dennisthiessen
30effa89b7
Three usability fixes: 1. Global ticker search in the sidebar (TickerSearch) — typeahead over the tracked universe that opens a ticker's detail page without adding it to the watchlist. Also wired into the mobile nav. 2. Watchlist table shows the ticker's 12-1 momentum percentile (the top-pick selector) instead of the noisy full S/R-level list. Enriched from the setup already loaded in watchlist_service._enrich_entry — no extra query. 3. Alpha vs the S&P 500 on paper trades (open + closed). New benchmark_prices table + benchmark_service store SPY daily closes (a standalone series, not a Ticker, so it never enters the scanner / momentum ranking / rankings) via a new daily-pipeline step. paper_trade_service computes per-trade benchmark_return / alpha_pct / alpha_usd over each holding period; the open- trades table, dashboard, and closed-trades panel surface per-trade and total alpha. The list read path never makes a provider call. Deploy: alembic upgrade head, then run the benchmark/daily job once to populate SPY closes (alpha shows "—" until then). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
102 lines
3.5 KiB
Python
102 lines
3.5 KiB
Python
"""Benchmark price store + alpha helpers.
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Fetches the S&P 500 proxy (SPY) daily closes via Alpaca and persists them, so
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paper-trade alpha — a trade's return minus the benchmark's return over the same
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holding period — can be computed. The benchmark is a standalone series, NOT a
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tracked ``Ticker``, so it never contaminates the scanner, momentum-percentile
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ranking, or rankings.
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"""
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from __future__ import annotations
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import bisect
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import logging
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from datetime import date, timedelta
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from sqlalchemy import select
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from sqlalchemy.ext.asyncio import AsyncSession
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from app.config import settings
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from app.models.benchmark_price import BenchmarkPrice
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from app.providers.alpaca import AlpacaOHLCVProvider
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logger = logging.getLogger(__name__)
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BENCHMARK_SYMBOL = "SPY"
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# ~800 calendar days ≈ 550 trading days — comfortably covers any realistic paper
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# holding period plus a margin for the nearest-prior-trading-day lookup.
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_HISTORY_DAYS = 800
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async def refresh_benchmark_prices(
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db: AsyncSession, symbol: str = BENCHMARK_SYMBOL, days: int = _HISTORY_DAYS
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) -> int:
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"""Fetch the benchmark's daily closes and upsert them. Returns rows written.
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Idempotent: inserts new dates, updates a close only if it changed (e.g. after
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a split adjustment). Best-effort — returns 0 when Alpaca keys are unset.
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"""
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if not settings.alpaca_api_key or not settings.alpaca_api_secret:
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logger.warning("Benchmark refresh skipped: Alpaca keys not configured")
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return 0
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provider = AlpacaOHLCVProvider(settings.alpaca_api_key, settings.alpaca_api_secret)
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end = date.today()
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start = end - timedelta(days=days)
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bars = await provider.fetch_ohlcv(symbol, start, end)
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existing = {
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row.date: row
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for row in (
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await db.execute(select(BenchmarkPrice).where(BenchmarkPrice.symbol == symbol))
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).scalars()
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}
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written = 0
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for bar in bars:
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current = existing.get(bar.date)
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if current is None:
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db.add(BenchmarkPrice(symbol=symbol, date=bar.date, close=float(bar.close)))
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written += 1
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elif abs(current.close - float(bar.close)) > 1e-9:
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current.close = float(bar.close)
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written += 1
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if written:
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await db.commit()
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logger.info("Benchmark %s refreshed: %d rows written", symbol, written)
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return written
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async def load_benchmark_closes(
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db: AsyncSession, symbol: str = BENCHMARK_SYMBOL
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) -> dict[date, float]:
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"""Return ``{date: close}`` for the benchmark (empty if none stored yet)."""
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rows = await db.execute(
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select(BenchmarkPrice.date, BenchmarkPrice.close).where(BenchmarkPrice.symbol == symbol)
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)
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return {d: float(c) for d, c in rows.all()}
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def benchmark_return_pct(
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closes: dict[date, float], open_date: date, as_of_date: date
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) -> float | None:
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"""Benchmark % return between two dates, using the nearest close on/before each.
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Returns ``None`` when there's no benchmark data at or before either endpoint
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(e.g. a trade opened before the stored history, or the table is empty).
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"""
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if not closes:
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return None
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dates = sorted(closes)
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def _close_on_or_before(target: date) -> float | None:
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idx = bisect.bisect_right(dates, target) - 1
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return closes[dates[idx]] if idx >= 0 else None
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start = _close_on_or_before(open_date)
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end = _close_on_or_before(as_of_date)
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if start is None or end is None or start == 0:
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return None
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return (end - start) / start * 100.0
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