The watcher evaluates candidates[:max_symbols] each tick. The live provider puts
dashboard/scan-injected symbols first (they never expire) and ranks the rest by
bar count, so on 2026-10-08 fifteen injected intraday movers plus liquid names
filled all 25 slots and every in-population gapper stopped being scored at 09:43
while 50 already-rejected names were re-rejected every 8 s. Entries were not
affected (the trigger book arms independently and injects its armed names), but
the state board and the judge's reasoning trail went stale for the session.
Names already in out_of_population now go to the back of the list and rotate, so
they are still re-checked when budget remains (a squeeze can be re-admitted) but
can never crowd out a name that can still trade.
Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01LXxioW7HA18AY1gqnzA2HN
The trade journal learns about exits only by diffing consecutive position
snapshots. On 2026-10-02 TNON was bought at 09:38:37 and its bracket stop filled
at 09:39:26, so no snapshot ever held it and no position_closed was written: the
80-trade scorecard dropped a -1R loser and the re-entry bench fired on a trade the
journal did not have.
AlpacaPaperSync.reconcile_unseen_round_trips runs after the snapshot diff on every
sync. For a symbol open in neither snapshot that has a filled buy and a filled sell
submitted this session (ET), it emits one position_closed per unjournaled exit fill:
entry is the VWAP of the buy fills, exit the sell's fill, stop the session's stop
order, position_id the exit's broker order id. Exit ids already journaled (by the
diff path or an earlier run, seeded from the store) are skipped, so nothing is
double-counted across polls or restarts. Long round trips only; the bot is long-only.
Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01LXxioW7HA18AY1gqnzA2HN
On 2026-10-02 the live bot bought 7 TNON at 4.62 and the Tradier sell-stop filled at
4.30 forty-nine seconds later, before a position record existed, so no position_closed
event was written and the 80-trade scorecard silently dropped a -1R loser. The daily
equity-vs-P&L gap ($2.31 that day, cents everywhere else) is what exposed it.
load_trades now merges the journal with a cross-check of the broker's filled orders
(account_orders_updated snapshots, one row per broker order id). For any session day and
symbol with a filled buy and sell but no journaled close, reconstruct_missing synthesises
the trade from the fills: fill VWAPs for entry/exit, the sell-stop's stop price for R.
Such trades are labelled "[broker fill; journal missed]" and the daily report alerts on a
same-day miss. The paper side of the exit A/B skips the check: that store's order
snapshots run to 2.2 GB over the window and its Alpaca journal is reconciled by
alpaca_paper/sync.
Corrected test state: 16/80, mean R -0.08, realized +$0.91 (was 15/80, -0.02, +$3.15).
Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01LXxioW7HA18AY1gqnzA2HN
On 2026-10-02 the trader died 5 times (13:15-15:05 ET). It left no traceback, and
each death came within the task's 5-min re-fire window, which fits its console
window being closed (as on 2026-09-29) while the PC was in use. Every relaunch popped
a new window.
- Task Scheduler now launches it with pythonw: no console window to close. Under
pythonw, stdout/stderr go to data/judge/logs/live_<date>.log, so a real crash
still leaves its traceback.
- A relaunched trader re-loads every symbol today's earlier runs were watching (from
the journal's "add" rows). It used to know only the names still passing the
scanner, so it stopped deciding on the others and never saved their ticks; the
review then had nothing to compare CABO and APLX against.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01B3PXXn2tHBzdv6rYtGPz86
qwen3:14b rated "halted on circuit breaker to the upside, stock now up 172%" at
conviction 0.8 / sentiment +1.0, a bigger rank boost than most real news. So
names that had already run were ranked up.
- Prompt: halt notices, movers roundups and articles that only report a price move
are not a new catalyst (conviction <= 0.1). If one names a new announcement,
classify it with conviction <= 0.3.
- A deterministic cap that does not depend on the model: halt type or halt wording
caps conviction at 0.1; after-the-fact wording ("why is X stock up", "X shares
surge", "stocks moving") caps it at 0.3. Dilution flags are never touched.
On the 4,046-headline news history the pattern catches 100% of halt notices and 82%
of roundups, 0% of analyst items and 0.8% of earnings items. Against qwen3:14b on a
fixed 20-headline set: reactive mean boost 0.318 -> 0.055 (max 0.80 -> 0.21); real
catalysts 0.353 -> 0.362; offerings 3/3 still flagged dilutive.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01B3PXXn2tHBzdv6rYtGPz86
qwen3 thinks by default. With format=json, Ollama then returns "{}", which the parser
silently read as a confident "other" (sentiment 0, conviction 0), so every headline
scored zero with no error. Two changes:
- OLLAMA_THINK (true/false). It is sent as Ollama's "think" flag only when set, so other
models are untouched. qwen3:14b needs OLLAMA_THINK=false.
- A JSON object with none of the expected keys is now a failure (None, retried
next pass), not "other".
Checked through the live code path against qwen3:14b on mason (think=false): 1.4 s per
headline. 5/5 offerings (including an ATM sales agreement and a PIPE) flagged
dilutive. 'Stocks moving' roundups scored no catalyst. Earnings, guidance, analyst,
FDA and contract items were labelled correctly.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01B3PXXn2tHBzdv6rYtGPz86
Premarket news timing could not be tested on history. Alpaca's Benzinga feed has
almost no PR-wire items for microcaps, and wire RSS feeds only keep the latest few
dozen items. So from now on, every item is recorded with our first-seen time.
