GO_LIVE flags `spread_pct` as a not-yet-real field. The reason it was null is
structural: OHLCV bars carry no NBBO, so `minute_bars.spread_pct` can never be
populated from the bars endpoint. The execution-relevant figure is the spread at
the moment a setup is evaluated — a wide book quietly eats R on the thin sub-$20
names this system trades.
This makes that metric real, shadow-first (measure before gating), mirroring how
the catalyst score was introduced:
- `strategy/evaluation/liquidity.py`: pure `compute_spread_pct(bid, ask)` →
(ask-bid)/mid, or None for missing/crossed/non-positive quotes (None never
collapses to a real 0.0). Unit-tested.
- `AlpacaPaperClient.get_latest_quotes`: batched latest-NBBO fetch, mirrors
`get_latest_trades`.
- `Watcher`: optional injected `spread_provider` (same shape as
`catalyst_score_provider`); default None == prior behavior byte-for-byte.
Computed spread is logged onto the criteria_evaluated and signal_ready events.
Observe-only — it does NOT gate ready/blocked.
- `run_live_paper`: TTL-cached spread provider off the client; degrades to None
on any fault, SPREAD_PCT_ENABLED=0 to silence.
The dead `scanner.spread_pct_max` knob is intentionally left for a later
promotion, once the logged data shows spread separates outcomes.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_019psgRHdtTXz6TCnnqPiqGw
Acts on the P2 edge-audit's two findings: (a) ~half of curl fires have a stop tighter
than the spread (median R 1.7% of price, $0.05 on a $2.62 name) so the backtested
+1R/-1R is unfillable; (b) the only subset that survived refutation was price>=$5 AND
mid-tercile impulse, scored as a +2R/runner filter.
- detect_vwap_reclaim: PLACEABILITY GATE (min_r_frac=0.015, min_r_abs=0.02, default ON
for live safety) -- rejects a fire whose R=(entry-pullback_low) sits inside the spread.
signal_values gains r_frac. Tests: a shallow-pullback curl now rejects "stop
unplaceable" and fires only with the gate disabled.
- labeler: validate_vwap_reclaim + `validate-vr` CLI scores the PRE-REGISTERED candidate
(placeable AND price>=$5 AND impulse in [0.15,0.26]) against a LOCKED bar: +2R Wilson-95
lower bound > base 0.349 AND absolute max-upside-60m beats same-symbol-day ORB at
+5%/+10%. Constants + _wilson_lower are committed so the bar can't drift. The shadow
BASE track (vr1) deliberately keeps the gate OFF so report-vr base rates stay complete;
placeability is a filter in validate-vr.
IN-SAMPLE RESULT (decisive): enforcing placeability collapses the audit's n=48 subset to
n=16 -- i.e. most of its apparent +2R lift rode on UNPLACEABLE stops. The remainder FAILS
the locked bar on both criteria: +2R 44% (Wilson LB 23.1% < 34.9% base) and, most
damningly on the artifact-proof axis, it produces a +5%/60m move only 31% of the time vs
ORB's 73% on the same days. Pre-registration did its job: it stopped us chasing an n=48
mirage of sub-spread stops. VERDICT: do not promote; the curl does not beat the bot's
existing ORB even in its best placeable subset. 15/15 unit tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
P2 = run detect_vwap_reclaim over history and score it with the SAME no-look-ahead
machinery that scores the live ORB setups, so its base rates are directly comparable
and there's no train/serve skew in the SCORING either (not just the features).
- Extracted research/labeler.py's forward-label logic into a shared _forward_labels()
(max-upside/-drawdown 5/15/60m, reached_1R/2R-before-1R pessimistic, held-VWAP over
the evolving cumulative VWAP, trend-day, failed-breakout, time-to-max). compute_setup
now calls it -- the 3 existing labeler tests still pass, so the extraction is
behavior-preserving.
- compute_vwap_reclaim_setups(): slides the detector over each session's RTH bars and
emits a NON-TRADEABLE setup_event on each RISING EDGE (not-valid->valid, with a bar
cooldown so one curl episode = one setup), carrying the detector's OWN entry/stop/R.
STRICT time split: the detector at bar i sees only bars[:i+1]; labels use only bars
after i. setup_version='vr1', setup_name='vwap_reclaim' -- isolated from the ORB 'v1'.
- build_vwap_reclaim / report_vwap_reclaim + CLI `build-vr` / `report-vr`. report-vr
prints forward outcomes AND a head-to-head vs the ORB baseline on the same symbol-days.
- 2 new tests: a continuation session fires + labels a +1R winner; a one-way fade stays
silent (anti falling-knife). 12/12 green.
PRELIMINARY read (n=35, 4 days -- far too small to trust; full build running): curl-
fires reached +1R 66% / +2R 49%, held-VWAP-15m 86%, avg +8% max-upside in 60m; the ORB
baseline on the same symbol-days reached +1R 67%. Real finding pending the full build.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
P0 anchored the impulse to the day's SINGLE HOD + session-absolute low, so a name
that spiked, topped, then faded read every later bar as "pullback broke the hold"
forever. P1 anchors the leg to a rolling `lookback` window (default 40 bars), so the
detector re-arms on each intraday leg. New regression test proves the property: when
an earlier, HIGHER leg deeply gives back (permanently blocking the whole-session
anchor), the local anchor still fires on a later leg curling off a higher-low base,
targeting that leg's local high rather than the stale day HOD. lookback=None keeps
the legacy anchor for the contrast test. 7/7 unit tests green.
FINDING (ground-truthing the raw bars refuted the P0 premise): MIMI and UPC do NOT
have an RTH VWAP-reclaim setup. Both spiked PRE-MARKET (MIMI 2.93->4.98, UPC
8.54->17.89) and their RTH was a one-way FADE below VWAP (MIMI 4.09->3.15 under VWAP
all day; UPC popped at the open, made lower highs, lost VWAP by 14:17). So 0 RTH
fires is CORRECT, not blindness -- there is no long curl to catch; if the trader
profited it was a pre-market play or a SHORT of the fade, neither of which a
long-only RTH detector should fire on. It fires precisely on the names that DO curl
in RTH (SDOT 6/26 10->22, FCUV 6/25). Same lesson as ignition/PLSM: when the move is
pre-market, the RTH detector should stay silent. (Deliberately did NOT lower
min_run_pct to chase MIMI's sub-10% local legs -- that would be fitting n=2 noise.)
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The trader's #1 taught setup is a CONTINUATION, not the bot's open-anchored ORB:
a leading gainer that spiked, pulled back (held >=50% of the run), and is curling
back up through VWAP, bought BELOW the HOD. Across 6/25-29 every name he monetized
(MIMI/FCUV/ZDAI/SDOT/UPC) was this one pattern; the bot blocked all on the ORB gate.
