momentum devandClaude Opus 4.8
e74539d449
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>
48 lines
1.7 KiB
Python
48 lines
1.7 KiB
Python
"""Alpaca paper-trading settings."""
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from __future__ import annotations
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import os
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from dataclasses import dataclass
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@dataclass(frozen=True)
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class AlpacaPaperSettings:
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api_key: str = ""
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secret_key: str = ""
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trading_base_url: str = "https://paper-api.alpaca.markets"
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data_base_url: str = "https://data.alpaca.markets"
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# live realtime feed. IEX is free + realtime but THIN (~2-5% of true volume),
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# which corrupts every rvol / $-volume decision computed off it.
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feed: str = "iex"
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# historical/backfill feed. SIP is the consolidated tape (full volume) — use
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# it for backtests/backfill so rvol & $-volume reflect reality. SIP realtime
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# has a ~15-min embargo on free plans, which is why live stays on `feed`.
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backfill_feed: str = "sip"
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@classmethod
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def from_env(cls, env: dict[str, str] | None = None) -> "AlpacaPaperSettings":
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values = dict(os.environ)
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if env is not None:
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values.update(env)
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api_key = values.get("ALPACA_API_KEY") or values.get("APCA_API_KEY_ID") or ""
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secret = (
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values.get("ALPACA_SECRET_KEY")
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or values.get("APCA_API_SECRET_KEY")
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or ""
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)
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base = values.get("APCA_API_BASE_URL", "https://paper-api.alpaca.markets")
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feed = values.get("ALPACA_DATA_FEED", "iex")
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backfill_feed = values.get("ALPACA_BACKFILL_FEED", "sip")
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return cls(
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api_key=api_key,
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secret_key=secret,
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trading_base_url=base.rstrip("/"),
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feed=feed,
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backfill_feed=backfill_feed,
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)
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@property
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def is_configured(self) -> bool:
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return bool(self.api_key and self.secret_key)
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