Root cause of SSPC getting flattened on a mid-session restart (2026-06-24):
flatten_overnight_carries built its today's-buy set from orders with
status=="filled" only. But a marketable buy that PARTIALLY fills (SSPC: 84 of
88) cancels its unfilled remainder, so the order reads status=="canceled" even
though it opened 84 real shares. The carry-detector saw "no filled buy today"
for SSPC, tagged it an overnight carry, and market-closed a position opened ~6
min earlier. (Harmless this time — closed +$20 — but it could cut a runner or
realize a loss.) Marketable orders partial-fill far more than resting limits, so
flipping to marketable exposed this latent bug.
Fix: extract buy_fills_from_orders() (runtime/flatten.py) that counts a buy as a
real today-entry by filled_qty>0 + filled_at, NOT status=="filled" (scans legs
too). flatten_overnight_carries uses it. Pure + unit-tested: partial-fill counts,
full fill counts, zero-fill backout does not, and the partial-fill position is
no longer flagged a carry.
Note: only manifests on a mid-session restart (a clean session's EOD flatten
leaves the book flat, so the open finds no carries). Deploys on next restart.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The backstop behind the EOD-flatten fix: even with the EOD flatten working, a
carry can survive (loop down at EOD, or the held-qty 403 before it was fixed) and
bleed for days — ATPC sat 4 days over the Juneteenth gap, -$651. This closes any
position carried from a PRIOR session, at the open, before it bleeds.
- runtime/flatten.find_overnight_carries (pure, tested): open positions with no
BUY filled today (ET) = carried overnight. Today's fresh names have a buy
today, so they're never touched.
- ExecutionService.flatten_overnight_carries: detects carries from the broker
(positions + filled buys) and closes them via the robust cancel-legs-then-close
path — WITHOUT halting the session (unlike close_session), so today's trading
continues. Emits an open_catchup_flatten risk event.
- run_live_paper step_open_catchup_flatten: once per session, during RTH, gated by
TRADING_OPEN_CATCHUP_FLATTEN_ENABLED (def 1). Loud log when it flattens a carry.
Dry-run against the live book: correctly targets ONLY ATPC (6/18 carry), leaves
today's DAMD/ECX. 38 runtime/safety tests pass. Needs a loop restart to activate.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- 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>
