The docker-image workflow's test gate has aborted at collection since sklearn
was introduced (test_conversion_probe.py, plan 008), so no image published.
Regime gate (plan 011) also needs sklearn at runtime in the image, else the
live gate silently fail-opens forever. Adds scikit-learn to requirements.txt
(installed by both the CI test job and the Dockerfile).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Wires the regime signal into the money path — fresh entries are BLOCKED on
sessions the walk-forward model scores unfavorable. Session-level: evaluated
once per day, cached. Enabled in both compose templates (paper).
Correctness (blocker 1 resolved): the LIVE feature set drops tape_regime (the
only non-strictly-open feature — AND measured 0.000 importance) + breadth_gap
(also 0.000). The 5 remaining features are all non-look-ahead at entry time:
breadth_rvol = median(relative_volume=vol_upto/avg_vol_20d) over the session's
setups so far (the SAME up-to-trigger calc the live bot runs, NOT day-end),
spy_* lagged to prior close, trailing from PRIOR sessions. The live single-
session fit reproduces the batch meta_v1 verdict exactly on the last 6 sessions.
Safety: fail-open everywhere — disabled, unfit model (<60 prior sessions),
missing breadth_rvol (pre-setup), or ANY exception returns None and never
blocks. The gate can only SUBTRACT trades on bad-regime days.
- research/regime.py: live_session_favorable() (refit on priors <today, predict
today; writes regime_scores['meta_live'] for forward validation) + LIVE_FEATURE_COLS
+ the breadth_rvol-missing fail-open guard.
- trading_execution.py: TRADING_REGIME_GATE_ENABLED / _P_MIN settings + _regime_reject()
(cached per session) + a REGIME gate after SESSION in _evaluate_entry_gates.
- docker-compose.yml + truenas-compose.yml: TRADING_REGIME_GATE_ENABLED=1.
- tests/unit/test_regime_gate_live.py: block / pass / fail-open(x3) / scored-once-per-day.
KNOWN train/serve skew (documented, validate forward via meta_live vs EOD label):
model trains on full-day breadth_rvol, live uses setups-so-far. Small edge on a
~266-session sample; paper only. Suite: 504 passed, 15 pre-existing loopback fails.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Both regime experiments PASS pre-registered bars over the 2041 v1-population
fires — first PASS of the milestone. meta_v1 gated expR +0.0117R/fire (from
-0.085R baseline). Adjudicated live via the admin /api/regime/run pipeline.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The session-level metalabel P(our ORB profits today) — the one lever that
survives out-of-sample. Backtested on 266 prod sessions (walk-forward):
trade-always (trained subset): -0.111R/session, 36% hit
meta_v1 GATED (trades best ~32% of days): -0.004R/session, 48% hit
delta +0.107R in-sample, +0.128R OOS (recent 80 sessions), improves across folds
It does NOT make the bot profitable — it takes a bleeding strategy to roughly
flat by sitting out the worst ~2/3 of sessions. threshold_v1 rule gates too
little to matter; meta_v1 (walk-forward GBM) is the signal. Leaky full-fit
(+0.61R) >> walk-forward confirms the discipline was load-bearing; the OOS
holding is the evidence the +0.078R is real, not look-ahead.
Changes:
- research/regime.py: batch minute-bar load per session (64k per-fire round-trips
-> ~266 queries; fixed a >5min build to ~3min) + incremental label pass (skip
already-labeled sessions; --rebuild forces full). Nightly cost now ~one new day.
- docker-compose.yml + truenas-compose.yml: scheduler runs build-features + score
(both models) before `experiments run`, nightly. ALL-SHADOW — does NOT gate live
trading (that stays owner-gated Step 5).
- admin_api.py + admin.html: POST /api/regime/run (detached) + GET /api/regime/status
+ a Run/Status button — the panel had no way to trigger this.
- plans/011 + docs/research/regime_notes.md (6-book distillation) + plans 008/009 docs.
Prod state (shadow, rollback = DROP regime_features/regime_scores + DELETE
experiments WHERE id LIKE 'regime%'): 266 feature rows, 532 scores, 2 experiments
registered.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
research/regime.py: Step 0 probe (labelable-session/SPY-coverage STOP gate),
Step 1 build-features (regime_features: pre-open breadth/tape + prior-close
SPY momentum/vol + trailing bot expR, label = mean _sim_baseline_r over the
session's setup fires) + walk-forward threshold_v1 rule, Step 2 walk-forward
meta_v1 (shallow sklearn GBM), Step 4 OOS/leakage-audit helpers
(oos_split/sequential_folds/session_expr_delta/full_sample_fit_threshold).
Step 3 (HMM) deferred per scope — statsmodels stays absent.
replay.py: new iv_regime_gate intervention (keep-or-zero a fire on a
pre-computed session regime score, fail-open on no score row) wired into
_compute_fire + run(), mirroring rank_one_bullet's shape.
experiments/regime_threshold_v1.json + regime_meta_v1.json register the two
model variants against the shared population/bars/fidelity contract.
All new code is unit-tested against isolated EventStore(":memory:") schemas
only — no production DB read or written. Live-trading paths untouched.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Step 1 measured: pm1+fat-tail expR -0.50R@0.5% fill -> -1.27R@1% (realistic) ->
-2.74R@2%, vs ORB -0.11R. The 22-min fat tail can't outrun the 1-2% premarket
spread. Every entry lever this session (gap bands + premarket) is negative after
honest fills; the gated ORB is least-bad. Keep TRIGGER_GAP_MAX=35.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The one unexplored setup (premarket/pm1). Step-1 go/no-go: does pm1 + the
validated fat-tail exit beat the ORB AFTER honest thin-book fills (real
spread_pct, fat premarket adverse)? If not, STOP — premarket is a paper-fill
mirage. Shadow-first; TRADING_SESSION_ONLY stays ON; no live order until a
forward shadow edge survives realistic slippage (owner-gated).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Root anchor lacked the TRADING_EXIT_* block the truenas template already has, so
a fresh root deploy ran no-trail defaults (scratches v1 winners at breakeven).
prior_low trail after +1R (counterfactual: v1 win 17%->24%) + step0.25 + profit
tiers + BE@1R. Only the loop acts on these.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
iv_exit_config replays ANY target/breakeven/trail combo through the shared exit
engine vs the live-exit baseline — reusable way to adjudicate exit numbers.
Counterfactual over setup fires: v1 (slow, 1.37R median winners) gains most from
prior_low trailing (win 17->24%, +0.036R); pm1 (fast, 2.64R median, 10R tail)
gains most from NO target + step0.5 (+0.273R, win 24->34%) — the fixed target
throws away pm1's fat tail. Registered both as tracked experiments. +test.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The 0.514 was the liq1-dominated mix. Scoped to live v1: CV AUC 0.641, driven
~entirely by above_vwap_flag (above-VWAP +1R 35.4% vs below 12.7%, 2.8x). The
bot already enforces above-VWAP; residual within that population = 0.526 ≈ noise.
No new alpha in current features; revisit after 009 fills rvol/context/catalyst.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
research/conversion/{__init__,dataset,signal_probe}.py — the leakage-safe probe
plan 009 Step 5 re-runs scoped to a live setup_version:
- dataset.load_dataset: setup_events JOIN outcome_labels; label =
reached_1r_before_minus_1r; features = trigger-time-knowable setup_events
columns ONLY, dropping >70%-null and <2-distinct columns. HARD leakage rule —
every outcome_labels column is blocklisted AND asserted absent from X, so a
schema change can't leak the answer in.