- Polls PR Newswire, GlobeNewswire, Business Wire and SEC EDGAR's current 8-K, 6-K
and 424B feeds every 20 s, in parallel. A failing feed backs off up to 10 min.
- Each new item goes to data/prwire/<date ET>.jsonl with seen_utc, feed, title,
link, tickers (exchange-tagged, e.g. "(Nasdaq CM: ABCD)"; SEC filings via CIK)
and form. Restarts do not re-log items already recorded.
- Runs on the workstation via Task Scheduler "Momentum\PrWireRecorder" (pythonw,
no console window; re-fired every 10 min with IgnoreNew so it self-heals).
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01B3PXXn2tHBzdv6rYtGPz86
It sells as soon as any trade prints at or through the stop, or below the 6% trail
once +1R, walking the new prints in order exactly as the validated simulator does.
Whichever acts first wins: the broker stop or this one.
Why: Alpaca's paper engine filled triggered stops 6-60 s late on 2026-09-30 (CMCT,
PWCM; judge.review), which makes the trial look worse than the simulation for reasons
that are not the strategy's. Brokers also run no stop orders outside regular hours,
so any premarket trading needs this.
JUDGE_SOFT_STOP=0 turns it off. judge.review treats soft_stop/soft_trail as
stop/trail.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01B3PXXn2tHBzdv6rYtGPz86
For a paper day, every order is lined up with what the validated simulator does on
the same recorded ticks: the sim exit from the real fill (stop, 6% trail after +1R,
20-min time stop, sell at the bid 300 ms after the trigger) vs the paper exit,
plus the sim R of orders that did not fill. Trades are flagged when R differs by
more than 0.3R, the exit reason differs, or the entry slipped. The report goes to
data/judge/reviews/<date>.md.
On 2026-09-30: paper -8.25R vs sim -3.97R on the same six fills. The gap is two
trades where Alpaca's paper engine filled a triggered stop 6-60 s late (CMCT,
PWCM; PWCM's own exit was also blocked by the stop-id bug fixed in f3c8be1).
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01B3PXXn2tHBzdv6rYtGPz86
On 2026-09-30 PWCM's stop was moved, and Alpaca's replace returns a NEW order id.
The trader kept the dead id, so reconcile treated the stop as gone and tried to
arm another one (refused with 403, shares held) about 20 times in 80 s, and the
trail exit could not sell because it cancelled the stale id.
- Adopt the id returned by replace. Reconcile follows replaced_by, and before
arming it adopts any working sell stop already at the broker.
- Exits cancel every open order on the symbol before close_position.
- If the price is already through the stop, close instead of arming a stop the
broker would reject.
- tests/unit/test_judge_live_exits.py covers these cases and the 2026-09-29 ones.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01B3PXXn2tHBzdv6rYtGPz86
A gradient-boosted model scores burst / micro-pullback / whole-dollar signals on
squeeze stocks from tick data, and only its top-scored regular-hours signals
are traded. Validated in data/ticksim before any live use:
- v1 on a fresh 600-day sample: real ranking (AUC 0.63), thin edge. FAIL.
- v2 (trained on Jun-Jul of samples 1+2), pre-registered, on 500 NEW Aug-Sep
symbol-days: +1.11%/trade after the spread (day-block 90% lo +0.54%),
n=332 over 38 days. PASS. It held at 2 s latency and +0.2% extra cost.
- judge/engine.py: the validated signals, execution gates and features, as one
shared source.
- judge/model.py: trains and freezes v2 (cutoff = the training top 20%).
- judge/decide.py: pure decision logic.
- judge/replay.py: a live-style replay of recorded days. Parity: 40 of 41 research
trades matched with identical model scores.
- judge/live.py: the paper trader. Watchlist from the snapshot scan with
backfill, SIP trade/quote websocket, decisions each second, a limit at the ask
with a broker OTO stop (cancelled if unfilled in 3 s), trail 6% after +1R,
20-min time stop, flat by 15:55. $20 risk and $1,000 max notional per trade.
Everything is journalled and the day's ticks are kept for paper-vs-simulation
review. Weekends and holidays exit.
- Runs from the workstation (Task Scheduler, weekdays 09:10 ET) with the
research venv. Paper only.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01E3S5EFKThFVrjmN4HHsHMN
TRADING_GAP_SQUEEZE_ENABLED=0 from the next session. The >=150% gap names lost
in both halves of the Jun-Sep history (-0.21R / -0.30R) and in our real fills,
while the 10-35% band made money. 2026-09-28's four trades ran with the
exception on, so they are recorded as a previous period and not counted.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01E3S5EFKThFVrjmN4HHsHMN
TRADING_GAP_SQUEEZE_ENABLED=0 rejects >=150% gappers in the population gate
(watcher pre-filter and entry gate) and zeroes the trigger book's squeeze
arm. One switch covers all three paths.
Why: while testing the trader's "trade the leading gainers" idea on 1,093
live-band v1 ORB breaks (Jun-Sep 2026, current exits), top-3 gainers at the
break did WORSE (diff -0.48R Jun-Jul, -0.40R Aug-Sep, 90% CIs excluding 0).
