Extends the local-LLM layer from news to TRADES, reusing the proven enrichment
pattern (structured JSON, Postgres cache, off-hot-path scheduler, graceful
degradation). Advisory only — never gates a trade.
strategy/evaluation/trade_analysis.py: four analyses keyed by analysis_type —
* armed — does a loaded setup still make sense to pursue? (pursue/avoid/
monitor + confidence + concerns), weighing numbers + catalyst
* weak — why a too-soft setup failed and whether a thesis remains
* postmortem — closed-trade lesson (uses r_multiple / exit_reason)
* eod — once-a-day session narrative
Schema-constrained decoding (ANALYSIS_SCHEMA), tolerant _parse, and a
context_hash so an unchanged board isn't re-sent to the GPU. run_* helpers
upsert into ai_trade_analysis_cache; trade_analysis_map / query_trade_analysis
read it back. NEVER raise.
Wiring:
- ai_trade_analysis_cache table (storage/pg_schema.sql)
- OllamaConfig.trade_analysis_{enabled,interval_seconds,batch_limit} + env
- run_live_paper step_analyze on the Scheduler, gated by ollama.enabled AND
TRADE_ANALYSIS_ENABLED (ships OFF); reads the in-memory trigger book + day P&L
- query_trade_analysis projection; api snapshots() attaches the verdict to armed
triggers + approval rows and exposes trade_analysis
- dashboard: per-name AI verdict chip (pursue=green/avoid=red/monitor=amber) +
an "AI session note" panel
- .env.example documents the toggles
Tests: parse/enum/clamp, prompt builders, persistence + context_hash dedupe,
closed-trade + EOD paths, config from_env, and the dashboard projection. 230 pass.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01M5HTMkaadGDnAPtXe2hWwg
Accuracy: news_enrichment now sends a JSON schema to Ollama's `format`
(enum-locked catalyst_type, typed fields) so decoding is constrained at
generation time, and build_prompt carries 3 few-shot examples (offering,
FDA, earnings) — the biggest accuracy lever for a small local model.
classify_headline gains use_schema (default True; False = plain json).
Validation:
- research/ingestion/catalyst_eval.py — hand-labeled fixture + pure
score_predictions (type accuracy, is_dilutive precision/recall, sentiment
sign). catalyst_eval.py CLI A/Bs models (--model) against the same set.
- validate_catalysts.py — joins enriched labels to each stored gapper's
open->close / open->high outcome; pure outcome_correlation splits by
dilution flag and bullish-score bucket. Reports coverage honestly (news is
live-only) and writes a CSV. Run before flipping the Phase 2 flags.
Tests: schema-in-request assertions, pure eval/aggregator coverage. 212 pass.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01M5HTMkaadGDnAPtXe2hWwg
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
LIVE rendered ONLY from the EventSource snapshot handler — and that handler
swallowed render/parse errors (catch {}). If EventSource didn't establish in the
user's browser (proxy, extension, connection cap), LIVE stayed blank while the
date selector — a plain fetch — worked fine. Exactly the reported symptom.
- startStream() now does an immediate pollOnce() (the same fetch path the date
selector uses) so LIVE shows data even if SSE never connects; SSE then layers
on for low-latency pushes, with onerror -> interval polling as before.
- Surface render errors (console + conn status) instead of hiding them.
- Serve the dashboard HTML with no-store/no-cache so pushed fixes actually reach
the browser (a stale cached shell was part of why "I see nothing" persisted).
Verified headless: with EventSource forcibly disabled, LIVE still populates
(10 armed rows, pnl, risk) via the polling fallback — stamp shows "polling ·".
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Pure CSS (every id/class the JS renders is preserved; verified headless, no JS
errors, all panels intact):
- Depth: radial-gradient background, lifted panels (soft shadow + subtle top
highlight + hover), glassy blurred sticky header.
- Hierarchy: hero Total P&L (27px) with green/red glow + tabular numerals;
accent gradient rule before every panel title; thin live shimmer line at the
top edge; status dots get a soft glow.
