feat(v0.1.0): project foundation with logging and config

config/alerts.yaml

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+# Alert System Configuration
+
+enabled: true
+default_channel: "telegram"  # telegram, slack, email, all
+
+telegram:
+  enabled: true
+  bot_token: "${TELEGRAM_BOT_TOKEN}"
+  chat_id: "${TELEGRAM_CHAT_ID}"
+  
+  alerts:
+    pattern_detected: true
+    high_grade_pattern: true  # Grade 4-5 patterns only
+    setup_complete: true
+    trade_executed: true
+    trade_closed: true
+    daily_summary: true
+  
+  rate_limit:
+    max_alerts_per_minute: 10
+    max_alerts_per_hour: 50
+
+slack:
+  enabled: false
+  webhook_url: "${SLACK_WEBHOOK_URL}"
+  
+  alerts:
+    pattern_detected: false
+    high_grade_pattern: true
+    setup_complete: true
+    trade_executed: true
+    trade_closed: true
+    daily_summary: true
+  
+  rate_limit:
+    max_alerts_per_minute: 5
+    max_alerts_per_hour: 30
+
+email:
+  enabled: false
+  smtp_host: "${SMTP_HOST}"
+  smtp_port: "${SMTP_PORT}"
+  smtp_user: "${SMTP_USER}"
+  smtp_password: "${SMTP_PASSWORD}"
+  from_address: "${EMAIL_FROM}"
+  to_addresses:
+    - "${EMAIL_TO}"
+  
+  alerts:
+    pattern_detected: false
+    high_grade_pattern: false
+    setup_complete: true
+    trade_executed: true
+    trade_closed: true
+    daily_summary: true
+  
+  rate_limit:
+    max_emails_per_hour: 5
+
+# Alert message templates
+templates:
+  pattern_detected: |
+    🎯 Pattern Detected: {pattern_type}
+    Grade: {grade}/5
+    Symbol: {symbol}
+    Time: {timestamp}
+    Price: {price}
+  
+  high_grade_pattern: |
+    ⭐ High Grade Pattern: {pattern_type}
+    Grade: {grade}/5
+    Confidence: {confidence}%
+    Symbol: {symbol}
+    Time: {timestamp}
+  
+  setup_complete: |
+    ✅ Setup Complete: {setup_type}
+    Patterns: {patterns}
+    Confidence: {confidence}%
+    Entry Signal: {signal}
+  
+  trade_executed: |
+    📈 Trade Executed
+    Type: {trade_type}
+    Entry: {entry_price}
+    Stop Loss: {stop_loss}
+    Take Profit: {take_profit}
+    Size: {size} contracts
+  
+  trade_closed: |
+    📊 Trade Closed
+    P&L: {pnl} EUR
+    Return: {return_pct}%
+    Duration: {duration}
+
+# Alert filtering
+filters:
+  min_pattern_grade: 3  # Only alert on grade 3+ patterns
+  min_setup_confidence: 0.70
+  only_live_trading: false  # If true, only alert during live trading hours
+

config/config.yaml

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+# Main Application Configuration
+
+app:
+  name: "ICT ML Trading System"
+  version: "0.1.0"
+  environment: "${ENVIRONMENT:-development}"
+  debug: "${DEBUG:-false}"
+
+# Trading Session Configuration
+trading:
+  session:
+    start_time: "03:00"  # EST
+    end_time: "04:00"    # EST
+    timezone: "America/New_York"
+  
+  instrument:
+    symbol: "DEUIDXEUR"
+    exchange: "EUREX"
+    contract_size: 25  # EUR per point
+
+# Data Configuration
+data:
+  raw_data_path: "data/raw"
+  processed_data_path: "data/processed"
+  labels_path: "data/labels"
+  screenshots_path: "data/screenshots"
+  
+  timeframes:
+    - "1min"
+    - "5min"
+    - "15min"
+  
+  retention:
+    raw_data_days: 730  # 24 months
+    processed_data_days: 365  # 12 months
+    screenshots_days: 180  # 6 months
+
+# Model Configuration
+models:
+  base_path: "models"
+  pattern_graders_path: "models/pattern_graders"
+  strategy_models_path: "models/strategy_models"
+  
+  min_labels_per_pattern: 200
+  train_test_split: 0.8
+  validation_split: 0.1
+
+# Logging Configuration (see config/logging.yaml for detailed settings)
+logging:
+  level: "${LOG_LEVEL:-INFO}"
+  format: "${LOG_FORMAT:-json}"
+  log_dir: "logs"
+