That turned out to be almost entirely the >=150% squeeze-exception names:
gap 10-35% Jun-Jul +0.27R (n=342) Aug-Sep +0.13R (n=327)
gap >=150% Jun-Jul -0.21R (n=65) Aug-Sep -0.30R (n=53)
Our own squeeze fills: -0.31R / -0.33R realized (n=16). By the time a squeeze
name breaks its opening range the move has happened; the trader catches these
names premarket, which the bot does not. This finding was post-hoc (not the
pre-registered direction), but it held in both halves and in the real fills.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01E3S5EFKThFVrjmN4HHsHMN
At 09:34 ET on 2026-09-28 Alpaca's movers screener returned 'TSX:STC', a
Toronto listing. The discovery filter only dropped symbols containing a dot,
so it joined the universe. The live ingest fetches bars for every symbol in
one batched request, and Alpaca rejects the WHOLE batch with 400 "invalid
symbol". From 09:35 every ingest pass stored 0 rows and the loop ran on
stale bars ("INGEST STALE: freshest bar 458s old").
- Discovery keeps only plain 1-5 letter US tickers from both screeners.
- The ingest never sends a non-US or invalid symbol. If Alpaca still rejects
one ("invalid symbol: X"), it drops X and retries the rest (up to 3 times),
so one bad name costs one symbol, not the session.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01E3S5EFKThFVrjmN4HHsHMN
The 2026-09-24 period ran on settings the 5372585 deploy changed: live volume
was inflated 80-160x, squeezes were verified on a mean volume baseline, and
the first ingest began at ~09:15. It also had no premarket scan and no
fail-fast exit (now 60s/0.3R). Trades from before the restart would mix two
systems, so the 80-trade count starts again on the first session under the
new build. The four earlier trades are kept in the freeze file for the record.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01E3S5EFKThFVrjmN4HHsHMN
At the first exit-thread pass >= TRADING_EXIT_FAIL_FAST_SECONDS after the fill,
flatten if price has already traded TRADING_EXIT_FAIL_FAST_R x R below entry.
It is checked once per position. A position first seen after its window (a
restart or a carry) is never judged late. 0 seconds = off (the default).
Evidence, from tick data on 1,093 live-band v1 ORB breaks (Jun-Sep 2026) with
outcomes under the current exit rules:
- 60 s / 0.3R: +0.060R per trade Jun-Jul (90% CI +0.015..+0.102) and +0.062R
Aug-Sep (+0.029..+0.094). It fired on 29% of trades and cut 22 runners.
- Every threshold from -0.15R to -0.4R at 60 s was positive in both halves,
a plateau rather than one fitted cell.
- On our own 194 real fills (10-s bars): +0.015R. Same sign, not yet
significant.
It is deliberately narrow. The same study found that later "bail out below
+1R" rules kill runners: the LLM trade-manager pilot, the hybrid bailout, and
orderflow H1 (Jul 17). The first minute is the one window where failure tells
you something. Tape-flow features (aggressor buy share, print rate, big
prints, quote imbalance, spread) separated nothing (AUC 0.44-0.59, not stable
across halves).
Live-only: it needs sub-minute prices, so simulate_exit (minute bars) does not
model it.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01E3S5EFKThFVrjmN4HHsHMN
Why: the pilot in data/ross showed that Ross Cameron's daily recaps, joined to
the SIP tape and to what our bot saw, answer "which of his trades could we have
taken and why didn't we". It was a set of one-off scripts run by hand; the
server-side youtube_claims pipeline has been dead since ~08-24 (YouTube blocks
the TrueNAS IP) and its captions fallback hid that. This makes the pilot a
nightly, local, cumulative loop without a paid LLM API.
youtube_claims/recap/ (python -m youtube_claims.recap.nightly):
- channel: yt-dlp flat listing of @DaytradeWarrior, m4a audio, faster-whisper
small.en on CPU, pilot-format bundles (meta + our scanner list + transcript).
- extract: Ollama structured output (JSON schema) per EXTRACT_SPEC, chunked
with overlap for long transcripts and merged. The verbatim rule is enforced in
code: every quote must be found (token-level, one-word tolerance) and is
snapped to the transcript's words; unquoted items, trades with no surviving
quote, prices never spoken, and passed-on names never said are dropped.
- llm: endpoint pool over RECAP_OLLAMA_HOSTS (round-robin + failover, per-host
model/ctx/think pins) since the owner runs several Ollama boxes.
- tape/join/ourside: ported join.py/ourside.py -- tickers are price-verified on
the Alpaca SIP tape (plus an order-free check for his own named ticker), then
paper (:5433) and live (:5434) event views are attached. Bars cached on disk.
- store + schema.sql: idempotent recap_* tables in the transcripts schema,
upserted per video_id. report: the pilot's sections + "what changed since last
run" against the previous day's metrics JSON.
- evaluate: scores any model/prompt against the 36 gold extractions.
Model choice (36 gold videos, final code path, P/R):
gpt-oss:20b on the workstation GPU, two focused calls, think=low:
trades P .84 R .70; tickers P .82 R .77; entry +-2% P .54 R .50;
passed-on P .66 R .76; temperature 16/31; kind 30/36; ~49 s/video.
tools:latest (4B, server) one call: trades P .81 R .72, tickers P .83 R .85,
passed-on P .80 R .75, temperature 20/31, but it invents prices
(entry P .42) and occasionally runs away (5-9 min). Prices drive the tape
verification, so the more precise local model is the default.
