d015e2b0f3
- Fix database.py: Add DatabaseConnection alias for backward compat - Fix train_symbol_timeframe_models.py: Use PostgreSQLConnection + native queries - Fix run_oos_backtest.py: Fix broken import + add dynamic OOS support - Update data_splitter.py: split_dynamic_oos() method (from previous session) - Update validation_oos.yaml: Dynamic OOS config + all 6 symbols enabled - Create ingest_ohlcv_polygon.py: Standalone Polygon→PostgreSQL ingestion script - Fix .gitignore: /data/ instead of data/ to not ignore src/data/ - Add untracked src/ modules: backtesting, data, llm, models (attention/metamodel/strategies) - Add aiohttp, sqlalchemy, psycopg2-binary to requirements.txt Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
439 lines
13 KiB
Python
439 lines
13 KiB
Python
#!/usr/bin/env python3
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"""
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OHLCV Data Ingestion from Polygon API → PostgreSQL
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====================================================
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Downloads historical 5-minute OHLCV data for all ML training symbols
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and inserts into PostgreSQL market_data.ohlcv_5m table.
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Symbols: XAUUSD, EURUSD, GBPUSD, BTCUSD, USDJPY, GBPJPY, AUDUSD
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Usage:
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# Set API key
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export POLYGON_API_KEY="your_key_here"
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# Download all symbols (default: 2020-01-01 to today)
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python scripts/ingest_ohlcv_polygon.py
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# Download specific symbols
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python scripts/ingest_ohlcv_polygon.py --symbols XAUUSD EURUSD
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# Custom date range
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python scripts/ingest_ohlcv_polygon.py --start 2023-01-01 --end 2025-12-31
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# Incremental mode (only fetch from last timestamp in DB)
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python scripts/ingest_ohlcv_polygon.py --incremental
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Author: ML-Specialist (NEXUS v4.0)
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Created: 2026-01-27
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"""
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import argparse
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import asyncio
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import os
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import sys
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from datetime import datetime, timedelta
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from pathlib import Path
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import aiohttp
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import psycopg2
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import psycopg2.extras
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from loguru import logger
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# Configure logging
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logger.remove()
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logger.add(sys.stdout, level="INFO", format="{time:HH:mm:ss} | {level} | {message}")
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# ============================================================================
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# CONFIGURATION
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# ============================================================================
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POLYGON_BASE_URL = "https://api.polygon.io"
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# Symbol → Polygon ticker prefix mapping
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SYMBOL_CONFIG = {
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"XAUUSD": {"polygon": "C:XAUUSD", "type": "forex"},
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"EURUSD": {"polygon": "C:EURUSD", "type": "forex"},
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"GBPUSD": {"polygon": "C:GBPUSD", "type": "forex"},
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"BTCUSD": {"polygon": "X:BTCUSD", "type": "crypto"},
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"USDJPY": {"polygon": "C:USDJPY", "type": "forex"},
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"GBPJPY": {"polygon": "C:GBPJPY", "type": "forex"},
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"AUDUSD": {"polygon": "C:AUDUSD", "type": "forex"},
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}
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# PostgreSQL connection (matches trading_platform config)
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PG_CONFIG = {
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"host": os.getenv("DB_HOST", "localhost"),
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"port": int(os.getenv("DB_PORT", "5432")),
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"dbname": os.getenv("DB_NAME", "trading_platform"),
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"user": os.getenv("DB_USER", "trading_user"),
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"password": os.getenv("DB_PASSWORD", "trading_dev_2026"),
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}
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# ============================================================================
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# POLYGON API FETCHER
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# ============================================================================
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async def fetch_polygon_bars(
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api_key: str,
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polygon_symbol: str,
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start_date: datetime,
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end_date: datetime,
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multiplier: int = 5,
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timespan: str = "minute",
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) -> list:
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"""
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Fetch OHLCV bars from Polygon API with pagination and rate limiting.
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Args:
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api_key: Polygon API key
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polygon_symbol: Full polygon symbol (e.g., 'C:XAUUSD')
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start_date: Start date
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end_date: End date
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multiplier: Timeframe multiplier (5 for 5-min)
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timespan: Timeframe span ('minute', 'hour', 'day')
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Returns:
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List of OHLCV bar dicts
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"""
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all_bars = []
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current_start = start_date
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# Chunk by month to respect Polygon's 50k result limit
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async with aiohttp.ClientSession() as session:
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while current_start < end_date:
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chunk_end = min(current_start + timedelta(days=30), end_date)
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start_str = current_start.strftime("%Y-%m-%d")
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end_str = chunk_end.strftime("%Y-%m-%d")
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endpoint = (
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f"{POLYGON_BASE_URL}/v2/aggs/ticker/{polygon_symbol}"
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f"/range/{multiplier}/{timespan}/{start_str}/{end_str}"
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)
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params = {
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"apiKey": api_key,
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"adjusted": "true",
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"sort": "asc",
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"limit": 50000,
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}
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try:
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async with session.get(endpoint, params=params) as response:
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if response.status == 429:
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retry_after = int(response.headers.get("Retry-After", 60))
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logger.warning(f"Rate limited, waiting {retry_after}s...")