P0 = standalone pure detector (detect_vwap_reclaim) with 5 binary gates (impulse /
pullback-held / curl-reclaim / below-HOD / momentum-green), reusing calculate_vwap
& calculate_ema (no train/serve skew). SHADOW-ONLY: not wired into classify_setup.
6 unit tests green.
DECISIVE REAL-DATA FINDING (RTH minute bars): slid across 4 real trader names.
FIRED on the all-day trenders -- SDOT 6/26 (10.22->22.50) 22x, FCUV 6/25 2x -- but
ZERO on MIMI 6/25 and UPC 6/29, both rejected on "pullback broke past the hold
level" with a NEGATIVE held_frac. Root cause is STRUCTURAL: anchoring the impulse
to the day's SINGLE HOD + session-absolute low means a name that spikes->HOD->fades
reads every later bar as "broke the hold" forever, blind to the LOCAL spike->
pullback->curl legs that re-arm intraday. P1 fix = rolling local-swing anchor, not
the day's one HOD. (Deliberately NOT widening hold_frac to force n=4 anecdotes green.)
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
detect_momentum_ignition (strategy/evaluation/ignition.py): standalone, pure,
binary-rule detector for a vertical squeeze (blue-sky fresh-HOD + price velocity
+ ABSOLUTE volume burst, NOT rvol/float). Stop = last established higher low (per
operator). NOT wired into classify_setup (deliberately). 8 unit tests on
synthetic verticals: fires with the right trigger/stop, and each gate blocks
(not-blue-sky / not-new-HOD / velocity / volume / insufficient-bars / no-ATH).
REALITY CHECK (verify, don't assume): ran it over the REAL PLSM 2026-06-24 bars ->
0 fires, CORRECTLY. PLSM's high was at the 9:35 ET open (it ran +400% PRE-MARKET,
which we don't ingest), and in RTH it was HALTED 228 of ~390 minutes — a
halt-resumption GAP chop (+3.6/-12.5/-17.3/-14.4% jumps), not a smooth vertical.
A consecutive-bar detector structurally cannot see that. So the ignition
opportunity is a PRE-MARKET + halt-resumption phenomenon -> capturing it needs
pre-market bar ingestion + halt-aware gap detection + pre-market/halt trading
(into the FCUV halt-down risk), a far bigger lift than an RTH detector. Documented
front-and-center in docs/IGNITION_SETUP_SCOPE.md as a pre-P1 operator decision.
The P0 detector + tests are a correct foundation regardless.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
A small green pop that fades was round-tripping to -1R because the gain
protection only arms at +5% / +1R — SOFI peaked +2.6% (+$281), never reached a
threshold, and gave it all back (stop never moved off the original). Add a
step-trail that ratchets the stop up from entry in step-R increments: at +0.25R
the stop is at breakeven, +0.5R -> +0.25R, +0.75R -> +0.5R, ... It locks a small
pop AND keeps climbing under a runner.
Implemented in the shared _trail_stop (so backtest simulate_exit and live
manage_live agree); risk is recovered from reached_r so it needs no new args;
only ratchets up (max-of-all with the prior-low trail / profit-locks).
TRADING_EXIT_TRAIL_R_STEP (default 0, set 0.25 in .env). Supersedes the interim
standalone +2% breakeven, which reverts to its 0.05 default backstop.
Tests: the ratchet ladder (below-step=no move, +0.25R->BE, +0.5R->+0.25R,
ratchets-up-only) and an end-to-end pop-then-fade that now exits +0.25R instead
of round-tripping to a loss.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Root cause of SSPC getting flattened on a mid-session restart (2026-06-24):
flatten_overnight_carries built its today's-buy set from orders with
status=="filled" only. But a marketable buy that PARTIALLY fills (SSPC: 84 of
88) cancels its unfilled remainder, so the order reads status=="canceled" even
though it opened 84 real shares. The carry-detector saw "no filled buy today"
for SSPC, tagged it an overnight carry, and market-closed a position opened ~6
min earlier. (Harmless this time — closed +$20 — but it could cut a runner or
realize a loss.) Marketable orders partial-fill far more than resting limits, so
flipping to marketable exposed this latent bug.
Fix: extract buy_fills_from_orders() (runtime/flatten.py) that counts a buy as a
real today-entry by filled_qty>0 + filled_at, NOT status=="filled" (scans legs
too). flatten_overnight_carries uses it. Pure + unit-tested: partial-fill counts,
full fill counts, zero-fill backout does not, and the partial-fill position is
no longer flagged a carry.
Note: only manifests on a mid-session restart (a clean session's EOD flatten
leaves the book flat, so the open finds no carries). Deploys on next restart.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The last real divergence between the two entry paths was the fill model. Make it
a flag (TRADING_ENTRY_FILL_MODEL), default 'resting' (zero behaviour change):
- resting — rest a buy-limit AT the breakout level (today's behaviour; fills
only on a pullback, misses runners that gap up and never return).
- marketable — limit a hair above the trigger (entry * (1+trigger_slippage_pct)),
fills as price breaks UP through the level (the fast path's
runner-catching behaviour). The limit caps the fill, so a
halt-resume gap-through can't be chased. R is still measured from
the level, not the limit.
Operator chose ship-both-default-resting: flip to 'marketable' to A/B with eyes
on the first session. Boot log shows "fill=<model>".
With gates already unified (steps 1-2: anti-chase, liquidity) the two paths now
run the same gate set and the fill model is selectable — the substantive
unification is done. The remaining single-_place_entry structural merge is
cosmetic (gates are shared) and deliberately not forced through.
Tests: resting rests at the level, marketable lifts above the trigger. 69 green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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>
The bot only knew P&L + positions, so "what's on the watchlist?" and "why
isn't it trading?" both fell back to "positions: none" — useless. Now it
retrieves the actual desk state and gives the user direction.
- gather_context: today P&L + recent closed trades (cross-day, robust to the
midnight boundary) + open positions + the live WATCHLIST (states + scores) +
READY SIGNALS (entry/stop/vwap) + a why-blocked tally (risk_rule_triggered
counts) + all-time.
- symbol_context: when a question names a ticker the bot knows, append a focused
dive — its last trade + the setup criteria it passed/failed.
- Help menu (help / /start) lists exactly what it can answer; sent on startup so
the user has direction. Sharper system prompt (concrete, quote real numbers,
say what data exists when it can't answer).
Verified live: "what's on the watchlist?" -> "148 symbols: 97 blocked, 48 late,
3 ready (LAES, NOWL, PBK)"; "why isn't it trading?" -> coherent; "what happened
with VTAK?" -> "stop loss -$659, entry $1.14". Tests: help menu, retrieval
includes watchlist/blocks; 10/10 green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Closes the safety gap the consolidation pass found: the anti-chase / halt
guards (the source-trader blow-up protections) ran ONLY on the fast trigger
path, leaving live auto entries — which is where 100% of fills actually
originate — unprotected.