Iterations: prompt v2 + spoken-price rescale (699 -> 6.99) + split calls took
gpt-oss trades F1 .74 -> .76-.78 and tickers .78 -> .79-.80; think=medium
blew the token budget. qwen3-30b-a3b on mason only finished 5 videos (host
saturated) -- inconclusive.
Also: youtube_claims/transcription.py::_captions_fallback now picks the
youtube-transcript-api shape by feature detection instead of retrying the
removed get_transcript on any error, and transcribe() reports both the whisper
and captions causes -- the IpBlocked error was being masked as AttributeError.
No trading code touched.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Discovery finds premarket squeezes far too late. Across 53 trades by a
professional small-cap momentum trader, our scanner had found only 4 of his
names before his entry, and 27 of his 28 entries were premarket (07:00-09:30
ET). KITT on 2026-09-25 ran $3.50 -> $8.39 at 09:00-09:01 ET (prior close
$0.49); the loop first "Discovered KITT via manual" at 09:35. The existing
sources (Alpaca movers / most-actives screeners) only reflect the regular
session, so a premarket squeeze is invisible until the open.
research/ingestion/snapshot_scan.py sweeps every active, tradable, listed US
equity (~11.9k names; OTC, warrants/units/rights and DISCOVER_EXCLUDE dropped;
asset list cached per ET day) through GET /v2/stocks/snapshots in 2,000-symbol
batches. The endpoint is bound by URL length rather than symbol count (8,000
worked; ~12.7k returned 414). A name qualifies when:
- the LATEST TRADE price is inside WATCHER_PRICE_MIN/MAX (never the prior
close, which is routinely < $1 on these names),
- % change vs the prior close >= DISCOVER_SNAPSHOT_MIN_PCT (20),
- it is trading now: last trade <= 180s old, latest minute bar <= 300s old
with >= 5,000 shares, and >= 100,000 shares since 04:00 ET (summed from
minute bars for the short list, one extra request).
Qualifiers are ranked by % change, capped per sweep, and announced once per
day. dailyBar OHLC ignores extended-hours prints (KITT's dailyBar high was
$3.24 against a premarket high of $8.39), so in premarket it can still be
yesterday's bar. The prior close is prevDailyBar.c only when dailyBar is dated
today, otherwise dailyBar.c.
run_live_paper.py runs it on its own daemon thread (04:00-16:00 ET weekdays,
every 45s), using the plan-019 pattern: its own DB connection, the thread-safe
Watchlist and the generic interval driver. Each new name emits
symbol_discovered with source="snapshot_scan" and price/prev_close/pct/minute
and cumulative volume in symbol_data, so first-sighting latency can be
measured. It gets a daily-history backfill and joins the watchlist, so the
normal new-symbol ingest path gives it its first full-session pull. This is
discovery only; no trading gate changes.
Gated by DISCOVER_SNAPSHOT_SCAN_ENABLED (default 1); knobs in .env.example.
Live read-only sweep at 13:10 ET: 11,871 names in 8 requests / 6.3s cold
(7 requests / 3.5s warm); top hits KITT +376%, MSGY +262%, INLF +60%.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
KITT on 2026-09-25 (+557%, 9.3M shares, the day's biggest mover) was benched
as "gap 557% squeeze unverified (rvol 1.54)". Two separate faults:
1. The rvol baseline was the 20-day MEAN, and two 11-14M-share days on
09-01/09-02 put it at 1.66M against a 333k median. Squeeze verification
(gap >= 150% needs rvol >= 5) now takes the stronger of the mean-baseline
reading and the median-baseline one. Both are cumulative volume over a
full day's baseline, not prorated, so they share the units the rvol >= 5
boundary was calibrated in. A reverse-split fake still reads ~0.01 on
both. This applies in the watcher pre-filter, the trigger book's squeeze
exception and the fast-path population gate. The ranking and the tod-rvol
arm signal are unchanged.
2. A name's first ingest reached back only to ~09:15 (09:30 + 15 min, or
the 20-minute refresh floor). KITT was found at 09:35, so its stored day
began at 09:13 and missed the 09:00 squeeze and ~6M premarket shares.
The first pass now covers the session from 04:00 ET.
With both fixed, KITT's volume at 09:35 is ~20x its median day.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
With BROKER=tradier the loop's `client` is a TradierClient that delegates
market data to the Alpaca client in `data_client`. Two places read the feed
as getattr(client.settings, "feed", "iex"). TradierSettings has no feed, so
both read "iex" even though the container runs ALPACA_DATA_FEED=sip (verified
in the running loop and in config_overrides):
- step_vratio kept computing IEX->SIP ratios as if on the free feed
- ingest_live_minute_bars multiplied the real SIP volume by those ratios
Checked against the paper stack's SIP bars for the same minutes: prices are
identical and unscaled volume matches 1.00x, but scaled rows run x83 (GLND),
x117-126 (GRML) and x163 (SKYQ). The 2026-09-25 GRML signal logged a
cum_volume of 1.39 billion shares and an rvol of 64.6. For any name with a
ratio, every volume gate — rvol, the 300k day-volume floor, min dollar
volume, the 2.5%-of-volume liquidity cap, and the gap x rvol ranking — has
been reading inflated numbers since the stack went live on 2026-07-31.
data_feed() reads through data_client when present. The regression test
wraps a SIP client in a TradierClient and fails without the fix.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Pre-registers the real-money test that starts 2026-09-24, the first session
without commission drag. PASS needs at least 80 round trips with a positive
mean R and positive P&L. FAIL is any session the equity floor halts. Changing
any strategy setting in live_test_freeze.json restarts the count, and the
scorecard reports that drift.
