Initial commit: multi-symbol bot with backtest engine and RSI trend strategy

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

bot/signals.py

@@ -0,0 +1,91 @@
+"""
+Live signal generation — applies the RSI Trend strategy to a freshly fetched
+candle window and returns a trade signal (or None).
+
+The logic mirrors backtest.strategies.rsi_trend exactly so live and backtest
+behaviour stay in sync.
+"""
+
+import logging
+from typing import Optional
+
+import pandas as pd
+
+from . import config
+from engine import indicators as ind
+
+logger = logging.getLogger(__name__)
+
+# ── signal result ─────────────────────────────────────────────────────────────
+
+class Signal:
+    __slots__ = ("symbol", "direction", "sl", "tp", "atr", "rsi")
+
+    def __init__(self, symbol: str, direction: str, sl: float, tp: float,
+                 atr: float, rsi: float):
+        self.symbol    = symbol
+        self.direction = direction   # 'long' | 'short'
+        self.sl        = sl
+        self.tp        = tp
+        self.atr       = atr
+        self.rsi       = rsi
+
+    def __repr__(self) -> str:
+        return (f"Signal({self.symbol} {self.direction.upper()}  "
+                f"sl={self.sl:.5f}  tp={self.tp:.5f}  rsi={self.rsi:.1f})")
+
+
+# ── signal check ─────────────────────────────────────────────────────────────
+
+def check(df: pd.DataFrame, symbol: str) -> Optional[Signal]:
+    """
+    Expects a DataFrame with columns [open, high, low, close] indexed by time,
+    with at least (LOOKBACK) rows.  Returns a Signal or None.
+
+    We check bar [-2] (the last completed bar) relative to bar [-3] (prev).
+    Bar [-1] is the currently forming bar — we never use it for signals.
+    """
+    if len(df) < config.LOOKBACK:
+        logger.debug("%s: insufficient bars (%d < %d)", symbol, len(df), config.LOOKBACK)
+        return None
+
+    # M15 indicators on full window
+    close = df["close"]
+    rsi_s = ind.rsi(close, config.RSI_PERIOD)
+    atr_s = ind.atr(df, config.ATR_PERIOD)
+
+    # H1 trend from resampled M15
+    h1     = close.resample("1h", label="left", closed="left").last().dropna()
+    ema_f  = ind.ema(h1, config.TREND_FAST)
+    ema_s  = ind.ema(h1, config.TREND_SLOW)
+    trend  = (ema_f - ema_s).reindex(df.index, method="ffill")
+
+    # Use second-to-last bar as signal bar (last fully closed bar)
+    bar   = df.iloc[-2]
+    prev  = df.iloc[-3]
+    rsi_now  = rsi_s.iloc[-2]
+    rsi_prev = rsi_s.iloc[-3]
+    atr_val  = atr_s.iloc[-2]
+    trend_val = trend.iloc[-2]
+
+    if any(pd.isna(v) for v in [rsi_now, rsi_prev, atr_val, trend_val]):
+        return None
+
+    # session filter on signal bar
+    hour = bar.name.hour
+    if not (config.SESSION_START <= hour < config.SESSION_END):
+        return None
+
+    ref = bar["close"]
+
+    if trend_val > 0 and rsi_prev < config.OS_LEVEL and rsi_now >= config.OS_LEVEL:
+        sl = ref - config.SL_ATR * atr_val
+        tp = ref + config.TP_ATR * atr_val
+        return Signal(symbol, "long",  sl, tp, atr_val, rsi_now)
+
+    if trend_val < 0 and rsi_prev > config.OB_LEVEL and rsi_now <= config.OB_LEVEL:
+        sl = ref + config.SL_ATR * atr_val
+        tp = ref - config.TP_ATR * atr_val
+        return Signal(symbol, "short", sl, tp, atr_val, rsi_now)
+
+    return None