feat: wire 6 new strategies and fundamentals into signal generator

pyproject.toml

@@ -18,7 +18,7 @@ dependencies = [
 api = ["fastapi>=0.110", "uvicorn[standard]>=0.27", "websockets>=12.0", "webauthn>=2.0", "pyjwt[crypto]>=2.8"]
 news = ["feedparser>=6.0", "praw>=7.7", "asyncpraw>=7.7", "httpx>=0.27"]
 sentiment = ["transformers>=4.38", "torch>=2.2", "ollama>=0.1"]
-trading = ["alpaca-py>=0.21", "pytz>=2024.1"]
+trading = ["alpaca-py>=0.21", "pytz>=2024.1", "yfinance>=0.2", "httpx>=0.27"]
 backtester = ["numpy>=1.26", "pandas>=2.2"]
 dev = ["pytest>=8.0", "pytest-asyncio>=0.23", "pytest-cov>=4.1", "ruff>=0.3", "mypy>=1.8", "httpx>=0.27"]
 

scripts/seed_strategies.py

@@ -1,9 +1,15 @@
 """Seed default trading strategies.
 
-Inserts three strategies with equal initial weights (0.333 each):
+Inserts nine strategies with equal initial weights (~0.111 each):
   - momentum
   - mean_reversion
   - news_driven
+  - value
+  - macd_crossover
+  - bollinger_breakout
+  - vwap
+  - liquidity
+  - ma_stack
 
 Usage:
     python -m scripts.seed_strategies
@@ -30,7 +36,7 @@ DEFAULT_STRATEGIES = [
             "Buy when price crosses above N-period SMA with increasing volume; "
             "sell when it crosses below."
         ),
-        "current_weight": 0.333,
+        "current_weight": 0.111,
         "active": True,
     },
     {
@@ -39,7 +45,7 @@ DEFAULT_STRATEGIES = [
             "Buy when RSI < 30 (oversold); sell when RSI > 70 (overbought). "
             "Signal strength proportional to RSI extremity."
         ),
-        "current_weight": 0.333,
+        "current_weight": 0.111,
         "active": True,
     },
     {
@@ -48,7 +54,61 @@ DEFAULT_STRATEGIES = [
             "Buy on strong positive sentiment (score > 0.7, confidence > 0.6); "
             "sell on strong negative. Decay factor for stale news (> 4 hours)."
         ),
-        "current_weight": 0.333,
+        "current_weight": 0.111,
+        "active": True,
+    },
+    {
+        "name": "value",
+        "description": (
+            "Fundamental valuation: LONG when PEG < 1.0 and P/E < 25 with positive "
+            "EPS growth; SHORT when PEG > 3.0 or P/E > 50 with negative growth."
+        ),
+        "current_weight": 0.111,
+        "active": True,
+    },
+    {
+        "name": "macd_crossover",
+        "description": (
+            "MACD/signal line crossover: LONG on bullish crossover (MACD crosses above "
+            "signal), SHORT on bearish. Strength from histogram magnitude."
+        ),
+        "current_weight": 0.111,
+        "active": True,
+    },
+    {
+        "name": "bollinger_breakout",
+        "description": (
+            "Bollinger Band breakout: LONG on upper band break with high volume (momentum) "
+            "or below lower band (mean reversion). SHORT on failed breakout."
+        ),
+        "current_weight": 0.111,
+        "active": True,
+    },
+    {
+        "name": "vwap",
+        "description": (
+            "VWAP crossover: LONG when price crosses above VWAP with increasing volume, "
+            "SHORT when below."
+        ),
+        "current_weight": 0.111,
+        "active": True,
+    },
+    {
+        "name": "liquidity",
+        "description": (
+            "Volume-based: LONG on high relative volume (>2x) with rising price, "
+            "SHORT on high volume with falling price or bearish divergence."
+        ),
+        "current_weight": 0.112,
+        "active": True,
+    },
+    {
+        "name": "ma_stack",
+        "description": (
+            "Moving average alignment: LONG when price > EMA-9 > EMA-21 > SMA-50 > "
+            "SMA-200 (full bull stack). Golden/death cross detection."
+        ),
+        "current_weight": 0.111,
         "active": True,
     },
 ]