The settings were frozen, not tuned, because a study of 239 real fills
re-simulated under the current exit found nothing worth changing:
- Capping how far above the trigger an entry may fill lost R at every cap
from 0.25% to 10%, with either skip or resting-limit handling. Fills more
than 5% above the trigger were the best bucket (+0.66R).
- No break-time factor (spread, price, VWAP distance, stop width, L1
bid/ask size, premarket range) kept its sign across both date halves and
both accounts.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
_population_reject computed the static open gap from bars["open"].iloc[0].
Premarket that is a PREMARKET bar, so the gap is fabricated. Live on
2026-09-14: FTFT opened 3.30 against a 2.88 previous close (+14.6%, well
inside the tradeable 10-35% band) but its premarket bars started near 2.52,
so the filter read -12.5% and benched it at 09:12 -- before the session had
even opened.
It never self-corrected. The frame keeps its premarket bars all session, so
every later pass recomputed the same wrong number, and _transition only emits
on change, so the symbol stayed out_of_population for the day. Several of the
day's rejections show negative gaps (-12.5%, -17.4%, -1.9%) that look like the
same artifact.
Trading was unaffected -- the trigger path does not consult watcher state, and
FTFT was still evaluated and rejected on its own merits (over_extended_day, it
was already +59% off the open). The damage is diagnostic: valid candidates lose
their criteria trail, which is the blank-reasoning-panel problem a previous
commit set out to fix.
Read the open off the first is_regular_hours bar; return None (fail open) when
the session has not opened, since the static gap is not yet knowable. A frame
with no session flag is treated as already regular-hours-only, which is what
tests and replay hand it.
Also drop the pm-range=N counter from step_arm's return string. The arm step
never emits a module_tick -- verified against both 2026-09-11 and 2026-09-14,
where only discovery, ingestion, enrichment and triggers do -- so it reached
container stdout and nothing else. Adding a tick purely to carry it would put
~4k events/day back after the population filter had just removed 88% of them.
pm_range_pct is already on the armed candidate rows for the board; persist it
on the approval payload if it needs to be measurable per trade.
Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01A2LepdJfPCfK5Q8uznjFBM
Over 1,040 screened symbol-days (2026-08-01 on), asking which premarket
property predicts the session running >=50% open-to-high:
premarket range n avg run ran >=50%
>= 30% 201 34.7% 15.9%
15-30% 136 28.3% 14.7%
5-15% 303 15.2% 5.9%
< 5% 400 16.8% 4.3%
A name that already travelled >=15% premarket is 3.1x more likely to run
>=50% (15.4% vs 5.0%) -- the largest single lift in this dataset, and free:
it comes off minute bars the arm pass has already fetched.
Two findings constrain the shape:
- It is a STEP at 15%, not a gradient (15-30% and >=30% are 14.7 vs 15.9;
5-15% and <5% are 5.9 vs 4.3). So the multiplier is a threshold. A linear
scale would invent precision the data does not support.
- Premarket VOLUME carries NO signal (10.0/4.2/7.9/9.0% across participation
buckets, non-monotonic) and raw premarket volume runs inversely to the
outcome. scanner_snapshots.premarket_volume being NULL costs nothing;
range is the field that mattered all along.
Do not expect 3x. Replaying armed-set selection over the same 29 sessions,
top-5 by mean/median run and >=50% runners captured out of 145 slots:
gap x rvol (baseline) 39.77% / 10.97% 27
x3.0 if PM range >= 15% 42.00% / 13.16% 32
HARD FILTER >= 15% 37.27% / 12.67% 24 <- worse
PM range alone 32.86% / 12.65% 20 <- much worse
gap x rvol already encodes much of the same information, so the marginal gain
is ~+2 points of mean run and 4-5 extra big runners per 145 slots. It is
BOOST-only for a reason: gating on this feature scored below baseline, and it
must never replace gap/rvol. Every threshold in 10-20% and gain in 1.5-5.0 beat
baseline -- a flat plateau, so not fitted. The shipped 15%/3.0x are the measured
step and the measured lift, not the sweep's peak cell.
Fail-open: an unknown range yields a neutral 1.0, never a penalty.
Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01A2LepdJfPCfK5Q8uznjFBM
criteria_evaluated + signal_blocked held 3.1 GB of a 7.6 GB events table.
On 2026-09-10 alone the watcher wrote 191,458 criteria receipts across 57
symbols -- ~3,359 per symbol per day -- and 154,260 of them (80.6%) were
for names whose static open gap was outside the tradeable band. NOK, NIO,
PATH, PLUG, SOFI, AAL and F all sit inside the $2-20 price filter, so
WATCHER_PRICE_MIN/MAX admits them; only the gap floor excludes them, and
that was checked per-tick instead of once up front.