- Polish: refined palette, softer/ bordered pills, gradient action buttons with
press feedback, custom scrollbars, panel load-in animation, hover affordances.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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 froze ~40s every discovery pass. py-spy showed the main thread
stuck in upsert_daily_bars -> PgConnection.executemany, which used psycopg2's
cur.executemany — ONE INSERT round-trip per row. A discovery pass upserts
thousands of daily bars across the universe, so over the LAN Postgres that's
thousands of serial round-trips. While frozen the loop emits nothing and can't
service the trigger/exit cadence.
Switch executemany to psycopg2.extras.execute_batch (page_size=200): many
statements per round-trip, same SQL, same ON CONFLICT upsert semantics.
Benchmarked on the live DB: 771-row upsert 1.87s -> 0.06s (~31x); a real
discovery pass now finishes in one cycle (ingest 6803 rows, no stall).
Helps every bulk writer (daily/minute bars, scanner snapshots).
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>
The duckdb library is already gone (not a dependency, not importable, no
`import duckdb` anywhere) — these were leftover text references that misled.
- Delete storage/schema.py: 418 lines of DuckDB DDL with zero importers. The
Postgres schema is created by db_pg._apply_schema + event_store._ensure_schema.
- Neutralise stale default db_path strings (./data/momentum*.duckdb) in
event_store, config, run_live_paper, dashboard_api — the connection layer
ignores the path (DATABASE_URL is the datastore), so these phantom file paths
only created confusion. Dropped the now-pointless os.makedirs for them.
- research/multi_schema: the "three DuckDB files" are one Postgres DB now (all
resolve to the same connection); doc + constants updated to match reality.
- Fix stale "DuckDB handle" comments in api/main.
Kept the DuckDB mentions in storage/db_pg.py + storage/db.py — they document
why the Postgres facade mimics DuckDB's ? placeholders and :memory: semantics.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The risk-strip code declared `const rs = $("risk-status")` in render(), colliding
with the existing `const rs = d.ready_signals` later in the same scope. A
duplicate lexical declaration is a fatal parse error — the ENTIRE <script> never
executed, so render/populateDates/setView were undefined, SSE never connected,
and every field showed '—' (this, not only the API timeout, was why it "didn't
look like it's working"). Renamed the risk element to `rsEl`.
Verified in a headless browser: no JS errors; the date <select> populates with
LIVE + the last sessions, switches to a historical day and back, both views
render (armed radar, watch list, positions, fills, order lifecycle).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The 45-min live window I added to fills_feed + session_pnl's closed-trades query
hid the day's earlier fills/closures (and broke two projection tests whose
fixtures use a fixed past date). Those event types (order_filled/submitted,
position_closed) are tiny, so live now reads them UNBOUNDED via _hist_window;
only a historical YYYY-MM-DD bounds to that day. watch_states keeps its 45-min
window (criteria_evaluated is the big one, ~99k/day, and it's live-only).
tests/unit/storage/test_interactive_projections.py: 6 passed.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The /api/snapshots endpoint was timing out (the screen showed all '—'): several
projections did query_events(type, limit=None), loading an event type's ENTIRE
history just to take the latest. Timed: watch_states 112s, account_orders 78s,
risk 80s -> ~280s total.
- Latest-state reads (account orders/positions/summary, session_pnl, risk_state)
now use a DESC-LIMIT-1 index seek (_latest_event_payload) — O(1). Live snapshot
4.7s -> 1.5s; the heavy account_orders payload no longer loads all history.
- Date picker: /api/snapshots?date=YYYY-MM-DD reviews a past session (windowed
queries via _evt_window). Default LIVE; header <select> populated from
available_dates; live-only panels (triggers/watch/approval/ready) skip for a
historical view (watch_states was the 112s killer + a live concept). Frontend
setView()/loadHistorical() switch between live stream and a one-shot date load.
- dashboard_api.py now loads .env (DATABASE_URL resolves to the configured
Postgres) and binds 0.0.0.0 / port 8765 so it's reachable from outside WSL.
Verified: LIVE 1.5s, HISTORICAL(2026-06-18) 0.75s with full P&L/equity/fills.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Two more visualizations + the bug building them exposed:
- Equity-curve sparkline in the P&L strip: query_equity_curve returns the day's
total_equity series + prior-close baseline (dashed); rendered as an inline SVG
(green/red vs baseline) so the day's P&L shape reads at a glance.