- signal_probe.run_probe: expanding-window CV over ~5 sequential session-date
blocks (whole days, train strictly precedes test), HistGradientBoostingClassifier
(max_iter=250, lr=0.05, max_depth=4, l2=1.0, categorical_features=indices),
per-fold + mean ROC-AUC, top-decile +1R lift vs base, permutation importance on
the last fold. Drops columns constant within a train slice (HistGBM binning).
CLI: python3 -m research.conversion.signal_probe [--setup-version v1].
Tests: the critical leakage guard (zero outcome columns in features), AUC>0.5 on a
synthetic signal + ~0.5 on pure noise, and a static live-path guard. All :memory:.
No live-path change.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Step 3 of plan 009 (config + code; no live-path change):
- research/ingestion/market_context.py: pulls SPY/QQQ full-session minute bars
(SIP, post-close embargo-safe) + daily bars via the existing upsert helpers, so
the labeler's market-context features have a FORWARD source (index ETFs never
enter the gapper universe the live loop ingests). Mirrors sip_backfill's shape.
- both compose scheduler blocks: run it after premarket_eval, guarded || echo.
- NEWS_ENRICH_ENABLED on: added to docker-compose x-app-env anchor (loop +
scheduler inherit it); truenas-compose + .env.example already had it. Catalyst
is a FEATURE source only, never a live gate; enabled-but-down never blocks
trading. Enrichment OUTPUT is verified by the orchestrator (needs live Ollama).
Compose statically validated (yaml.safe_load). Ingest self-checked via a
fake-client :memory: round-trip through _preload_spy.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Steps 1-2 of plan 009 — fill two fillable feature gaps so a conversion model
gets a fair, instrumented test:
- market context: _spy_context computes spy_intraday_return (SPY RTH open ->
trigger-minute return) + a coarse tape_regime {trend_up,trend_down,chop} from
SPY's sign + higher-highs structure. Replaces the hardcoded
tape_regime=None/spy_intraday_return=None; wired into ALL five build paths
(v1/vr1/run1/liq1/pm1) via _preload_spy. Null when SPY has no RTH bars at/before
the trigger (pre-30d history, or a premarket fire before SPY's RTH open).
- thin-name RVOL fallback (v1): when avg_vol is 0/null (thin IPO-class, no 20d
baseline) fall back to the median of prior sessions' total volume (real
daily_bars.volume, knowable pre-open); flagged in new setup_events column
relative_volume_source ('avg_vol_20d' | 'prior_days_median_volume' | NULL).
Never fabricates a baseline.
A feature to TEST, not a signal to trust. No live gate/sizing/exit change.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
eod_replay was the wrong tool to grow the harness sample — it only PRINTS a
backtest report (persists no fires) and get_most_actives is today-biased for
historical dates. The right source was already in the DB: 18,164 setup_events,
each carrying the ORB entry (entry_reference_price) + stop (invalidation_price).
reconstruct_fires_from_setups turns every setup into a simulated fire; the exit
experiments (volume_fade, time_stop, asym_exit) replay over its minute-bar path
with baseline = the LIVE exit config simulated on the same path (_sim_baseline_r,
same adverse-fill accounting) — a clean same-path delta needing no live P&L.
Gated by EXPERIMENTS_INCLUDE_SETUP_SIM (default on), capped by
EXPERIMENTS_SETUP_SIM_LIMIT for chunked backfill; rank_one_bullet excluded (it
needs live receipts). Grows every exit experiment's n from ~15 to thousands.
+test.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The live loop fills resting-limit brackets via position-snapshot diffing and
emits NO order_filled (verified: 0 all-time in prod), so reconstruct_fires
skipped every fire and the ENTIRE harness replayed nothing (0 run rows).
Reconstruction now falls back to the order_submitted timestamp for entry timing
and reads entry/stop/exit from position_closed — restores the whole flagship
(0 -> 324 run rows on prod; pm1's overdue FAIL verdict now posts).
Adds the volume_fade intervention (exit to lock the gain when a bar's volume
drops below fade_frac x the entry-burst average, once in profit; original stop
still caps downside; adverse-tick fills on entry AND exit) + volume_fade_exit_v1
(pre-registered bars/futility/fidelity). Interim n=15 read: -0.68R vs baseline
(INCONCLUSIVE, min_n=100) — the harness answers 'does volume-fade help?' from
data before any live change. +6 tests.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The scheduler ran 'experiments run/adjudicate' but nothing registered the five
experiments/*.json into the experiments table, so on a fresh DB the harness
replayed over an empty set and the ledger stayed empty forever (owner hit this
on first deploy). registry.register_cohort() registers every cohort JSON
idempotently (skips already-registered, tolerates a malformed file); 'run'
calls it at startup so a fresh deployment self-bootstraps with no manual
register step. +test.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
compute_ratios bails when UTC now-16min precedes today's 08:00Z, i.e. nightly
~00:00-04:16 ET; the test's hardcoded 2026-07-06 bars made it KeyError at the
date rollover independent of any code change. Freeze the module clock to a
mid-session UTC time so the window is valid deterministically.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Step 6: tests/smoke_dashboard_headless.py renders the real page in a headless
browser and fails on any JS console/pageerror (standalone script, not
pytest-collected; CI non-blocking first). admin_api gains GET /api/config/effective
(per-key masked value + source: overrides.env vs compose, missing .env.example
keys flagged as drift) + an admin.html table (values XSS-escaped). dashboard.html
gains the Experiment Ledger panel reading the plan-006 verdicts from the snapshot
(empty-state until the tables exist). Removes the last CI ruff per-file pin
(api/main.py:F821) now that os/hmac are imported; scoped ruff is green unpinned.
Marks plan 007 DONE in plans/README.md.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
DashboardState.bars() short-circuits to [] unless a research_con is attached; the
embedded orchestrator passed one but the standalone dashboard_api.py never built
it, so production sparklines were permanently dead. The missing wire was purely
the entrypoint (DATABASE_URL already reaches the market schema) — now it opens
open_research_db("market") read-only and passes it, degrading to None (charts
show "no research db") if it can't connect. Verified live: bars() returns real
minute rows through the standalone reader.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Badge now derives PAPER/LIVE from broker truth (base-URL host) instead of the
schwab_live literal that read PAPER while go-live swapped only ALPACA_BASE_URL;
live flips body.live-mode (top shimmer -> solid red) with a tooltip of host +
account. Adds the header FLATTEN ALL (two-step arm/confirm, 5s auto-disarm) and
PAUSE ENTRIES toggle (+ amber banner), per-position EXIT buttons (two-step), and
an operator-token field sent as X-Dashboard-Token on every POST (also fixes
approve/reject when a token is set). Action controls gate on
has_execution || command_bus; kill-switch controls on command_bus. No keyboard
shortcut for any destructive action. New styling is :root-token-only.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Adds OperatorCommandEvent + a closed command vocabulary (flatten_all,
flatten_symbol, pause_entries, resume_entries). POST /api/command emits it
(token-required: 503 when DASHBOARD_TOKEN unset — commands never run
unauthenticated); the live loop's new 5s "command" step consumes them via
OperatorCommandConsumer with three replay-safety layers (in-session nonce set,
persisted operator_command_done reload, 10-min staleness window).
flatten_all routes through close_session DIRECTLY (never step_eod_flatten) so it
cannot trip plan 003's daily-restart exit. Pause is checked at the top of BOTH
request_approvals_for_ready_signals AND submit_breakout_now (missing either
leaks pause on that path). qabot gains an authorized-chat-only /flatten slash
command (prose "flatten" still refuses via _ACTION_WORDS). Snapshot exposes
broker truth + command_bus + a defensive experiment ledger.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Every SSE client polled COUNT(*) on a fresh EventStore connection each ~1s
(re-applying the 473-line schema unless PG_SKIP_SCHEMA=1). Replaced with one
process-wide _ChangeSignal: a single long-lived connection reads max(timestamp)
(idx_events_timestamp tail seek) at most once per second GLOBALLY behind a lock,
so N clients cost one query/sec. EventStore.max_timestamp() backs it; reader is
injectable for the query-budget test.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Every POST endpoint (approve/reject/exit/watch) crashed with NameError:
do_POST references os.environ + hmac.compare_digest but neither was imported.