Apply the SHARED population gate (strategy/population.population_reject --
the same function, same config the entry path already enforces) before the
evaluation and its receipts. This is behaviour-preserving for trading: those
names were being scored, emitted, and then rejected downstream anyway --
429 "outside tradeable population" risk events across 221 symbols, led by
exactly the names that top the receipt counts. The decision just moves
upstream of the write.
Details that matter:
- The verdict is recomputed each tick, never cached. A >150% gapper reads
"squeeze unverified" on thin volume and is admitted once rvol confirms;
a cached rejection would bench it for the session.
- _transition only emits on CHANGE, so a rejected symbol costs one
state event per session and is then silent.
- Fail-open throughout: an unreadable open, a missing previous close or
absent volume returns None, so a data gap can never bench a symbol.
- Gap is the STATIC OPEN gap (session open vs previous close), fixed for
the day, not the live price -- the verdict must not wander intraday.
Off by default (population=None) so every existing caller and test keeps
its current behaviour; the live loop opts in, and WATCHER_POPULATION_GATE=0
restores the old path.
Note for diagnostics: momentum_cli's criteria views now show only names
inside the population. That is the intended trade -- the excluded rows
described symbols the bot could never have taken.
Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01A2LepdJfPCfK5Q8uznjFBM
Tradier returns total_equity 0.0 during its overnight maintenance window --
sixteen times in the last fourteen days, all around 01:06. Three defects
compounded so that a zero could size a position off default_equity:
account_equity = equity or config.default_equity
`or` cannot tell "not supplied" from "read as zero", so a real 0.0 became
100000. Then the position-value cap, derived from the same equity, was
itself 0 -- and the guard
if max_position_value is not None and max_position_value > 0:
SKIPPED the cap precisely when the cap said "no room". Finally the auto
path (~96% of approval requests) had no `pos_cap <= 0` early-out, unlike
the manual path at request_entry_approval. Net effect on a ~$250 account:
risk 5% of 100k = $5,000, capped only by liquidity. The broker would have
rejected it for buying power, which is luck rather than design.
Never fired in live hours -- every zero read landed with the market closed,
and _current_equity caches the last good value -- so this is latent, not a
realised loss. The reachable path is a boot that coincides with the
maintenance window, when no good read has been cached yet.
Distinguish None from zero, refuse to size on non-positive equity, treat a
zero cap as "no room" rather than "no cap", and mirror the manual path's
early-out. TRADING_DEFAULT_EQUITY is set to 300 on the live stack so even
the untested fallback cannot oversize.
Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01A2LepdJfPCfK5Q8uznjFBM
The live exit ran FOUR independent stop ratchets at once: a +5% breakeven
inherited silently from the env default, a 0.25R step-trail, a prior-low
trail, and profit-lock tiers. Stacked, they pinned the stop at or just
above entry within the first minute of any real move, so winners were
capped near +1R while losers still ran to the full stop.
Measured over 62 live Tradier + 172 Alpaca paper round trips:
- trades whose stock ran >=20% after entry (avg +63.7%) kept 9.3% of it
- median hold 10 min for winners vs 19 min for losers -- inverted
- PCLA 2026-09-11: entered 12.8233, stopped 12.82, a 0.03% stop
breakeven_at_pct was the only exit lever in ExitConfig that defaulted ON
from the env (0.05) while its dataclass default and every sibling lever
defaulted to off, so the live stack ran it without ever setting it. Turn
the env default off so "not configured" means "not applied".
Replayed through simulate_exit -- same entries, same initial stops, only
the management varying -- with each stack split 70/30 by date. A 10%
trail running from entry looked best in-sample and went negative out-of-
sample; what survives is a trail armed only after +1R. The 8-20% range
all beat the old config in all four train/test cells (mean R 0.20-0.25 vs
0.125), so the live value of 12% is a plateau pick rather than a fitted
one.
Live config_overrides updated separately (market closed, no open
positions); this commit is the code default and the regression guard.
Risk per trade is unchanged and both safety backstops -- the -10%
catastrophe exit and naked-stop enforcement -- are untouched.
Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01A2LepdJfPCfK5Q8uznjFBM
Tests whether a PROSPECTIVE forecaster (owner or local LLM) carries signal
the machine levers never found. Picks land premarket via dashboard panel or
research/llm_picker.py (Ollama); research/pick_scoring.py judges them under
a pre-registered bar (n>=40, >=30 sessions, mean >=+0.5%/pick net, median>0,
both halves positive). Picks after 9:30 ET stored but flagged invalid.
Shadow-only: human_picks is never read by the live loop.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
A market sell that sits unfilled means the symbol is halted (or session
closed); cancelling and resubmitting it every exit-manager pass fills no
faster and spams the broker — YXT 2026-08-05: 87 market sells across a
10-minute LULD halt, 86 cancelled, plus one exit_naked_stop journal event
every ~4s. On a halt-down the resting sell is also the position's only
protection.
cancel_protective_and_close now returns False (nothing submitted) when a
market sell for the symbol is already working, and only cancels
non-market protective sells before closing. Exit-manager paths
(catastrophe / naked-stop / first-red / trail) journal the exit only when
a close was actually submitted.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Tradier stack emitted account/positions/orders events hardcoded as
broker_name=alpaca_paper while the executor filters snapshots by
client.broker_name (tradier) — position cap and re-entry block read zero
positions, and the dashboard showed 'Alpaca Paper' over real Tradier values.