- Per-position R bar in Open Positions: shows current open profit/loss in R units
(-1R = the stop, 0R = breakeven), green right / red left, with a per-row ⚠ when
a position has no resting protective stop. Falls back to % when no stop known.
Also fixed the P/L column to compute from entry/last (was reading a None field).
- BUG: sync_orders dropped stop_price (kept only limit_price), so the synced
snapshot showed stop=None on real stop orders — breaking the R bar and spark
stop-line. Now captured. (The naked alarm was unaffected — it counts qty
coverage, not the level.)
Verified live: equity curve renders the -1,886 day (94,124 -> 92,238); R bars
render (fall back to % until the loop re-syncs stop_price). Tests pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The web Watcher ignored the armed-trigger book entirely — the single most
actionable view for an ORB strategy (which gapper is about to break) lived only
in the TUI, despite 25k module_tick(triggers) events in the store. Add
query_armed_triggers (bounded 15-min scan, cheap) -> /api/snapshots, and a top
"Armed Triggers" panel rendering each loaded gapper as a proximity bar: the fill
shows where the LIVE price sits between the stop (left) and the breakout trigger
(the marker line); crossing the marker = fired. Rows sort closest-to-fire on top,
color-coded by state (armed/fired/filled/weak/waiting), with gap%/rvol, the
distance-to-trigger %, and any news catalyst. Armed names within 1% of firing get
a highlighted track.
Verified live: 13 triggers render (NEOV fired +27%, SPRO armed -8%, CRVO -15.6%),
projections suite passes.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Live verification caught it: the data-freshness chip read ~14,477s (RED) on data
that was actually 1s fresh — exactly the EDT offset. Event timestamps are stored
NAIVE LOCAL (datetime.now()), but query_risk_state compared them against UTC now.
Compare naive-local to naive-local instead (tz-aware timestamps still use UTC).
Verified live: chip now reads ~78s. Also align the amber/red thresholds to the
~60s broker-sync cadence (amber >90s, red >180s) so a healthy feed reads green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Closes the audit's remaining web-UI gaps. New query_risk_state projection bundles
the conditions that silently cost money this session: concentration vs the caps
(open/max, gross %), day P&L vs the daily-loss limit, broker-sync data freshness,
and any UNPROTECTED (naked) long. Wired into /api/snapshots.
dashboard.html: a pulsing red UNPROTECTED banner the instant a held long lacks
stop coverage (would have shown the moment APWC/NOWL went naked), plus a risk
strip — ok/warn/critical status dot, positions n/max, gross%/cap, day%/limit, and
a freshness chip (amber >30s, red >90s). Verified end-to-end: the API returns the
risk block (status=critical on today's 3 unprotected overnight positions) and the
page renders it.
Tests: projections suite passes.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The ONLY entry change that survived rigorous validation on 14 SIP-backfilled
sessions (53 trades). Gap-size buckets: 15-30% gap = +0.65R/trade, but 30-60%
blow-offs = +0.10R. Train/test split (70/30 by date): lowering TRIGGER_GAP_MAX
60 -> 35 lifts HELD-OUT TEST expectancy 0.194 -> 0.462 R/trade AND total R
(18.7 -> 19.9), better win rate, on both splits. Principled (huge gaps
fade/buy-the-top) and corroborated by the entry-timing audit (losers were
wide-range blow-off gappers).
Rejected after validation (do NOT ship): open-delay (forgoes total R for
marginal expectancy), breakout-HOLD/close-confirmation (hurts on the larger
sample), rvol floor (no-op: all gappers already rvol>=6). Confirmed KEEP: the
$-vol floor is fine on SIP volume (the earlier "it hurts" was corrupted IEX
data); profit-lock ladder stays.
.env TRIGGER_GAP_MAX 60 -> 35. NB: 14-day sample — re-validate as data grows.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
query_session_pnl reconstructed realized P&L solely from position_closed events
— of which the store has ZERO — so the web P&L strip showed $0 / no trades during
the real -$2,322 day while broker equity actually fell ~$11k peak-to-trough. The
operator flew blind.
Now prefer the broker equity delta: day P&L = latest account_summary equity -
prior-session close (last_equity); matched (realized) = day P&L - current
unrealized. Falls back to the closed-event sum when no equity snapshot exists.