services/signal_generator/config.py

@@ -10,5 +10,8 @@ class SignalGeneratorConfig(BaseConfig):
     alpaca_secret_key: str = ""
     signal_strength_threshold: float = 0.15
     watchlist: list[str] = []
+    alpha_vantage_api_key: str = ""
+    fmp_api_key: str = ""
+    fundamentals_cache_ttl_hours: int = 24
 
     model_config = {"env_prefix": "TRADING_"}

services/signal_generator/main.py

@@ -25,8 +25,23 @@ from shared.models.trading import Signal as SignalModel
 from shared.models.trading import SignalDirection as SignalDirectionModel
 from shared.redis_streams import StreamConsumer, StreamPublisher
 from shared.schemas.news import ScoredArticle
-from shared.schemas.trading import MarketSnapshot, SentimentContext
+from shared.schemas.trading import FundamentalsSnapshot, MarketSnapshot, SentimentContext
-from shared.strategies import MeanReversionStrategy, MomentumStrategy, NewsDrivenStrategy
+from shared.strategies import (
+    BollingerBreakoutStrategy,
+    LiquidityStrategy,
+    MACDCrossoverStrategy,
+    MAStackStrategy,
+    MeanReversionStrategy,
+    MomentumStrategy,
+    NewsDrivenStrategy,
+    ValueStrategy,
+    VWAPStrategy,
+)
+from shared.fundamentals.alpha_vantage import AlphaVantageProvider
+from shared.fundamentals.fmp import FMPProvider
+from shared.fundamentals.yahoo import YahooFinanceProvider
+from shared.fundamentals.rotating import RotatingProvider
+from shared.fundamentals.cache import CachedFundamentalsProvider
 from shared.telemetry import setup_telemetry
 
 logger = logging.getLogger(__name__)
@@ -36,9 +51,15 @@ _MAX_SENTIMENT_SCORES = 50
 
 # Default strategy weights (equal weighting)
 _DEFAULT_WEIGHTS: dict[str, float] = {
-    "momentum": 0.333,
+    "momentum": 0.111,
-    "mean_reversion": 0.333,
+    "mean_reversion": 0.111,
-    "news_driven": 0.334,
+    "news_driven": 0.111,
+    "value": 0.111,
+    "macd_crossover": 0.111,
+    "bollinger_breakout": 0.111,
+    "vwap": 0.111,
+    "liquidity": 0.112,
+    "ma_stack": 0.111,
 }
 
 
@@ -98,6 +119,7 @@ async def _consume_scored_articles(
     signals_generated,
     per_strategy_signal_count,
     db_session_factory: async_sessionmaker | None = None,
+    fundamentals_cache: dict[str, FundamentalsSnapshot] | None = None,
 ) -> None:
     """Consume scored articles from ``news:scored``, run the ensemble, and publish signals.
 
@@ -145,6 +167,10 @@ async def _consume_scored_articles(
                     volume=0.0,
                 )
 
+            # Inject fundamentals into snapshot
+            if fundamentals_cache:
+                snapshot.fundamentals = fundamentals_cache.get(ticker)
+
             # Run ensemble
             signal_result = await ensemble.evaluate(ticker, snapshot, sentiment, weights)
 
@@ -197,6 +223,30 @@ async def _consume_scored_articles(
             )
 
 
+async def _refresh_fundamentals(
+    provider: CachedFundamentalsProvider,
+    cache: dict[str, FundamentalsSnapshot],
+    watchlist: list[str],
+    shutdown_event: asyncio.Event,
+) -> None:
+    """Periodically refresh fundamental data for all watchlist tickers."""
+    while not shutdown_event.is_set():
+        await asyncio.sleep(3600 * 24)  # 24 hours
+        if shutdown_event.is_set():
+            break
+        logger.info("Starting daily fundamentals refresh")
+        for ticker in watchlist:
+            if shutdown_event.is_set():
+                break
+            try:
+                snap = await provider.fetch(ticker)
+                if snap:
+                    cache[ticker] = snap
+            except Exception:
+                logger.exception("Failed to refresh fundamentals for %s", ticker)
+        logger.info("Fundamentals refresh complete")
+
+
 async def run(config: SignalGeneratorConfig | None = None) -> None:
     """Main service loop.
 
