rangebar 11.7.0__tar.gz → 12.0.0__tar.gz

{rangebar-11.7.0 → rangebar-12.0.0}/.mise.toml

@@ -1,4 +1,40 @@
 [env]
+# =============================================================================
+# SSoT: Minimum Thresholds by Asset Class (Issue #62)
+# =============================================================================
+# These are the canonical values for threshold validation. Change here, affects
+# all entry points (Python API + Rust core).
+#
+# Values are in decimal basis points (dbps): 1000 dbps = 1%
+# Research: docs/research/2026-02-03-cfm-optimal-threshold-gemini-3-pro.md
+#
+# Resolution order (highest priority first):
+#   1. Per-symbol: RANGEBAR_MIN_THRESHOLD_<SYMBOL>
+#   2. Asset-class: RANGEBAR_<ASSET_CLASS>_MIN_THRESHOLD
+#   3. Fallback defaults in code (with warning)
+
+# Crypto: Default minimum (1% - cannot overcome trading costs below this)
+# CFM formula validates this as "conservative guardrails"
+RANGEBAR_CRYPTO_MIN_THRESHOLD = "1000"
+
+# Forex: Default minimum (tighter spreads allow lower)
+RANGEBAR_FOREX_MIN_THRESHOLD = "50"
+
+# Equities: Default minimum
+RANGEBAR_EQUITIES_MIN_THRESHOLD = "100"
+
+# Unknown: Fallback (no enforcement)
+RANGEBAR_UNKNOWN_MIN_THRESHOLD = "1"
+
+# =============================================================================
+# Per-Symbol Overrides (Optional - uncomment to enable)
+# =============================================================================
+# Override specific symbols when research justifies different thresholds:
+#
+# RANGEBAR_MIN_THRESHOLD_BTCUSDT = "1500"   # BTC needs higher threshold
+# RANGEBAR_MIN_THRESHOLD_XAUUSD = "200"     # Gold needs higher than forex
+# RANGEBAR_MIN_THRESHOLD_EURUSD = "25"      # EUR/USD can go lower
+
 # =============================================================================
 # GitHub Account Isolation (CRITICAL for multi-account setups)
 # =============================================================================

{rangebar-11.7.0 → rangebar-12.0.0}/CHANGELOG.md

@@ -1,3 +1,28 @@
+# [12.0.0](https://github.com/terrylica/rangebar-py/compare/v11.7.0...v12.0.0) (2026-02-03)
+
+
+### Features
+
+* **threshold:** enforce configurable minimum threshold for crypto (Issue [#64](https://github.com/terrylica/rangebar-py/issues/64)) ([4030c7d](https://github.com/terrylica/rangebar-py/commit/4030c7dc9e6789a4c9ae11f21c03261dc56e6c95))
+
+
+### BREAKING CHANGES
+
+* **threshold:** ThresholdError raised for crypto symbols with threshold < 1000 dbps
+
+- Add threshold.py module with hierarchical SSoT configuration
+- Per-symbol override: RANGEBAR_MIN_THRESHOLD_<SYMBOL>
+- Asset-class default: RANGEBAR_<ASSET_CLASS>_MIN_THRESHOLD
+- Default crypto minimum: 1000 dbps (1%) per CFM research
+- Add validation to all Python entry points (21 locations)
+- Add validation to Rust checkpoint restoration (lib.rs, processor.rs)
+- Add NDJSON logging and Pushover alerts for violations
+- Add cache purge script for invalidating low-threshold data
+- Add 32 comprehensive tests for threshold enforcement
+
+SRED-Type: applied-research
+SRED-Claim: THRESHOLD
+
 # [11.7.0](https://github.com/terrylica/rangebar-py/compare/v11.6.1...v11.7.0) (2026-02-02)
 
 

