Exit manager: trail a breakeven-protected position UP via a synthetic R (open-only)

KEEL was left at a frozen breakeven stop because its original R was lost — the bracket
stop leg was invalid (the limit filled below the ORB-low, so the stop sat ABOVE entry
and Alpaca cancelled it, which is what left it naked). The manager skipped any position
already at breakeven+, so it never trailed: a winner could only scratch or run
unprotected-above-breakeven.

Now a position first seen at breakeven+ with no real risk distance is tracked on a
SYNTHETIC R (ExitConfig.default_trail_r_pct, default 10% of entry, env
TRADING_EXIT_DEFAULT_TRAIL_R_PCT), so the SAME tested +0.25R step-trail / profit-lock
ratchet the broker stop UP as it rises (only ever up, never below the live stop).
default_trail_r_pct=0 keeps the old frozen behaviour; positions with a real sub-entry
stop are unchanged.

TRAILING is gated on the session being OPEN (one broker-clock check per pass): after
hours there are no new highs to trail under AND a resting GTC stop is often not
replaceable ("accepted" status -> Alpaca 422), so attempting it just churns. The stop
stays protective and ratchets up at the open. 4 tests added (synthetic-R trails up;
disabled=frozen; closed=no-attempt); 10/10 exit tests green.

Live now (after-hours): KEEL is protected at breakeven $5.56; the loop holds that stop
without churning and will trail it up once the session opens.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

runtime/exit_manager.py

@@ -177,6 +177,7 @@ class LiveExitManager:
         # reuse it for every position's stop-leg + entry-time lookups), scoped to
         # the held symbols so a busy day's order volume can't truncate the legs.
         orders = self._all_orders(held.keys())
+        mkt_open = self._market_open()   # once per pass — gates flatten-vs-rest + trailing
 
         actions: list[str] = []
         for sym, p in held.items():
@@ -195,7 +196,7 @@ class LiveExitManager:
                                               self.cfg.catastrophe_risk_mult)):
                 loss_pct = (entry - cur) / entry * 100
                 try:
-                    if self._market_open():
+                    if mkt_open:
                         self._flatten(sym, orders)
                         self._emit(sym, f"CATASTROPHE exit {sym} @~{cur:.4f} "
                                    f"({loss_pct:.1f}% below entry)", "exit_catastrophe",
@@ -230,7 +231,7 @@ class LiveExitManager:
                 self._naked_passes[sym] = n
                 if n >= grace:
                     try:
-                        if self._market_open():
+                        if mkt_open:
                             # session open: a market flatten fills — the safe exit.
                             self._flatten(sym, orders)
                             self._emit(sym, f"naked-stop enforced exit {sym} "
@@ -255,6 +256,13 @@ class LiveExitManager:
                 continue  # don't run trail logic on a naked position
             self._naked_passes.pop(sym, None)  # has a live stop
 
+            # TRAILING runs only while the session is OPEN: after-hours there are no new
+            # highs to trail under, and a resting GTC stop is often not replaceable yet
+            # ("accepted" status -> Alpaca 422 on replace), so attempting it just churns.
+            # The stop stays protective; it ratchets up at the open.
+            if not mkt_open:
+                continue
+
             try:
                 bars = self.bars_fn(sym)
             except Exception:  # noqa: BLE001
@@ -262,11 +270,21 @@ class LiveExitManager:
             if bars is None or len(bars) == 0:
                 continue
             if sym not in self._tracked:
-                if cur_stop is None or cur_stop >= entry:
-                    continue  # protected at breakeven+; broker stop handles it (no trail-from-init)
+                if cur_stop is None:
+                    continue  # naked — handled by the enforcement above
                 # trail from the ACTUAL entry fill time (so high-water/R reflect
                 # the move since entry, not since we first noticed the position)
                 entry_ts = self._entry_time(sym, orders) or _last_ts(bars)
+                if cur_stop >= entry:
+                    # already at BREAKEVEN+ with no real R to trail from (the original
+                    # stop was stripped/invalid). Trail on a SYNTHETIC R so the step-trail
+                    # / profit-lock still ratchet the broker stop UP as it rises (only ever
+                    # up, never below the live breakeven stop). 0 = leave it frozen.
+                    if not self.cfg.default_trail_r_pct:
+                        continue
+                    init = entry * (1.0 - self.cfg.default_trail_r_pct)
+                    self._tracked[sym] = _Tracked(entry, init, entry_ts, cur_stop)
+                else:
                     self._tracked[sym] = _Tracked(entry, cur_stop, entry_ts, cur_stop)
             tr = self._tracked[sym]
 

strategy/exits.py

@@ -89,6 +89,13 @@ class ExitConfig:
     # filled bracket's legs can attach first). 0 = off. The preventive complement
     # to the catastrophe stop (which is the -X% backstop).
     enforce_stop_grace_passes: int = 2
+    # When a held position is first seen already protected at BREAKEVEN+ but its
+    # original R is lost (the bracket stop was stripped or invalid — e.g. a fill below
+    # the ORB-low left the stop > entry), there is no real risk distance to trail from,
+    # so the stop would sit frozen at breakeven. Trail it on a SYNTHETIC R of this
+    # fraction of entry instead, so the step-trail / profit-lock ratchet it UP as the
+    # name rises (only ever up, never below the live breakeven stop). 0 = leave frozen.
+    default_trail_r_pct: float = 0.10
 
