feat: whole-market premarket squeeze scan via Alpaca snapshots

Discovery finds premarket squeezes far too late. Across 53 trades by a
professional small-cap momentum trader, our scanner had found only 4 of his
names before his entry, and 27 of his 28 entries were premarket (07:00-09:30
ET). KITT on 2026-09-25 ran $3.50 -> $8.39 at 09:00-09:01 ET (prior close
$0.49); the loop first "Discovered KITT via manual" at 09:35. The existing
sources (Alpaca movers / most-actives screeners) only reflect the regular
session, so a premarket squeeze is invisible until the open.

research/ingestion/snapshot_scan.py sweeps every active, tradable, listed US
equity (~11.9k names; OTC, warrants/units/rights and DISCOVER_EXCLUDE dropped;
asset list cached per ET day) through GET /v2/stocks/snapshots in 2,000-symbol
batches. The endpoint is bound by URL length rather than symbol count (8,000
worked; ~12.7k returned 414). A name qualifies when:
  - the LATEST TRADE price is inside WATCHER_PRICE_MIN/MAX (never the prior
    close, which is routinely < $1 on these names),
  - % change vs the prior close >= DISCOVER_SNAPSHOT_MIN_PCT (20),
  - it is trading now: last trade <= 180s old, latest minute bar <= 300s old
    with >= 5,000 shares, and >= 100,000 shares since 04:00 ET (summed from
    minute bars for the short list, one extra request).
Qualifiers are ranked by % change, capped per sweep, and announced once per
day. dailyBar OHLC ignores extended-hours prints (KITT's dailyBar high was
$3.24 against a premarket high of $8.39), so in premarket it can still be
yesterday's bar. The prior close is prevDailyBar.c only when dailyBar is dated
today, otherwise dailyBar.c.

run_live_paper.py runs it on its own daemon thread (04:00-16:00 ET weekdays,
every 45s), using the plan-019 pattern: its own DB connection, the thread-safe
Watchlist and the generic interval driver. Each new name emits
symbol_discovered with source="snapshot_scan" and price/prev_close/pct/minute
and cumulative volume in symbol_data, so first-sighting latency can be
measured. It gets a daily-history backfill and joins the watchlist, so the
normal new-symbol ingest path gives it its first full-session pull. This is
discovery only; no trading gate changes.

Gated by DISCOVER_SNAPSHOT_SCAN_ENABLED (default 1); knobs in .env.example.
Live read-only sweep at 13:10 ET: 11,871 names in 8 requests / 6.3s cold
(7 requests / 3.5s warm); top hits KITT +376%, MSGY +262%, INLF +60%.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>

.env.example

@@ -84,6 +84,22 @@ LIVE_BARS_INTERVAL_SECONDS=20
 LIVE_BARS_REFRESH_MINUTES=20
 WATCHER_INTERVAL_SECONDS=15
 DISCOVER_INTERVAL_SECONDS=120
+# --- whole-market premarket squeeze scan (research/ingestion/snapshot_scan.py) ---
+# The movers/most-actives screeners only see the regular session, so premarket
+# squeezes were invisible until 09:30 (KITT 2026-09-25 ran at 09:00, found 09:35).
+# This sweeps every listed, tradable US equity through Alpaca snapshots
+# 04:00-16:00 ET on its own thread and adds qualifying names to the watchlist
+# (symbol_discovered source=snapshot_scan). Discovery only; all trading gates apply.
+# Price band = WATCHER_PRICE_MIN/MAX on the LATEST trade (not the prior close).
+DISCOVER_SNAPSHOT_SCAN_ENABLED=1
+DISCOVER_SNAPSHOT_INTERVAL_SECONDS=45     # one full sweep (~7 requests)
+DISCOVER_SNAPSHOT_MIN_PCT=20              # % change vs prior close to qualify
+DISCOVER_SNAPSHOT_MAX_PER_SWEEP=5         # new names injected per sweep (top by %)
+DISCOVER_SNAPSHOT_MIN_BAR_VOLUME=5000     # shares in the latest minute bar
+DISCOVER_SNAPSHOT_MIN_CUM_VOLUME=100000   # shares traded today since 04:00 ET
+DISCOVER_SNAPSHOT_MAX_TRADE_AGE_SECONDS=180
+DISCOVER_SNAPSHOT_MAX_BAR_AGE_SECONDS=300
+DISCOVER_SNAPSHOT_BATCH=2000              # symbols per request (URL-length bound; 414 at ~12.7k)
 # Active setups. The backtest sweep found the opening-range breakout is the only
 # profitable one (others lose and fire later); empty = all setups. See learn_params.py.
 STRATEGY_SETUPS=opening_range_break