momentum devandClaude Opus 4.8
842b54c802
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>
411 lines
21 KiB
Python
411 lines
21 KiB
Python
"""Live exit manager — actively manages OPEN positions per strategy/exits.
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The static bracket (fixed stop + fixed target) is replaced/augmented here with
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the SAME managed-exit rules the backtest swept (strategy/exits.manage_live):
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move the stop to breakeven, trail it, scale out, or exit on a first red candle.
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Critically, the stop is RATCHETED via a broker order REPLACE (PATCH), never a
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cancel — cancelling a bracket leg strips the protection (the naked-stop bug).
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Runs on the main loop (not the fast trigger thread): stops update off closed
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bars, so 10-15s cadence is plenty, and it keeps slow broker calls off the hot
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path.
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"""
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from __future__ import annotations
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import logging
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from dataclasses import dataclass
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import pandas as pd
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from runtime.flatten import cancel_protective_and_close
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from storage.event_schema import EventMode, RiskRuleTriggeredEvent
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from strategy.exits import ExitConfig, TRAIL_NONE, catastrophe_triggered, manage_live
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logger = logging.getLogger(__name__)
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@dataclass
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class _Tracked:
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entry_price: float
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init_stop: float # original opening-range-low stop (for the R math)
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entry_ts: object # timestamp we first saw the position (~entry)
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scaled: bool = False
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def _is_active(cfg: ExitConfig) -> bool:
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return bool(cfg and (cfg.breakeven_at_r or cfg.breakeven_at_pct
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or cfg.trail_mode != TRAIL_NONE
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or cfg.scale_out_r or cfg.first_red_exit
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or cfg.profit_lock_tiers or cfg.catastrophe_pct
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or cfg.enforce_stop_grace_passes))
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class LiveExitManager:
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def __init__(self, client, store, bars_fn, cfg: ExitConfig | None = None,
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session_id=None, mode: EventMode = EventMode.PAPER):
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self.client = client
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self.store = store
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self.bars_fn = bars_fn # (symbol) -> today's RTH minute bars DataFrame
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self.cfg = cfg or ExitConfig.from_env()
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self.session_id = session_id
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self.mode = mode
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self._tracked: dict[str, _Tracked] = {}
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self._naked_passes: dict[str, int] = {} # consecutive passes a held position had no live stop
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self._open_anchored: set[str] = set() # breakeven carries re-anchored to today's opening range
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# -- broker helpers ----------------------------------------------------
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# a bracket stop leg sits in these states once the entry has filled; it is a
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# child of the (now FILLED) entry, so a status="open" query misses it.
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_ACTIVE = {"held", "new", "accepted", "pending_new",
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"accepted_for_bidding", "partially_filled"}
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def _all_orders(self, symbols=None):
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# scope to the held symbols — Alpaca's `limit` keeps only the most-recent
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# orders, so on a busy day an unscoped query drops older positions' stop
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# legs and we'd misread a protected position as naked.
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try:
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return self.client.get_orders(status="all", limit=500, nested=True,
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symbols=list(symbols) if symbols else None)
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except Exception: # noqa: BLE001
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return None
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def _stop_leg(self, symbol: str, orders):
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"""(order_id, stop_price) of the live sell-stop protecting symbol.
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Uses pre-fetched ``orders`` (status="all" — the protective leg is a
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'held' child of the FILLED entry, which status="open" wouldn't surface).
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"""
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if orders is None:
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return (None, None)
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for o in orders:
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for c in [o, *(o.get("legs") or [])]:
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sym = c.get("symbol") or o.get("symbol")
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if (sym == symbol and c.get("type") in ("stop", "stop_limit")
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and c.get("side") == "sell"
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and c.get("status") in self._ACTIVE):
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sp = c.get("stop_price")
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return (c.get("id"), float(sp) if sp else None)
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return (None, None)
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def _flatten(self, symbol: str, orders) -> None:
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"""Market-close a position, cancelling its resting protective legs first.
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Delegates to the shared helper so the held-qty 403 fix lives in exactly
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one place (see runtime/flatten.py). ``orders`` is the pass's pre-fetched
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nested snapshot, reused to avoid a redundant fetch."""
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cancel_protective_and_close(self.client, symbol, orders=orders)
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def _market_open(self) -> bool:
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"""Broker clock — is the regular session open? A market FLATTEN can't fill
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when closed (it just churns submit/cancel every pass), so the naked-stop
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enforcement rests a protective stop instead while closed. Falls back to an
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ET wall-clock check if the clock call fails; assumes OPEN if even that fails
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(flatten is the safe intraday default)."""
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try:
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return bool(self.client.get_clock().get("is_open"))
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except Exception: # noqa: BLE001
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try:
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from datetime import datetime
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from zoneinfo import ZoneInfo
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now = datetime.now(ZoneInfo("America/New_York"))
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return now.weekday() < 5 and (9, 30) <= (now.hour, now.minute) and now.hour < 16
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except Exception: # noqa: BLE001
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return True
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def _rest_protective_stop(self, symbol: str, p: dict, entry: float, cur: float) -> float:
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"""Place a resting sell-stop on a NAKED long so it survives after-hours and
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guards the open — at BREAKEVEN when in profit; a catastrophe-distance stop just
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below market when underwater (a sell-stop can't sit above the last price).