Adds the imports, a non-loopback regression test for the token gate (no token
-> routes; token set -> 401 without/with-wrong header, 200 with correct), and
plumbs DASHBOARD_TOKEN + PG_SKIP_SCHEMA=1 into both compose dashboard services
(+ .env.example docs for DASHBOARD_TOKEN / COMMAND_BUS_ENABLED).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 006 step 5. python -m research.experiments run && adjudicate after
nightly_tune in both scheduler blocks (guarded with FAILED echoes). ALL-SHADOW:
emits verdicts, never touches live gates/sizing/exits.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 006 step 4. experiments/*.json for time_stop_10m_v1, probe_add_v1,
asym_exit_v1, rank_one_bullet_v1, pm1_v1 — bars verbatim from the plan table,
production population, fidelity floors {0.25, 3, 1} from the research doc. Also
hardened evaluate(): n==0 and any uncomputable bar metric -> INCONCLUSIVE (not a
false FAIL). Cohort registers + survives run->adjudicate end-to-end. 25 tests green.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 006 step 3. evaluate() scores runs against pre-registered bars
(_min/_max/min_n vocabulary) -> PASS/FAIL/KILLED/INCONCLUSIVE; terminal
verdicts flip status, emit an experiment_verdict event, and Telegram-ping ONCE
(terminal experiments are never re-adjudicated). Metric vocabulary covers
expR_delta/rate_1r plus pm1's median_up_60m/median_dd_60m/big_gap_rate_1r.
backfill_pm1 bridges pm1 from outcome_labels JOIN setup_events (variant +/-1,
baseline NULL). premarket_eval dual-writes the verdict through the harness while
keeping the legacy TSV. 8 tests green.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 006 step 2. Reconstructs fires from the event stream (submit[buy] -> fill
-> close), population-filters via strategy/population.py, and applies three pure
interventions counterfactually on the bar path: time_stop, probe_add, asym_exit
(the last through strategy.exits.simulate_exit ONLY). Hard fidelity: +1-tick
adverse fills on entry AND stop, spread_proxy = median quiet-bar high-low, stop
floor = max(atr_frac*ATR14, spread_mult*spread_proxy). rank_one_bullet is
receipts-only and starves (documented) without plan-005 rank. Idempotent via PK
+ ON CONFLICT. Anti-slippage-artifact regression (test #2) green: a
zero-slippage-profitable path LOSES under adverse fills.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Rank concentration now runs on BOTH paths via the shared gate, so the warning
that it was 'enforced ONLY on the dead fast-trigger path' is false. Removed it
and folded rank top-N state into the [boot] entry-gates summary line.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
New EntryGateEvaluatedEvent (symbol, source, passed, reject_reason, gates map)
emitted once per _evaluate_entry_gates decision on both paths, behind
TRADING_GATE_RECEIPTS (default on; dataclass default off so unit tests opt in).
Added to the 14-day nightly purge tuple (high-volume diagnostic) and .env.example.
Turns 'why didn't it trade X?' into a query and is the substrate plan 006 replays.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
One ordered gate sequence (session, confirmation-speed, population, VWAP,
quality, concentrate-by-rank, daily cap [fast-only], dedup/cooldown/reentry,
dilution veto, anti-chase) that BOTH request_approvals_for_ready_signals and
submit_breakout_now call. Gate bodies lifted verbatim from whichever path
owned them; slow-path risk events preserved source-guarded so the fast path
gains no new events. The two documented asymmetries now close:
- fast path routes through the VWAP gate (was ungated),
- slow path honours concentrate-by-rank via a rank_map threaded from the
trigger book into tick()/request_approvals (no-op at concentrate_top_n=0,
which is the production config — STOP #3 does not apply).
Price-sanity/entry_ref coercion stays path-native (different data sources);
slow-path dedup pre-filter kept first so per-tick re-scans don't re-emit.
16 characterization tests pin both paths; the only decision diffs vs
pre-extraction are the two closures above.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Pins today's slow-path (approval/event) and fast-path (skipped string)
decisions across single-condition signals, incl. the two asymmetries that
step 2 will close (fast has no VWAP gate; slow has no rank gate). Green
against unmodified trading_execution.py.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
from_env merges os.environ, and importing the .env-loading consumers populates
TRADING_MIN_ENTRY_GAP_PCT — so the "bare shell disables the gap gate" assertion
must delenv the key first. Test-only fix; the module behaviour is unchanged.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The tuner was fiction in production: the 20:00 ET scheduler ran only
premarket_eval (+ eod_reconcile), so learned_params.json sat 26 days stale and
the whole-market dataset never grew. Both scheduler loops now run, in order,
after the eval/reconcile pass:
python eod_replay.py || echo "[scheduler] eod_replay FAILED"
python nightly_tune.py || echo "[scheduler] nightly_tune FAILED"
Order matters: replay grows the dataset first, the tuner fits after. 20:00 ET is
after close, so replaying "today" is complete data — NOT look-ahead (replay is a
labeling job, not a live gate). Deletes eod_replay.sh (dead cron-era wrapper
pointing at a nonexistent venv; compose is the runner).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
- nightly_tune: write learned_params.json via tmp -> flush -> fsync ->
os.replace so a crash mid-dump can't leave the live loop parsing half a JSON
on its next boot (it reads this file on every restart).
- run_live_paper._load_learned: warns (boot log + one gated Telegram note) when
the file is older than LEARNED_PARAMS_MAX_AGE_DAYS (default 3) — the missing
signal that let the params sit 26 days stale. Loads anyway; never blocks boot.
Staleness math factored into _learned_params_age_days (naive ts = UTC).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Both offline consumers now screen through strategy.population.population_reject
instead of divergent, look-ahead admits:
- learn_params.load_sessions: replaces the `gap>=0.03 OR day_rvol>=2.0` admit,
whose day_rvol was a FULL-DAY volume sum (outcome-time look-ahead, the
2026-07-08 class). gap is already a FRACTION (open vs prev close) — passed
as-is; the OPEN price is passed for the price band. Stored daily bars expose
no open-knowable volume, so volume=None (fail-open on the day-volume floor) —
no day-end volume is smuggled into admission.
- eod_replay._daily_gappers: screens on the OPEN price + STATIC open gap (was
t_close look-ahead) via the shared gate; the local gap is converted to a
FRACTION before the call, so it inherits the >=150% squeeze exception. Deletes
the stale $1-5 / 3-60% WATCHER_/TRIGGER_ constants (KEEPS RISK_PCT). The
second-stage scan_gappers is made permissive (membership already decided by
the shared gate), removing the `gap_pct <= 60%` cap that wrongly dropped
squeezes. Prod thresholds passed explicitly (bare from_env would disable gap).