     @classmethod
     def from_env(cls, env: dict | None = None) -> "ExitConfig":
@@ -120,6 +127,7 @@ class ExitConfig:
             catastrophe_pct=f("TRADING_CATASTROPHE_STOP_PCT", "0.10"),
             catastrophe_risk_mult=f("TRADING_CATASTROPHE_RISK_MULT", "1.5"),
             enforce_stop_grace_passes=int(f("TRADING_ENFORCE_STOP_GRACE_PASSES", "2")),
+            default_trail_r_pct=f("TRADING_EXIT_DEFAULT_TRAIL_R_PCT", "0.10"),
         )
 
     def describe(self) -> str:

tests/unit/test_exit_manager.py

@@ -168,6 +168,58 @@ def test_naked_underwater_rests_catastrophe_stop_when_closed():
     assert broker.submitted[0]["stop_price"] == 8.1   # 9.0 * (1 - 0.10), below market
 
 
+def test_breakeven_position_trails_up_on_synthetic_r():
+    """A position found already at BREAKEVEN (stop == entry, original R lost) must still
+    trail UP as it rises — on a synthetic R — instead of sitting frozen at breakeven."""
+    store = EventStore(":memory:")
+    pos = [{"symbol": "AAA", "avg_entry_price": "10.0", "current_price": "11.0", "qty": "100"}]
+    leg = {"id": "be", "symbol": "AAA", "type": "stop", "side": "sell",
+           "stop_price": "10.0", "status": "accepted"}    # stop AT entry = breakeven
+    broker = _FakeBroker(pos, leg)
+    bars = _bars([(10.2, 10.0, 10.1), (10.6, 10.2, 10.5), (11.0, 10.6, 11.0)])  # +10%
+    mgr = LiveExitManager(
+        broker, store, lambda s: bars,
+        cfg=ExitConfig(trail_r_step=0.25, breakeven_at_pct=0.05, default_trail_r_pct=0.10),
+        session_id="t",
+    )
+    mgr.manage()
+    assert broker.replaced, "breakeven position should trail up, not freeze"
+    new_stop = broker.replaced[-1][1]
+    assert 10.0 < new_stop < 11.0          # ratcheted ABOVE breakeven, below market
+
+
+def test_no_trail_attempt_when_market_closed():
+    """Trailing runs only while the session is OPEN — after-hours there are no new highs
+    and a resting GTC stop often isn't replaceable, so the manager leaves the stop as-is."""
+    store = EventStore(":memory:")
+    pos = [{"symbol": "AAA", "avg_entry_price": "10.0", "current_price": "11.0", "qty": "100"}]
+    leg = {"id": "be", "symbol": "AAA", "type": "stop", "side": "sell",
+           "stop_price": "10.0", "status": "accepted"}
+    broker = _FakeBroker(pos, leg, market_open=False)
+    mgr = LiveExitManager(
+        broker, store, lambda s: _bars([(11.0, 10.6, 11.0)]),
+        cfg=ExitConfig(trail_r_step=0.25, default_trail_r_pct=0.10), session_id="t",
+    )
+    mgr.manage()
+    assert broker.replaced == []           # closed -> no trail attempt (no churn)
+
+
+def test_breakeven_position_frozen_when_disabled():
+    """default_trail_r_pct=0 keeps the old behaviour — a breakeven stop is left frozen."""
+    store = EventStore(":memory:")
+    pos = [{"symbol": "AAA", "avg_entry_price": "10.0", "current_price": "11.0", "qty": "100"}]
+    leg = {"id": "be", "symbol": "AAA", "type": "stop", "side": "sell",
+           "stop_price": "10.0", "status": "accepted"}
+    broker = _FakeBroker(pos, leg)
+    mgr = LiveExitManager(
+        broker, store, lambda s: _bars([(11.0, 10.6, 11.0)]),
+        cfg=ExitConfig(trail_r_step=0.25, default_trail_r_pct=0.0),
+        session_id="t",
+    )
+    mgr.manage()
+    assert broker.replaced == []           # frozen at breakeven
+
+
 def test_position_with_stop_not_flattened_as_naked():
     """A position WITH a live stop must never be naked-flattened."""
     store = EventStore(":memory:")