OrderFilledEvent had no side field, forcing api/main.py's chart() to
backfill it from the sibling order_submitted row. Add an additive-only
`side: str | None = None` field (existing payloads without it still
parse) and populate it at the sole production emit site
(alpaca_paper/execution.py _finalize) from the ExecutionRequest already
in scope. The api/main.py backfill workaround is left in place as a
harmless fallback for pre-existing events.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 003 step 4. A transport error AFTER the POST landed leaves a live order
resting at the broker; journaling it 'cancelled' breeds the duplicate/naked
order (2026-07-06 incident). Add client.get_order_by_client_order_id + an
after= passthrough on get_orders; on the generic-exception path, look up the
order by the client_order_id we already send and, if live, emit the normal
submitted sequence (ok=True) instead of cancelled. AlpacaApiError (real
rejection) is NOT reconciled. Fills the empty test_alpaca_client.py.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Consolidated 4-tool review (2 correctness agents + Codex + over-eng audit).
Money-path (regression-tested):
- _flatten_all: moved the fresh-broker close from close_session INTO the
shared function + added a broker-held guard on entry cancellation, so
the daily-loss CIRCUIT BREAKER (which called _flatten_all raw) no
longer strips a just-filled bracket's legs or leaves a sync-gap fill
naked. One guard, all callers.
- restart state rebuild: _fresh_entries cap, _requested_symbols dedup,
and losing benches now rebuild from today's events on boot — a
mid-session restart no longer resets the cap to 0 or re-fires a
resting order into a duplicate (the 2026-07-06 incident).
- POST /orders no longer retries a lost-response URLError (was
re-sending duplicate live orders); GET/DELETE still retry.
- expire_stale_entries now @_locked (raced the trigger thread).
- _session_open: ET conversion instead of a hardcoded 13:30-13:33Z
window that only matched EDT — the fast path armed nothing all winter.
Security:
- admin panel fail-CLOSED on empty ADMIN_TOKEN (was fail-open on a panel
fronting the docker socket); header-only token, constant-time compare.
- admin API responses redact secret override VALUES (live keys would
have echoed after a paper->live switch).
- dashboard: removed wildcard CORS (cross-origin drive-by could drive
trade actions); optional DASHBOARD_TOKEN gate on POST.
Deletions (~805MB + dead code shipped in the prod image): momentum-
rebuilt.zip, archive venv/htmlcov, and schwab/ core/ telemetry/ models/
runtime/providers/ storage/replay.py controlroom/ + three dead
evaluation stubs + package.json — all verified zero-importer.
+4 regression tests. 99 money-path/trigger/exit tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Every conclusion so far -- including the LIVE confirmation gate -- rests on 19-26 days of
history; the weakest link in the whole evidence base. The paid plan's 9+ years of SIP data
fixes it surgically: pull ~1yr of DAILY bars for the full listed universe (11,693 symbols
after junk filtering, via new client.get_assets), reconstruct each day's TOP-20 gappers
(gap>=10%, open $1-20, vol>=300k) into historical_gappers, pull SIP minute bars
(premarket included) for JUST those ~4-5k gapper symbol-days, then replay the ORB across
the year: conversion by CONFIRMATION-MINUTE bucket + month-by-month consistency.
PRE-REGISTERED BAR (locked before the data): the gate generalizes if the early(<=15min)
bucket beats late by >= +0.25R expectancy AND wins >= 70% of months. Steps are individually
resumable (minutes skips already-present symbol-days).
Side-effect handled: labeler._preload_daily now scoped to symbols with minute bars (the
whole-market daily universe would balloon the unscoped preload to ~3M dict entries).
Bonus: the historical gapper minute bars (incl premarket) massively grow the pm1 premarket
track's future sample.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
MEASURED 2026-07-02: our entire bar history was IEX-only. IEX sees ~2-5% of consolidated
volume (SNDQ 7/01: IEX 188 bars/1.5M shares vs SIP 391 bars/60.1M — 39x) and misses whole
minutes on thin names. Every volume-based signal (RVOL, liquidity floors, volume bursts,
dollar-volume strata) and several research verdicts ("untradeable dust", "thin premarket")
were computed on that sample. Daily bars had the same defect. Historical SIP is FREE on our
keys (15-min embargo) — only real-time SIP needs the paid plan.
