eod_replay's universe was today's top-100 by ABSOLUTE volume — small-cap
gappers never crack that list, so 2026-07-28 replay found 1 gapper on a
day the live loop signaled 8 names. Universe is now the union of (a) the
session's symbol_discovered events, (b) historical_gappers for that date,
(c) most-actives only on a same-day replay (past-date most-actives would
be look-ahead). Verified: 7/28 replay now screens 6 gappers / 4 trades,
matching the live day. Historical sessions also fetch that day's
04:00-20:00 ET SIP bars explicitly instead of a from-now lookback window
that pulled the wrong day.
backfill_gapper_days.py: for each of the ~260 recorded gapper sessions,
pull SIP minute bars (premarket incl.) + 40d of daily bars for that day's
gappers only, then build premarket_structure. Idempotent (skips sessions
already covered). Fattens n for premarket H1/H2, pyramid_1r_v1, and the
orderflow experiments.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