{rangebar-11.7.0 → rangebar-12.0.0}/Cargo.lock

@@ -3430,7 +3430,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar"
-version = "11.7.0"
+version = "12.0.0"
 dependencies = [
  "chrono",
  "insta",
@@ -3452,7 +3452,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-batch"
-version = "11.7.0"
+version = "12.0.0"
 dependencies = [
  "polars",
  "rangebar-core",
@@ -3464,7 +3464,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-cli"
-version = "11.7.0"
+version = "12.0.0"
 dependencies = [
  "chrono",
  "clap",
@@ -3489,7 +3489,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-config"
-version = "11.7.0"
+version = "12.0.0"
 dependencies = [
  "chrono",
  "config",
@@ -3501,7 +3501,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-core"
-version = "11.7.0"
+version = "12.0.0"
 dependencies = [
  "ahash",
  "arrow",
@@ -3518,7 +3518,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-io"
-version = "11.7.0"
+version = "12.0.0"
 dependencies = [
  "polars",
  "rangebar-core",
@@ -3528,7 +3528,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-providers"
-version = "11.7.0"
+version = "12.0.0"
 dependencies = [
  "chrono",
  "csv",
@@ -3548,7 +3548,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-py"
-version = "11.7.0"
+version = "12.0.0"
 dependencies = [
  "arrow",
  "arrow-array",
@@ -3567,7 +3567,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-streaming"
-version = "11.7.0"
+version = "12.0.0"
 dependencies = [
  "async-trait",
  "chrono",

{rangebar-11.7.0 → rangebar-12.0.0}/Cargo.toml

@@ -10,7 +10,7 @@ resolver = "2"
 [workspace.package]
 # CRITICAL: Prevent crates.io publishing - this is a PyPI-only project
 publish = false
-version = "11.7.0"
+version = "12.0.0"
 authors = ["Terry Li <terry@eonlabs.com>"]
 categories = ["algorithms", "data-structures", "finance"]
 documentation = "https://docs.rs/rangebar"
@@ -97,7 +97,7 @@ criterion = { version = "0.5", features = ["html_reports"] }
 
 [package]
 name = "rangebar-py"
-version = "11.7.0"
+version = "12.0.0"
 edition = "2021"
 authors = ["Terry Li"]
 license = "MIT"

{rangebar-11.7.0 → rangebar-12.0.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rangebar
-Version: 11.7.0
+Version: 12.0.0
 Classifier: Development Status :: 4 - Beta
 Classifier: Intended Audience :: Financial and Insurance Industry
 Classifier: License :: OSI Approved :: MIT License

{rangebar-11.7.0 → rangebar-12.0.0}/crates/rangebar-core/src/checkpoint.rs

@@ -243,6 +243,14 @@ pub enum CheckpointError {
     /// Checkpoint serialization/deserialization error
     #[error("Checkpoint serialization error: {message}")]
     SerializationError { message: String },
+
+    /// Invalid threshold in checkpoint (Issue #62: crypto minimum threshold enforcement)
+    #[error("Invalid threshold in checkpoint: {threshold} dbps. Valid range: {min_threshold}-{max_threshold} dbps")]
+    InvalidThreshold {
+        threshold: u32,
+        min_threshold: u32,
+        max_threshold: u32,
+    },
 }
 
 /// Price window for computing position verification hash

{rangebar-11.7.0 → rangebar-12.0.0}/crates/rangebar-core/src/processor.rs

@@ -623,6 +623,20 @@ impl RangeBarProcessor {
     /// let bars = processor.process_agg_trade_records(&next_file_trades)?;
     /// ```
     pub fn from_checkpoint(checkpoint: Checkpoint) -> Result<Self, CheckpointError> {
+        // Issue #62: Validate threshold range before restoring from checkpoint
+        // Valid range: 1-100,000 dbps (0.0001% to 10%)
+        const THRESHOLD_MIN: u32 = 1;
+        const THRESHOLD_MAX: u32 = 100_000;
+        if checkpoint.threshold_decimal_bps < THRESHOLD_MIN
+            || checkpoint.threshold_decimal_bps > THRESHOLD_MAX
+        {
+            return Err(CheckpointError::InvalidThreshold {
+                threshold: checkpoint.threshold_decimal_bps,
+                min_threshold: THRESHOLD_MIN,
+                max_threshold: THRESHOLD_MAX,
+            });
+        }
+
         // Validate checkpoint consistency
         if checkpoint.incomplete_bar.is_some() && checkpoint.thresholds.is_none() {
             return Err(CheckpointError::MissingThresholds);