docs: add filter OHLCV cache implementation plan
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
Youssef Aitousarrah
parent
883e7ea352
commit
c0b5353327
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# Filter OHLCV Cache Implementation Plan
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> **For agentic workers:** REQUIRED SUB-SKILL: Use superpowers:subagent-driven-development (recommended) or superpowers:executing-plans to implement this plan task-by-task. Steps use checkbox (`- [ ]`) syntax for tracking.
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**Goal:** Replace three per-ticker yfinance HTTP calls in the filter stage with OHLCV cache lookups, eliminating rate limit errors that drop candidates before they reach the ranker.
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**Architecture:** Load `download_ohlcv_cached()` once at the start of `CandidateFilter.filter()` for the ~60 candidate tickers, pass the resulting dict into `_filter_and_enrich_candidates()`, and replace all three yfinance call sites (current price, intraday check, recent-move check) with cache lookups. The existing `get_stock_price()` call remains as a fallback for tickers missing from the cache.
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**Tech Stack:** Python, pandas, `tradingagents/dataflows/data_cache/ohlcv_cache.py` (`download_ohlcv_cached`), `tradingagents/dataflows/discovery/filter.py`
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---
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## File Map
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| File | Change |
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|---|---|
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| `tradingagents/dataflows/discovery/filter.py` | Main changes: load cache in `filter()`, remove `_fetch_batch_prices()`, update `_filter_and_enrich_candidates()` signature and three call sites |
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| `tests/test_filter_ohlcv_cache.py` | New test file |
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---
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### Task 1: Write failing tests
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**Files:**
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- Create: `tests/test_filter_ohlcv_cache.py`
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- [ ] **Step 1: Create the test file**
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```python
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# tests/test_filter_ohlcv_cache.py
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"""Tests for OHLCV-cache-backed filter enrichment."""
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import pandas as pd
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import pytest
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from unittest.mock import MagicMock, patch
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def _make_ohlcv(closes: list[float]) -> pd.DataFrame:
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"""Build a minimal OHLCV DataFrame from a list of closing prices."""
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dates = pd.date_range("2026-01-01", periods=len(closes), freq="B")
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return pd.DataFrame(
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{
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"Open": closes,
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"High": closes,
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"Low": closes,
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"Close": closes,
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"Volume": [1_000_000] * len(closes),
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},
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index=dates,
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)
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def _make_filter(config_overrides=None):
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"""Instantiate a CandidateFilter with minimal config."""
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from tradingagents.dataflows.discovery.filter import CandidateFilter
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config = {
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"discovery": {
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"ohlcv_cache_dir": "data/ohlcv_cache",
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"filters": {
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"min_average_volume": 0,
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"volume_lookback_days": 10,
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"filter_same_day_movers": True,
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"intraday_movement_threshold": 10.0,
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"filter_recent_movers": True,
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"recent_movement_lookback_days": 7,
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"recent_movement_threshold": 10.0,
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"recent_mover_action": "filter",
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"volume_cache_key": "default",
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"min_market_cap": 0,
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"compression_atr_pct_max": 2.0,
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"compression_bb_width_max": 6.0,
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"compression_min_volume_ratio": 1.3,
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"filter_fundamental_risk": False,
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"min_z_score": None,
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"min_f_score": None,
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},
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"enrichment": {
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"batch_news_vendor": "google",
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"batch_news_batch_size": 150,
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"news_lookback_days": 0.5,
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"context_max_snippets": 2,
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"context_snippet_max_chars": 140,
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},
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"max_candidates_to_analyze": 200,
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"analyze_all_candidates": False,
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"final_recommendations": 15,
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"truncate_ranking_context": False,
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"max_news_chars": 500,
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"max_insider_chars": 300,
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"max_recommendations_chars": 300,
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"log_tool_calls": False,
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"log_tool_calls_console": False,
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"log_prompts_console": False,
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"tool_log_max_chars": 10_000,
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"tool_log_exclude": [],
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}
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}
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if config_overrides:
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config["discovery"]["filters"].update(config_overrides)
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return CandidateFilter(config)
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def test_current_price_comes_from_ohlcv_cache():
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"""current_price on the candidate should be the last close from the OHLCV cache."""