config/database.yaml

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+# Database Configuration
+
+# Database URL (can be overridden by DATABASE_URL environment variable)
+database_url: "${DATABASE_URL:-sqlite:///data/ict_trading.db}"
+
+# Connection pool settings
+pool_size: 10
+max_overflow: 20
+pool_timeout: 30
+pool_recycle: 3600  # Recycle connections after 1 hour
+
+# SQLAlchemy settings
+echo: false  # Set to true for SQL query logging
+echo_pool: false
+
+# Database-specific settings
+sqlite:
+  # SQLite-specific settings
+  check_same_thread: false
+  timeout: 20
+
+postgresql:
+  # PostgreSQL-specific settings
+  connect_args:
+    connect_timeout: 10
+    application_name: "ict_ml_trading"
+
+# Migration settings
+alembic:
+  script_location: "alembic"
+  version_path_separator: "os"
+  sqlalchemy.url: "${DATABASE_URL:-sqlite:///data/ict_trading.db}"
+
+# Backup settings
+backup:
+  enabled: true
+  frequency: "daily"  # daily, weekly
+  retention_days: 30
+  backup_path: "backups/database"
+

config/detectors.yaml

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+# Pattern Detector Configuration
+
+fvg_detector:
+  enabled: true
+  min_gap_size_pips: 5  # Minimum gap size in pips
+  max_gap_age_bars: 50  # Maximum bars before gap is considered invalid
+  require_confirmation: true  # Require price to touch gap zone
+  
+  bullish:
+    min_body_size_ratio: 0.6  # Minimum body size relative to candle
+    min_gap_size_ratio: 0.3   # Minimum gap relative to ATR
+  
+  bearish:
+    min_body_size_ratio: 0.6
+    min_gap_size_ratio: 0.3
+
+order_block_detector:
+  enabled: true
+  lookback_bars: 20  # Bars to look back for BOS
+  min_candle_size_ratio: 0.5  # Minimum candle size relative to ATR
+  require_structure_break: true  # Require BOS before OB
+  
+  bullish:
+    min_body_size_ratio: 0.7
+    max_wick_ratio: 0.3  # Maximum wick size relative to body
+  
+  bearish:
+    min_body_size_ratio: 0.7
+    max_wick_ratio: 0.3
+
+liquidity_detector:
+  enabled: true
+  swing_lookback: 10  # Bars to look back for swing points
+  min_swing_size_pips: 10
+  sweep_tolerance_pips: 2  # Tolerance for sweep detection
+  
+  bullish_sweep:
+    require_reversal: true
+    min_reversal_size_ratio: 0.5
+  
+  bearish_sweep:
+    require_reversal: true
+    min_reversal_size_ratio: 0.5
+
+premium_discount:
+  enabled: true
+  calculation_method: "session_range"  # session_range or daily_range
+  session_start_time: "03:00"
+  session_end_time: "04:00"
+  
+  levels:
+    premium_threshold: 0.618  # Fibonacci level
+    discount_threshold: 0.382
+    equilibrium_level: 0.500
+
+structure_detector:
+  enabled: true
+  swing_period: 10  # Period for swing detection
+  min_structure_size_pips: 15
+  
+  bos:
+    require_confirmation: true
+    confirmation_bars: 2
+  
+  choch:
+    require_confirmation: true
+    confirmation_bars: 2
+
+scanner:
+  run_parallel: false  # Run detectors in parallel (experimental)
+  save_detections: true
+  generate_screenshots: false  # Set to true for labeling workflow
+  screenshot_path: "data/screenshots/patterns"
+