Mode label now defaults from BROKER/TRADIER_ENV (tradier_live) instead of
alpaca_paper.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Year-replay stop-width buckets: <8% +0.072R, 8-12% +0.120R, 12-16%
-0.054R, >16% -0.092R — the wide cohort holds every recent dollar
disaster (BIYA 16.7%, FCUV day-2 17.5%), where the exit ladder's blind
spot (BE/trail only arm on the way up) rides the full catastrophe
distance. New stopwidth_gate intervention (fail-open without levels) +
registered spec, same forward bar as the pm-high gate; the two cohorts
overlap so the adjudicator attributes which does the work. In-sample
counts for nothing.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
On the Tradier live cash account buying_power maps to cash_available —
SETTLED cash. Capping every entry's notional at it means the bot never
spends today's sale proceeds today, which is the entire good-faith
-violation rule. That replaces the blunt 1-trade/day cap: the live
account now trades like paper (cap back to 5/day), throughput
self-limits at ~settled/position-size sequential trades and refreshes
each morning at T+1. On margin accounts buying power is ~4x equity so
the cap never binds — one universal rule, no broker branches. Fail-open
when the field is absent.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
H3 (enter the pm-high break at 9:30 instead of the ORB) FAILED its
pre-registered bar on the year replay: paired delta -0.069R (n=689) —
entering earlier on the same names does not pay; the 5-minute wait stays.
The decomposition found the real signal: ORB fires where RTH price also
reclaimed the premarket high ran +0.316R (n=689) vs -0.298R (n=477) where
it never did — 100th percentile of a 2000-draw random-gate null at the
same keep-rate (null p99 +0.127), sign-consistent 14/14 months. First
lever of 15 to survive both checks in-sample.
Because the split was found in this dataset, it counts for nothing until
fresh fires confirm: new 'pmhigh_gate' intervention kind (fail-open on a
missing premarket_structure row, RTH-only reclaim check at/before the
entry bar) + registered spec with expR_delta >= 0.05 at n >= 200 forward
bar. Cohort self-registers on the next nightly experiments run.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
New 'pyramid' intervention kind in the replay engine: at +add_at_r on
initial risk, add add_frac x size (+adverse fill), whole-position stop to
blended breakeven; scratch there if a later bar trades through, else both
legs exit at the baseline exit. variant_r is per unit DEPLOYED
(P&L / ((1+add_frac) x risk)) so leverage alone cannot fake a pass.
Spec pyramid_1r_v1: add 0.5x at +1R, bar expR_delta >= +0.05 at n >= 300,
futility kill at n >= 500 below -0.02. Hypothesis notes the known failure
mode (median winners scratched at blended BE on first pullback). Shadow
only — no live-path changes; cohort self-registers on the next nightly
experiments run.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Distills each gapper's premarket tape (first-hit price/time, pm high/low,
run %, open-vs-pm-high, VWAP distance, jackknife count) into a
premarket_structure table for entry-conversion analysis. Motivated by
FCUV 2026-07-31: our DB captured the full $1.98->$10.49 premarket ramp
while the ORB entered at $11.89 into the reversal.
Pre-registered hypotheses H1-H3 locked in the module docstring before any
data was examined; report command prints descriptive buckets only, with
n>=30/bucket floor and Phase-2 shadow bar required for promotion. Gates
nothing, trades nothing.
Wired into the nightly scheduler after premarket_eval. One session scan
per build (per-symbol queries were ~100x slower); partial session index
created post-close only (mid-market CONCURRENTLY build deadlocked against
live ingest).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
- runtime/retention.py: prune 8 high-volume debug event types older than
RETENTION_DAYS (default 14) once/day at RETENTION_HOUR (default 03:00).
Audit events (orders, fills, closes, risk rules) are never pruned. The
events table hit 6 GB in 3 weeks at ~340k rows/day; this caps it.
- runtime/telemetry_push.py: POST a JSON snapshot (equity, day realized
P&L, trades/wins, open positions, last-event age) to TELEMETRY_PUSH_URL
every TELEMETRY_PUSH_INTERVAL_SECONDS (default 300). Unset URL = step
disabled. Push failures are reported in the step result, never raised —
an external outage can't touch the loop. Works as healthchecks.io
dead-man ping + payload log in one.
- wired both as scheduler steps in run_live_paper (retention gated by
RETENTION_ENABLED, telemetry by TELEMETRY_PUSH_URL presence)
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
General translation must not echo leg fills onto the OTOCO parent —
flatten_fills adds parent AND legs, double-counting entries in journal
reconstruction. The cancel-vs-fill reconcile still sees executed shares:
get_order_by_client_order_id surfaces the entry leg's fill on its result.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Incident: entry-timeout cancels raced lazy sandbox fills -> untracked
positions; naked-stop guard then force-sold but every sell rejected
('more shares than your current long position') for hours.
1. translate_order: Tradier OTOCO/OTO parents carry no top-level
symbol/side/qty (legs only) — inherit from the entry leg so
symbol-scoped lookups can see brackets; get_orders symbols filter
also matches by leg symbols. Without this the stop-leg search read
a fully-protected position as naked.