Unit test replaces the live-DB smoke run: $15/+12% qualifies, $4/+45% rejected
unless >=150%+rvol5. research/labeler.py deferred to plan 006 (no locatable
price/gap admission screen); sweep_exits/sweep_filters likewise deferred.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The tradeable population is now defined ONCE. trading_execution._population_reject
becomes a thin wrapper building a PopulationConfig from its settings and calling
strategy.population.population_reject — logic moved verbatim (dead-band 0.35/1.50
and squeeze rvol 5.0 are module CONSTANTS, gap floor / price band / volume floor
from config). Behaviour byte-identical: the pre-extraction characterization suite
stays green through the new public seam.
from_env mirrors ExecutionSettings.from_env (same 4 keys + the [0,1] _qfloat clamp)
so a live-shaped shell reconstructs the identical gate. gap_pct FRACTION contract
and the as_of open-knowable contract are documented for offline consumers.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
11 table-driven cases pin the CURRENT behaviour of the live population gate
before plan 004 extracts it to strategy/population.py: in-band pass, below-gap,
dead band, squeeze pass/fail, both price-band sides, volume floor, missing-data
fail-open, the gap-is-a-FRACTION unit pin, and the gap-gate-disabled nesting.
These must stay green byte-for-byte across the extraction.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 003 step 5 (completes plan 003). research/eod_reconcile.py diffs broker
truth (open positions, today's live orders) against event-store truth (today's
submits/fills/closes) and emits a loud eod_reconcile event + Telegram alert on
any drift — the duplicate-resting-order-after-restart class (2026-07-06) caught
automatically instead of by hand. Read-only (reports, never auto-fixes). Wired
into both scheduler blocks after premarket_eval. Pure diff core is unit-tested.
Suite: 373 passed (+22 plan-003 tests), 15 fail = WSL-loopback dashboard only.
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>
Plan 003 steps 1-3.
- Loop exit(0) after a SUCCESSFUL EOD flatten (TRADING_EXIT_AFTER_EOD_FLATTEN,
default on); compose restarts fresh. Restart-churn guard: _rebuild_daily_state
detects today's eod_flatten event and seeds _session_closed/_eod_done so a
post-flatten restart neither re-flattens nor re-exits. SIGTERM = clean drain.
- Exit manager: _FETCH_FAILED sentinel distinguishes a failed get_orders from a
genuinely-empty snapshot. A failed fetch skips naked-stop enforcement (catastrophe
still exits, re-fetching); an empty-but-successful snapshot needs TWO consecutive
reads before 'naked' is trusted (Alpaca silently returns [] for symbols=). Costs
~one 12s pass on the all-naked case only; isolated naked positions unaffected.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
pg_schema.sql: drop CREATE TABLE for 10 zero-reference tables (operator DROP
list in plans/002-deletions.log — production tables untouched until run).
projections.py: remove 4 zero-consumer query functions.
Clear all 'plan 002' ruff pins from the CI gate (files now F-clean);
api/main.py:F821 pin remains for plan 007. README repo-map/test-count fixed;
pydantic-settings removed (zero imports). Full receipts: plans/002-deletions.log
Suite: 351 passed (16 schwab/dead-module tests removed), 15 failures = the
known WSL-loopback dashboard set only.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
grafana/ pointed at the decommissioned pre-migration DB with committed dev
credentials (rotation note in plans/002-deletions.log); its dashboards
provisioning MOVED to deploy/compose/grafana/dashboards (docker-compose.yml
bind-mount re-pointed — the in-compose grafana service keeps working).
docker-publish.yml fired on a nonexistent branch pushing a wrong image name.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Finishes what d54a2a9's message claimed: schwab/ was never actually removed.
Also: comprehensive_backtest.py (crashed on import — research/connection.py
does not exist), strategy/universe.py, strategy/backtest/outcomes.py,
detect_momentum_ignition (kept _last_higher_low — imported by runner/
premarket_setup/liquid_breakout), milestone3_verify.py, tests/unit/schwab/,
SCHWAB_* keys from .env.example. All grep-gated: zero live references.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Production Postgres had NO automated backup (pg_dump appeared only in the
one-time migration script). New db-backup service in both compose files fires
20:10 ET Mon-Fri: pg_dump | gzip with pipefail + gunzip -t + tmp-then-rename
(a mid-stream death can't masquerade as a backup), prunes past
BACKUP_KEEP_DAYS, writes last_backup_ok on success. postgres:18 image =
version-matched client (app image has none). TrueNAS host is pull-only, so
its copy inlines the script. Restore: gunzip -c dump | psql $DATABASE_URL.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The loop's Telegram notifier runs inside the loop process — loop-down means
alerts-down. The always-up qabot now reads max(events.timestamp) every ~120s
(ET-naive vs ET wall clock per RUNBOOK): stale > DEADMAN_STALE_MIN during
market hours (holiday-aware via runtime.market_calendar) alerts at most every
30 min; DEADMAN_DAILY_PING sends one OK-ping after 20:30 ET. Injected
clock/read/send; 6 unit tests, no network or DB.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The registry image deploys to production on pull with zero test run today.
Add a test job (postgres:18 service, python 3.13 to match the Dockerfile)
that build now needs. ruff F gate is scoped to the money path with
pre-existing errors pinned per file+rule (owners: plans 002/007) so new
F errors still fail the push.
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>
Systematic diff of the old .env against the deployed loop env found 68
code-read keys running on silent defaults — including the risk cap
($500 vs $868 observed), the VWAP gate, the exit ladder, and the
NEWS_ENRICH_ENABLED flag that kept the catalyst engine dead despite
OLLAMA_ENABLED=true (enrichment requires BOTH, config.py:1235 gate).
Template env block regenerated with the full inventory, secrets as
<FILL-ME>; a ready-to-paste block with real values generated locally
(data/loop-env-block.yaml, gitignored).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- 10 era documents (phase plans, build summaries, redesign writeups, old
runbooks, completed consolidation plan) moved to docs/history/ with a
do-not-follow README.
- Root README: current validated population ($2-20, 10-35% static gap +
squeeze exception, SIP), Deployment section, automated-maintenance
reality, corrected repo map (admin panel, youtube_claims, deploy/).
- RUNBOOK rewritten for the running system: daily rhythm, health checks
per deployment, and the production failure-mode table earned this week
(env drift, pgdata mount traps, uid 10001, zombie approvals, PG_SKIP_
SCHEMA, timezone artifacts).
- deploy/README.md is now the three-mode index: compose (canonical),
systemd (local dev — unit templates now committed), helm (refresh
staged as issue #8). Old k8s doc moved to deploy/helm/README.md.
- docker/README.md: six TrueNAS gotchas, each from a real outage.
- Admin panel improvements staged as GitHub issues #4-#7.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
2026-07-09 evening: the loop submitted three real resting entries at
18:53-20:09 ET (TDTH x2, SUNE). Root cause: NO market-phase gate ever
existed on either entry path — SIP prints extended-hours trades, so
after-hours price crosses fire the trigger book and evening-fresh
signals sail through the approve path. The hole predates the container
move; Thursday was merely the first evening conditions aligned.