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await asyncio.sleep(retry_after)
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continue # Retry same chunk
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if response.status == 403:
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logger.error(f"API key unauthorized (403). Check POLYGON_API_KEY.")
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break
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if response.status != 200:
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text = await response.text()
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logger.error(f"API error {response.status}: {text[:200]}")
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current_start = chunk_end
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continue
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data = await response.json()
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results = data.get("results", [])
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if results:
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all_bars.extend(results)
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logger.info(
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f" {polygon_symbol} {start_str}→{end_str}: "
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f"{len(results)} bars (total: {len(all_bars)})"
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)
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else:
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logger.debug(f" {polygon_symbol} {start_str}→{end_str}: no data")
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except aiohttp.ClientError as e:
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logger.error(f"Request failed for {polygon_symbol}: {e}")
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current_start = chunk_end
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await asyncio.sleep(0.5) # Respect rate limits (~2 req/s)
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return all_bars
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# ============================================================================
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# POSTGRESQL INSERTER
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# ============================================================================
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def get_ticker_id(conn, symbol: str) -> int:
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"""
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Get ticker_id from market_data.tickers table.
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Args:
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conn: psycopg2 connection
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symbol: Symbol name (e.g., 'XAUUSD')
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Returns:
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Ticker ID
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Raises:
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ValueError if ticker not found
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"""
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with conn.cursor() as cur:
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cur.execute(
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"SELECT id FROM market_data.tickers WHERE UPPER(symbol) = UPPER(%s)",
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(symbol,),
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)
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row = cur.fetchone()
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if not row:
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raise ValueError(f"Ticker '{symbol}' not found in market_data.tickers")
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return row[0]
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def get_last_timestamp(conn, ticker_id: int) -> datetime:
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"""Get the last ingested timestamp for a ticker (for incremental sync)."""
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with conn.cursor() as cur:
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cur.execute(
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"SELECT MAX(timestamp) FROM market_data.ohlcv_5m WHERE ticker_id = %s",
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(ticker_id,),
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)
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row = cur.fetchone()
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return row[0] if row and row[0] else None
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def insert_bars_to_postgres(conn, ticker_id: int, bars: list) -> int:
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"""
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Insert OHLCV bars into PostgreSQL market_data.ohlcv_5m.
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Uses ON CONFLICT for upsert behavior.
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Args:
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conn: psycopg2 connection
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ticker_id: Ticker ID from market_data.tickers
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bars: List of Polygon API bar dicts
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Returns:
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Number of rows inserted/updated
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"""
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if not bars:
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return 0
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insert_sql = """
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INSERT INTO market_data.ohlcv_5m
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(ticker_id, timestamp, open, high, low, close, volume, vwap, ts_epoch)
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VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s)
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ON CONFLICT (ticker_id, timestamp) DO UPDATE SET
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open = EXCLUDED.open,
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high = EXCLUDED.high,
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low = EXCLUDED.low,
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close = EXCLUDED.close,
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volume = EXCLUDED.volume,
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vwap = EXCLUDED.vwap
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"""
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# Convert bars to tuples
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rows = []
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for bar in bars:
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ts_ms = bar["t"] # milliseconds epoch
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timestamp = datetime.fromtimestamp(ts_ms / 1000)
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rows.append((
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ticker_id,
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timestamp,
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bar["o"], # open
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bar["h"], # high
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bar["l"], # low
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bar["c"], # close
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bar.get("v", 0), # volume
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bar.get("vw") or None, # vwap (nullable)
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ts_ms, # ts_epoch in ms
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))
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# Insert in batches
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batch_size = 5000
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total_inserted = 0
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with conn.cursor() as cur:
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for i in range(0, len(rows), batch_size):
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batch = rows[i : i + batch_size]
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psycopg2.extras.execute_batch(cur, insert_sql, batch, page_size=1000)
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conn.commit()
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total_inserted += len(batch)
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return total_inserted
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# ============================================================================
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# MAIN
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# ============================================================================
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async def ingest_symbol(
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api_key: str,
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conn,
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symbol: str,
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start_date: datetime,
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end_date: datetime,
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incremental: bool = False,
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) -> dict:
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"""
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Full ingestion pipeline for a single symbol.