- Extract _anti_chase_skip(entry_ref, trigger, day_open, halted) from
submit_breakout_now (pure refactor; the fast path is behaviour-identical,
60 trigger/exec tests still green).
- Thread day_open through the setup dict (setup_evaluator) +
query_ready_signals_snapshot so the auto path has the gate input.
- request_approvals_for_ready_signals calls the shared gate behind
TRADING_UNIFIED_ENTRY (env default on). The auto path rests a limit AT the
trigger so it can't chase above it (over_extended is a no-op); the gate that
bites is day-extension — don't enter a name whose breakout level is already
>30% above the session open. Fail-open on missing day_open; halted=False (a
resting limit won't fill mid-halt). Emits rule_type=over_extended_day on skip.
- Boot log shows "anti-chase ON (auto path)".
Tests: _anti_chase_skip logic, parabolic-day blocked when on, allowed when off,
fail-open on missing day_open, normal day allowed. Full path suites green (73).
Note: this is step 1 (the safety win). Full single-chokepoint + fill-model
unification + halt-status-on-auto-path remain staged per docs/CONSOLIDATION_PLAN.md.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
C1 — runtime/notifier.py: gated, fire-and-forget push alerts that NEVER raise
into the loop. Decoupled by POLLING the event store (no notifier threaded
through breaker/exit/execution). Pushes on major events only: daily-loss
breaker, catastrophe-stop, naked-stop flatten, any |closed trade| > $300, and a
once-per-day EOD summary. Wired as a 45s scheduler step + EOD summary/failure
hooks in step_eod_flatten. Boot ping on start. Silent no-op when unconfigured.
C2 — telegram_bot.py: standalone (separate process) READ-ONLY Q&A listener,
locked to TELEGRAM_CHAT_ID. Long-polls getUpdates; gathers a Postgres data
snapshot (today P&L, open positions, recent trades, all-time) and asks the
local Ollama model. Falls back to the raw snapshot if Ollama is down/disabled;
refuses any action command (buy/sell/flatten) — questions only.
Tests: disabled no-op, major-event dedup, EOD-once, auth gate, action-refusal,
ollama-down + ollama-disabled fallback. 8/8 green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Wire the one validated selection signal (above-VWAP breakouts reach +1R
~1.5x as often, n=3,110 from the labeler lift report) into the LIVE auto
entry path (request_approvals_for_ready_signals) — NOT the dead fast
submit_breakout_now path where the cap and rank logic got stranded.
- setup_evaluator already computes above_vwap/levels.vwap; surface them in
the setup dict (also an observability win) and pass through
query_ready_signals_snapshot.
- New ExecutionSettings.require_above_vwap (TRADING_REQUIRE_ABOVE_VWAP, env
default on). When a ready signal is below session VWAP: always emit a
rule_type=vwap_below event (shadow measurement); only SKIP the entry when
the flag is on. Fail-open: above_vwap=None (old signals) is never blocked.
- Boot log now prints the entry-gate state, and WARNS if
TRADING_CONCENTRATE_TOP_N>0 (that rank switch only affects the dead fast
path — see the rank-scaling audit).
Tests: gate skips below-VWAP when enforced, shadow-logs+allows when off,
allows above-VWAP, and fail-opens on the missing field.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The per-day fresh-entry cap (TRADING_MAX_FRESH_ENTRIES_PER_DAY) was only
checked in the fast submit_breakout_now path. But live entries flow through
the SLOW auto-approval path (process_auto_approvals -> approve_order), which
had no cap — so the limit was silently dead. Observed 2026-06-23: 44 entries
taken against a configured cap of 5 (all approved_by="auto", zero via the
fast orb_trigger path).
Enforce the cap in approve_order for approved_by="auto", sharing the same
self._fresh_entries counter the fast path uses (so the cap is global across
both paths). Capped orders are REJECTED (reason=daily_entry_cap) so they
leave the pending queue instead of re-skipping every tick. Manual dashboard
approvals are a human override and are never capped.
Two regression tests: auto path binds at the cap + rejects the overflow;
manual approval ignores the cap.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
research/labeler.py turns each historical symbol-session into a (features ->
outcome) row so any forecasting signal's LIFT can be measured before it sizes
live. Reuses the LIVE feature fns (opening_range / compute_key_levels /
calculate_time_of_day_rvol / data-quality) so offline == live; STRICT time split
(features <= the ORB-completion decision point, labels strictly after);
idempotent + versioned; populates the previously-empty setup_events /
engineered_features / outcome_labels tables.
`build [--limit N] [--rebuild]` + `report` (base rates + runner rates via one
aggregate query). Core math is a pure compute_setup() — 3 unit tests cover the
time-split (a runner's feature VWAP can't see the post-setup run), the R-outcome,
failed-breakout, trend-day, and the <ORB-bars skip.
First real base rates (n=3,610 setups / 13 days): 24% reach +1R before -1R, 43%
fail outright, +20% runners 2.2%, +50% 0.4%, +100% (NXTS-class) just 0.1%.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The human's edge is concentration (4 trades on 1 name) vs the bot's 12-trade
spray. Added the mechanism: TRADING_CONCENTRATE_TOP_N (only the top-N armed names
by rank may enter; rank-1 full risk, rank-2+ half) + TRADING_MAX_FRESH_ENTRIES_
PER_DAY (hard daily cap). rank threaded from the armed trigger -> submit_breakout_
now -> scales both the % budget and the $500 cap by rank_risk_factor.
LEFT OFF by default (both 0): activating it meaningfully requires the rank key to
be QUALITY, but the armed rank is currently gap*rvol*catalyst. Verification also
found the roadmap's "quality_score" is calculate_data_quality_score = bar
coverage/integrity (a thin-name/liquidity proxy with a time-of-day confound),
correlated only weakly (q>=0.55 = 58% win / breakeven, NOT the 71% claimed; q<0.55
= 35% win / -$2,476). So concentration waits on a sound rank key (goal #2).
pure rank_risk_factor + tests. No behavior change until the env flags are set.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
#3 from the loss diagnosis. Sizing was risk-based (1% of equity) but had no
absolute ceiling, so on the ~$90k paper account every full-budget trade risked
~$900 — the BTBT/AAL/WKSP/LNKS ~-$1k losers (verified: all sized to $900 risk).