- client.get_daily_bars: feed param (None -> settings.feed; pass "sip" for consolidated).
- research/sip_backfill.py: re-fetch minute sessions (04:00-20:00 ET) + dailies from SIP
via the existing idempotent upserts; embargo-caps the end when refetching today;
refresh_rolling_volume rebuild after (this morning's 20d averages were IEX-scaled too).
CLI: full history < today, or --date D for one session.
- premarket_eval.py: nightly job now SIP-upgrades today's bars BEFORE the pm1 rebuild, so
every finished session lands on true volume automatically (live loop stays IEX real-time
by design — free-key SIP is embargoed 15 min).
Chain running: full backfill -> verification -> rebuild liquid/premarket/runner shadow
tracks + re-validate (their volume gates were IEX-calibrated; verdicts may change).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Forensic from the source trader's 2026-07-02 recap: his ENTIRE day (+$8.9k) was CX — a thin
reverse-split name that squeezed $3->$6 on a headline (his "wildcard effect": on dead pre-holiday
days the one mover gets everyone's attention). Our system NEVER SAW IT: zero bars, zero discovery
events. Root cause: discovery ranks by ABSOLUTE SHARE VOLUME (most-actives), and a thin %-squeezer
never cracks a volume-ranked top-N. Every other name he called out we saw and judged the same way
he did (DSY passed/backed-out, CWD too cheap, AHMA rejected) — the gap was pure discovery scope.
- alpaca_paper/client.py: get_movers(top) — /v1beta1/screener/stocks/movers top %-gainers
(verified working with our keys: CLRO +114%, CWD +73% live).
- discover_active_symbols: wildcard gainers are fetched FIRST (warrants/units filtered:
'.'-suffixed + 5-char W-endings), deduped with most-actives, same price-band filter.
Additive + fail-open: a movers failure never breaks the existing actives path.
Discovery/ingestion scope ONLY — every trading gate (confirmation window, quality, VWAP, cap)
still applies unchanged. The immediate value is that shadow tracks + the labeler finally get
BARS for wildcard movers, so the next CX is measurable instead of invisible.
Verified live: universe now leads with gainer-sourced names (CLRO, CWD, USDE, YRD, DSY). 16 tests pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
KEEL was carried into after-hours as a naked long (its bracket stop leg never
attached — 0 stop orders in its whole history). The enforcement tried to FLATTEN it
with a market order every pass, but a market sell can't fill when the market is
closed, so it churned submit->cancel ~every 30s (76 market-sells / 79 cancels, the
"naked-stop enforced exit KEEL xN" spam) and left the position genuinely unprotected.
Fix (runtime/exit_manager.py): both the naked-stop enforcement AND the catastrophe
backstop now branch on the broker clock. Market OPEN -> flatten (a market exit fills,
unchanged). Market CLOSED -> REST a protective sell-stop instead (GTC) — at breakeven
when in profit, a catastrophe-distance stop below market when underwater — so the
position survives to the open PROTECTED and the next pass sees the stop and stops
enforcing. Catastrophe with an existing (loose) stop while closed just defers to it
(no market churn, no double stop). New client bits: AlpacaPaperClient.get_clock() and
a standalone stop_price on submit_order. 3 exit-manager tests added (open->flatten,
closed->breakeven-rest, closed-underwater->catastrophe-rest); 7/7 green.
Operationally: KEEL was protected at breakeven ($5.56) immediately and the loop now
leaves that stop in place instead of churning.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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
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>
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>
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>
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>
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>
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>
- 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>
The 2.5s value-cache + fewer calls only halved the slowness; the real cause was
flaky WSL DNS (~5s on ~1 in 5 resolves) and urllib re-resolving on EVERY
request. Cache successful DNS lookups process-wide (5min TTL) so each Alpaca
host is resolved at most once per window. Measured: get_orders went from
intermittent 5s spikes to a steady ~200ms. Opt out via ALPACA_DNS_CACHE=0.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The single-threaded passes (and the trigger thread) ballooned to 60-120s.
Cause: flaky WSL DNS makes ~1 in 5 Alpaca calls take ~5s to resolve, and each
pass fired ~20 calls (breaker, sync, guard, exit manager all re-reading
account/positions/orders). Fixes:
- client: 2.5s TTL cache for get_account/get_positions (invalidated on any
order mutation) — collapses the redundant per-pass reads to one.
