feat: causal lab
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OpenSquared
@@ -3,7 +3,7 @@ Isolated cycle action: Check New Market Events.
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Scans 4 sources and creates market_events for significant findings:
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- news : geopolitical/macro news (RSS feeds, rule-scored)
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- eco : FRED economic releases with high surprise z-score
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- eco : ff_calendar releases with high surprise % (toutes devises, USD inclus)
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- technical: configurable signal catalog driven by Technical Desk
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- reports : institutional reports (COT, EIA) with high importance
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@@ -347,7 +347,7 @@ def _check_ff_calendar_surprises(
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) -> List[Dict]:
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"""
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Detect surprising releases in ff_calendar for the given currencies.
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Used when currencies other than USD are configured (FRED only covers USD).
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Détecte les releases surprenantes dans ff_calendar pour toutes les devises données (USD inclus).
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"""
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from services.database import get_conn
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@@ -483,129 +483,20 @@ def _check_eco(desk_cfg: Dict[str, Any]) -> List[Dict[str, Any]]:
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existing = _existing_event_keys()
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created: List[Dict] = []
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# ── Local economic_events table (replaces FRED API call) ─────────────────
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if "USD" in currencies:
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try:
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conn = get_conn()
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rows = conn.execute(
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"""SELECT * FROM economic_events
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WHERE event_date >= ? AND event_date <= ?
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AND ABS(COALESCE(surprise_zscore, 0)) >= ?
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ORDER BY event_date DESC, ABS(COALESCE(surprise_zscore, 0)) DESC
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LIMIT 50""",
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(date_from, date_to, z_threshold),
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).fetchall()
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conn.close()
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releases = []
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for r in rows:
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d = dict(r)
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try:
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d["assets_impacted"] = json.loads(d.get("assets_impacted") or "[]")
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except Exception:
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d["assets_impacted"] = []
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releases.append(d)
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except Exception as e:
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logger.warning(f"[check_events/eco] local query failed: {e}")
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releases = []
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for rel in releases:
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s_id = rel.get("series_id", "")
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impact = _SERIES_IMPACT.get(s_id, "low")
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if _IMPACT_RANKS.get(impact, 1) < min_rank:
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continue
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z = abs(rel.get("surprise_zscore") or 0)
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s_pct = rel.get("surprise_pct") or 0
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ev_date = (rel.get("event_date") or "")[:10]
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ev_name_base = rel.get("event_name", s_id)
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direction = rel.get("surprise_direction", "neutral")
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sign = "+" if s_pct >= 0 else ""
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ev_name = f"{ev_name_base} — Surprise {sign}{s_pct:.1f}% ({ev_date[:7]})"
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if _is_dup(ev_name, existing):
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continue
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# Lookback context from FRED history
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context_str = ""
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if lookback_releases > 0 and s_id:
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try:
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conn = get_conn()
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hist = conn.execute(
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"""SELECT event_date, actual_value, forecast_value
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FROM economic_events
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WHERE series_id = ? AND event_date < ?
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ORDER BY event_date DESC LIMIT ?""",
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(s_id, ev_date, lookback_releases),
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).fetchall()
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conn.close()
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if hist:
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context_str = " Historique récent: " + ", ".join(
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f"{r[0][:7]}: réel={r[1]} consensus={r[2]}" for r in hist
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)
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except Exception:
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pass
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sub_type = SUBTYPE_FROM_SERIES.get(s_id, s_id[:10]) if s_id else ev_name_base[:10]
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level = "long" if z >= 3 else ("medium" if z >= 2 else "short")
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assets = rel.get("assets_impacted") or []
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if isinstance(assets, str):
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try:
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assets = json.loads(assets)
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except Exception:
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assets = []
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source_ref = {
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"title": f"FRED release: {ev_name_base} ({ev_date})",
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"source": "FRED",
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"url": f"https://fred.stlouisfed.org/series/{s_id}" if s_id else "",
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"date": ev_date,
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"original_score": round(min(0.95, 0.35 + z * 0.15), 3),
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}
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ev = {
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"name": ev_name,
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"start_date": ev_date,
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"level": level,
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"category": "event_calendar",
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"sub_type": sub_type,
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"description": (
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f"Surprise {direction} {sign}{s_pct:.1f}% vs baseline "
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f"(z-score: {z:.1f}σ). "
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f"Réel: {rel.get('actual_value', '?')} {rel.get('actual_unit', '')} "
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f"/ Prévision: {rel.get('forecast_value', '?')}."
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+ context_str
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),
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"market_impact": "",
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"affected_assets": assets,
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"impact_score": min(0.95, 0.35 + z * 0.15),
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"actual_value": str(rel.get("actual_value", "")),
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"expected_value": str(rel.get("forecast_value", "")),
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"surprise_pct": float(s_pct),
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"source_refs": [source_ref],
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"origin": "detector_eco",
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}
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if create_evt:
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result = _save_and_evaluate(ev, existing)
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if result:
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result["source"] = "eco"
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created.append(result)
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else:
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logger.info(f"[check_events/eco] create_market_event=False — skipping: {ev_name}")
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# ── ff_calendar path (non-USD currencies) ────────────────────────────────
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non_usd = [c for c in currencies if c != "USD"]
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if non_usd:
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created += _check_ff_calendar_surprises(
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currencies=non_usd,
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min_impact=min_impact,
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date_from=date_from,
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date_to=date_to,
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min_surprise_pct=ff_surprise_min,
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lookback_releases=lookback_releases,
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create_evt=create_evt,
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existing=existing,
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)
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# ── ff_calendar — source unique pour toutes les devises (USD inclus) ──────
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# Anciennement : USD → economic_events (FRED), autres → ff_calendar.
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# Désormais ff_calendar couvre toutes les devises avec forecast + actual,
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# donc on unifie sur une seule source cohérente.
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created += _check_ff_calendar_surprises(
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currencies=currencies,
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min_impact=min_impact,
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date_from=date_from,
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date_to=date_to,
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min_surprise_pct=ff_surprise_min,
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lookback_releases=lookback_releases,
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create_evt=create_evt,
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existing=existing,
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)
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return created
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