momentum devandClaude Opus 4.8
e8533446b2
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>
105 lines
4.2 KiB
Python
105 lines
4.2 KiB
Python
"""Live exit manager: ratchet the stop UP via replace (never cancel = never naked)."""
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import pandas as pd
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from runtime.exit_manager import LiveExitManager
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from storage.event_store import EventStore
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from strategy.exits import ExitConfig, TRAIL_PRIOR_LOW
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class _FakeBroker:
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def __init__(self, positions, stop_leg):
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self._positions = positions
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self._stop_leg = stop_leg
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self.replaced = []
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self.closed = []
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self.canceled = []
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def get_positions(self):
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return self._positions
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def get_orders(self, status="open", limit=200, nested=True, symbols=None):
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return [self._stop_leg]
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def replace_order(self, order_id, stop_price=None, **kw):
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self.replaced.append((order_id, stop_price))
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return {"id": order_id}
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def cancel_order(self, order_id):
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self.canceled.append(order_id)
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def close_position(self, symbol, qty=None, percentage=None):
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self.closed.append((symbol, qty))
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return {"id": "c"}
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def _bars(seq):
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base = pd.Timestamp("2026-06-17 13:30:00")
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return pd.DataFrame([
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{"timestamp": base + pd.Timedelta(minutes=i), "high": h, "low": lo, "close": c}
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for i, (h, lo, c) in enumerate(seq)
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])
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def test_manager_ratchets_stop_up_and_never_cancels():
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store = EventStore(":memory:")
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pos = [{"symbol": "AAA", "avg_entry_price": "10.0", "qty": "100"}]
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leg = {"id": "stop1", "symbol": "AAA", "type": "stop", "side": "sell",
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"stop_price": "9.0", "status": "held"}
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broker = _FakeBroker(pos, leg)
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bars = _bars([(10.5, 9.8, 10.4), (11.5, 10.5, 11.4), (12.2, 11.5, 12.0)])
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mgr = LiveExitManager(
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broker, store, lambda s: bars,
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cfg=ExitConfig(breakeven_at_r=1.0, trail_mode=TRAIL_PRIOR_LOW, trail_after_r=1.0),
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session_id="t",
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)
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mgr.manage()
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assert broker.replaced, "expected the stop to be moved up"
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order_id, new_stop = broker.replaced[-1]
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assert order_id == "stop1" and new_stop > 9.0 # ratcheted UP
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assert broker.canceled == [] # never cancels the protective leg
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def test_flatten_cancels_protective_orders_then_closes():
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"""A market close is rejected while the bracket legs hold the qty
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(held_for_orders). _flatten must cancel the protective sells FIRST, then
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liquidate — otherwise the trail/first-red exit 403s every pass forever."""
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class _HeldBroker:
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def __init__(self):
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self.canceled = []
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self.closed = []
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self._held = True # qty locked by the resting protective orders
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def close_position(self, symbol, qty=None, percentage=None):
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if self._held:
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raise RuntimeError("403 insufficient qty available for order")
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self.closed.append(symbol)
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return {"id": "c"}
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def cancel_order(self, order_id):
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self.canceled.append(order_id)
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self._held = False # releasing the legs frees the shares
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broker = _HeldBroker()
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mgr = LiveExitManager(broker, EventStore(":memory:"), lambda s: None,
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cfg=ExitConfig(trail_mode=TRAIL_PRIOR_LOW), session_id="t")
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orders = [
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{"symbol": "AAA", "side": "sell", "status": "held", "type": "stop", "id": "stop1"},
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{"symbol": "AAA", "side": "sell", "status": "new", "type": "limit", "id": "tp1"},
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{"symbol": "BBB", "side": "sell", "status": "held", "type": "stop", "id": "other"},
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]
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mgr._flatten("AAA", orders)
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assert set(broker.canceled) == {"stop1", "tp1"} # released AAA's qty (not BBB's)
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assert broker.closed == ["AAA"] # then liquidated
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def test_manager_noop_for_static_bracket():
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# no active rules -> the broker OCO handles everything; manager does nothing
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broker = _FakeBroker([{"symbol": "AAA", "avg_entry_price": "10", "qty": "100"}],
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{"id": "s", "symbol": "AAA", "type": "stop", "side": "sell",
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"stop_price": "9", "status": "held"})
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mgr = LiveExitManager(broker, EventStore(":memory:"), lambda s: _bars([(11, 10, 10.9)]),
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cfg=ExitConfig(target_r=2.0), session_id="t")
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assert mgr.manage() == []
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assert not broker.replaced and not broker.closed
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