Entry-path unification (step 2): liquidity sizing on the auto path

Adds the fast path's volume-based share cap to the live auto path: cap shares to
liquidity_max_volume_pct * cum_volume so a thin cheap name can't be oversized
into heavy slippage (the VTAK-style stop that filled far past its level on
2026-06-23). Threads cum_volume through the setup dict + ready-signal snapshot;
applies max_shares in request_approvals_for_ready_signals, gated by
TRADING_UNIFIED_ENTRY. Fail-open: no cum_volume -> no cap. Protective only
(can only shrink a position).

Tests: thin name capped to liq*cum_volume when on, risk-sized when off. 67 path
tests green. Remaining staged (supervised): the full single _place_entry
chokepoint + fill-model unification + halt-status plumbing.

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

storage/projections.py

@@ -230,6 +230,7 @@ def query_ready_signals_snapshot(store, session_id: str | None = None) -> list[d
             "vwap": signal_data.get("vwap"),
             "above_vwap": signal_data.get("above_vwap"),
             "day_open": signal_data.get("day_open"),
+            "cum_volume": signal_data.get("cum_volume"),
             "timestamp": event.get("timestamp"),
         }
     return sorted(

strategy/evaluation/setup_evaluator.py

@@ -162,6 +162,7 @@ def evaluate_setup(
                          if levels.vwap is not None else None),
                 "above_vwap": bool(above_vwap),
                 "day_open": round(float(open_price), 4) if open_price > 0 else None,
+                "cum_volume": float(bars["volume"].sum()),
             }
         )
 

tests/unit/test_trading_execution.py

@@ -67,7 +67,7 @@ class Clock:
 
 
 def emit_signal(store, symbol="GOOD", entry=14.0, stop=13.45,
-                above_vwap=None, vwap=None, day_open=None):
+                above_vwap=None, vwap=None, day_open=None, cum_volume=None):
     signal_data = {
         "entry_price": entry,
         "stop_loss_price": stop,
@@ -79,6 +79,8 @@ def emit_signal(store, symbol="GOOD", entry=14.0, stop=13.45,
             round(entry - 1.0, 2) if above_vwap else round(entry + 1.0, 2))
     if day_open is not None:
         signal_data["day_open"] = day_open
+    if cum_volume is not None:
+        signal_data["cum_volume"] = cum_volume
     store.emit(
         SignalReadyEvent(
             timestamp=T0,
@@ -289,6 +291,27 @@ def test_unified_entry_allows_normal_day(store):
     assert len(make_service(store, unified_entry=True).request_approvals_for_ready_signals()) == 1
 
 
+def test_liquidity_cap_sizes_down_thin_name_on_auto_path(store):
+    # thin name (cum_volume 10k) -> shares capped to liq*cum_volume, not risk-sized
+    emit_signal(store, symbol="THIN", entry=2.0, stop=1.9, above_vwap=True,
+                day_open=1.95, cum_volume=10_000)
+    svc = make_service(store, unified_entry=True, liquidity_max_volume_pct=0.01,
+                       max_concurrent_positions=10)
+    svc.request_approvals_for_ready_signals()
+    q = query_approval_queue(store)[0]["execution_request"]["quantity"]
+    assert q <= int(0.01 * 10_000)            # liquidity-capped at 100 shares
+
+
+def test_liquidity_cap_off_when_unified_disabled(store):
+    emit_signal(store, symbol="THIN", entry=2.0, stop=1.9, above_vwap=True,
+                day_open=1.95, cum_volume=10_000)
+    svc = make_service(store, unified_entry=False, liquidity_max_volume_pct=0.01,
+                       max_concurrent_positions=10)
+    svc.request_approvals_for_ready_signals()
+    q = query_approval_queue(store)[0]["execution_request"]["quantity"]
+    assert q > int(0.01 * 10_000)             # not capped -> risk-based size is larger
+
+
 def test_no_duplicate_requests_for_same_symbol(store):
     emit_signal(store)
     service = make_service(store)

trading_execution.py

@@ -719,6 +719,15 @@ class TradingExecutionService:
             # remaining gross-notional budget (so the book can't pile into ~100%).
             pos_cap = min(eq * self.settings.max_position_pct,
                           self._remaining_gross_budget(eq))
+            # Liquidity cap (unification): on the auto path too, cap shares to a
+            # fraction of the name's cumulative volume so a thin cheap name can't be
+            # oversized into heavy slippage (the VTAK-style stop that filled far past
+            # its level). Fail-open: no cum_volume in the signal -> no cap.
+            liq = self.settings.liquidity_max_volume_pct
+            cum_vol = signal.get("cum_volume") or 0.0
+            max_shares = (int(liq * float(cum_vol))
+                          if (self.settings.unified_entry and liq > 0 and cum_vol > 0)
+                          else None)
             sizing = calculate_position_size(
                 float(entry),
                 float(stop),
@@ -728,6 +737,7 @@ class TradingExecutionService:
                     default_equity=self.settings.default_equity,
                 ),
                 max_position_value=pos_cap,
+                max_shares=max_shares,
                 max_risk_dollars=self.settings.max_risk_dollars,
             )
             if sizing.position_size <= 0: