query_session_pnl reconstructed realized P&L solely from position_closed events
— of which the store has ZERO — so the web P&L strip showed $0 / no trades during
the real -$2,322 day while broker equity actually fell ~$11k peak-to-trough. The
operator flew blind.
Now prefer the broker equity delta: day P&L = latest account_summary equity -
prior-session close (last_equity); matched (realized) = day P&L - current
unrealized. Falls back to the closed-event sum when no equity snapshot exists.
Adds broker_day_pnl + pnl_source to the payload; existing frontend keys
unchanged. Verified live: total_pnl now reads the real -$1,840 (was $0).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
ArmedTrigger stamps price_ts on each update; update_price(None) (a failed batch
price fetch) now CLEARS the price instead of leaving the last value live; and
fires() requires the price to be fresher than max_price_age_s (env
TRIGGER_PRICE_MAX_AGE=12). A stalled feed can no longer fire a breakout into a
name that has already reverted.
Tests: stale price blocks fire, fresh re-enables, None clears; 18 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
From the multi-agent audit (ship-now, low-overfit-risk cluster):
INGESTION RESILIENCY
- client._request: 429/5xx now retry with Retry-After + exponential backoff
(previously hard-failed, feeding silent-stale ingest).
- SIP backfill feed (settings.backfill_feed='sip'): live realtime stays IEX, but
backtest/backfill ingestion uses the full consolidated tape — IEX sees only
~2-5% of true volume (verified: AAPL 22,797 vs 452,704), which was silently
corrupting every rvol/$-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>
_daily_gappers selected each symbol's LATEST daily bar (always the most recent
date in the table) and skipped the symbol unless that bar == the session date.
So replaying ANY past date saw rows[0] != sess and skipped every symbol —
silently reporting "no qualifying gappers" for all history. Multi-day
backtesting was impossible; the dataset looked empty when it was not.
Bound the query to bars ON OR BEFORE the session date so rows[0] is the session
day and rows[1] the prior trading day. Verified: June 17 now finds 11 gappers,
June 16 finds 8, etc. — and a 6-day / 24-trade replay shows the clean strategy
is +11.6R, 75% win, +0.48R/trade (the live losses were execution bugs, since
fixed; no entry-rule tweak robustly beats baseline on this sample).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
DB latency: every projection runs `WHERE event_type=? ORDER BY timestamp DESC
LIMIT n`. With only a plain timestamp index, the latest of a STALE type
backward-scans the whole events table — measured 373ms / ~52k buffers on 235k
rows. Add a composite index in event_store._ensure_schema:
CREATE INDEX idx_events_type_ts ON events(event_type, timestamp DESC)
-> same query is now a 0.018ms index seek (3 buffers). Applied to the live DB
CONCURRENTLY; also dropped two redundant legacy indexes (idx_events_type, now
covered by the composite prefix; idx_events_correlation, a dup of
idx_events_session_id) to cut write overhead.
tests/conftest.py: sweep the throwaway `mem_*` schemas EventStore(":memory:")
creates — 170 had leaked into the shared Postgres, bloating the catalog.
README: rewritten around the current system — PostgreSQL event store, a full
command reference (run_live_paper / momentum CLI / eod_replay / sweeps / tuning /
cron), config knobs, and a database & performance section (the index above,
extension guidance, retention).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Carried over from the GitHub App setup. Both reference secrets.CLAUDE_CODE_OAUTH_TOKEN
(a repo secret, no literal keys). To activate on this repo: install the Claude
GitHub App and set the CLAUDE_CODE_OAUTH_TOKEN secret.
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>
The blunt guard benched a name after ANY position close — so a quick scratch or
a win that re-set up was blocked. In the day-replay it killed the GRAB +513
re-entry while only saving a loss the liquidity floor already caught.
Refine: track each held name's last-seen unrealized return (unrealized_plpc) and
bench it on departure only if it exited DOWN more than reentry_min_loss_pct
(env TRADING_REENTRY_MIN_LOSS_PCT, default 1%). A scratch/win is left free to
re-enter. Replay with all changes: actual (flat 15:55) -3,285 -> -21, i.e. the
guard refinement alone recovers the +513 the blunt version forfeited.
Tests: losing exit benches; winning exit does NOT; 43 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The journal/board reconstructs from broker timestamps (UTC) and printed the raw
UTC time, so a 10:12 ET entry showed as 14:12 on a US-market journal. Add _to_et
and convert both the today-filter and the displayed time to America/New_York.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The end-of-day flatten fired at 15:55 but FAILED on every position with the
held-qty 403: close_session/_flatten_all called close_position while the DAY
stop legs still reserved the shares (held_for_orders) — the same bug fixed in
the exit manager, but on the EOD path. The flatten then marked itself done and
never retried, leaving the whole book naked overnight (3 positions, no stops,
two underwater).