Adds broker_day_pnl + pnl_source to the payload; existing frontend keys
unchanged. Verified live: total_pnl now reads the real -$1,840 (was $0).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
ArmedTrigger stamps price_ts on each update; update_price(None) (a failed batch
price fetch) now CLEARS the price instead of leaving the last value live; and
fires() requires the price to be fresher than max_price_age_s (env
TRIGGER_PRICE_MAX_AGE=12). A stalled feed can no longer fire a breakout into a
name that has already reverted.
Tests: stale price blocks fire, fresh re-enables, None clears; 18 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
From the multi-agent audit (ship-now, low-overfit-risk cluster):
INGESTION RESILIENCY
- client._request: 429/5xx now retry with Retry-After + exponential backoff
(previously hard-failed, feeding silent-stale ingest).
- SIP backfill feed (settings.backfill_feed='sip'): live realtime stays IEX, but
backtest/backfill ingestion uses the full consolidated tape — IEX sees only
~2-5% of true volume (verified: AAPL 22,797 vs 452,704), which was silently
corrupting every rvol/$-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>
_daily_gappers selected each symbol's LATEST daily bar (always the most recent
date in the table) and skipped the symbol unless that bar == the session date.
So replaying ANY past date saw rows[0] != sess and skipped every symbol —
silently reporting "no qualifying gappers" for all history. Multi-day
backtesting was impossible; the dataset looked empty when it was not.
Bound the query to bars ON OR BEFORE the session date so rows[0] is the session
day and rows[1] the prior trading day. Verified: June 17 now finds 11 gappers,
June 16 finds 8, etc. — and a 6-day / 24-trade replay shows the clean strategy
is +11.6R, 75% win, +0.48R/trade (the live losses were execution bugs, since
fixed; no entry-rule tweak robustly beats baseline on this sample).
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>
Carried over from the GitHub App setup. Both reference secrets.CLAUDE_CODE_OAUTH_TOKEN
(a repo secret, no literal keys). To activate on this repo: install the Claude
GitHub App and set the CLAUDE_CODE_OAUTH_TOKEN secret.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- Extract the cancel-protective-legs-then-close routine (duplicated in the exit
manager and the execution service after fixing the held-qty 403 in both) into
one shared, heavily-documented helper: runtime/flatten.py. Both callers now
delegate, so the fix can't drift out of sync. Behaviour unchanged; 121 tests
pass.
- Refresh .env.example: document every key added this session (liquidity gate +
sizing, backout cooldown, re-entry guard, managed-exit ladder, EOD flatten)
with the why, and flag MAX_DAILY_LOSS_PCT to revert to 0.03 before live.
- Remove throwaway data/_watch_*.py monitoring scripts (gitignored clutter).
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 journal/board reconstructs from broker timestamps (UTC) and printed the raw
UTC time, so a 10:12 ET entry showed as 14:12 on a US-market journal. Add _to_et
and convert both the today-filter and the displayed time to America/New_York.
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>
Today's-trades reconstruction showed normally-exited positions as falsely
"open" and understated realized P&L. Two causes:
1. sync_orders recorded only TOP-LEVEL orders. A position closed by its bracket
STOP or TAKE-PROFIT leg has that exit fill as a child LEG, so every stop/TP
exit was invisible — QTEX/BBD/UWMC/etc. looked open when they were flat, and
their realized P&L was dropped. Now flatten parent + filled legs (legs inherit
the parent symbol).
2. get_orders only fetched the most-recent page; Alpaca's `limit` truncates by
recency (legs count toward the cap), so a busy day could drop the morning's
fills entirely. Unscoped get_orders now pages backwards with `until` (dedup by
id) to capture the full day; the symbol-scoped path stays single-page.
Verified live: journal open set now matches the broker exactly
(ATPC/GRAB/LNKS/NOWL/WPRT) and every reconstructed round-trip ties to a real
broker fill. NB: the realized total is FIFO-lot based, so while positions are
partially open it won't equal the broker's average-cost day P&L — the broker
figure remains the authoritative headline.
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>
Alpaca's orders `limit` keeps only the most-RECENT orders and counts child
legs toward the cap. On a busy day the order list runs to hundreds (every
backed-out entry is an order), so the exit manager's limit=100 snapshot
silently dropped the stop legs of older OPEN positions. A stop-leg lookup then
read "no stop" on a fully-protected position -> broken trailing/profit-lock for
that name (and false-naked alarms in monitoring).
