feat: 新增 ChanMacro 宏观 regime 检测模块
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jackyu66git
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"""
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database.py — SQLite schema initialization and connection management.
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"""
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import sqlite3
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import os
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from pathlib import Path
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SCHEMA = """
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-- ═══════════════════════════════════════════════
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-- L0: Raw data tables
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-- ═══════════════════════════════════════════════
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CREATE TABLE IF NOT EXISTS ohlcv_daily (
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date TEXT NOT NULL,
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symbol TEXT NOT NULL DEFAULT 'BTC/USDT:USDT',
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open REAL,
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high REAL,
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low REAL,
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close REAL,
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volume REAL,
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ema20 REAL,
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ema60 REAL,
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ema120 REAL,
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atr_14 REAL,
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bb_width REAL,
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adx_14 REAL,
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PRIMARY KEY (date, symbol)
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);
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CREATE TABLE IF NOT EXISTS breadth_daily (
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date TEXT PRIMARY KEY,
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total_tracked INTEGER DEFAULT 50,
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advance_top50 INTEGER DEFAULT 0,
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decline_top50 INTEGER DEFAULT 0,
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above_ema20_top50 INTEGER DEFAULT 0,
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new_highs_20d_top50 INTEGER DEFAULT 0,
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btc_dominance REAL,
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advance_top20 INTEGER DEFAULT 0,
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advance_top30 INTEGER DEFAULT 0,
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above_ema20_top20 INTEGER DEFAULT 0,
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above_ema20_top30 INTEGER DEFAULT 0,
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new_highs_20d_top20 INTEGER DEFAULT 0,
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new_highs_20d_top30 INTEGER DEFAULT 0,
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fetched_at TEXT DEFAULT (datetime('now'))
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);
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CREATE TABLE IF NOT EXISTS derivatives (
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date TEXT NOT NULL,
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symbol TEXT NOT NULL DEFAULT 'BTC/USDT:USDT',
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funding_rate REAL,
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open_interest REAL,
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oi_24h_change_pct REAL,
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long_liquidations REAL,
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short_liquidations REAL,
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basis_annualised_pct REAL,
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source TEXT DEFAULT 'binance',
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fetched_at TEXT DEFAULT (datetime('now')),
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PRIMARY KEY (date, symbol)
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);
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CREATE TABLE IF NOT EXISTS etf_flow (
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date TEXT NOT NULL,
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product TEXT NOT NULL,
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net_flow_million REAL NOT NULL,
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price REAL,
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source TEXT DEFAULT 'farside',
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fetched_at TEXT DEFAULT (datetime('now')),
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PRIMARY KEY (date, product)
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);
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CREATE TABLE IF NOT EXISTS stablecoin_supply (
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date TEXT NOT NULL,
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token TEXT NOT NULL,
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chain TEXT NOT NULL DEFAULT 'all',
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supply REAL NOT NULL,
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source TEXT DEFAULT 'defillama',
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fetched_at TEXT DEFAULT (datetime('now')),
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PRIMARY KEY (date, token, chain)
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);
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-- ═══════════════════════════════════════════════
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-- L3: Regime history
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-- ═══════════════════════════════════════════════
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CREATE TABLE IF NOT EXISTS regime_history (
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date TEXT PRIMARY KEY,
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regime TEXT NOT NULL,
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confidence REAL,
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regime_version TEXT NOT NULL DEFAULT 'v1_price_breadth_vol',
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maturity_score REAL DEFAULT 50.0,
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all_scores_json TEXT DEFAULT '{}',
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prior_regime TEXT,
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confirmation_days INTEGER DEFAULT 1,
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created_at TEXT DEFAULT (datetime('now'))
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);
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-- ═══════════════════════════════════════════════
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-- ★ signal_features — THE moat
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-- ═══════════════════════════════════════════════
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CREATE TABLE IF NOT EXISTS signal_features (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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date TEXT NOT NULL,
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signal_type TEXT NOT NULL,
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signal_version TEXT NOT NULL DEFAULT 'b3_v1',
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symbol TEXT DEFAULT 'BTC/USDT:USDT',
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-- ★★ Version control (most important fields)
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regime_version TEXT NOT NULL DEFAULT 'v1_price_breadth_vol',
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signal_grade TEXT,
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signal_strength REAL,
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-- Market State Vector snapshot