- Add _release_and_close(): cancel a symbol's resting bracket legs to free the
qty, THEN close_position with retry. Route both _flatten_all and the
close_session belt-and-suspenders loop through it.
- step_eod_flatten only marks _eod_done when the flatten had NO errors — so a
failed flatten RETRIES within the [15:55,16:00) window instead of giving up.
Tests: EOD flatten cancels the leg before closing (no 403); 45 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Today's losses were an ENTRY-quality problem: every loser reversed before +1R
(max favorable excursion 0.1-0.7R) — we filled at the top of one-bar spikes on
names too thin to hold the move (WKSP/LNKS/UWMC entered on 100-400 share bars).
rvol is RELATIVE, so 2x of near-nothing still qualified.
- Trigger $-volume floor: ArmedTriggerBook gains min_dollar_vol; step_arm
computes recent 5-bar $-volume per candidate. Thin names go WEAK instead of
arming (env TRIGGER_MIN_DOLLAR_VOL, .env=8000). Skips the untradeable
(APWC $3.8k, WPRT $2.7k).
- Liquidity-aware sizing turned on (.env TRADING_LIQUIDITY_MAX_VOLUME_PCT=0.025):
size caps to a fraction of volume, so thin names get sized down 90%+ while
liquid names are untouched — exactly the asymmetry a small real account needs.
- Breakeven-at-1R enabled (.env): forward give-back safeguard. NB it changes 0
of today's trades (no loser reached +1R) and was a prior OOS 'conservative
backup' — kept as protection for bigger-winner days, not a today-fixer.
Back-comparison (one day, caveated): the two liquidity filters take the day from
~-1,215 to ~+202 excluding the APWC overlap already covered by the naked-stop
fix + re-entry guard. Needs forward validation, not just this back-fit.
Tests: $-vol gate (thin -> WEAK); 50 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
A name that stopped out could be bought right back the same session — observed
live: APWC stopped out -904 in the morning, was re-entered, and lost another
-645. The backout cooldown only covered UNFILLED entries; a filled position that
exits had no re-entry guard.
Track names leaving the broker's held set (a closed round-trip) and bench them
from re-entry for the rest of the session, on both the slow approval path and
the fast trigger. Detection runs every guard pass (before the armed early-return)
off fresh broker truth; emits a reentry_block risk event. Toggle with
TRADING_BLOCK_REENTRY_AFTER_EXIT (default on).
Tests: re-entry blocked on both paths after a position closes; 40 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The header's "matched" subtotal used the FIFO round-trip sum, which doesn't
equal the broker's average-cost day P&L while positions are partially open — so
"matched + open" never tied to the headline day P&L (e.g. -1340 + open vs the
broker's -627).
Show broker-authoritative realized instead: matched = day P&L - open unrealized,
so matched + open == day P&L by construction. Per-trade rows stay FIFO-accurate
(each is a real fill pair); only the header subtotal is broker-truth. Factor the
open-unrealized sum into a shared helper used by both the live board and the
`journal` close capture. Falls back to the FIFO sum when no equity snapshot
exists.
Verified live: board + journal both reconcile (matched + open == day P&L).
Tests: 3 new (reconciliation invariant + FIFO fallback).
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>
The trail-breach (and first-red) exit called close_position directly, but the
bracket stop/TP legs RESERVE the full quantity (held_for_orders). Alpaca then
rejects the market close 403 "insufficient qty available (available: 0)". The
position can never exit, so the manager retried every pass forever — observed
live: PLUG logged 191 identical 403s while a legitimate trail exit (+286) and
WPRT/ATPC stop-outs were all blocked.
Add _flatten(): cancel the symbol's active protective sell legs to release the
shares, THEN liquidate (retry the close so a not-yet-settled cancel doesn't
hang). Route the two full-close paths through it. Verified live: PLUG flattened
cleanly (0 dangling orders, profit locked), zero 403s after restart, remaining
book still fully stop-protected. Test: _flatten cancels protective then closes;
42 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
A breakout that won't fill on a marketable limit used to re-arm every pass: the
entry timed out (~2 min), backed out, freed the symbol, and re-armed next tick —
forever. Observed live: NEOV armed+backed-out 68x in one session, 106 of 130
buy orders cancelled. That order churn is also what truncated get_orders and
caused the false-naked scare (commit 11ab6c7).