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closes = [100.0] * 210 + [123.45] # last close = 123.45
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ohlcv_data = {"AAPL": _make_ohlcv(closes)}
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f = _make_filter()
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candidate = {"ticker": "AAPL", "source": "test", "context": "test", "priority": "medium"}
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price = f._price_from_cache("AAPL", ohlcv_data)
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assert price == pytest.approx(123.45)
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def test_intraday_check_from_cache_not_moved():
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"""intraday check: <10% day-over-day change → already_moved=False."""
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closes = [100.0] * 210 + [105.0] # +5% last day — under threshold
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ohlcv_data = {"AAPL": _make_ohlcv(closes)}
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f = _make_filter()
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result = f._intraday_from_cache("AAPL", ohlcv_data, threshold=10.0)
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assert result["already_moved"] is False
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assert result["intraday_change_pct"] == pytest.approx(5.0)
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def test_intraday_check_from_cache_moved():
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"""intraday check: >10% day-over-day change → already_moved=True."""
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closes = [100.0] * 210 + [115.0] # +15% last day — over threshold
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ohlcv_data = {"AAPL": _make_ohlcv(closes)}
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f = _make_filter()
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result = f._intraday_from_cache("AAPL", ohlcv_data, threshold=10.0)
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assert result["already_moved"] is True
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assert result["intraday_change_pct"] == pytest.approx(15.0)
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def test_recent_move_check_from_cache_leading():
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"""recent-move check: <10% change over 7 days → status=leading."""
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closes = [100.0] * 205 + [103.0] * 7 # flat last 7 days
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ohlcv_data = {"AAPL": _make_ohlcv(closes)}
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f = _make_filter()
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result = f._recent_move_from_cache("AAPL", ohlcv_data, lookback_days=7, threshold=10.0)
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assert result["status"] == "leading"
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assert abs(result["price_change_pct"]) < 10.0
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def test_recent_move_check_from_cache_lagging():
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"""recent-move check: >10% change over 7 days → status=lagging."""
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closes = [100.0] * 205 + [100.0] * 6 + [115.0] # +15% in last day within window
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ohlcv_data = {"AAPL": _make_ohlcv(closes)}
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f = _make_filter()
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result = f._recent_move_from_cache("AAPL", ohlcv_data, lookback_days=7, threshold=10.0)
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assert result["status"] == "lagging"
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def test_cache_miss_returns_none():
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"""If ticker is not in ohlcv_data, helper returns None."""
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f = _make_filter()
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assert f._price_from_cache("MISSING", {}) is None
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assert f._intraday_from_cache("MISSING", {}, threshold=10.0) is None
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assert f._recent_move_from_cache("MISSING", {}, lookback_days=7, threshold=10.0) is None
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```
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- [ ] **Step 2: Run tests to verify they fail**
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```bash
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cd /Users/youssefaitousarrah/Documents/TradingAgents
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python -m pytest tests/test_filter_ohlcv_cache.py -v 2>&1 | tail -20
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```
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Expected: All 5 tests FAIL with `AttributeError: 'CandidateFilter' object has no attribute '_price_from_cache'`
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---
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### Task 2: Add the three cache helper methods
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**Files:**
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- Modify: `tradingagents/dataflows/discovery/filter.py`
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- [ ] **Step 1: Add import at top of filter.py**
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In `tradingagents/dataflows/discovery/filter.py`, add to the existing imports block (after line 6, `import pandas as pd`):
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```python
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from tradingagents.dataflows.data_cache.ohlcv_cache import download_ohlcv_cached
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```
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- [ ] **Step 2: Add the three helper methods to `CandidateFilter`**
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Add these three methods to `CandidateFilter` class, just before the `_fetch_batch_volume` method (around line 301):
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```python
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def _price_from_cache(
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self, ticker: str, ohlcv_data: Dict[str, Any]
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) -> Any:
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"""Return last closing price from OHLCV cache, or None if ticker missing."""