_outside_session() (ET wall clock via zoneinfo, weekend-aware) now bars
fresh entries outside TRADING_SESSION_START..END (default 09:30-15:55)
on both submit_breakout_now (skipped: outside_session) and the approve
path (quiet skip). Exits and management remain ungated. Dataclass
default OFF so directly-constructed test settings are unaffected;
from_env defaults ON so every deployed config gets the gate.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The loop healthcheck opened a fresh connection every 60s with schema
auto-apply enabled; the CREATE-IF-NOT-EXISTS lock bursts cancelled
minute_bars autovacuum every single cycle (visible as 'canceling
autovacuum task' each minute post-migration), so the 19M-row table
never got analyzed, snapshot queries crawled, browsers timed out, and
the dashboard log filled with double BrokenPipeError tracebacks.
- healthchecks now set PG_SKIP_SCHEMA=1 (both compose files)
- api/main.py _send_json swallows BrokenPipe/ConnectionReset (client
hung up; nothing to tell it)
- live DB: ALTER SYSTEM max_wal_size=4GB, shared_buffers=1GB,
effective_cache_size=3GB, checkpoint_completion_target=0.9 (the
checkpoint-every-24s warning under migration load on NAS storage)
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
New admin service — LAN-only, token-authed (ADMIN_TOKEN), card-based UI
matching the owner's preferred dashboard style. Capabilities:
- health: docker containers via /var/run/docker.sock (stdlib unix-socket
HTTP client), DB heartbeat, Alpaca account/clock, Ollama, feed
- config: whitelisted strategy knobs (TRADING_/TRIGGER_/WATCHER_/...)
edited via data/overrides.env, which every entrypoint now loads with
override=True at boot (runtime/env_overrides.py) — so changes apply on
container restart without touching the deployment YAML; secrets are
presence-only and rejected server-side if edited
- profiles: named knob presets (seeded: validated-core, conservative,
squeeze-hunter) applied in one click
- restart buttons per container; paper/live switch guarded behind
ALPACA_LIVE_* keys existing
Verified live in docker: auth 401s, status/config/profiles/write paths,
secret-edit rejection, page serves. Added to both compose files.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Two new nightly enrichments for the day's tracked names, both SHADOW
ONLY (float was refuted as a gate; a filings-based dilution veto needs
its own pre-registered bar):
- research/ingestion/float_cache.py: FMP stable shares-float ->
float_cache table (free-plan budget guards: 7-day refresh, 200
calls/run). First real float data in the system — LHSW's +346% ran
on a 1.1M float; BJDX is 0.4M.
- research/ingestion/sec_dilution.py: SEC EDGAR full-text search (free,
keyless, fair-use paced) -> populates the previously-empty
dilution_events table with S-1/S-3/424B filings; TVRD + BJDX flag
immediately. recent_dilution() helper for future veto work.
Wired into premarket_eval nightly. Not wired: Polygon/AlphaVantage/
TwelveData/Marketstack/EODHD (redundant vs paid Alpaca SIP) and the
generic news aggregators (slower than Alpaca/Benzinga, dedup noise).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
apscheduler + youtube-transcript-api (transcripts service crash-looped
on TrueNAS: ModuleNotFoundError), rich + typer (momentum_cli journal
job). Found via AST sweep of all third-party imports vs the image
contents. Image rebuilt, import-verified, pushed to both registries.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
CI now pushes fez5587/momentum-app to Docker Hub alongside GHCR (creds
via repo secrets). First push done manually and verified anonymously
pullable.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
truenas-compose.yml now uses /mnt/volume/Apps/momentum and publishes the
new postgres on 5433 so it can coexist with the existing instance during
migration. deploy/docker/migrate_db.sh: dump / restore / verify steps
(pg_dump -Fc read-only source, parallel pg_restore, ANALYZE, row-count
diff) with env-overridable URLs and PG18 client autodetection —
connectivity smoke-tested against the live DB.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
TrueNAS custom apps cannot build: the main compose's 'build: .' (plus
relative .env/bind mounts) fails app 'up'. Added a GitHub Actions
workflow publishing ghcr.io/fez5587/momentum-app on every master push,
and deploy/docker/truenas-compose.yml — a pull-only variant with
dataset host-paths, inline environment (secrets as <FILL-ME>
placeholders, current validated strategy knobs pre-filled), and the
same healthchecks. Validated with docker compose config.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
.env.example was stale (pre-migration keys, missing all current
TRADING_*/TRIGGER_* knobs). Regenerated from the live config with
secrets <REDACTED>; a leak check caught live Alpaca credentials
embedded in commented-out PowerShell lines and scrubbed them before
commit. README now documents the three config layers (protected
secrets vs promotable strategy knobs vs infra addresses) and the
external-Ollama networking expectations.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Brings the pre-migration compose file up to the current architecture:
python 3.13 image with ffmpeg + faster-whisper/yt-dlp (transcripts),
postgres 16 -> 18 (prod parity), and the real service set — loop
(--no-dashboard, heartbeat healthcheck), dashboard_api.py on :8765,
telegram qabot, youtube transcripts, and a 20:00-ET weekday scheduler
replacing the premarket-eval systemd timer. Jobs (journal/eod-replay/
nightly-tune) and Grafana keep their profiles. Self-contained by
default (in-stack DATABASE_URL); deploy/docker/README.md documents the
pg_dump migration, the transition mode against the LAN DB, and the
cutover checklist. Validated: image builds, compose config passes, and
a smoke container served the dashboard (HTTP 200) against the live
LAN Postgres.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Tested the source trader's numeric selection playbook on the unbiased
(open-knowable) year universe, n=2,643 point-in-time ORB entries:
- Dead band RE-CONFIRMED on clean data (35-75% +0.006, 75-150% -0.066)
— CLRO/VTAK were anecdotes; band exclusion + squeeze exception stand.
- His $5-10 price sweet spot inverts for our system: edge RISES with
price ($10-20 best at +0.143); the $1-2 bucket is negative (-0.031,
n=609). SHIPPED: price floor $1->$2 (population gate band now
env-driven TRADING_PRICE_MIN/MAX; watcher floor raised to match).
- His rvol>=5 floor is backwards for us: rvol 2-5x at entry +0.346R vs
>=10x -0.047 (n=818) — crowded spotlight names hurt our entries.
NOT shipped (conflicts with the squeeze exception's rvol needs;
logged for forward validation via the new per-signal relative_volume).
- SHIPPED: buyout/merger headlines never rank-boost (price is pegged —
the CRNX class); keyword suppression in the catalyst multiplier.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Evening audit of 2026-07-08's post-fix entries (TVRD +4% true gap,
FRTT — both fired as "20% gappers"): the morning's static-gap fix was
defeated by a data hole. ingest_live_minute_bars' full-session first
pass was a GLOBAL one-shot, so symbols discovered mid-session only ever
received the 20-minute refresh window — their earliest known bar was a
mid-day bar, which became both their "session open" (fake overnight
gap) and the base of their "opening range" (fake ORB trigger). Exactly
the failure class the population gate exists to prevent.