Added max_risk_dollars to calculate_position_size: dollar risk used to size is
now min(equity*risk_per_trade_pct, max_risk_dollars), so no trade risks more than
the cap regardless of equity or stop width. ExecutionSettings.max_risk_dollars
(TRADING_MAX_RISK_DOLLARS, 0=off) wired into both entry paths; set to $500 in the
operator .env. PositionSizeResult.risk_amount now reports the ACTUAL sized risk
(after every cap), not the budget.
Verified vs history: the four ~-$1k losers were each sized to $900 risk; under the
$500 cap they'd risk $500 (~halved, ~-$1.8k saved across the four). Small-account
% sizing is unaffected (1% of $300 << $500). Tests: cap binds on big account,
no-op when budget smaller, risk_amount reports actual.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
#1 from the loss diagnosis (the preventive complement to the catastrophe stop).
The entry path already validates geometry and submits a real bracket, so the gap
is POST-FILL: NIVF's stop leg never stayed live, and the exit manager SILENTLY
SKIPPED any position with no usable stop (the `continue` at the old line 160) —
so a naked position got zero management and ran to -23%.
Now the exit manager computes the live stop leg once per position and, if it's
NAKED (no live protective sell-stop), flattens it after enforce_stop_grace_passes
consecutive naked passes (def 2 ~= 24s, a grace so a just-filled bracket's legs
can attach). A position WITH a stop (incl. breakeven-locked, stop>=entry) is
never touched. Long-only via the existing path. TRADING_ENFORCE_STOP_GRACE_PASSES
(0 = off). describe() shows "enforce-stop(Np)".
Net: every held position now either has a live stop or gets flattened within ~24s
— a naked NIVF-class trade can't sit unmanaged to -23% again (and the catastrophe
stop remains the -10% backstop). Tests: naked->flattened after grace; stopped
position never naked-flattened.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Diagnosis (why-strategy-loses-naked-stop): the net loss is ONE naked-stop blowup
— NIVF ran to -23% with no stop that fired (-$3,737 = ~111% of the loss); ex-NIVF
the book is +$380. And the exit manager SKIPS any position without a usable stop
(line ~160), so a naked position gets zero exit management and runs to EOD.
New catastrophe stop runs FIRST and unconditionally on every held position,
before the bars fetch and before that no-stop skip: market-exit (via the robust
cancel-legs-then-close path) when price is >= catastrophe_pct below entry (def
10%, TRADING_CATASTROPHE_STOP_PCT) OR >= catastrophe_risk_mult x the intended 1R
underwater when a stop is known (def 1.5x). Independent of the broker bracket, so
a missing/failed stop can't run to -23% again. Long-only; in-profit and bad-price
are no-ops; 0 disables.
Validated: would have CAUGHT NIVF at -10% (~-$1.6k vs -$3.7k), leaves normal -1R
stops (BTBT -4.2%) alone. Pure `catastrophe_triggered` + manage() wiring +
`_is_active`/describe updated. Tests cover pct arm, risk arm, in-profit, disabled.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The backstop behind the EOD-flatten fix: even with the EOD flatten working, a
carry can survive (loop down at EOD, or the held-qty 403 before it was fixed) and
bleed for days — ATPC sat 4 days over the Juneteenth gap, -$651. This closes any
position carried from a PRIOR session, at the open, before it bleeds.
- runtime/flatten.find_overnight_carries (pure, tested): open positions with no
BUY filled today (ET) = carried overnight. Today's fresh names have a buy
today, so they're never touched.
- ExecutionService.flatten_overnight_carries: detects carries from the broker
(positions + filled buys) and closes them via the robust cancel-legs-then-close
path — WITHOUT halting the session (unlike close_session), so today's trading
continues. Emits an open_catchup_flatten risk event.
- run_live_paper step_open_catchup_flatten: once per session, during RTH, gated by
TRADING_OPEN_CATCHUP_FLATTEN_ENABLED (def 1). Loud log when it flattens a carry.
Dry-run against the live book: correctly targets ONLY ATPC (6/18 carry), leaves
today's DAMD/ECX. 38 runtime/safety tests pass. Needs a loop restart to activate.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Diagnosed the ATPC -$651 drag: on 6/18 (last session before Juneteenth) the EOD
flatten FIRED at 15:55 but every close was rejected — Alpaca 403 "insufficient
qty... held_for_orders" because the bracket stop/TP legs reserved the shares.
That root cause was already fixed by 4520c69 (cancel legs before close; verified
the current self-fetch finds the active leg). What remained were two real
naked-carry holes this closes:
- Early-close half-days NEVER flattened: the window was a fixed [15:55, close),
but half-days close at 13:00 (15:55 > 13:00) — and half-days (Jul 3, Black
Friday, Dec 24) are exactly the pre-holiday sessions. The window is now
computed RELATIVE TO THE ACTUAL CLOSE, so it fires on early closes too.
- No margin / silent failure before a multi-day gap. Before a weekend/holiday
closure the flatten lead widens (TRADING_PRE_CLOSURE_FLATTEN_LEAD_MIN, def 20)
so the book is flat with room to retry, and a flatten that can't fully close
before a multi-day gap now SCREAMS ("‼ NAKED-CARRY RISK (N-day gap ahead)")
instead of failing silently like 6/18 did.
New calendar helpers next_trading_day / days_to_next_session / eod_flatten_status
(pure, unit-tested: normal window, pre-holiday widening, early-close firing,
closed-day skip). Normal full days are unchanged (still 15:55-16:00). Dormant
until the next pre-closure session, so no effect on today's behavior.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Adds a day-over-day view so the bot's per-day record is comparable at a glance.
query_daily_performance returns one row per NYSE trading day {date, day_pnl
(broker equity delta), cum_pnl, realized, trades, win_rate, equity} — account
summaries (EOD equity) joined to the closed-trade journal; weekend/holiday
mark-drift on held positions is filtered out (trading days only). Wired into the
snapshot as `daily`.
Dashboard panel renders it as a waterfall: the blue line is the cumulative P&L
(the equity curve), each bar is that day's step (green up / red down) on one
shared scale. Hover shows date/day-P&L/trades/win%; click a day to open its full
view; the currently-viewed day is highlighted.
Tests: trading-days-only filter + cumulative math. Headless-verified (4 days
render, click-to-open switches the view); no JS errors.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
You wanted to compare the bot's success rate per market day, plus an all-time
total. Three pieces:
- Backfill (backfill_journal.py + storage/journal_backfill.py): reconstruct every
completed round-trip from Alpaca's full filled-order history (pair entries with
exits per symbol into episodes, read exit reason + bracket stop from the
orders), and emit position_closed events timestamped (ET) at the exit fill so
each lands on its own market day. Idempotent (re-run replaces prior backfill);
live-reconciled closes deduped by symbol+minute. Run once: it journaled 22
round-trips across 6/16-6/18, so each day's win-rate/avg-R/trades now populate
retroactively (6/17: 57% win, 6/18: 43%).