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df = ohlcv_data.get(ticker.upper())
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if df is None or df.empty or "Close" not in df.columns:
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return None
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close = df["Close"].dropna()
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if close.empty:
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return None
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return float(close.iloc[-1])
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def _intraday_from_cache(
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self, ticker: str, ohlcv_data: Dict[str, Any], threshold: float
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) -> Any:
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"""Compute day-over-day % change from last two daily closes.
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Returns dict with 'already_moved' (bool) and 'intraday_change_pct' (float),
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or None if ticker missing from cache or insufficient data.
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"""
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df = ohlcv_data.get(ticker.upper())
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if df is None or df.empty or "Close" not in df.columns:
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return None
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close = df["Close"].dropna()
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if len(close) < 2:
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return None
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prev_close = float(close.iloc[-2])
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last_close = float(close.iloc[-1])
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if prev_close <= 0:
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return None
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pct = (last_close - prev_close) / prev_close * 100
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return {
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"already_moved": pct > threshold,
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"intraday_change_pct": round(pct, 2),
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}
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def _recent_move_from_cache(
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self, ticker: str, ohlcv_data: Dict[str, Any], lookback_days: int, threshold: float
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) -> Any:
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"""Compute % change over last N daily closes.
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Returns dict with 'status' ('leading'|'lagging') and 'price_change_pct' (float),
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or None if ticker missing from cache or insufficient data.
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"""
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df = ohlcv_data.get(ticker.upper())
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if df is None or df.empty or "Close" not in df.columns:
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return None
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close = df["Close"].dropna()
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if len(close) < lookback_days + 1:
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return None
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price_start = float(close.iloc[-(lookback_days + 1)])
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price_end = float(close.iloc[-1])
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if price_start <= 0:
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return None
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pct = (price_end - price_start) / price_start * 100
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reacted = abs(pct) >= threshold
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return {
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"status": "lagging" if reacted else "leading",
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"price_change_pct": round(pct, 2),
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}
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```
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- [ ] **Step 3: Run tests — should pass now**
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```bash
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python -m pytest tests/test_filter_ohlcv_cache.py -v 2>&1 | tail -20
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```
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Expected: All 5 tests PASS
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- [ ] **Step 4: Commit**
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```bash
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git add tradingagents/dataflows/discovery/filter.py tests/test_filter_ohlcv_cache.py
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git commit -m "feat(filter): add OHLCV cache helper methods for price/intraday/recent-move"
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```
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---
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### Task 3: Load OHLCV cache in `filter()` and wire into `_filter_and_enrich_candidates()`
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**Files:**
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- Modify: `tradingagents/dataflows/discovery/filter.py:151-188` (the `filter()` method)
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- Modify: `tradingagents/dataflows/discovery/filter.py:409` (`_filter_and_enrich_candidates()` signature)
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- [ ] **Step 1: Update `filter()` to load OHLCV cache and remove `_fetch_batch_prices` call**
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Replace lines 172-188 in `filter()`:
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```python
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# Was:
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volume_by_ticker = self._fetch_batch_volume(state, candidates)
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news_by_ticker = self._fetch_batch_news(start_date, end_date, candidates)
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price_by_ticker = self._fetch_batch_prices(candidates)
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(
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filtered_candidates,
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filtered_reasons,
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failed_tickers,
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delisted_cache,
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) = self._filter_and_enrich_candidates(
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state=state,
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candidates=candidates,
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volume_by_ticker=volume_by_ticker,
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news_by_ticker=news_by_ticker,
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price_by_ticker=price_by_ticker,
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end_date=end_date,
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)
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```
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With:
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```python
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volume_by_ticker = self._fetch_batch_volume(state, candidates)
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news_by_ticker = self._fetch_batch_news(start_date, end_date, candidates)
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# Load OHLCV cache for candidate tickers — replaces per-ticker yfinance calls
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cache_dir = self.config.get("discovery", {}).get("ohlcv_cache_dir", "data/ohlcv_cache")
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candidate_tickers = [c["ticker"].upper() for c in candidates if c.get("ticker")]
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logger.info(f"Loading OHLCV cache for {len(candidate_tickers)} candidate tickers...")