2. close_position: cancel the symbol's resting sell orders/legs first —
Tradier reserves held shares against open sells, so selling without
releasing them always rejects.
3. cancel_entry (broker-agnostic): after cancelling, re-check the
broker's final word by client_order_id; journal a fill for any
executed shares instead of orphaning a real position (2026-07-06
class, same race exists on Alpaca).
49 tests pass incl. new coverage for all three.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
eod_reconcile, backfill_journal and the admin health block were hardwired
to AlpacaPaperClient — on a BROKER=tradier stack they would silently
reconcile/report against the wrong broker. make_trading_client() honors
BROKER env with no silent cross-broker fallback (missing Tradier keys =>
skip with reason, never fall back to Alpaca). Admin UI shows the active
broker label; JSON key stays 'alpaca' for compatibility.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Read-only nightly-scheduler job (Friday-gated): buckets realized P&L by entry
time (open/late-morning/midday) and, for each market_exit close, computes the
post-exit run-up capturable under a breakeven stop (0 if price undercuts entry
first; intrabar ties count as stopped). Emits a weekly_tally event + Telegram
summary. Evidence accumulator for the dead no_new_entries_after cutoff and the
weakness-exit winner-clipping question — no live trading path touched.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Version: CI now tags images YYYY.MM.DD-<shortsha> alongside :latest/:sha
and passes GIT_SHA/BUILD_TAG build-args; the running app reports them via
dashboard /api/health and admin /api/status (TrueNAS custom apps only show
'custom/1.0.0', so the app self-reports what it actually runs).
Config parity: every scheduler-run script (nightly_tune, eod_replay,
premarket_eval, regime, market_context, experiments cli) now loads
config_overrides at startup like the live services do — a bare env would
replay under DEFAULT exits (the documented 4.5x-baseline landmine).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Owner preference: the bulk of TRADING_*/TRIGGER_* logic switches should live
in the DB, not the compose file (keys + connection info stay in compose —
the DB address cannot live inside the DB, and secrets don't belong in a
table the stack can SELECT). Precedence at boot: compose env < overrides.env
< config_overrides table; every entrypoint already routes through
env_overrides.load(), which now applies the table last. Admin /api/config
and profile-apply write the table (secrets whitelist unchanged); the config
page shows source=database. DB down = silent fall-through to file/compose,
boot never blocks on config. One-shot migration:
python -m runtime.env_overrides seed-from-env
run in any stack container to copy its current effective knobs into the
table, after which the compose lines are dead weight strippable at the next
redeploy.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
TRADING_EQUITY_FLOOR (0=off): equity at/below an absolute dollar floor
permanently halts the session and flattens the book — the total-drawdown
backstop the per-day breaker can't provide (a slow bleed of -2.9% days
never trips it). Same flatten path, loud risk event, bounce does not
re-open.
TRADING_BOOT_RECONCILE (default on): at boot, diff the broker's open
orders against today's submitted events — an open BUY on an unheld symbol
this process never submitted is a crash-restart orphan (the 2026-07-06
duplicate-order incident) and is cancelled. Orders on held symbols are
never touched (cancelling a bracket parent strips its protective stop).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Dashboard backtest sources sessions from setup_events v1, which only the
labeler writes — and the labeler was never in the nightly scheduler, so
setups (and therefore backtests) froze at the last manual run (07-17).
Root blocker was _insert crashing on duplicate setup_ids on any re-run;
now ON CONFLICT DO NOTHING, so incremental nightly builds are safe.
Scheduler gains 'labeler build' + 'build-tod1' after eod_replay in both
compose files.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The 07-21 morning outage (loop booted post-EOD on the 20th, survived
midnight, silently blocked every entry while signals went READY) had zero
UI surface. New query_loop_session projection parses the live session id's
embedded date; a red banner fires when it isn't today's — the exact day-2
poison signature — telling the operator to restart the loop. Armed
Triggers rows now also show rvol_tod (the arming signal since 5597250)
next to legacy rvol.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The 07-21 misses (CPHI +417%, DFNS +94%, GREE/WGRX +40%) were all static-gap
<10% names the validated gapper population excludes by design, but they share
a signature no refuted detector (liq1/run1) measured: rvol_tod (cum volume vs
median-20d prorated by elapsed session) at 50-1000x on a flat open. New
labeler setup tod1 fires on the rising edge of rvol_tod>=50 AND price>=
prev_close*1.20, restricted to static gap <10%, stop = 5-bar swing low,
scored via the shared _forward_labels. Shadow-only; pre-registered promotion
bar locked before forward data (median fwdmax60 >=+10%, median dd60 >-6%,
+1R>50%, top stratum rvol_tod>=200 clears alone).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
SNXX 2026-07-21: 18s after a mid-morning restart the fast path bought a
15-minute-old break +1.6% above the trigger — fires() only checked
price >= trigger, so any blind window (boot, halt, feed outage) fired
instantly on already-extended moves. A trigger now fires only if the live
price was seen BELOW the trigger since arming (a real cross), with a
small at-the-break tolerance (TRIGGER_FRESH_CROSS_TOL, default 1.5%)
so a fast break between ticks still fires; beyond it the name must pull
back below the level and re-cross. Gap-through runners stay covered by
the slow marketable path.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