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regime TEXT NOT NULL,
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regime_confidence REAL,
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regime_maturity_score REAL DEFAULT 50.0,
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market_state_hash TEXT,
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state_embedding TEXT DEFAULT '[]',
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breadth_top20 REAL,
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breadth_top30 REAL,
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breadth_top50 REAL,
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breadth_bucket TEXT,
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breadth_divergence REAL,
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oi_state TEXT,
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volatility_regime TEXT,
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price_structure_score REAL,
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-- Chan context (V5+)
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chan_trend_direction TEXT,
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chan_pivot_count INTEGER,
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chan_divergence_type TEXT,
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-- Outcomes
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entry_price REAL,
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result_1d REAL,
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result_3d REAL,
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result_5d REAL,
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result_7d REAL,
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result_14d REAL,
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max_favorable_excursion REAL,
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max_adverse_excursion REAL,
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is_win_7d INTEGER,
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created_at TEXT DEFAULT (datetime('now'))
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);
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CREATE INDEX IF NOT EXISTS idx_sf_regime ON signal_features(regime);
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CREATE INDEX IF NOT EXISTS idx_sf_signal ON signal_features(signal_type);
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CREATE INDEX IF NOT EXISTS idx_sf_oi_state ON signal_features(oi_state);
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CREATE INDEX IF NOT EXISTS idx_sf_date ON signal_features(date);
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CREATE INDEX IF NOT EXISTS idx_sf_state_hash ON signal_features(market_state_hash);
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CREATE INDEX IF NOT EXISTS idx_sf_regime_version ON signal_features(regime_version);
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CREATE INDEX IF NOT EXISTS idx_sf_signal_version ON signal_features(signal_version);
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-- ═══════════════════════════════════════════════
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-- Expectancy cache (raw counts, NOT posteriors)
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-- ═══════════════════════════════════════════════
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CREATE TABLE IF NOT EXISTS expectancy_cache (
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state_hash TEXT NOT NULL,
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signal_type TEXT NOT NULL,
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wins_weighted REAL DEFAULT 0,
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losses_weighted REAL DEFAULT 0,
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sum_return_7d REAL DEFAULT 0,
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sum_return_sq_7d REAL DEFAULT 0,
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effective_samples REAL DEFAULT 0,
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sufficiency TEXT DEFAULT 'INSUFFICIENT',
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updated_at TEXT DEFAULT (datetime('now')),
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PRIMARY KEY (state_hash, signal_type)
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);
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-- ═══════════════════════════════════════════════
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-- Similarity outcome (KNN weight learning, Phase D)
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-- ═══════════════════════════════════════════════
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CREATE TABLE IF NOT EXISTS similarity_outcome (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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state_a_hash TEXT,
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state_b_hash TEXT,
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distance REAL,
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actual_return_gap REAL,
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dimension_weights_json TEXT DEFAULT '{}',
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created_at TEXT DEFAULT (datetime('now'))
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);
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-- ═══════════════════════════════════════════════
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-- chan_context — Chan theory integration (V1 empty)
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-- ═══════════════════════════════════════════════
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CREATE TABLE IF NOT EXISTS chan_context (
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date TEXT NOT NULL,
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timeframe TEXT NOT NULL DEFAULT '1d',
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trend_direction TEXT,
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trend_strength REAL,
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pivot_count INTEGER,
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pivot_level TEXT,
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signal_type TEXT,
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signal_strength REAL,
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divergence_type TEXT,
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chan_structure_score REAL,
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alignment_score REAL,
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raw_context_json TEXT DEFAULT '{}',
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PRIMARY KEY (date, timeframe)
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);
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"""
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def init_db(db_path: str = "data/macro.db") -> sqlite3.Connection:
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"""Initialize database: create directory and all tables."""
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Path(db_path).parent.mkdir(parents=True, exist_ok=True)
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conn = sqlite3.connect(db_path)
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conn.executescript(SCHEMA)
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conn.commit()
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return conn
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def get_connection(db_path: str = "data/macro.db") -> sqlite3.Connection:
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"""Get a database connection. Creates tables if first run."""
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if not os.path.exists(db_path):
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return init_db(db_path)
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conn = sqlite3.connect(db_path)
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conn.row_factory = sqlite3.Row
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return conn
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