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ohlcv_data = download_ohlcv_cached(candidate_tickers, period="1y", cache_dir=cache_dir)
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logger.info(f"OHLCV cache loaded for {len(ohlcv_data)}/{len(candidate_tickers)} tickers")
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(
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filtered_candidates,
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filtered_reasons,
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failed_tickers,
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delisted_cache,
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) = self._filter_and_enrich_candidates(
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state=state,
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candidates=candidates,
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volume_by_ticker=volume_by_ticker,
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news_by_ticker=news_by_ticker,
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ohlcv_data=ohlcv_data,
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end_date=end_date,
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)
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```
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- [ ] **Step 2: Update `_filter_and_enrich_candidates()` signature**
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Change the method signature at line ~409 from:
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```python
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def _filter_and_enrich_candidates(
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self,
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state: Dict[str, Any],
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candidates: List[Dict[str, Any]],
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volume_by_ticker: Dict[str, Any],
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news_by_ticker: Dict[str, Any],
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price_by_ticker: Dict[str, float],
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end_date: str,
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):
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```
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To:
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```python
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def _filter_and_enrich_candidates(
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self,
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state: Dict[str, Any],
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candidates: List[Dict[str, Any]],
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volume_by_ticker: Dict[str, Any],
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news_by_ticker: Dict[str, Any],
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ohlcv_data: Dict[str, Any],
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end_date: str,
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):
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```
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- [ ] **Step 3: Run existing tests to make sure nothing is broken**
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```bash
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python -m pytest tests/test_filter_ohlcv_cache.py -v 2>&1 | tail -10
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```
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Expected: All 5 PASS (the helper methods don't depend on the signature change)
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- [ ] **Step 4: Commit**
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```bash
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git add tradingagents/dataflows/discovery/filter.py
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git commit -m "feat(filter): load OHLCV cache in filter() and update _filter_and_enrich_candidates signature"
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```
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---
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### Task 4: Replace the three yfinance call sites in `_filter_and_enrich_candidates`
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**Files:**
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- Modify: `tradingagents/dataflows/discovery/filter.py:435-534`
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- [ ] **Step 1: Replace `check_intraday_movement` call site**
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Find this block (around line 440):
