_mint,
+            r.has_pause,
+            r.has_blacklist,
+            r.liquidity_locked,
+            r.buy_tax,
+            r.sell_tax,
+            r.contract_age_days,
+            r.total_transfers,
+            r.owner_balance_pct,
+            r.is_open_source,
+            r.top10_holder_pct,
+            r.is_rug
+        FROM rug_labels r
+        WHERE r.created_at >= EXTRACT(EPOCH FROM NOW() - make_interval(days => %s)) * 1000
+        ORDER BY r.created_at ASC
+    """
+    df = pd.read_sql(query, conn, params=(days,))
+    conn.close()
+    return df
+
+
+def generate_labels(
+    df: pd.DataFrame,
+    horizon: int = 4,
+    up_threshold: float = 1.0,
+    down_threshold: float = -1.0,
+) -> np.ndarray:
+    """Generate classification labels from OHLCV data based on forward returns.
+
+    Args:
+        df: OHLCV DataFrame with a 'close' column.
+        horizon: Number of candles to look forward.
+        up_threshold: Percentage threshold for 'up' label.
+        down_threshold: Percentage threshold for 'down' label.
+
+    Returns:
+        numpy array of labels: 0 = down, 1 = sideways, 2 = up.
+        Array length is len(df) - horizon (last `horizon` rows have no label).
+    """
+    closes = df["close"].values
+    n = len(closes) - horizon
+    labels = np.empty(n, dtype=np.int64)
+
+    for i in range(n):
+        current = closes[i]
+        future = closes[i + horizon]
+        if current == 0:
+            labels[i] = 1  # sideways fallback
+            continue
+        pct_change = (future - current) / current * 100
+
+        if pct_change > up_threshold:
+            labels[i] = 2  # up
+        elif pct_change < down_threshold:
+            labels[i] = 0  # down
+        else:
+            labels[i] = 1  # sideways
+
+    return labels