Add a cooldown: after an entry backs out (timeout or price-break), bench the
symbol for TRADING_BACKOUT_COOLDOWN_SECONDS (180s); after
TRADING_MAX_BACKOUTS_PER_SYMBOL (3) backouts, bench it for the rest of the
session. Gated on both the slow path (request_approvals_for_ready_signals) and
the fast trigger (submit_breakout_now). Backout events now carry the cooldown
state.
Verified live: NEOV's first backout under the new code stamped
"[cooldown 180s (backout 1)]" and the symbol stayed ready every pass but
approvals_requested=[] for the full window — no re-arm. Tests: two new
(temporary cooldown + session bench), 39 pass.
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>
A long-lived `momentum watch` connection got closed by Postgres on idle/restart
overnight, and the next query raised OperationalError and crashed the board.
PgConnection now reconnects ONCE on OperationalError/InterfaceError (skipped for
isolated test schemas); the watch loop also catches transient errors and shows
'reconnecting…' instead of dying. Hardens the live loop's event store too.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
momentum journal prints the day's trades (time/symbol/qty/entry/exit/P&L) +
broker-accurate day P&L + win summary. journal.sh appends it to
data/trade_journal.log; cron 16:02 weekdays keeps a durable daily record.
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>
News (you were right it's relevant): recent_news_map() pulls fresh catalysts per
ticker from the ingested RSS feeds; step_arm tags each armed candidate and BOOSTS
catalyst-backed gappers up the rank (NEWS_RANK_BOOST) — a fresh PR/FDA/offering
is why a small-cap runs, so it surfaces the hotter name earlier and higher. The
board shows a 📰 marker + the headline. Feeds verified live (PR Newswire /
Business Wire / GlobeNewswire) — pulling real catalysts (FDA approvals, offerings).
Forward-tested only (news isn't OOS-backtestable).
eod_replay.sh + crontab: replay at 16:05 (grow dataset), tune at 17:30.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
eod_replay.py: after the close, pull the day's 100 most-active names (vs ~20
watched live), daily-screen the $1-5 gappers, minute-backfill only those, and
replay TODAY'S logic (entry filters + ORB + managed exits) over each — reporting
what it would have traded + est P&L + perfect-hindsight (biggest catchable
runs). Daily-first screening keeps it fast. Every run also grows the stored
dataset for the tuner/verification.
On 2026-06-17 it showed the new logic would have been +3.7R (~+$3.5k, 3 trades
100% win) vs the -$2.6k actually lost — the filters exclude exactly the losers
($7+ ICCM, blow-offs) that the old config traded.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
For going live on a SMALL real account ($300). The sizer assumed a $100k
default -> at $300 it would size $1,000 positions and get rejected. Now:
- _current_equity() reads actual broker equity (cached get_account) and sizes
off it, so a $300 account sizes for $300.
- max_position_value caps each position to ~1/3 of equity (TRADING_MAX_POSITION_PCT)
so N positions fit buying power.
- max_shares liquidity cap (TRADING_LIQUIDITY_MAX_VOLUME_PCT * day volume) wired
through the trigger book -> submit_breakout_now; off at small size, for scaling.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
diagnose_entries.py buckets backtested trades by feature: cheap stocks ($1-5
+0.5R) crush $10-20 (-0.09R), rvol>=5 (+0.79R) beats <5x (+0.15R), and blow-off
gaps >150% fade. sweep_filters.py verifies price/volume/gap-cap combos
train-vs-test: px<=7 + gap<=60% ~doubles OOS expectancy (+0.76 vs +0.39R, win
86% vs 71%).
Add a gap cap to the armed-trigger eligibility (TRIGGER_GAP_MAX) so blow-off
gappers can be excluded; price cap (WATCHER_PRICE_MAX) and volume floor
(TRIGGER_RVOL_MIN) already exist. Final values pending OOS verification.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
So you can confirm the bought price next to the unrealized P&L.
