fix: fetch today's in-progress bar; name weekday crons

Two independent bugs left the near-close scan running on the previous
session's close, silently degrading live execution to the stale_close
floor (~1.57 Sharpe) instead of the intended ~1.77 close-fill case.

1. OHLCV window never covered the current day. Daily bars are stamped at
   session start (04:00Z under EDT), so an end of midnight-on-end_date
   landed before that day's bar and dropped it. Widening the window alone
   fails the whole request with 'subscription does not permit querying
   recent SIP data', so end is also clamped to now-20min. Today's bar is
   now returned, roughly 20 minutes behind live -- within the staleness
   the near-close design already assumed.

   Intraday runs therefore store a partial bar and ingestion progress
   reaches today, which made incremental resume skip the after-close
   refresh entirely. collect_ohlcv_final() re-pulls the last sessions so
   the consolidated bar overwrites the partial one before outcome eval.

2. APScheduler's from_crontab() passes day-of-week to its own field where
   0=Monday, so '1-5' meant Tue-Sat: every Monday was skipped and the
   scanner ran Saturdays on stale data. Weekday schedules now use names.
   Stored settings already corrected via Admin; this fixes the defaults.

Tests cover both: today's bar inside the window, the delayed-data clamp,
historical windows untruncated, and a week of fire times asserting Monday
is present and weekends are not.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
2026-07-20 21:10:35 +02:00
co-authored by Claude Fable 5
parent bb8aa655a1
commit 1fa3d70dec
4 changed files with 213 additions and 14 deletions
+31 -3
View File
@@ -4,7 +4,7 @@ from __future__ import annotations
import asyncio
import logging
from datetime import date
from datetime import date, datetime, time, timedelta, timezone
from alpaca.data.historical import StockHistoricalDataClient
from alpaca.data.requests import StockBarsRequest
@@ -16,6 +16,11 @@ from app.providers.protocol import OHLCVData
logger = logging.getLogger(__name__)
# Free plans may not query data from the most recent ~15 minutes, and a window
# reaching into it fails the *entire* request — which would silently leave the
# near-close scan on yesterday's close. Margin over the documented boundary.
_RECENT_DATA_CUTOFF = timedelta(minutes=20)
class AlpacaOHLCVProvider:
"""Fetches daily OHLCV bars from Alpaca Markets Data API."""
@@ -25,6 +30,26 @@ class AlpacaOHLCVProvider:
raise ProviderError("Alpaca API key and secret are required")
self._client = StockHistoricalDataClient(api_key, api_secret)
@staticmethod
def _resolve_window(start_date: date, end_date: date) -> tuple[datetime, datetime]:
"""Return the instants covering ``start_date``..``end_date`` inclusive.
Two boundaries have to be right or today's bar disappears:
* Daily bars are stamped at the session start in UTC (04:00Z under EDT),
so an ``end`` of midnight on ``end_date`` lands *before* that day's bar
and silently drops it — extend to the following midnight instead.
* The window must stay out of the delayed-data period, otherwise the
request is rejected outright with "subscription does not permit
querying recent SIP data". Clamping keeps today's in-progress bar
available, roughly 20 minutes behind live.
"""
start = datetime.combine(start_date, time.min, tzinfo=timezone.utc)
end = datetime.combine(
end_date + timedelta(days=1), time.min, tzinfo=timezone.utc
)
return start, min(end, datetime.now(timezone.utc) - _RECENT_DATA_CUTOFF)
@staticmethod
def _to_alpaca_symbol(symbol: str) -> str:
"""Convert internal symbol format (BRK-B) to Alpaca format (BRK.B)."""
@@ -40,12 +65,15 @@ class AlpacaOHLCVProvider:
) -> list[OHLCVData]:
"""Fetch daily OHLCV bars for *ticker* between *start_date* and *end_date*."""
alpaca_symbol = self._to_alpaca_symbol(ticker)
start, end = self._resolve_window(start_date, end_date)
if end <= start:
return []
try:
request = StockBarsRequest(
symbol_or_symbols=alpaca_symbol,
timeframe=TimeFrame.Day,
start=start_date,
end=end_date,
start=start,
end=end,
adjustment=Adjustment.SPLIT,
)