Persistent Cache Gap Filling

Persistent Cache with Gap-Filling (v3.7.0)

Experiment Overview

Context

User noticed that re-running the training notebook caused complete re-downloads of historical data even though:

• Data was downloaded earlier the same day
• Historical data is immutable (past candles never change)
• Only new bars since the last download were needed

The root cause was time-based cache expiry:

• SQLite cache (cache.py): 12-hour TTL via PERSISTED_TTL_HOURS
• Pickle cache (caching_fetcher.py): 3-7 day expiry via cache_expiry_days

v2.8.0 Solution: Persistent Cache + Gap-Filling

Core Principle

Historical market data is immutable. Once downloaded and validated, it should persist indefinitely. Only fetch new bars to fill the gap between cache end and current time.

Changes Made

1. cache.py - SQLite Cache

# Before: TTL always checked
def get(self, ..., ttl_hours: int = 24):
    if created_at < ttl_cutoff or expires_at < now_ts:
        self._remove_entry(cache_key)
        return None

# After: TTL is optional (None = no expiry)
def get(self, ..., ttl_hours: Optional[int] = None):
    # Only check TTL if explicitly specified
    if ttl_hours is not None:
        # ... TTL check
    # Otherwise return cached data regardless of age

2. fetcher.py - DataFetcher

# Removed
PERSISTED_TTL_HOURS = 12
self._cache_ttl_hours = PERSISTED_TTL_HOURS

# Updated _load_persisted - no TTL check
def _load_persisted(self, symbol: str, timeframe: str) -> pd.DataFrame:
    # No TTL - historical data is immutable
    cached = self._cache.get(symbol, timeframe, start="", end="")
    return cached

3. caching_fetcher.py - CachingDataFetcher

class CachingDataFetcher:
    def get_bars(self, symbol, timeframe, lookback_days, **kwargs):
        cached_df = load_from_cache(symbol, timeframe, cache_dir=self._cache_dir)

        if cached_df is not None:
            cache_end = cached_df.index.max()

            # Check if cache covers requested range
            if cache_start <= start_dt and cache_end >= end_dt - tolerance:
                return cached_df  # Complete - no API call

            # Gap-fill: only fetch new bars
            fetch_start = cache_end + timedelta(hours=1)
            new_df = self._fetcher.get_bars(symbol, start=fetch_start, ...)

            # Merge and save
            combined = pd.concat([cached_df, new_df])
            save_to_cache(symbol, combined, ...)
            return combined

Behavior Comparison

Before (Time-Based Expiry)

Run 1 (10:00 AM): Fetch 4 years of data [API] -> Cache (12h TTL)
Run 2 (10:30 AM): Cache valid -> [CACHE] instant
Run 3 (11:00 PM): Cache expired -> [API] Fetch 4 years AGAIN

After (Persistent + Gap-Fill)

Run 1 (10:00 AM): Fetch 4 years of data [API] -> Cache (persistent)
Run 2 (10:30 AM): Cache complete -> [CACHE] instant
Run 3 (11:00 PM): Cache + gap-fill -> [GAP-FILL] Fetch 13 new bars only

Output Messages

Cache Statistics

New gap_fills counter added:

stats = fetcher.get_cache_stats()
# {
#   'cache_hits': 8,      # Returned cached data unchanged
#   'cache_misses': 2,    # No cache, full download
#   'gap_fills': 5,       # Merged new bars with cache
#   'hit_rate': 0.87      # (hits + gap_fills) / total
# }

v3.7.0 Update: gap_fill_threshold_days

Problem: Gap-fill attempts were logging alarming 401 warnings even when cache had sufficient data for training. A 3-day-old cache with 4,318 bars is perfectly fine for training, but the 2-hour tolerance triggered unnecessary API calls.

Solution: Added gap_fill_threshold_days parameter (default: 7 days)

# CachingDataFetcher now accepts gap_fill_threshold_days
fetcher = CachingDataFetcher(
    cache_dir='/path/to/cache',
    gap_fill_threshold_days=7,  # Only gap-fill if cache > 7 days old
)

Behavior:

• Cache < 7 days old: Return cached data immediately, no API call
• Cache >= 7 days old: Attempt gap-fill (may show warnings if API fails)
• Cache with sufficient bars: Always returned regardless of age

Output Messages (v3.7.0):

Failed Attempts

Troubleshooting: 401 During Gap-Fill

If gap-fill shows 401 Authorization Required from nginx:

1. Check API key parsing first - Key files use Key:\n<value>\nSecret:\n<value> format. Naive line reading sends "Key:" as the API key ID. Use _read_keys_from_file() from alpaca_trading.trading.broker.
2. Check key validity - Paper trading keys expire if the account is deactivated.
3. The cache still works - Gap-fill failure is graceful; stale cache is returned with (Xd old) message. Training can proceed with slightly older data.

v5.2.1 Update: Gap-Fill Warning Suppression

Problem: When pickle cache is current but SQLite cache is empty (common across Colab sessions), gap-fill triggers and the is_incremental flag stays False. The API returns empty (data is up-to-date), and _fetch_remote() logs "No data returned from Alpaca" — a misleading warning.

Solution: Added is_incremental parameter to DataFetcher.get_bars():

def get_bars(self, ..., is_incremental: bool = False):
    # Caller can signal gap-fill context
    # Removed the `is_incremental = False` reset at line 222
    # SQLite detection can still set it True independently

CachingDataFetcher.get_bars() now passes is_incremental=True in the gap-fill path:

new_df = self._fetch_bars(symbol, ..., is_incremental=True, **kwargs)

Flow: CachingDataFetcher.get_bars() → _fetch_bars(**kwargs) → DataFetcher.get_bars(is_incremental=True) → _fetch_remote(is_incremental=True) → warning suppressed.

Key Insights

1. Historical data is immutable - Past candles never change, so there's no reason to re-fetch them
2. Only the edge needs updating - New bars appear at the end of the series
3. Time-based expiry is wrong model - For mutable data (news, weather) TTL makes sense; for historical OHLCV it's waste
4. Completeness > freshness - Check if cache covers the requested date range, not how old the file is

Files Modified

alpaca_trading/data/cache.py:
  - get(): ttl_hours now Optional[int] = None (no expiry by default)

alpaca_trading/data/fetcher.py:
  - Removed PERSISTED_TTL_HOURS constant
  - _load_persisted(): No TTL check
  - _save_persisted(): Uses 10-year TTL (effectively infinite)

alpaca_trading/data/caching_fetcher.py:
  - DEFAULT_*_CACHE_EXPIRY_DAYS = None (no expiry)
  - is_cache_valid(): Just checks file exists
  - get_bars(): Gap-filling logic added
  - get_cache_stats(): Added gap_fills counter

Backward Compatibility

• Existing .pkl cache files work unchanged
• cache_expiry_days parameter still accepted but ignored
• Old caches are automatically upgraded (no migration needed)

References

• Skill: selection-data-caching - Original caching implementation (v2.5.1)
• Skill: data-source-priority - Data fetching hierarchy
• alpaca_trading/data/caching_fetcher.py: Gap-filling implementation