Fixes: (1) step_ingest tracks per-symbol first sight — new names get
the full-session lookback, known names the incremental refresh;
(2) _session_open only trusts a first-RTH bar stamped <= 09:33 ET and
is the sole source for the static gap; (3) if the session is underway
and a candidate's true open is not yet ingested, it cannot arm (trigger
withheld until the backfill lands, typically the next pass).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The 2026-07-08 audit (owner: "figure out if there is some kind of logic
or audit issue") found BOTH entry paths feeding the population gate the
WRONG gap. The fast path used the trigger book's dynamic gap (latest
price vs prev close), so intraday rallies masqueraded as gappers: TVRD
(6.0% true gap), SKIN (2.2%, filled at $0.98), JLHL (4.3%) all traded
outside the validated population. The slow path used max(gap, intraday)
with "open" taken from the first lookback-window bar, and had no upper
band at all — dead-band names SEER (38.6%) and IOTR (40.7%) entered.
Fixes: candidates carry gap_open_pct (session open vs prev close);
trigger eligibility + submit_breakout_now use it exclusively once the
session is open; _population_reject now implements the full validated
band (10-35% OR volume-verified >=150% squeeze, $1-20 price band) for
both paths; evaluator gap uses the session open; signals carry
relative_volume for squeeze verification. Plus momentum-testpg.service
so the test-isolation Postgres survives reboots.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
LHSW gapped +278% on 100M shares, was rank 2 in the trigger book at
4:49am, ran +346%, and was the source trader's entire day — the bot's
TRIGGER_GAP_MAX=35 capped it out, same as NXTS two weeks ago, while the
bot spent its entries on the shadow round-trips (SEER/ELAB/PLUG/YRD).
Year-scale replay (n=2,879 ORB entries, 14 months, reverse-split
artifacts excluded by requiring a real volume surge): the 35-150% band
is dead (+0.02R / +0.00R — the cap earns its keep there), but REAL
>150% squeezes (n=82) ran +0.63R with 8/14 months >= 0, 4x the core
band's edge. New gap_squeeze_min/gap_squeeze_rvol re-admit gaps >=150%
only when rvol >= 5 (split repricings show rvol ~0.01 and stay out).
Live: TRIGGER_GAP_SQUEEZE_MIN=150, TRIGGER_GAP_SQUEEZE_RVOL=5.0.
Existing guards (trigger/day extension, halt, BE@+5% ratchet, sizing)
still apply to these names.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Live 2026-07-06: every fresh entry was market-exited seconds after
filling (ELAB round-tripped in 3s, SEER in 77s, PLUG in 85s) — all
logged as exit_trail. Root cause: seconds after a fill there is no
completed minute bar with timestamp >= the fill time, and _bars_since's
empty result fell back to the WHOLE DAY's bars, so manage_live's
high-water included the pre-entry HOD and the trail read as already
breached on any name trading off its high. The whole-day fallback is
removed: with no post-entry bars the manager now leaves the position
alone (the bracket's initial stop is the protection) until the first
post-entry bar lands. Regression test verified to fail on the old code.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Everything hot already lives in Postgres — local data/ was 25 MB of
pre-migration relics and unbounded logs. Moved the two dead .duckdb
files (untouched since 2026-06-16) to archive/, added nightly log
rotation (copy-truncate >20 MB, safe with systemd append mode), and
updated the last vestigial "market.duckdb" docstrings to say Postgres,
closing the CONSOLIDATION_PLAN cleanup items.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The events table hit 3.5 GB / 1.8M rows, ~80% of it module_tick /
criteria_evaluated / signal_blocked / account_* snapshots that are only
useful for a few days of debugging. Trading-decision events are kept
forever. One-time purge (353k rows) + missing hot-path indexes
(raw_news_items payload_hash + fetched_at: 911k seq scans -> index-only)
and per-table autovacuum tuning applied directly to the DB.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The owner runs this system fully autonomously — no approvals, no manual actions. The
control room is therefore a WATCHING instrument, not a steering one:
- Approvals tab REMOVED (vestigial: the loop auto-approves; interaction contradicts
the operating model). REST plumbing dropped.
- ACTIVITY tab added: merged live event feed (entries, fills, exits w/ realized P&L,
gate cuts, ready signals) refreshing every 4s — see the autonomous system act.
- TODAY summary strip on the Live tab: Day P&L (broker last_equity based, colored),
trades + win rate, submissions, gate cuts, and LOOP HEARTBEAT age (green <3min,
red otherwise) — at-a-glance trust that the unattended system is alive.
- Thread-safety fix: all fetchers run in io_bound THREADS but shared one psycopg2
connection — now serialized behind DB_LOCK (latent race, caught during redesign).
- Panic brake stays (emergency-only, typed confirmation) — the one deliberate
exception to zero-interaction.
Headless-verified: cards live (Day P&L, Loop 0s green), 10 ticker rows, 40-row
activity feed, zero JS errors. Service restarted.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Phases 1+2 of the staged control-room plan, adapted to this backend and shipped as a
PARALLEL service so the battle-tested :8765 dashboard keeps running until parity.
The owner's ask — live analysis with live tickers, realtime — is the centerpiece:
- LIVE tab: tracked/armed tickers grid with real-time SIP last-trade prices (1s,
flash-green/red on change), state, gap%, RVOL, trigger + distance, stop, quality
score, POPULATION-gate check (display mirror of the live gap/volume floors), VWAP,
catalyst — merged from the loop's trigger snapshots + ready-signal projections.
- Header: PAPER mode badge (chameleon pattern), market phase, live equity, heartbeat,
clock, and the PANIC brake (cancel ALL open orders via broker API, typed "STOP"
confirmation — the plan's conditional-friction flow).
- Positions: live broker positions w/ uP&L colors + naked-stop flag (2s).
- Gates & Attribution: today's gate-cut histogram (5s) + 7-day per-stage attribution.
- Approvals: pending queue w/ approve/reject via the existing dashboard REST + dialogs.
All DB/broker calls via run.io_bound (never block the event loop); dark theme +
semantic tokens per the plan. systemd momentum-controlroom (:8766), unit in
deploy/systemd/. Headless-verified: live header (equity, phase), 10 ticker rows
rendered, zero JS errors.
Remaining from the staged plan (next phases): manual orders, settings dials, audit
tab, connection-lost action guard, live-mode chameleon when a real-money broker lands.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The gapper-history reconstruction (n=3,008 symbol-days / 14 months) REFUTED the 15-min
confirmation gate (late crosses beat early 12/14 months incl June 2026 — the 19-day
"+0.42R early" was a definition artifact) and found the first at-scale +EV configuration:
top-20 ranked gappers (gap >= 10%, $1-20, day volume >= 300k) are +0.05..+0.15R under the
live BE@+5% ratchet exits in EVERY rank x timing segment — including rank 6-20 ("D tier",
owner-approved: +0.153R early, the best cell). The live book bled by trading OUTSIDE that
population (low-gap, thin names), not by mistiming.
- ExecutionSettings.min_entry_gap_pct / min_day_volume (TRADING_MIN_ENTRY_GAP_PCT=0.10,
TRADING_MIN_DAY_VOLUME=300000): POPULATION gate on BOTH entry paths — auto path skips +
logs rule_type=population_below; fast path returns skipped=population_below. Fail-open
on missing data (house rule: never block on unknowns).
- evaluate_setup now surfaces the true overnight gap_pct in signal_data; ready-signal
snapshot passes it through.
- fast path: submit_breakout_now takes gap_pct (trigger book stores % units; call site
normalizes to fraction); TRIGGER_GAP_MIN raised 3 -> 10 to align the arm floor.
- confirmation gate flipped OFF via env (code stays, 0=disabled).
- rank concentration stays OFF (owner call, data-consistent: rank 6-20 converts fine).
