fix(data,protocol): paginazione OHLCV + macd accetta signal param

Run reale phase1-real-002 ha rivelato:

1. Cerbero/Deribit cap ~5000 candele per call. Una richiesta di 2 anni
   1h (17500 candele) ritorna troncata. CerberoOHLCVLoader._fetch ora
   pagina in chunk da 4500 barre, concatena e dedupe.

2. _ind_macd accettava solo (df, fast, slow). Il prompt suggerisce
   "(indicator macd 12 26 9)" con 3 numeri (fast/slow/signal). Aggiunto
   signal=9 default e calcolo histogram (macd_line - signal_line).

Test suite 122 PASSED, ruff e mypy clean.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
2026-05-10 11:27:27 +02:00
parent 15a4138bbd
commit d9423a1ab5
2 changed files with 40 additions and 9 deletions
+34 -7
View File
@@ -19,16 +19,15 @@ the three plausible shapes (object-of-records under ``candles``/``data``/
``result``/``ohlcv``/``klines``/``bars``, array-of-arrays ccxt-style, or
a raw list at the top level) and raises a clear error if none matches.
Pagination is NOT yet implemented — Cerbero is assumed to accept the full
date range and page internally. If a future live call shows a cap (e.g.
~1000 candles per call), add a chunked fetch in a follow-up.
Cerbero/Deribit applicano un cap soft di ~5000 candele per call: il
loader pagina internamente in chunk da 4500 barre, concatena e dedupe.
"""
from __future__ import annotations
import hashlib
from dataclasses import dataclass
from datetime import datetime
from datetime import datetime, timedelta
from pathlib import Path
from typing import Any, ClassVar
@@ -73,10 +72,38 @@ class CerberoOHLCVLoader:
df.to_parquet(cache_file)
return df
# Cerbero/Deribit hanno un cap soft di ~5000 candele per call.
# Paginiamo in chunk piu' piccoli per intervalli lunghi.
_CHUNK_BARS: ClassVar[int] = 4500
def _fetch(self, req: OHLCVRequest) -> pd.DataFrame:
args = self._build_args(req)
response = self.client.call_tool(req.exchange, "get_historical", args)
return self._parse_response(response)
bar_seconds = _timeframe_to_minutes(req.timeframe) * 60
chunk_seconds = self._CHUNK_BARS * bar_seconds
chunks: list[pd.DataFrame] = []
cursor = req.start
while cursor < req.end:
chunk_end = min(req.end, cursor + timedelta(seconds=chunk_seconds))
chunk_req = OHLCVRequest(
symbol=req.symbol, timeframe=req.timeframe,
start=cursor, end=chunk_end, exchange=req.exchange,
)
args = self._build_args(chunk_req)
response = self.client.call_tool(req.exchange, "get_historical", args)
chunk = self._parse_response(response)
if not chunk.empty:
chunks.append(chunk)
last_ts = chunk.index[-1].to_pydatetime()
# avanza di un bar oltre l'ultimo per evitare overlap
cursor = max(last_ts + timedelta(seconds=bar_seconds), chunk_end)
else:
cursor = chunk_end
if not chunks:
return pd.DataFrame(columns=self._COLUMNS).set_index(
pd.DatetimeIndex([], tz="UTC", name="ts")
)
df = pd.concat(chunks)
df = df[~df.index.duplicated(keep="first")].sort_index()
return df
def _build_args(self, req: OHLCVRequest) -> dict[str, Any]:
if req.exchange == "deribit":