Compute VWAP typical-price proxy in yfinance fallback#11
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When polygon.io fails (rate limit hit, auth failure, or empty response
for the requested date), daily_closes falls back to yfinance. The old
fallback set VWAP=None on every row, which caused the executor's
load_daily_vwap() to emit "daily_closes/{date} has no VWAP column —
skipping" for up to 5 consecutive days — the full lookback window —
whenever polygon was unhealthy. The executor then had no VWAP reference
for its intraday entry triggers.
Root cause surfaced during 2026-04-10 incident investigation: the
executor dry-run showed "No daily_closes with VWAP found in last 5 days"
after polygon had been returning empty results since ~04-06.
Fix: compute a typical-price VWAP proxy as (High + Low + Close) / 3.0
in the yfinance fallback. yfinance does not expose true intraday VWAP
for free, so this is the standard pre-tick-data approximation. The
executor uses daily VWAP as a prior-day reference level (not an
intraday streaming value), so the proxy is accurate enough for the
entry-trigger use case and materially better than None.
Regression test pins both the single-ticker path and the MultiIndex
multi-ticker path yfinance returns for batch downloads. Asserts
VWAP is non-None and satisfies Low <= VWAP <= High.
This does not fix whatever is wrong with polygon.io — that's a separate
investigation. Once polygon is healthy again, it will still be the
primary source (true intraday VWAP from the grouped-daily endpoint).
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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Summary
When polygon.io fails (rate limit hit, auth failure, or empty response), `daily_closes` falls back to yfinance. The old code set `VWAP=None` on every yfinance row, causing the executor to emit `No daily_closes with VWAP found in last 5 days` whenever polygon was unhealthy — as happened today (2026-04-10), with VWAP missing from 04-06 through 04-10.
Fix
Compute a typical-price VWAP proxy as `(High + Low + Close) / 3.0` in the yfinance fallback. yfinance doesn't expose true intraday VWAP for free, so this is the standard pre-tick-data approximation. The executor uses daily VWAP as a prior-day reference level (not streaming intraday), so the proxy is accurate enough for the entry-trigger use case.
Test plan
Not in scope
This does not diagnose or fix whatever is wrong with polygon.io. Once polygon is healthy again (free-tier rate limit reset, or key refresh), it will still be the primary source with true intraday VWAP from the grouped-daily endpoint. Worth a separate investigation if polygon continues returning empty results past Monday.
🤖 Generated with Claude Code