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```python
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if self.filter_same_day_movers:
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from tradingagents.dataflows.y_finance import check_intraday_movement
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try:
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intraday_check = check_intraday_movement(
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ticker=ticker, movement_threshold=self.intraday_movement_threshold
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)
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# Skip if already moved significantly today
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if intraday_check.get("already_moved"):
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filtered_reasons["intraday_moved"] += 1
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intraday_pct = intraday_check.get("intraday_change_pct", 0)
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logger.info(
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f"Filtered {ticker}: Already moved {intraday_pct:+.1f}% today (stale)"
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)
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continue
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# Add intraday data to candidate metadata for ranking
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cand["intraday_change_pct"] = intraday_check.get("intraday_change_pct", 0)
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except Exception as e:
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# Don't filter out if check fails, just log
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logger.warning(f"Could not check intraday movement for {ticker}: {e}")
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```
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Replace with:
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```python
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if self.filter_same_day_movers:
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intraday_check = self._intraday_from_cache(
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ticker, ohlcv_data, self.intraday_movement_threshold
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)
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if intraday_check is not None:
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if intraday_check.get("already_moved"):
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filtered_reasons["intraday_moved"] += 1
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intraday_pct = intraday_check.get("intraday_change_pct", 0)
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logger.info(
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f"Filtered {ticker}: Already moved {intraday_pct:+.1f}% today (stale)"
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)
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continue
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cand["intraday_change_pct"] = intraday_check.get("intraday_change_pct", 0)
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```
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- [ ] **Step 2: Replace `check_if_price_reacted` call site**
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Find this block (around line 465):
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```python
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if self.filter_recent_movers:
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||||
from tradingagents.dataflows.y_finance import check_if_price_reacted
|
||||
|
||||
try:
|
||||
reaction = check_if_price_reacted(
|
||||
ticker=ticker,
|
||||
lookback_days=self.recent_movement_lookback_days,
|
||||
reaction_threshold=self.recent_movement_threshold,
|
||||
)
|
||||
cand["recent_change_pct"] = reaction.get("price_change_pct")
|
||||
cand["recent_move_status"] = reaction.get("status")
|
||||
|
||||
if reaction.get("status") == "lagging":
|
||||
if self.recent_mover_action == "filter":
|
||||
filtered_reasons["recent_moved"] += 1
|
||||
change_pct = reaction.get("price_change_pct", 0)
|
||||
logger.info(
|
||||
f"Filtered {ticker}: Already moved {change_pct:+.1f}% in last "
|
||||
f"{self.recent_movement_lookback_days} days"
|
||||
)
|
||||
continue
|
||||
if self.recent_mover_action == "deprioritize":
|
||||
cand["priority"] = "low"
|
||||
existing_context = cand.get("context", "")
|
||||
change_pct = reaction.get("price_change_pct", 0)
|
||||
cand["context"] = (
|
||||
f"{existing_context} | ⚠️ Recent move: {change_pct:+.1f}% "
|
||||