Fix: get_orders gains a `symbols` filter; the exit manager scopes its snapshot
to the handful of held names (no truncation possible). Verified live: an
unscoped limit=100 query reported PLUG stop=None while the scoped query
correctly surfaced PLUG's stop @2.65.
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>
A long-lived `momentum watch` connection got closed by Postgres on idle/restart
overnight, and the next query raised OperationalError and crashed the board.
PgConnection now reconnects ONCE on OperationalError/InterfaceError (skipped for
isolated test schemas); the watch loop also catches transient errors and shows
'reconnecting…' instead of dying. Hardens the live loop's event store too.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
momentum journal prints the day's trades (time/symbol/qty/entry/exit/P&L) +
broker-accurate day P&L + win summary. journal.sh appends it to
data/trade_journal.log; cron 16:02 weekdays keeps a durable daily record.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- momentum watch: replace 'open positions' with TODAY'S trade history (FIFO
round-trips from the broker orders snapshot: time/symbol/qty/entry/exit/P&L +
open lots), resets each day. Headline day P&L is broker-accurate (equity -
last_equity, now carried on AccountSummaryUpdatedEvent), shown in the header
and the panel title. sync_orders limit 50->500 so the log captures the whole
day across restarts.
- SYMBOL_WEIGHTS: optional manual per-symbol priority nudge applied to the
armed-trigger rank score (small; doesn't override gap/volume logic).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
News (you were right it's relevant): recent_news_map() pulls fresh catalysts per
ticker from the ingested RSS feeds; step_arm tags each armed candidate and BOOSTS
catalyst-backed gappers up the rank (NEWS_RANK_BOOST) — a fresh PR/FDA/offering
is why a small-cap runs, so it surfaces the hotter name earlier and higher. The
board shows a 📰 marker + the headline. Feeds verified live (PR Newswire /
Business Wire / GlobeNewswire) — pulling real catalysts (FDA approvals, offerings).
Forward-tested only (news isn't OOS-backtestable).
eod_replay.sh + crontab: replay at 16:05 (grow dataset), tune at 17:30.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
eod_replay.py: after the close, pull the day's 100 most-active names (vs ~20
watched live), daily-screen the $1-5 gappers, minute-backfill only those, and
replay TODAY'S logic (entry filters + ORB + managed exits) over each — reporting
what it would have traded + est P&L + perfect-hindsight (biggest catchable
runs). Daily-first screening keeps it fast. Every run also grows the stored
dataset for the tuner/verification.
On 2026-06-17 it showed the new logic would have been +3.7R (~+$3.5k, 3 trades
100% win) vs the -$2.6k actually lost — the filters exclude exactly the losers
($7+ ICCM, blow-offs) that the old config traded.
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>
diagnose_entries.py buckets backtested trades by feature: cheap stocks ($1-5
+0.5R) crush $10-20 (-0.09R), rvol>=5 (+0.79R) beats <5x (+0.15R), and blow-off
gaps >150% fade. sweep_filters.py verifies price/volume/gap-cap combos
train-vs-test: px<=7 + gap<=60% ~doubles OOS expectancy (+0.76 vs +0.39R, win
86% vs 71%).
Add a gap cap to the armed-trigger eligibility (TRIGGER_GAP_MAX) so blow-off
gappers can be excluded; price cap (WATCHER_PRICE_MAX) and volume floor
(TRIGGER_RVOL_MIN) already exist. Final values pending OOS verification.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
So you can confirm the bought price next to the unrealized P&L.
Profit-lock tiers verified out-of-sample (lock_mid: 8:3,15:9,25:18,40:30 on the
prior-low trail) — test avgR 0.127 vs 0.123 baseline, win 55% vs 46%, not
overfit; already the .env default. The flashy lock_only_mid (+0.40R in-sample)
was rejected as overfit (collapsed to 0.187 test).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
For verifying the profit-lock checkpoints out-of-sample against the current
trail (lock_off = trailLow_a1). In-sample, lock_mid matches lock_off on
expectancy (+0.264 vs +0.262R) with a higher win rate (61% vs 57%).
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>