config/logging.yaml

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+version: 1
+disable_existing_loggers: false
+
+formatters:
+  json:
+    class: pythonjsonlogger.jsonlogger.JsonFormatter
+    format: '%(asctime)s %(name)s %(levelname)s %(message)s %(pathname)s %(lineno)d'
+    datefmt: '%Y-%m-%d %H:%M:%S'
+  
+  detailed:
+    format: '%(asctime)s - %(name)s - %(levelname)s - %(message)s - [%(pathname)s:%(lineno)d]'
+    datefmt: '%Y-%m-%d %H:%M:%S'
+  
+  colored:
+    format: '%(asctime)s - %(name)s - %(levelname)s - %(message)s'
+    datefmt: '%Y-%m-%d %H:%M:%S'
+    # Note: ColoredFormatter requires colorlog package
+    # Falls back to standard formatter if colorlog not available
+
+handlers:
+  console:
+    class: logging.StreamHandler
+    level: INFO
+    formatter: colored
+    stream: ext://sys.stdout
+    filters:
+      - sensitive_data_filter
+  
+  application_file:
+    class: logging.handlers.RotatingFileHandler
+    level: DEBUG
+    formatter: json
+    filename: logs/application/app.log
+    maxBytes: 10485760  # 10MB
+    backupCount: 5
+    encoding: utf-8
+    filters:
+      - sensitive_data_filter
+  
+  error_file:
+    class: logging.handlers.RotatingFileHandler
+    level: ERROR
+    formatter: json
+    filename: logs/errors/exceptions.log
+    maxBytes: 10485760  # 10MB
+    backupCount: 5
+    encoding: utf-8
+    filters:
+      - sensitive_data_filter
+  
+  critical_file:
+    class: logging.handlers.RotatingFileHandler
+    level: CRITICAL
+    formatter: json
+    filename: logs/errors/critical.log
+    maxBytes: 10485760  # 10MB
+    backupCount: 10
+    encoding: utf-8
+    filters:
+      - sensitive_data_filter
+
+loggers:
+  src:
+    level: DEBUG
+    handlers:
+      - console
+      - application_file
+      - error_file
+      - critical_file
+    propagate: false
+  
+  src.detectors:
+    level: DEBUG
+    handlers:
+      - console
+      - application_file
+    propagate: false
+  
+  src.models:
+    level: DEBUG
+    handlers:
+      - console
+      - application_file
+    propagate: false
+  
+  src.trading:
+    level: INFO
+    handlers:
+      - console
+      - application_file
+    propagate: false
+
+root:
+  level: INFO
+  handlers:
+    - console
+    - application_file
+