Profit-lock tiers verified out-of-sample (lock_mid: 8:3,15:9,25:18,40:30 on the
prior-low trail) — test avgR 0.127 vs 0.123 baseline, win 55% vs 46%, not
overfit; already the .env default. The flashy lock_only_mid (+0.40R in-sample)
was rejected as overfit (collapsed to 0.187 test).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
For verifying the profit-lock checkpoints out-of-sample against the current
trail (lock_off = trailLow_a1). In-sample, lock_mid matches lock_off on
expectancy (+0.264 vs +0.262R) with a higher win rate (61% vs 57%).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
A day-trading book shouldn't carry overnight. New 'eod' loop step calls
TradingExecutionService.close_session at TRADING_EOD_FLATTEN_TIME (default
15:55 ET): flattens every position (cancelling their bracket legs), cancels
resting entries, and blocks new entries for the rest of the session. Only fires
inside [flatten_time, 16:00) so a post-close restart doesn't queue useless
after-hours orders.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- strategy/exits.py: percentage profit-lock tiers (TRADING_EXIT_PROFIT_TIERS,
e.g. 8:3,15:9,25:18,40:30). Once a trade has been up gain%, the stop is pinned
to entry*(1+lock%) so a winner can only give back to a locked-in minimum gain
and a fade sells you out IN PROFIT. Shared by backtest + live, active-trades
only (ratchets the broker stop up via replace, never cancel).
- momentum_cli.py: open-positions uPnL was reading 'unrealized_pl' but the sync
stores 'unrealized_pnl' -> always blank. Read the right key (+ green/red).
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>
Track entry_ts from the broker entry order's filled_at (not first-sight), so the
high-water mark and R-multiple reflect the move since the real entry — correct
trailing for positions that predate the manager (e.g. across a restart).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Two fixes found by running the manager against the live book:
- _stop_leg queried status="open", but a bracket's protective stop is a 'held'
child of the FILLED entry, so it was never found -> stops never trailed.
Query status="all" and match active leg statuses.
- when the trailed stop would sit ABOVE current price (price fell back through
the prior swing low), a sell-stop there is rejected; that IS the trail firing,
so exit at market instead.
Also drop the hardcoded "6" in the board title (armed set is now 10).
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>
Three fixes from the first live session:
1) Naked-stop bug (critical): the entry-timeout guard cancelled an entry it
thought was unfilled AFTER it had really filled (our order_filled events lag
the 60s sync). Cancelling a bracket parent cancels its stop/TP legs, so the
position went NAKED and bled 22% with no floor. Guard now checks the broker's
LIVE positions (get_positions) before cancelling and never cancels a filled
name. Regression test added.
2) Speed: ingest re-fetched a 240-min window for ~80 symbols every minute (~46s
measured), and the single-threaded loop froze the 4s trigger that whole time
-> breakouts caught once a minute, not in real time. Ingest is now
incremental (heavy first pass covers the session so the opening range is
present; then ~20-min refreshes, closed bars never change). Loop passes
dropped from ~70s to ~2-5s.
3) Threaded trigger: the fast breakout detector/fire loop now runs on its own
thread, fully decoupled from the slow scheduler. EventStore, the execution
service, and the trigger book are made thread-safe (locks) so the thread and
main loop can't race the shared psycopg2 connection or in-memory state.
Verified live: fired EZGO/NEOV, all positions retain active stops.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Live at the open, every fired entry was cancelled ~1s later by the
entry-invalidation guard: at the 0.0 default, any sub-cent dip below the
trigger invalidates, so a breakout oscillating around the level churns and
never holds a position (0 fills across a dozen orders). Default to 0.015 — give
the breakout room; the bracket stop at the opening-range low is the real
protection and risk stays capped at 1%/trade. After the fix the book held 4
positions (+$453 unrealized) including one via the new orb_trigger fast path.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The "always late / miss the move" problem was structural: entries waited for a
1-min bar to CLOSE above the breakout then walked the ingest->watch->execute
cadence (~2 min), and rested a limit AT the trigger that a runner never fills.
Add a top-6 armed-trigger book (runtime/triggers.py): keep the most-promising
gappers ready with a pre-computed opening-range trigger/stop and FIRE the
instant LIVE price crosses, via TradingExecutionService.submit_breakout_now —
a marketable order (capped above the trigger) that actually fills — reusing the
same risk gates (daily-loss breaker, max-concurrent, 1%-risk sizing, dedup).
- structure.py: opening_range() helper (shared with the ORB detector)
- run_live_paper.py: step_arm (rank + arm, 20s) + step_trigger (price-cross
fire + snapshot, 4s)
- momentum_cli.py: rewrite the watch board — market clock + countdown, loop
heartbeat, the 6 armed triggers with live price / gap / rvol / trigger /
distance / stop, and a plain-English "what it's hunting" line
- tests: opening range, trigger book state machine, submit_breakout_now gates
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
(a) learn_params.per_setup_report: permanent per-setup P&L/earliness breakdown
in the harness (forces all-setups so the ORB-vs-rest comparison is visible).