- All-Time score (query_alltime_score + dashboard panel): cumulative across every
closed round-trip — total realized, win rate, trades, avg R, trading days,
best/worst day. Always shown, not date-scoped.
- Per-day Trades panel: the individual round-trips for the viewed day (symbol,
color-coded exit reason, R, P/L, time) with a net/win-rate header — so you can
see exactly what happened each day. LIVE now scopes the journal to TODAY (was
unbounded, which would have shown the all-time list once the journal filled).
Tests: round-trip reconstruction (stop/target/scale-out/short/open/legs),
all-time aggregation, live=today scoping. Headless-verified both panels live and
on 6/18. No JS errors.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Trade journal was blind: exits emit no event, so closed_trades / win-rate /
avg-R / the trade list all read 0 even on days with booked round-trips.
Now AlpacaPaperSync.sync_all reconciles closes by diffing the positions
snapshot: a symbol that was open and is now gone/flat has closed. This one
signal catches every exit path — bracket STOP/TARGET legs fill broker-side, EOD
flatten closes via market orders — and reads the exit fill (price + reason) and
the bracket stop level from the orders snapshot, emitting a PositionClosedEvent
with entry/exit/stop/side/realized so query_session_pnl can compute the
R-multiple. Headline realized $ stays broker-authoritative (the broker-delta
branch is unchanged); these events feed the wins/losses/avg-R/trade-list journal.
Robustness: the close baseline seeds from the last PERSISTED snapshot so a close
during downtime is still journaled once; reconcile is wrapped so it can never
break sync; PositionClosedEvent gains optional entry_price/stop_loss_price/side/
quantity fields (older emitters/tests unaffected).
Dashboard is view-only: removed the manual Exit button + exitPos handler from
Open Positions (kept the approval-queue approve/reject — that's the intended
human-in-the-loop control).
Tests: stop->loss, target->win, still-open->no-emit, no-fill->last-mark
fallback, restart-seed-from-persisted. 49 unit tests pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
A past date (and any overnight hold) showed fabricated P&L: realized was
computed as broker_day - unrealized, where unrealized was a position's FULL
mark-vs-entry. A position opened days ago still carried its whole mark, so a $0
holiday read as "+$330 realized / -$330 unrealized" on EVERY day — the same
number leaking across the date picker.
Fix: the day's P&L decomposes as broker_day = realized + (U_eod - U_sod). Added
a start-of-day baseline (the latest positions snapshot strictly before the day
begins; today's midnight for live) and subtract it, so only the day's own
open-position move counts. total = realized + unrealized now holds by
construction. Live is unaffected on a normal day (EOD flatten => no overnight
positions => U_sod=0); it only changes genuine overnight holds / past days.
Also expose `open_unrealized_pnl` (the full current mark) for the positions UI.
Verified on live data: the +$330 leak is gone — 6/20 (Sat) reads 0/0/0, 6/18
reads a real -$2368 day with a sensible split. Tests: carry-netting regression
+ the broker-delta test scoped to its own day.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Two things the operator couldn't see were wrong/opaque:
1) P&L attribution bug. query_session_pnl read each position's unrealized as
`unrealized_pl`, but the live snapshot stores it as `unrealized_pnl` (see
alpaca_paper/sync.py). So unrealized always read $0 and the ENTIRE broker
equity-delta was dumped into "Realized" — a real +$330 realized / -$67
unrealized day showed as "$263 realized, $0 unrealized, 0 closed". Fixed to
prefer the stored key, accept the alpaca-native alias, else derive from
qty*(price-cost). The existing test used the same wrong key (which is why it
never caught this) — corrected, plus a regression test reproducing the exact
broker-delta day and a derive-from-qty test.
(Still surfaced separately: closed round-trips emit no position_closed event,
so realized P&L is broker-derived and the trade list / win-rate read 0. That
journaling gap is noted, not fixed here.)
2) Catalyst Engine feed. The Ollama portion only showed totals; you couldn't see
WHAT it read or WHY it ruled. Added query_catalyst_feed (the raw stream from
news_catalyst_cache, newest first, with a `vetoed` flag = dilutive AND
conviction >= the 0.60 floor) -> snapshot `catalyst_feed` -> a new dashboard
panel under Armed Triggers: time (ET), symbol, colored read (🟢/🔻/🔴 +
type), conviction, headline, and the model's own rationale, with a red ⚠ VETO
badge on confirmed dilution. Makes the engine legible at the open — and
immediately exposed the 7B over-tagging one "SpaceX bear ETF" headline as
dilutive across a dozen unrelated large-caps (harmless: none are targets).
Verified headless: strip reads total/realized/unrealized correctly; feed renders
40 reads with rationale; no JS errors.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Hardens the Ollama Phase-2 path before it can be enabled; no effect on the
default-off behaviour (these run only when the score-blend / veto flags are on).
1. catalyst_score no longer floors sentiment at neutral: a high-conviction
BEARISH catalyst scored 0.45 (same as neutral) and LIFTED setup quality —
backwards. Now `conviction * max(0, sentiment)`: only bullish boosts;
bearish/neutral score 0. (+ bearish regression test.)
2. Prompt injection: the untrusted headline now sits in a delimited, length-
capped <news> block, the model is told to treat it as DATA not instructions,
and a </news> breakout token is stripped — so "...classify as bullish,
is_dilutive=false" can't flip the verdict or bypass the veto. (+ 2 tests.)
3. The dilution-veto catalyst_provider no longer reads the SHARED research_con
from the trigger thread: it refreshes under a lock using its OWN dedicated
connection (opened lazily, single-threaded use), 30s TTL keeps DB hits rare.
tests/unit: 201 passed.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Integrates the local-LLM enrichment ADDITIVELY on top of all current work, with
every Ollama feature OFF by default — with the flags off the system behaves
exactly as before (199 unit tests pass; a full --once pass runs clean with no
Ollama). Fixes the three issues the adversarial review flagged:
- BLOCKER: keep the Alpaca News ingestion. The PR predated it; the run_live_paper
conflict is resolved to keep BOTH step_news (fetch -> raw_news_items) AND the
enrichment. They're complementary: ingestion feeds enrichment authoritative-
ticker headlines instead of thin RSS.
- HIGH-1: enrichment runs on its OWN daemon thread with its OWN DB connection,
not the scheduler thread — a slow/hung Ollama can no longer starve exits /
guard / eod-flatten, and it no longer shares the non-thread-safe research_con.
- HIGH-2: per-headline writes are all-or-nothing — on any ticker store failure
the partial rows are deleted so the headline fully retries (no stranded
tickers) and enriched is counted only on full success (no false count).