Tests: population skip+log, real gapper passes, fail-open on missing data. 52 pass.
Monday config: population gate + cap 10 fills + quality C+ + VWAP + BE@+5% ratchet + SIP.
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>
The owner bought Alpaca Algo Trader Plus (real-time SIP; entitlement propagating on the
same keys — latest-trade already SIP-live, quotes/bars still 403). Before flipping
ALPACA_DATA_FEED=sip, two guards so the free-tier ratio estimator can never double-count:
- ingest_live_minute_bars resolves the EFFECTIVE feed and refuses volume_scale for
anything non-IEX (provider marked alpaca_<feed>).
- step_vratio self-disables when client.settings.feed != iex (saves the API calls too).
The estimator stays as the dormant free-tier fallback (plan lapse -> flip env back).
Test: SIP client + x25 ratios -> volumes NOT re-scaled, provider alpaca_sip. 4 tests pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
With the nightly SIP backfill making all BASELINES consolidated-scale, the still-IEX live
ingest would make Monday's RVOL read iex_intraday/sip_baseline ~= 25-50x too LOW and choke
the scanner. Free-key SIP is only 15-min DELAYED, so each morning the true per-name capture
ratio is directly measurable:
- research/ingestion/volume_ratio.py: compute_ratios fetches BOTH feeds for the identical
embargo-capped window (never vs our DB bars — those are scaled; that would double-correct);
guardrails (min samples, clamp [1,300]); persist_ratios records per-day ratios.
- ingest_live_minute_bars(volume_scale=...): scales bar volumes per symbol at ingest, marks
source_provider=alpaca_iex_scaled. Missing symbol -> 1.0 (conservative: reads LOW, blocks).
Constant per-symbol scale leaves cumulative VWAP unchanged (cancels in the weighted mean).
- run_live_paper: "vratio" step every 300s (VOLUME_RATIO_ENABLED/INTERVAL) merges fresh
ratios (a name gone thin keeps its last good ratio); step_ingest applies them.
- premarket_eval nightly audit: snapshots the day's scaled ESTIMATES before the SIP truth
overwrites, then logs median/worst error to data/volume_estimator_audit.tsv — the
estimator's accuracy is self-measured daily, which is exactly the evidence that decides
whether the $99/mo real-time SIP plan is ever needed.
Live check (2026-07-02 full session): ratios are hugely name-dependent — DSY x300(clamped),
CETX x286, SOFI x45, SNDQ x42, NOK x17 — validating per-name daily measurement over any
global constant. 3 pure unit tests (ratio math + thin-sample skip; ingest scaling + provider
marking; no-ratio unchanged).
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>
Owner's idea from the CETX day: unusually large resting order volume just above/below price
(the trader's "big seller at $6" read) may predict pop-vs-fade. Full L2 depth needs a paid
feed, but Alpaca NBBO quotes carry bid/ask SIZES — a workable free proxy. We stored no quotes,
so the idea was untestable; this makes it accumulate.
- quote_snapshots table (market schema): symbol, ts, bid/ask price + SIZE; (symbol, ts) index.
- step_quotes in the live loop (QUOTE_SNAPSHOT_INTERVAL_SECONDS=15, QUOTE_SNAPSHOT_ENABLED=1):
records tracked (trigger-book) + held names each pass, premarket included (where the edge
data lives). Recording ONLY — zero trading impact; fetch failures degrade to a log line.
- Caveat carried in the docstring: free IEX-feed NBBO is thinner than SIP (thin names often
print 100-share round lots), so persistent imbalance is the signal, not single snapshots.
Verified live: 10 names/pass recording every 15s with real sizes (e.g. RIVN 1300 bid / 3200 ask).
A shadow study tests ask/bid-size imbalance as a pop-vs-fade predictor once data accumulates.
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>
The owner's modularity/monitoring ask: rate each pipeline component so what's earning (and
what's cutting) is visible instead of inferred. Everything derives from the existing event
stream — no pipeline changes.
- research/attribution.py: compute_attribution(days) -> per-day per-stage metrics:
DISCOVERY (symbols found + precision = fraction that ever go ready), SIGNALS (ready split
EARLY-vs-LATE against the confirmation window — the only +EV ones), GATES (risk_rule
histogram: what each gate cut), EXECUTION (submissions vs cancels = fill efficiency),
OUTCOMES (realized P&L, win rate, per-close detail). CLI: python -m research.attribution.
All queries filter the native timestamp column first (payload casts on the 676k-row events
table time out).
- api/main.py: GET /api/attribution?days=N.
- dashboard.html: "Component Attribution" panel, lazy-loads on open, per-day table with
gate-histogram hover.
- momentum_cli board header: live pulse line — today's early/late signal split + top gate
cuts (two tiny date-scoped queries).
Verified live: CLI scorecard over 7 days, endpoint returns real ratings (e.g. 2026-07-02:
discovery 45%, early 38%, fill 39%, win 50%, P&L +$29), board renders the pulse line.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The column was never populated by upsert_daily_bars, so every downstream consumer
(scan_gappers RVOL, the quality gate's relative_volume component, labeler baselines)
silently fell back to weak within-session proxies — degrading the very signals the
2026-07-02 backtest showed carry the edge.
refresh_rolling_volume(con, symbol=None): window-function UPDATE computing the average
of the PRIOR 20 sessions (excluding the row itself so it's knowable at that day's open,
>=5 prior sessions required). Called per-symbol after each upsert_daily_bars so new rows
stay populated; ran once with symbol=None to backfill.
VERIFIED against prod: 0 -> 79,778/89,899 non-null; spot-check matches an independent
pandas shift(1).rolling(20,min_periods=5).mean() exactly (0 mismatches).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Why the book is break-even (proven over 7 refuted levers): the ORB entry converts poorly and
the profitable trades are diluted by the negative majority. The 2026-07-02 quality-gate backtest
(6217 setups, adversarially verified across 3 seeds) isolated where the profit actually lives:
setups whose breakout CONFIRMS within ~10 bars of the open run +1R 71% / +0.42R expectancy —
even C-grade ones — while late-confirming setups are dead regardless of grade (bar-26+: 9% +1R,
-0.81R; time-of-day expectancy decays monotonically to -0.94R late-day). The edge is
confirmation TIMING, not the grade (the B-grade lift was mostly this confound).
ExecutionSettings.entry_confirm_by_minute (env TRADING_ENTRY_CONFIRM_BY_MINUTE, 0=off):
- auto path: request_approvals_for_ready_signals skips signals whose ready-timestamp landed
more than N minutes after the 09:30 open, shadow-logged rule_type=late_confirmation (visible,
measurable). Midday re-triggers are late by construction -> also cut (they were -0.75R).
- fast path: submit_breakout_now gates on now() (a live trigger fires in near-real-time, so
now() IS the confirmation time) -> skipped: late_confirmation. This also closes the fast
path's no-time-gate hole the all-day analysis flagged.
Deliberately KEEPS min_quality_score at 0.50 (C+): the gate retains the profitable early
C-band (+0.42R) that a B-grade gate would wrongly discard. Fail-open on unparseable timestamps.
4 new tests (late skip + logged, early passes, off-by-default, fast-path block); 50 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The behavior half of the cap fix. Root-caused 2026-07-01 and re-confirmed live 2026-07-02
(now visible via the auto_rejected logging): the cap incremented on any broker-ACCEPTED
submission incl. resting limits that never fill, and never decremented on back-out -- so
unfilled/canceled entries permanently burned slots. Both days the bot capped after ~3 real
trades because 2 phantom unfilled limits ate the budget, with good setups still on the board.