- exit manager: fetch the (heavy) status=all orders snapshot ONCE per pass and
reuse it for every position's stop-leg + entry-time lookup (was 2 calls/pos).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
A transient WSL DNS outage made 3 consecutive equity reads fail, and the
fail-CLOSED breaker then PERMANENTLY halted new entries for the whole session
even after DNS recovered seconds later. Fixes:
- split the breaker into a permanent _halted (real daily-loss breach) and a
recoverable _data_halt (equity unreadable) that clears on the next good read;
raise the pause threshold to 5 (TRADING_EQUITY_FAIL_LIMIT).
- AlpacaPaperClient._request retries transient URLError/gaierror (not HTTP
4xx/5xx) a couple times, so brief blips don't even register as failures.
- sync logs network failures as one-line warnings, not full tracebacks (the
log was spamming stacks).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Replace the static -1R/+2R bracket with active, parameterised exit management
shared by the backtest and live (strategy/exits.py): move to breakeven, trail
under prior-bar lows or by %, scale out, or first-red exit.
Swept all variants over 187 sessions with a held-out train/test split
(sweep_exits.py), then an adversarial 3-judge workflow picked the robust winner
OUT-OF-SAMPLE: trailLow_a1 (trail under the prior bar's low after +1R) — test
avgR 0.128 vs the old static_2R 0.067 (~1.9x), win 49% vs 38%. The naive
in-sample winner (trailPct10) was correctly rejected as overfit
(train 0.684 -> test 0.085).
- strategy/exits.py: ExitConfig + simulate_exit (backtest) + manage_live (live)
- strategy/backtest/engine.py: simulate the managed exit on entry; Trade.entry_index
- runtime/exit_manager.py: live manager — ratchets the broker stop UP via
REPLACE/PATCH (never cancel = never naked), scales out, first-red exit
- alpaca_paper/client.py: replace_order (PATCH) + partial close_position
- run_live_paper.py: 'exits' step (12s); TRIGGER_MAX_ARMED 6 -> 10
- tests: exits sim/live + manager ratchet-never-cancel
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
HIGH:
- Circuit breaker fails CLOSED: a repeated unreadable equity (API 401/429/5xx or
missing field) now halts new entries after 3 consecutive failures instead of
silently reporting 'no breach' and continuing to trade through a drawdown.
- execute(): map order statuses. Terminal-fail (rejected/expired/...) -> ok=False
(never armed as a resting entry); record ANY fill (partial too), not only an
exact 'filled'; require a real broker order id. approve_order only arms
genuinely OPEN statuses.
- sync: account/positions/orders failures now emit a BrokerHealthChangedEvent
(degraded) and step_sync surfaces 'DEGRADED', instead of a success-shaped None
that left risk gates reading stale snapshots as current.
MEDIUM:
- _flatten_all records a position closed only on a CONFIRMED close; the breaker
event reports 'halted_flatten_incomplete' + the unclosed symbols when a close
fails, instead of claiming the book is flat.
- submit_exit_order prefers close_position (handles short sign + fractional qty;
a plain sell of abs(qty) would double a short).
LOW:
- get_orders(nested=true) so bracket child legs aren't dropped from the snapshot.
+ tests/unit/test_execution_safety.py (4 regressions). 75/75 green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The live 'symbols' list only ever grew (discover appends every 5 min, dashboard
injects add more) and was comma-joined into ONE bars request; once >~100 symbols
Alpaca 400s the whole batch -> ALL minute-bar ingestion silently stops mid-session.
- client.get_minute_bars / get_daily_bars / get_latest_trades batch symbols in
chunks of 100 (cap-safe) and merge; get_daily_bars also paginates now.
- run_live_paper bounds the watchlist (WATCHER_MAX_UNIVERSE, default 80) so it
rotates toward current movers instead of growing all day.
Found by the silent-failure audit workflow. Verified _chunked(250)->[100,100,50],
live calls intact. 71/71 tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Snapshot before the DuckDB->PostgreSQL migration. data/, archive/, the 232MB
rebuild zip, the Windows .venv, and .env are excluded via .gitignore.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