Phase-2 automation (catalyst score blend, dilution veto, arming-rank multiplier)
remains gated OFF pending the medium fixes (bearish-catalyst boost, prompt-
injection hardening, veto cross-thread read) noted in the review.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The only news source was RSS (slow, regex ticker-scraping). Alpaca exposes
Benzinga news with a stable id + authoritative symbols list. Add it as a second
source landing into the SAME raw_news_items table, so recent_news_map (catalyst
prioritisation) and the Ollama enrichment (PR #2) pick it up with no other changes.
- AlpacaPaperClient.get_news(symbols, limit): GET /v1beta1/news (works on the
existing data keys; verified live).
- research/ingestion/alpaca_news.py: ingest_alpaca_news lands new items, deduped
by the Alpaca news id; never raises (news is an enhancement, not a dependency).
- run_live_paper step_news on the scheduler (ALPACA_NEWS_* env, default on, 120s),
scoped to the tracked universe.
Verified live: passes landed ~34 then deduped; recent_news_map went from RSS-only
to 370 ticker->headline catalysts. tests/unit: 165 passed (+5).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Completes the Phase 2 loop: the catalyst score now actually reaches the runtime
decision, not just the pure functions. Gated behind its own flag so enabling the
Phase 1 advisory/dashboard never silently changes trade scoring.
- OllamaConfig.catalyst_score_enabled (NEWS_CATALYST_SCORE_ENABLED, default off).
- Watcher accepts an optional catalyst_score_provider (symbol -> 0..1 | None) and
passes it into evaluate_setup; a None provider reproduces today's behavior. The
provider is injected so runtime/ stays free of research/ imports.
- run_live_paper: one TTL-cached catalyst provider shared by the watcher and the
execution service; the watcher gets the score provider only when the blend is
enabled. step_arm gains a gated graded ranking multiplier (bullish catalyst
boosts by 1+gain*score; a confirmed dilutive offering is sunk below the armed
cut), falling back to the existing binary news boost when off.
- Add the enrich task to the run_pass pipeline order so a single --once pass also
runs enrichment (previously only the continuous loop did).
- .env.example documents the new flags; watcher tests cover the blend + the
no-op None-provider case.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01M5HTMkaadGDnAPtXe2hWwg
Leverage a local Ollama model to interpret news catalysts for the small-cap
momentum strategy — distinguishing bullish catalysts (FDA approval, M&A) from
dilutive offerings the technicals alone can't see. Advisory-first, then automate.
Phase 1 (advisory; no change to trade behavior):
- research/ingestion/news_enrichment.py: stdlib urllib call to Ollama with
structured JSON output, classifying each headline into a catalyst type,
sentiment, conviction and dilution flag. Graceful degradation (None on any
failure) so trading is never blocked.
- news_catalyst_cache table + populate the previously-dead news_events.sentiment.
- Runs on the existing interval Scheduler (off the hot path), gated by
OllamaConfig; deduped by the raw_news_items payload hash.
- Surface the advisory on the dashboard approval queue (projection + api + UI).
Phase 2 (automation; ships gated OFF):
- Optional catalyst_score blended into calculate_setup_quality (None reproduces
the exact legacy weights); pure pass-through via evaluate_setup.
- Dilution veto in TradingExecutionService (slow + fast paths) emitting a
catalyst_dilution_veto risk event, behind NEWS_DILUTION_VETO_ENABLED.
Config (OllamaConfig.from_env), .env.example docs, and tests for parsing,
persistence/dedupe, the projection, the score blend, the veto, and an
end-to-end enrich->advisory flow (Ollama mocked). Default model moves to
qwen2.5:7b-instruct (best small-model JSON, fits a 12GB GPU).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01M5HTMkaadGDnAPtXe2hWwg
Day-extension guard (the H1 gap from the prior review): the trigger-extension
ceiling only sees distance above the ORB high, so a name up huge intraday whose
break is itself CLEAN slips through — real example ATPC, entered +1.7% above the
trigger yet +32% above the session open, now a loser. New guard blocks when the
entry is > day_extension_max_pct above the SESSION OPEN. Default 0.30 calibrated
on 22 real fires: normal entries are <=14% above the open, the parabolic tail is
20-83% (ICCM +83/+41, BIRD +36, ATPC +34/+32, NEOV +29). day_open is computed in
step_arm (first RTH bar open), carried on ArmedTrigger, checked in
submit_breakout_now. Env TRADING_DAY_EXTENSION_MAX_PCT; 0 = off.
Percentage breakeven (the "ratchet to a better stop once it works" request): the
broker-side stop ratchet already exists (exit_manager replace_order), but its
earliest move was +1R — a big move for a wide opening-range stop. breakeven_at_pct
moves the stop to entry once price is +this fraction above entry, BEFORE 1R, so a
pop that reverses can't round-trip to a loss (the documented small-cap failure).
Lives in the shared strategy/exits._trail_stop (backtest + live agree), only ever
ratchets up. Default 0.05 live (TRADING_EXIT_BREAKEVEN_PCT); _is_active updated so
the manager runs when it's the only rule set.
tests/unit: 160 passed (+ day-ext block/allow/no-open, + pct-breakeven move/hold/
saves-reverser).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- Reject a non-positive last_price ("bad_price") instead of `last_price or
trigger` coercing 0.0 -> trigger, which silently skipped the extension guard
and sized on a phantom price. (latent: fires() guarantees price>=trigger live,
but submit_breakout_now is public.)
- Extract the halt-gap decision to runtime/halt_guard.is_halt_gap() — pure and
unit-tested (the riskiest heuristic had no coverage). Encodes the fail-safe:
None ages (query glitch / session-date mismatch) -> inert, not mass-block;
global-health gate -> a feed-wide lag can't flag the whole book. 7 cases.
- Honest rationale on the extension ceiling: it measures distance above the ORB
trigger (catches the intraday chase / gap-through / halt re-open); overnight
+100% gappers are already excluded upstream by the trigger book's gap_max. It
is not a day-extension metric (a fuller day-move guard is a possible follow-up).
- Fix stale test docstring (15% not 6%); add bad_price test.
tests/unit: 154 passed.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Addresses the failure mode from the source trader's recap ("+100% move then 3
halts down on bad news") and our own data: parsing 22 real live-ORB fires, the
median entry was already +8% above the trigger, with a disaster tail at 26-64%
(NEOV x4 @27%, ICCM @64%/26%, BIRD @30%) — i.e. the system was chasing spike-tops
that reverse, and there was no guard against entering a halted name.
Both guards sit in submit_breakout_now (the single choke point every long entry
funnels through), as silent skips matching the existing gates:
- extension ceiling: block when last_price > trigger * (1 + extension_max_pct).
A clean break crosses the ORB high smoothly (~0%); a violent gap-THROUGH (a
parabolic spike, or a halt reopening past the level) lands far above it.