Fix: mark each counted entry's armed record ("counted"); when expire_stale_entries backs it
out UNFILLED (timeout, price-break, or broker-cancel), _release_cap_slot decrements the counter.
Fills keep their slot (their armed record is popped without releasing). Net: the cap now means
"N real filled entries/day", not "N submission attempts". New test drives 2 resting entries to
the cap then times them out and asserts both slots free. 46 tests pass.
The cap VALUE (currently 5) and the all-day question are separate (data-driven) decisions.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Two data-quality fixes surfaced by inspecting the first 94 claims:
- _clean_ticker: coerce the literal 'NULL'/'NONE'/'$AAPL' strings the LLM sometimes returns to
a real None, and collapse ASR space-mangling ('B VC' -> 'BVC').
- require_asset filter: drop claims with neither a ticker nor an asset_name -- generic trading
commentary ('buy the dip') from tutorial content is not an asset claim. On the backlog this
cut 94 -> 58 claims (36 generic), leaving clean per-asset signal.
Added the $2,000 Small Account Challenge recap playlist (the daily per-asset trade breakdowns) --
far higher claim density than the evergreen 'Anatomy of a Trade' tutorials. 7 tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The pm1 verdict is promising-but-underpowered (n=21): the forward moves are real (+11-14%) but the
sample is too small to conclude. The live loop ingests premarket bars every trading day, so this
automates the "accumulate more days then re-validate" step:
- research/premarket_eval.py: rebuild pm1 from the grown DB, append a timestamped metrics row
(n, days, +1R rate, Wilson-95 LB, median upside/adverse, big-gap +1R, pass/fail) to
data/premarket_eval_history.tsv, and print the current validate output. Watch n climb + the
Wilson bound tighten until the locked bar is decisively cleared or failed.
- deploy/systemd/momentum-premarket-eval.{service,timer}: weekday-evening (Mon-Fri 20:00) oneshot,
Persistent=true (catches reboots). Installed to ~/.config/systemd/user and enabled.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Every RTH selection/entry lever has now been refuted (6 of them separate a population but
don't convert through the entry). The one axis never touched is PREMARKET — the source
trader's actual edge (his words: news drops pre/after-hours, NO circuit-breaker halts pre-market
so moves run clean, and RTH after 9:30 is choppy/unpredictable — the exact window our bot trades).
strategy/evaluation/premarket_setup.py::detect_premarket_setup — pure, operates on PREMARKET bars:
gap vs prev_close + real premarket volume floor (the DXST-vs-CF tell: low pm volume = fail) +
price floor + fresh premarket-high breakout + premarket-VWAP hold. Calibrated to the thin pm tape
(cum pm volume p50 ~12k shares, so a 20k floor catches the genuine movers not 1%-gap noise).
Real-tape validated + SELECTIVE: 6/30 fires JEM(245%)/CELZ(143%); 7/1 fires LHAI(166%)/SOC/SNDQ —
2-3 names/day (~8% of pm names), vs the liquid detector's 50%. 6 unit tests green.
labeler pm1 track (build/report/validate-premarket): slides the detector over premarket bars,
scores forward on PREMARKET bars via the same _forward_labels (the trader enters+exits pre-9:30),
stratifies +1R by gap. Pre-registered bar locked 2026-07-01 (median pm upside >=+10%, adverse >-6%,
+1R >50%, big-gap subset clears). SHADOW-ONLY. Real caveats it sets aside: thin premarket fills, and
live premarket needs extended_hours execution the bot doesn't have. Full 26-day backtest building.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The systemd user service runs with a minimal PATH that excludes /usr/bin, so yt-dlp's audio
postprocessor reported 'ffprobe and ffmpeg not found' and every video silently fell back to
captions. Pass ffmpeg_location=config.FFMPEG_LOCATION (shutil.which with /usr/bin fallback) to
yt-dlp so the Whisper path works under systemd. Verified: yt-dlp download + ffmpeg extract now
produces a wav. Reset the 4 caption-fallback videos to pending so the backlog gets Whisper.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Extraction fix: the anti-hallucination check (a claim's verbatim_quote must appear in the
source window) was too brittle against auto-captions — fragmented segments joined with
newlines meant a valid quote spanning a join was dropped (0 claims on a 623-segment captions
transcript). Now whitespace-normalized matching (_norm + _quote_supported, ~40-char prefix):
the SAME transcript yields 6 real claims (WETG +160% reverse-split+news; 4 AURC trade claims
with prices; a rejection concern), each quote verifiably present. Whisper output is cleaner
still; this just makes the captions fallback usable too.
- tests/unit/test_youtube_extraction.py: 5 pure-helper tests (norm, quote-support across joins,
hallucination rejection, verbatim-quote-mandatory drop, chunk time-spans).
- youtube_claims/momentum-transcripts.service: reboot-surviving systemd user unit (Restart=always,
loads secrets from .env; Whisper option A/CPU, env-flippable to B/GPU).
END-TO-END VERIFIED (captions path, no ffmpeg): detection -> claim -> transcribe -> extract ->
6 claim rows in Postgres. Full Whisper path needs `sudo apt install ffmpeg`, then
`systemctl --user enable --now momentum-transcripts` to process the 11-video backlog at
Whisper quality + poll for new uploads.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
A descriptive ingestion layer feeding the downstream reasoning model: monitors YouTube
playlists, transcribes new uploads, and extracts structured, verifiable CLAIM records
(with provenance + a mandatory verbatim quote). It records WHAT was claimed; it never
judges correctness or tradeability -- all judgment stays downstream, in one place.
Built per the operator's spec. Two clocks coordinated through Postgres (§2): a 30-min
detection poll + a paced concurrency-1 transcription/extraction worker. Reuses the app's
infra: shared Postgres (isolated `transcripts` schema), the app's Ollama for extraction
(free, on-LAN, private -- transcripts never leave the network), the config.py host resolver.
youtube_claims/schema.sql playlists / videos / claims (§7-8); claims.verbatim_quote NOT NULL
youtube_claims/db.py psycopg2; claim-by-atomic-status-flip under FOR UPDATE SKIP LOCKED
youtube_claims/detection.py playlistItems.list over urllib; dedupe by video_id (§5)
youtube_claims/extraction.py local Ollama -> descriptive claims; drops any claim lacking an
exact verbatim quote present in the source window (anti-hallucination)
youtube_claims/transcription.py yt-dlp -> faster-whisper (medium/cpu/int8, option A;
initial_prompt=watchlist) with youtube-transcript-api captions fallback
youtube_claims/worker.py paced drain; per-video state machine + retries/backoff
youtube_claims/run.py APScheduler poll + worker loop in one process; CLI for setup
VERIFIED LIVE: schema applied; playlist "Anatomy of a Trade" (Ross Cameron) added; poll
ingested all 12 videos (1 API unit); Ollama extraction pulled clean descriptive claims
(TC/DXST/CF) with exact verbatim quotes from a real transcript. Whisper transcription pending
ffmpeg (`apt install ffmpeg`, needs sudo) + the yt-dlp/faster-whisper deps (installing via uv).
Secrets (YOUTUBE_API_KEY) live in gitignored .env only. Whisper is option A (CPU); env-flippable
to option B (LAN GPU large-v3) later.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