config/models.yaml

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+# Machine Learning Model Configuration
+
+pattern_graders:
+  # Individual pattern grading models
+  base_model_type: "RandomForestClassifier"  # RandomForestClassifier, XGBoostClassifier
+  
+  random_forest:
+    n_estimators: 100
+    max_depth: 10
+    min_samples_split: 5
+    min_samples_leaf: 2
+    max_features: "sqrt"
+    random_state: 42
+    n_jobs: -1
+  
+  xgboost:
+    n_estimators: 100
+    max_depth: 6
+    learning_rate: 0.1
+    subsample: 0.8
+    colsample_bytree: 0.8
+    random_state: 42
+  
+  # Feature selection
+  feature_selection:
+    enabled: true
+    method: "mutual_info"  # mutual_info, f_test, chi2
+    top_k_features: 50
+  
+  # Training configuration
+  training:
+    cv_folds: 5
+    scoring_metric: "f1_weighted"
+    early_stopping: true
+    patience: 10
+
+setup_classifier:
+  # Meta-model for complete setup classification
+  model_type: "RandomForestClassifier"
+  
+  # Strategy types
+  strategies:
+    continuation:
+      time_window_start: "03:00"
+      time_window_end: "03:15"
+      min_pattern_count: 2
+      required_patterns: ["fvg", "order_block"]
+    
+    reversal:
+      time_window_start: "03:30"
+      time_window_end: "03:50"
+      min_pattern_count: 2
+      required_patterns: ["fvg", "liquidity"]
+
+# Model evaluation
+evaluation:
+  metrics:
+    - "accuracy"
+    - "precision"
+    - "recall"
+    - "f1_score"
+    - "roc_auc"
+  
+  min_accuracy_threshold: 0.75
+  min_precision_threshold: 0.70
+  min_recall_threshold: 0.65
+
+# Hyperparameter tuning
+tuning:
+  enabled: false
+  method: "grid_search"  # grid_search, random_search, optuna
+  n_iter: 50
+  cv_folds: 5
+  
+  grid_search:
+    param_grids:
+      random_forest:
+        n_estimators: [50, 100, 200]
+        max_depth: [5, 10, 15]
+        min_samples_split: [2, 5, 10]
+
+# Model registry
+registry:
+  track_versions: true
+  auto_promote: false  # Auto-promote best model to "latest"
+  min_improvement: 0.02  # Minimum improvement to promote (2%)
+

config/trading.yaml

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+# Trading Strategy Configuration
+
+risk_management:
+  max_position_size: 1  # Maximum number of contracts
+  max_daily_loss: 500  # Maximum daily loss in EUR
+  max_drawdown: 0.10  # Maximum drawdown (10%)
+  
+  position_sizing:
+    method: "fixed"  # fixed, kelly, risk_percentage
+    fixed_size: 1
+    risk_percentage: 0.02  # 2% of account per trade
+    kelly_fraction: 0.25  # Fraction of Kelly criterion
+  
+  stop_loss:
+    method: "atr_multiple"  # atr_multiple, fixed_pips, pattern_based
+    atr_multiple: 2.0
+    fixed_pips: 20
+    min_stop_pips: 10
+    max_stop_pips: 50
+  
+  take_profit:
+    method: "risk_reward"  # risk_reward, fixed_pips, pattern_based
+    risk_reward_ratio: 2.0
+    fixed_pips: 40
+    min_tp_pips: 20
+
+entry_rules:
+  # Minimum model confidence for entry
+  min_pattern_grade: 4  # Grade 4 or 5 required
+  min_setup_confidence: 0.75
+  
+  # Pattern requirements
+  required_patterns:
+    continuation: ["fvg", "order_block"]
+    reversal: ["fvg", "liquidity"]
+  
+  # Market structure requirements
+  require_bos: true
+  require_htf_alignment: false  # Higher timeframe alignment
+  
+  # Premium/Discount filter
+  premium_discount_filter: true
+  only_trade_premium_discount: false  # If true, only trade in premium/discount zones
+
+exit_rules:
+  # Exit on pattern invalidation
+  exit_on_fvg_fill: true
+  exit_on_ob_break: true
+  
+  # Time-based exit
+  max_hold_time_minutes: 60
+  exit_at_session_end: true
+  
+  # Trailing stop
+  trailing_stop_enabled: false
+  trailing_stop_atr_multiple: 1.5
+
+execution:
+  # Order types
+  entry_order_type: "market"  # market, limit
+  limit_order_offset_pips: 2
+  
+  # Slippage and fees
+  assumed_slippage_pips: 1
+  commission_per_contract: 2.5  # EUR per contract
+  
+  # Execution delays (for backtesting)
+  execution_delay_seconds: 1
+
+session:
+  # Trading session times (EST)
+  start_time: "03:00"
+  end_time: "04:00"
+  timezone: "America/New_York"
+  
+  # Day of week filters
+  trade_monday: true
+  trade_tuesday: true
+  trade_wednesday: true
+  trade_thursday: true
+  trade_friday: true
+  
+  # Economic calendar filters (optional)
+  avoid_high_impact_news: false
+  news_buffer_minutes: 15
+