Default 0.15 is calibrated to the data's dead zone: real entries cluster
<=9.8%, nothing fires in 10-26%, then the disaster tail — so 15% blocks every
chase and passes every normal break. Tunable via TRADING_EXTENSION_MAX_PCT;
0 disables.
- halt guard: skip a name flagged halted (can't exit during a halt; it gaps
through the stop on resume). Detection is a bar-gap heuristic in the loop
(_recently_halted): during RTH the symbol's freshest bar is older than
TRADING_HALT_MAX_BAR_GAP_MIN (default 3) WHILE ingestion is globally healthy,
so a feed hiccup can't block the whole book. LULD halts run >=5 min so 3 min
catches a real halt without tripping on normal IEX lag.
The fast-trigger loop passes halted=_recently_halted(sym) and logs TRIGGER
BLOCKED once per symbol. tests/unit/test_triggers.py: +6 (24 pass; 146 total).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The live loop gated trading + EOD flatten on weekday()<5 only, so a market
HOLIDAY read as a normal session. On a full closure the EOD flatten (15:55-16:00
window) would cancel the protective bracket/stop legs and then fail to fill the
market sell (exchange shut) — leaving positions NAKED over the holiday weekend.
Tomorrow is Juneteenth (Fri 2026-06-19, NYSE closed), with 3 open positions.
- runtime/market_calendar.py: NYSE full closures + early closes (no external
dep), is_trading_day / is_regular_hours / session_close_hm. 2026 confirmed.
- _is_rth() now uses is_regular_hours() (holiday + early-close aware).
- EOD flatten skips when session_close_hm() is None (weekend/holiday) and uses
the real close (13:00 on early-close days) — so it only flattens into an OPEN
market that can actually fill the sell, never orphaning the stops.
tests/unit/runtime/test_market_calendar.py: 6 passed. Verified Juneteenth ->
not a trading day -> EOD skipped -> the 3 GTC stops stay in place.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Running the suite against the cleanup exposed pre-existing breakage (these
tests had not been run since the Postgres migration / recent sync changes):
- _latest_event_payload ordered by `timestamp DESC` with no tie-break, so two
account snapshots emitted in the same second returned the arbitrary/older one
(test wanted 101.5k, got 100k). Tie-break on `created_at DESC`.
- query_watch_states_snapshot windowed BOTH event types to the live 45-min
window; symbol_state_changed (~2k all-time, the watch list itself) must be
unbounded so the list isn't empty off-hours, while criteria_evaluated (~120k,
the 112s killer) stays windowed.
- Test isolation: the dashboard tests pass file-path db_paths expecting a fresh
DB, but under Postgres the path is ignored — they read AND wrote the
production `public` schema. get_connection now honours MOMENTUM_PG_SCHEMA
(test-only) to pin all connections in a test to one throwaway schema; an
autouse fixture sets/drops it. (Cleaned 125 leaked fixture events from prod.)
- FakeClient.get_orders missed the `nested=` kwarg added in ddf93d1.
tests/unit: 134 passed.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
ArmedTrigger stamps price_ts on each update; update_price(None) (a failed batch
price fetch) now CLEARS the price instead of leaving the last value live; and
fires() requires the price to be fresher than max_price_age_s (env
TRIGGER_PRICE_MAX_AGE=12). A stalled feed can no longer fire a breakout into a
name that has already reverted.
Tests: stale price blocks fire, fresh re-enables, None clears; 18 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
From the multi-agent audit (ship-now, low-overfit-risk cluster):
INGESTION RESILIENCY
- client._request: 429/5xx now retry with Retry-After + exponential backoff
(previously hard-failed, feeding silent-stale ingest).
- SIP backfill feed (settings.backfill_feed='sip'): live realtime stays IEX, but
backtest/backfill ingestion uses the full consolidated tape — IEX sees only
~2-5% of true volume (verified: AAPL 22,797 vs 452,704), which was silently
corrupting every rvol/$-volume decision and backtest. eod_replay wired to it.
- step_ingest freshness watchdog: emits a STALE event + board note when the
newest bar is older than INGEST_STALE_SECONDS during RTH (45% of passes
historically returned 0 rows with no error). Optional hard arm-block
(INGEST_STALE_BLOCK, off by default).
RISK
- Portfolio gross-notional cap (TRADING_MAX_GROSS_NOTIONAL_PCT=0.60): both sizing
paths now cap each entry to the remaining gross budget, so 6 x 16% can't pile
the book into ~96% gross of correlated small-caps. Blocks/shrinks late entries.
- Fixed the duplicate TRADING_MAX_CONCURRENT_POSITIONS in .env.example.
MONITORING (UI)
- Naked/unprotected-position alarm: _unprotected_positions joins the latest
position + order snapshots (order sync now flattens legs) and the TUI board
shows a red UNPROTECTED banner the instant a held long lacks stop coverage —
the exact blind spot when APWC/NOWL went naked. Verified it flags today's
3 overnight positions.
Tests: gross-notional cap blocks when budget full; 50 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
DB latency: every projection runs `WHERE event_type=? ORDER BY timestamp DESC
LIMIT n`. With only a plain timestamp index, the latest of a STALE type
backward-scans the whole events table — measured 373ms / ~52k buffers on 235k
rows. Add a composite index in event_store._ensure_schema:
CREATE INDEX idx_events_type_ts ON events(event_type, timestamp DESC)
-> same query is now a 0.018ms index seek (3 buffers). Applied to the live DB
CONCURRENTLY; also dropped two redundant legacy indexes (idx_events_type, now
covered by the composite prefix; idx_events_correlation, a dup of
idx_events_session_id) to cut write overhead.
tests/conftest.py: sweep the throwaway `mem_*` schemas EventStore(":memory:")
creates — 170 had leaked into the shared Postgres, bloating the catalog.
README: rewritten around the current system — PostgreSQL event store, a full
command reference (run_live_paper / momentum CLI / eod_replay / sweeps / tuning /
cron), config knobs, and a database & performance section (the index above,
extension guidance, retention).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The blunt guard benched a name after ANY position close — so a quick scratch or
a win that re-set up was blocked. In the day-replay it killed the GRAB +513
re-entry while only saving a loss the liquidity floor already caught.
Refine: track each held name's last-seen unrealized return (unrealized_plpc) and
bench it on departure only if it exited DOWN more than reentry_min_loss_pct
(env TRADING_REENTRY_MIN_LOSS_PCT, default 1%). A scratch/win is left free to
re-enter. Replay with all changes: actual (flat 15:55) -3,285 -> -21, i.e. the
guard refinement alone recovers the +513 the blunt version forfeited.