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Returns:
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Dict with results summary
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"""
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config = SYMBOL_CONFIG.get(symbol)
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if not config:
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logger.error(f"Unknown symbol: {symbol}")
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return {"symbol": symbol, "status": "error", "error": "Unknown symbol"}
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polygon_symbol = config["polygon"]
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# Get ticker ID from DB
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try:
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ticker_id = get_ticker_id(conn, symbol)
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except ValueError as e:
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logger.error(str(e))
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return {"symbol": symbol, "status": "error", "error": str(e)}
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# In incremental mode, start from last timestamp + 5 min
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actual_start = start_date
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if incremental:
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last_ts = get_last_timestamp(conn, ticker_id)
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if last_ts:
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actual_start = last_ts + timedelta(minutes=5)
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logger.info(f" Incremental: continuing from {actual_start}")
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if actual_start >= end_date:
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logger.info(f" {symbol}: already up to date")
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return {"symbol": symbol, "status": "up_to_date", "rows": 0}
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# Fetch from Polygon
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logger.info(f"Fetching {symbol} ({polygon_symbol}) from {actual_start.date()} to {end_date.date()}...")
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bars = await fetch_polygon_bars(
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api_key=api_key,
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polygon_symbol=polygon_symbol,
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start_date=actual_start,
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end_date=end_date,
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)
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if not bars:
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logger.warning(f" {symbol}: no data received from API")
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return {"symbol": symbol, "status": "no_data", "rows": 0}
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# Show range
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first_ts = datetime.fromtimestamp(bars[0]["t"] / 1000)
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last_ts = datetime.fromtimestamp(bars[-1]["t"] / 1000)
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logger.info(f" {symbol}: {len(bars)} bars from {first_ts} to {last_ts}")
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# Insert into PostgreSQL
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logger.info(f" Inserting {len(bars)} bars into market_data.ohlcv_5m...")
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inserted = insert_bars_to_postgres(conn, ticker_id, bars)
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logger.info(f" {symbol}: {inserted} rows inserted/updated")
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return {
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"symbol": symbol,
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"status": "success",
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"rows": inserted,
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"first_bar": str(first_ts),
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"last_bar": str(last_ts),
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}
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async def main():
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parser = argparse.ArgumentParser(description="Ingest OHLCV data from Polygon → PostgreSQL")
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parser.add_argument(
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"--symbols",
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nargs="+",
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default=list(SYMBOL_CONFIG.keys()),
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help=f"Symbols to ingest (default: all {len(SYMBOL_CONFIG)})",
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)
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parser.add_argument(
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"--start",
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type=str,
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default="2020-01-01",
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help="Start date YYYY-MM-DD (default: 2020-01-01)",
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)
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parser.add_argument(
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"--end",
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type=str,
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default=datetime.now().strftime("%Y-%m-%d"),
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help="End date YYYY-MM-DD (default: today)",
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)
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parser.add_argument(
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"--incremental",
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action="store_true",
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help="Only fetch data after last timestamp in DB",
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)
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parser.add_argument(
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"--api-key",
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type=str,
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default=os.getenv("POLYGON_API_KEY", ""),
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help="Polygon API key (or set POLYGON_API_KEY env var)",
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)
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args = parser.parse_args()
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# Validate API key
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api_key = args.api_key
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if not api_key:
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logger.error("POLYGON_API_KEY is required. Set env var or use --api-key")
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sys.exit(1)
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start_date = datetime.strptime(args.start, "%Y-%m-%d")
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end_date = datetime.strptime(args.end, "%Y-%m-%d")
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logger.info("=" * 60)
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logger.info("OHLCV Data Ingestion: Polygon → PostgreSQL")
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logger.info("=" * 60)
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logger.info(f"Symbols: {args.symbols}")
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logger.info(f"Date range: {start_date.date()} → {end_date.date()}")
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logger.info(f"Incremental: {args.incremental}")
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logger.info(f"Database: {PG_CONFIG['host']}:{PG_CONFIG['port']}/{PG_CONFIG['dbname']}")
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# Connect to PostgreSQL
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try:
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conn = psycopg2.connect(**PG_CONFIG)
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logger.info("PostgreSQL connected")
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except Exception as e:
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logger.error(f"PostgreSQL connection failed: {e}")
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sys.exit(1)
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# Process each symbol
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results = []
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for symbol in args.symbols:
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logger.info(f"\n{'='*40}")
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logger.info(f"Processing {symbol}")
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logger.info(f"{'='*40}")
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result = await ingest_symbol(
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api_key=api_key,
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conn=conn,
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symbol=symbol,
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start_date=start_date,
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end_date=end_date,
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incremental=args.incremental,
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)
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results.append(result)
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conn.close()
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# Print summary
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logger.info("\n" + "=" * 60)
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logger.info("INGESTION SUMMARY")
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logger.info("=" * 60)
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total_rows = 0
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for r in results:
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status_icon = {
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"success": "[OK]",
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"no_data": "[EMPTY]",
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"up_to_date": "[SKIP]",
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"error": "[FAIL]",
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}.get(r["status"], "[?]")
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rows = r.get("rows", 0)
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total_rows += rows
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logger.info(f" {status_icon} {r['symbol']}: {rows:,} rows")
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logger.info(f"\nTotal rows inserted: {total_rows:,}")
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logger.info("=" * 60)
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if __name__ == "__main__":
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asyncio.run(main())
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