(b) nightly_tune.py + nightly_tune.sh: backfill latest bars, sweep ORB params
over accumulated gapper sessions, write the best PROFITABLE config to
data/learned_params.json. run_live_paper reads it on boot and applies the
tuned ready_score / min_bars (explicit env still wins); won't overwrite with
a losing or thin-sample config. Cron-scheduled after the close.
Verified: 75/75 tests; boot logs the learned params and applies them.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Sweep over 172 real gapper sessions (16 days) with a per-setup breakdown found
the opening-range breakout is the ONLY profitable setup (+0.25R); every slow
pattern loses (bull_flag -$78k @ ~42min is the worst). Running ORB-ONLY flips
the book from -$95k to +$7.4k AND enters ~11 min earlier (23 vs 34 min avg).
- classify_setup prefers the ORB when valid and honors STRATEGY_SETUPS env
(comma-sep setup values) to restrict active setups; .env defaults to
STRATEGY_SETUPS=opening_range_break (ORB-only).
- BacktestEngine Trade.setup_type captured for per-setup attribution.
- learn_params load_sessions filters to gapper sessions (mimics live scanner) so
the backtest trades the same universe the system would.
75/75 tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- structure.detect_opening_range_breakout: break of the first ~5 RTH bars' high
on >= OR-average volume; entry=OR high, stop=OR low. Placed first in
classify_setup so it fires minutes after the open instead of waiting for a
pullback to form. Verified: RGNT triggers at bar 6 (~9:36 ET) q=1.0.
- evaluate_setup counts OPENING_RANGE_BREAK toward the structure criterion.
- backfill_history.py: pull ~3 weeks of minute + 60d daily bars for the sub-$20
universe so learn_params optimizes over real sessions.
75/75 tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- learn_params.py: grid-search the strategy timing/threshold knobs over stored
sessions, ranking by total P&L AND 'entry_min' (minutes after the open the
entry fires) — a learning method to find params that enter earlier while
staying green.
- evaluate_setup(min_bars=...) + BacktestEngine(ready_score_pct/criteria/min_bars)
now tunable; watcher passes WATCHER_MIN_BARS through (was a no-op: evaluator
hard-coded 10).
Sweep finding: even the earliest params enter ~28-30 min after the open
(baseline ~33) because the first-pullback setup waits for a pullback to FORM.
Cadence/min_bars are not the bottleneck — the setup design is. Genuine earliness
needs a fast opening-breakout trigger + more historical sessions to learn from.
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>
- discover_active_symbols: distinguish AUTH/entitlement failures (HTTP 401/403,
logged as ERROR, 'not no-movers') from transient/empty in the screener except.
- run_live_paper: the boot watchlist event records an explicit error when it
falls back (screener empty at boot) instead of looking like 'market quiet'.
- discovery.news_candidates: log DB faults instead of swallowing to [].
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>
- discover_active_symbols logs the screener error instead of swallowing silently.
- run_discovery records an explicit error when the universe is empty (surfaces in
the discovery event + Grafana).
- momentum doctor now FAILs when the latest discovery universe is 0 (the morning's
dead screener would have shown red within a minute).
- tests/unit/research/test_discovery.py: pins get_most_actives top<=100 and the
ETF/price-band filtering.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- discover_active_symbols requested get_most_actives(top*3); once screen_universe
used top*2 headroom for the ETF filter (top=20 -> 40 -> get_most_actives(120)),
this exceeded Alpaca's hard cap of 100 -> HTTP 400, swallowed by the bare
except -> discovery returned EMPTY every cycle. The live loop therefore traded
the static fallback list (non-gappers) instead of real movers all morning.
Fix: cap at min(top*3, 100). Verified: screen_universe now returns 20 real
sub-$20 names, ETF-filtered.
- Add ./momentum launcher (project venv) so 'momentum watch' works without the
full venv path ('python' on the box is the Windows pyenv shim, no deps).
67/67 tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- grafana/: docker-compose + provisioned Postgres datasource + 'Momentum — Live'
dashboard (evaluation board with status colours, ready signals, risk events,
bars + equity timeseries) reading the event store via JSONB extraction.
Run: cd grafana && docker compose up -d -> http://localhost:3000.
- RSS news-catalyst discovery wired: extract_tickers also matches $CASHTAGS;
run_discovery pulls tickers from recent news into the universe when NEWS_FEEDS
is set (no-op / safe otherwise).
- docs: .env.example NEWS_FEEDS; GO_LIVE monitoring adds 'momentum watch' + Grafana.
67/67 tests green. Live board (momentum watch) verified rendering the evaluation
board with real determinations.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