f"over {self.recent_movement_lookback_days}d"
|
||||
)
|
||||
except Exception as e:
|
||||
logger.warning(f"Could not check recent movement for {ticker}: {e}")
|
||||
```
|
||||
|
||||
Replace with:
|
||||
|
||||
```python
|
||||
if self.filter_recent_movers:
|
||||
reaction = self._recent_move_from_cache(
|
||||
ticker,
|
||||
ohlcv_data,
|
||||
self.recent_movement_lookback_days,
|
||||
self.recent_movement_threshold,
|
||||
)
|
||||
if reaction is not None:
|
||||
cand["recent_change_pct"] = reaction.get("price_change_pct")
|
||||
cand["recent_move_status"] = reaction.get("status")
|
||||
|
||||
if reaction.get("status") == "lagging":
|
||||
if self.recent_mover_action == "filter":
|
||||
filtered_reasons["recent_moved"] += 1
|
||||
change_pct = reaction.get("price_change_pct", 0)
|
||||
logger.info(
|
||||
f"Filtered {ticker}: Already moved {change_pct:+.1f}% in last "
|
||||
f"{self.recent_movement_lookback_days} days"
|
||||
)
|
||||
continue
|
||||
if self.recent_mover_action == "deprioritize":
|
||||
cand["priority"] = "low"
|
||||
existing_context = cand.get("context", "")
|
||||
change_pct = reaction.get("price_change_pct", 0)
|
||||
cand["context"] = (
|
||||
f"{existing_context} | ⚠️ Recent move: {change_pct:+.1f}% "
|
||||
f"over {self.recent_movement_lookback_days}d"
|
||||
)
|
||||
```
|
||||
|
||||
- [ ] **Step 3: Replace `get_stock_price` / `price_by_ticker` call site**
|
||||
|
||||
Find this block (around line 520):
|
||||
|
||||
```python
|
||||
try:
|
||||
from tradingagents.dataflows.y_finance import get_fundamentals, get_stock_price
|
||||
|
||||
# Get current price — prefer batch result, fall back to per-ticker
|
||||
current_price = price_by_ticker.get(ticker.upper())
|
||||
if current_price is None:
|
||||
current_price = get_stock_price(ticker)
|
||||
cand["current_price"] = current_price
|
||||
```
|
||||
|
||||
Replace with:
|
||||
|
||||
```python
|
||||
try:
|
||||
from tradingagents.dataflows.y_finance import get_fundamentals, get_stock_price
|
||||
|
||||
# Get current price — prefer OHLCV cache, fall back to per-ticker yfinance
|
||||
current_price = self._price_from_cache(ticker, ohlcv_data)
|
||||
if current_price is None:
|
||||
current_price = get_stock_price(ticker)
|
||||
cand["current_price"] = current_price
|
||||
```
|
||||
|
||||
- [ ] **Step 4: Run all filter tests**
|
||||
|
||||
```bash
|
||||
python -m pytest tests/test_filter_ohlcv_cache.py -v 2>&1 | tail -10
|
||||
```
|
||||
|
||||
Expected: All 5 PASS
|
||||
|
||||
- [ ] **Step 5: Commit**
|
||||
|
||||
```bash
|
||||
git add tradingagents/dataflows/discovery/filter.py
|
||||
git commit -m "feat(filter): replace per-ticker yfinance calls with OHLCV cache lookups"
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
### Task 5: Remove `_fetch_batch_prices` method
|
||||
|
||||
**Files:**
|
||||
- Modify: `tradingagents/dataflows/discovery/filter.py:357-407`
|
||||
|
||||
- [ ] **Step 1: Delete `_fetch_batch_prices`**
|
||||
|
||||
Remove the entire method from line 357 to 407:
|
||||
|
||||
```python
|
||||
def _fetch_batch_prices(self, candidates: List[Dict[str, Any]]) -> Dict[str, float]:
|
||||
"""Batch-fetch current prices for all candidates in one request.
|
||||
...
|
||||
"""
|
||||
# ... entire method body
|
||||
```
|
||||
|
||||
The method is no longer called from anywhere after Task 3.
|
||||
|
||||
- [ ] **Step 2: Verify tests still pass**
|
||||
|
||||
```bash
|
||||
python -m pytest tests/test_filter_ohlcv_cache.py -v 2>&1 | tail -10
|
||||
```
|
||||
|
||||
Expected: All 5 PASS
|
||||
|
||||
- [ ] **Step 3: Commit**
|
||||
|
||||
```bash
|
||||
git add tradingagents/dataflows/discovery/filter.py
|
||||
git commit -m "refactor(filter): remove _fetch_batch_prices (replaced by OHLCV cache)"
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
### Task 6: Push and trigger a discovery run to validate
|
||||
|
||||
- [ ] **Step 1: Push all commits**
|
||||
|
||||
```bash
|
||||
git push origin main
|
||||
```
|
||||
|
||||
- [ ] **Step 2: Trigger a discovery run**
|
||||
|
||||
```bash
|
||||
gh workflow run "Daily Discovery" --repo Aitous/TradingAgents --ref main
|
||||
```
|
||||
|
||||
- [ ] **Step 3: Monitor and verify**
|
||||
|
||||
```bash
|
||||
gh run list --repo Aitous/TradingAgents --workflow "Daily Discovery" --limit 1
|
||||
```
|
||||
|
||||
Watch for:
|
||||
- Zero `"Too Many Requests"` errors in the filter stage
|
||||
- `"OHLCV cache loaded for X/Y tickers"` log line showing high hit rate (expect >95%)
|
||||
- `"Starting candidates: N"` in filter summary — should be close to the full scan count (~60), not 11
|
||||
- Ranker receiving more than 11 candidates
|
||||
- Final recommendations > 2 picks
|
||||
Loading…
Reference in New Issue