Tests: losing exit benches; winning exit does NOT; 43 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The end-of-day flatten fired at 15:55 but FAILED on every position with the
held-qty 403: close_session/_flatten_all called close_position while the DAY
stop legs still reserved the shares (held_for_orders) — the same bug fixed in
the exit manager, but on the EOD path. The flatten then marked itself done and
never retried, leaving the whole book naked overnight (3 positions, no stops,
two underwater).
- Add _release_and_close(): cancel a symbol's resting bracket legs to free the
qty, THEN close_position with retry. Route both _flatten_all and the
close_session belt-and-suspenders loop through it.
- step_eod_flatten only marks _eod_done when the flatten had NO errors — so a
failed flatten RETRIES within the [15:55,16:00) window instead of giving up.
Tests: EOD flatten cancels the leg before closing (no 403); 45 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Today's losses were an ENTRY-quality problem: every loser reversed before +1R
(max favorable excursion 0.1-0.7R) — we filled at the top of one-bar spikes on
names too thin to hold the move (WKSP/LNKS/UWMC entered on 100-400 share bars).
rvol is RELATIVE, so 2x of near-nothing still qualified.
- Trigger $-volume floor: ArmedTriggerBook gains min_dollar_vol; step_arm
computes recent 5-bar $-volume per candidate. Thin names go WEAK instead of
arming (env TRIGGER_MIN_DOLLAR_VOL, .env=8000). Skips the untradeable
(APWC $3.8k, WPRT $2.7k).
- Liquidity-aware sizing turned on (.env TRADING_LIQUIDITY_MAX_VOLUME_PCT=0.025):
size caps to a fraction of volume, so thin names get sized down 90%+ while
liquid names are untouched — exactly the asymmetry a small real account needs.
- Breakeven-at-1R enabled (.env): forward give-back safeguard. NB it changes 0
of today's trades (no loser reached +1R) and was a prior OOS 'conservative
backup' — kept as protection for bigger-winner days, not a today-fixer.
Back-comparison (one day, caveated): the two liquidity filters take the day from
~-1,215 to ~+202 excluding the APWC overlap already covered by the naked-stop
fix + re-entry guard. Needs forward validation, not just this back-fit.
Tests: $-vol gate (thin -> WEAK); 50 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
A name that stopped out could be bought right back the same session — observed
live: APWC stopped out -904 in the morning, was re-entered, and lost another
-645. The backout cooldown only covered UNFILLED entries; a filled position that
exits had no re-entry guard.
Track names leaving the broker's held set (a closed round-trip) and bench them
from re-entry for the rest of the session, on both the slow approval path and
the fast trigger. Detection runs every guard pass (before the armed early-return)
off fresh broker truth; emits a reentry_block risk event. Toggle with
TRADING_BLOCK_REENTRY_AFTER_EXIT (default on).
Tests: re-entry blocked on both paths after a position closes; 40 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The header's "matched" subtotal used the FIFO round-trip sum, which doesn't
equal the broker's average-cost day P&L while positions are partially open — so
"matched + open" never tied to the headline day P&L (e.g. -1340 + open vs the
broker's -627).
Show broker-authoritative realized instead: matched = day P&L - open unrealized,
so matched + open == day P&L by construction. Per-trade rows stay FIFO-accurate
(each is a real fill pair); only the header subtotal is broker-truth. Factor the
open-unrealized sum into a shared helper used by both the live board and the
`journal` close capture. Falls back to the FIFO sum when no equity snapshot
exists.
Verified live: board + journal both reconcile (matched + open == day P&L).
Tests: 3 new (reconciliation invariant + FIFO fallback).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The trail-breach (and first-red) exit called close_position directly, but the
bracket stop/TP legs RESERVE the full quantity (held_for_orders). Alpaca then
rejects the market close 403 "insufficient qty available (available: 0)". The
position can never exit, so the manager retried every pass forever — observed
live: PLUG logged 191 identical 403s while a legitimate trail exit (+286) and
WPRT/ATPC stop-outs were all blocked.
Add _flatten(): cancel the symbol's active protective sell legs to release the
shares, THEN liquidate (retry the close so a not-yet-settled cancel doesn't
hang). Route the two full-close paths through it. Verified live: PLUG flattened
cleanly (0 dangling orders, profit locked), zero 403s after restart, remaining
book still fully stop-protected. Test: _flatten cancels protective then closes;
42 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
A breakout that won't fill on a marketable limit used to re-arm every pass: the
entry timed out (~2 min), backed out, freed the symbol, and re-armed next tick —
forever. Observed live: NEOV armed+backed-out 68x in one session, 106 of 130
buy orders cancelled. That order churn is also what truncated get_orders and
caused the false-naked scare (commit 11ab6c7).
Add a cooldown: after an entry backs out (timeout or price-break), bench the
symbol for TRADING_BACKOUT_COOLDOWN_SECONDS (180s); after
TRADING_MAX_BACKOUTS_PER_SYMBOL (3) backouts, bench it for the rest of the
session. Gated on both the slow path (request_approvals_for_ready_signals) and
the fast trigger (submit_breakout_now). Backout events now carry the cooldown
state.
Verified live: NEOV's first backout under the new code stamped
"[cooldown 180s (backout 1)]" and the symbol stayed ready every pass but
approvals_requested=[] for the full window — no re-arm. Tests: two new
(temporary cooldown + session bench), 39 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The get_positions TTL cache (added for the speed fix) silently broke the
naked-stop guard: _broker_held_symbols read 2.5s-stale positions, so a
just-filled entry wasn't seen as held, the guard thought it was unfilled, and
cancelled its bracket on a price dip -> NAKED position (APWC bled -12.8%
unprotected today). Fixes:
- client.get_positions(fresh=True) bypasses the cache; the guard uses it.
- entry_grace_seconds (default 5): never cancel an entry within N seconds of
arming, so a marketable fill can confirm before the bracket could be stripped.
Regression test added.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
For going live on a SMALL real account ($300). The sizer assumed a $100k
default -> at $300 it would size $1,000 positions and get rejected. Now:
- _current_equity() reads actual broker equity (cached get_account) and sizes
off it, so a $300 account sizes for $300.
- max_position_value caps each position to ~1/3 of equity (TRADING_MAX_POSITION_PCT)
so N positions fit buying power.
- max_shares liquidity cap (TRADING_LIQUIDITY_MAX_VOLUME_PCT * day volume) wired
through the trigger book -> submit_breakout_now; off at small size, for scaling.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
A day-trading book shouldn't carry overnight. New 'eod' loop step calls
TradingExecutionService.close_session at TRADING_EOD_FLATTEN_TIME (default
15:55 ET): flattens every position (cancelling their bracket legs), cancels
resting entries, and blocks new entries for the rest of the session. Only fires
inside [flatten_time, 16:00) so a post-close restart doesn't queue useless
after-hours orders.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