@@ -243,6 +293,12 @@ async def run(config: SignalGeneratorConfig | None = None) -> None:
         MomentumStrategy(),
         MeanReversionStrategy(),
         NewsDrivenStrategy(),
+        ValueStrategy(),
+        MACDCrossoverStrategy(),
+        BollingerBreakoutStrategy(),
+        VWAPStrategy(),
+        LiquidityStrategy(),
+        MAStackStrategy(),
     ]
     ensemble = WeightedEnsemble(strategies, threshold=config.signal_strength_threshold)
 
@@ -257,6 +313,35 @@ async def run(config: SignalGeneratorConfig | None = None) -> None:
     except Exception:
         logger.exception("Failed to initialise DB — signals will NOT be persisted")
 
+    # --- Fundamentals ---
+    fundamentals_cache: dict[str, FundamentalsSnapshot] = {}
+    cached_fundamentals_provider: CachedFundamentalsProvider | None = None
+    try:
+        providers = []
+        if config.alpha_vantage_api_key:
+            providers.append(AlphaVantageProvider(api_key=config.alpha_vantage_api_key))
+        if config.fmp_api_key:
+            providers.append(FMPProvider(api_key=config.fmp_api_key))
+        providers.append(YahooFinanceProvider())  # no API key needed
+
+        if providers and db_session_factory is not None:
+            rotating = RotatingProvider(providers)
+            cached_fundamentals_provider = CachedFundamentalsProvider(
+                rotating, db_session_factory, cache_ttl_hours=config.fundamentals_cache_ttl_hours,
+            )
+            # Pre-fetch fundamentals for watchlist
+            for ticker in config.watchlist:
+                try:
+                    snap = await cached_fundamentals_provider.fetch(ticker)
+                    if snap:
+                        fundamentals_cache[ticker] = snap
+                        logger.info("Loaded fundamentals for %s", ticker)
+                except Exception:
+                    logger.exception("Failed to fetch fundamentals for %s", ticker)
+            logger.info("Fundamentals loaded for %d/%d tickers", len(fundamentals_cache), len(config.watchlist))
+    except Exception:
+        logger.exception("Failed to initialise fundamentals — strategies will run without fundamental data")
+
     logger.info(
         "Consuming from news:scored and market:bars, publishing to signals:generated"
     )
@@ -281,6 +366,7 @@ async def run(config: SignalGeneratorConfig | None = None) -> None:
                     signals_generated,
                     per_strategy_signal_count,
                     db_session_factory,
+                    fundamentals_cache,
                 )
             )
             tg.create_task(
@@ -291,6 +377,15 @@ async def run(config: SignalGeneratorConfig | None = None) -> None:
                     bars_received_counter,
                 )
             )
+            if cached_fundamentals_provider is not None:
+                tg.create_task(
+                    _refresh_fundamentals(
+                        cached_fundamentals_provider,
+                        fundamentals_cache,
+                        config.watchlist,
+                        shutdown_event,
+                    )
+                )
     finally:
         await redis.aclose()
         logger.info("Signal generator stopped gracefully")

services/signal_generator/market_data.py

@@ -15,7 +15,7 @@ from shared.schemas.trading import MarketSnapshot, OHLCVBar
 
 
 # Default rolling-window sizes
-_DEFAULT_MAX_BARS = 100
+_DEFAULT_MAX_BARS = 250
 _RSI_PERIOD = 14