Claude
7e9221a914
- PLAN.md: full implementation plan from issue - config.py: configurable thresholds, API keys via .env - ingestion/: EDGAR RSS poller + Form 4 XML parser - db/: SQLite schema + interface (WAL mode) - signals/: filter engine (buy/10b5-1/value/role) + cluster detector - alerts/: Slack webhook alert with score gating - broker/: Alpaca paper/live trade execution - backtest/: historical signal backtesting with yfinance - main.py: CLI entrypoint (run | fetch-once | backtest)
68 lines
1.9 KiB
Python
68 lines
1.9 KiB
Python
import math
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import logging
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from typing import Optional
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import config
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from signals.cluster_detector import detect_cluster
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from db.db import insert_signal
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logger = logging.getLogger(__name__)
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def _role_weight(role: str) -> float:
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role_lower = (role or "").lower()
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for key, weight in config.ROLE_WEIGHTS.items():
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if key in role_lower:
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return weight
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return config.DEFAULT_ROLE_WEIGHT
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def _score(total_value: float, role: str, cluster_size: int) -> float:
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if not total_value or total_value <= 0:
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return 0.0
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base = _role_weight(role)
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cluster_mult = 1.0 + 0.5 * (cluster_size - 1)
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return base * math.log(total_value) * cluster_mult
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def process_filing(filing: dict) -> Optional[dict]:
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if filing.get("flag") != "A":
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return None
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if filing.get("is_10b51"):
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logger.debug(f"Skipping 10b5-1 filing: {filing['accession_number']}")
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return None
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total_value = filing.get("total_value") or 0
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if total_value < config.MIN_TRANSACTION_VALUE:
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logger.debug(f"Below min value: {filing['accession_number']} (${total_value:,.0f})")
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return None
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ticker = filing.get("ticker", "")
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if not ticker:
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return None
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cluster_info = detect_cluster(ticker)
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cluster_size = cluster_info["cluster_size"]
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total_cluster_value = cluster_info["total_cluster_value"]
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if cluster_size < config.MIN_CLUSTER_SIZE:
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return None
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score = _score(total_value, filing.get("role", ""), cluster_size)
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signal = {
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"ticker": ticker,
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"trigger_date": filing.get("transaction_date", ""),
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"cluster_size": cluster_size,
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"total_cluster_value": total_cluster_value,
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"score": round(score, 2),
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"filing": filing,
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"cluster_buys": cluster_info["buys"],
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}
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signal_id = insert_signal(signal)
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signal["id"] = signal_id
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logger.info(f"Signal generated: {ticker} score={score:.2f} cluster={cluster_size}")
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return signal
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