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Returns the stop price placed."""
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qty = int(abs(float(p.get("qty") or 0)))
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if qty < 1: # degenerate qty: a 0-qty submit is
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return round(entry, 2) # rejected and would churn — bail
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# cur falsy (price missing / 0 after-hours) falls to the breakeven arm; a stop
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# at entry is below market when in profit and a safe floor otherwise.
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if cur and cur <= entry:
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pct = self.cfg.catastrophe_pct or 0.10
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stop_px = round(cur * (1 - pct), 2)
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else:
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stop_px = round(entry, 2) # breakeven
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self.client.submit_order(symbol=symbol, qty=qty, side="sell",
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order_type="stop", stop_price=stop_px, time_in_force="gtc")
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return stop_px
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def _entry_time(self, symbol: str, orders):
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"""UTC-naive fill time of the most recent FILLED buy entry for symbol."""
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if orders is None:
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return None
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best = None
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for o in orders:
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if (o.get("symbol") == symbol and o.get("side") == "buy"
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and float(o.get("filled_qty") or 0) > 0):
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ft = o.get("filled_at") or o.get("submitted_at")
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if not ft:
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continue
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try:
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ts = pd.Timestamp(ft)
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if ts.tzinfo is not None:
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ts = ts.tz_convert("UTC").tz_localize(None)
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except Exception: # noqa: BLE001
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continue
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if best is None or ts > best:
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best = ts
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return best
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def _emit(self, symbol: str, message: str, rule: str, state: dict) -> None:
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from datetime import datetime
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self.store.emit(RiskRuleTriggeredEvent(
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timestamp=datetime.now(), mode=self.mode, correlation_id=self.session_id,
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message=message, rule_type=rule, rule_value=0.0,
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current_state={"symbol": symbol, **state}, action_taken=rule,
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))
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# -- main pass ---------------------------------------------------------
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def manage(self) -> list[str]:
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if not _is_active(self.cfg):
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return [] # static bracket — broker OCO handles it, nothing to do
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try:
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positions = self.client.get_positions()
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except Exception: # noqa: BLE001
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return []
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held = {p.get("symbol"): p for p in positions if p.get("symbol")}
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for sym in list(self._tracked): # stop tracking closed names
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if sym not in held:
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self._tracked.pop(sym, None)
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self._open_anchored.discard(sym)
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if not held:
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return []
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# fetch the orders snapshot ONCE per pass (status="all" is the heavy call;
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# reuse it for every position's stop-leg + entry-time lookups), scoped to
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# the held symbols so a busy day's order volume can't truncate the legs.
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orders = self._all_orders(held.keys())
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mkt_open = self._market_open() # once per pass — gates flatten-vs-rest + trailing
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actions: list[str] = []
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for sym, p in held.items():
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entry = float(p.get("avg_entry_price") or 0.0)
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cur = float(p.get("current_price") or 0.0)
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is_long = str(p.get("side") or "long").lower() != "short"
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leg_id, cur_stop = self._stop_leg(sym, orders) # live protective sell-stop
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# CATASTROPHE STOP — the hard backstop, FIRST and unconditional. Runs on
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# EVERY held position, before the bars fetch and before the no-stop skip
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# below — the exact NIVF case (ran to -23% with no live stop = ~the
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# entire net loss). Doesn't depend on bars.
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if (self.cfg.catastrophe_pct and entry > 0 and cur > 0 and is_long
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and catastrophe_triggered(entry, cur, cur_stop,
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self.cfg.catastrophe_pct,
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self.cfg.catastrophe_risk_mult)):
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loss_pct = (entry - cur) / entry * 100
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try:
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if mkt_open:
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self._flatten(sym, orders)
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self._emit(sym, f"CATASTROPHE exit {sym} @~{cur:.4f} "
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f"({loss_pct:.1f}% below entry)", "exit_catastrophe",
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{"price": cur, "entry": entry, "stop": cur_stop})
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actions.append(f"{sym} CATASTROPHE-exit @{cur:.2f} (-{loss_pct:.0f}%)")
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elif cur_stop is None:
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# closed + naked: a market flatten can't fill — rest a protective
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# stop below market so it fires at the open instead of churning.
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stop_px = self._rest_protective_stop(sym, p, entry, cur)
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self._emit(sym, f"CATASTROPHE protect {sym} @{stop_px:.2f} (market "
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f"closed — rested a stop, {loss_pct:.1f}% below entry)",
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"exit_catastrophe", {"price": cur, "entry": entry, "stop": stop_px})
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actions.append(f"{sym} CATASTROPHE rest-stop @{stop_px:.2f} (closed)")
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else:
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# closed but already has a stop — it fires at the open; don't
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# market-churn and don't double up the protection.
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continue
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self._tracked.pop(sym, None)
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self._naked_passes.pop(sym, None)
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except Exception as exc: # noqa: BLE001
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logger.warning("catastrophe enforcement failed %s: %s", sym, exc)
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continue
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# STOP ENFORCEMENT — a held position MUST have a live protective stop.
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# If the bracket's stop leg never attached or was stripped (NAKED), the
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# old code SILENTLY SKIPPED management and let it run to EOD (NIVF).
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# Flatten after a short grace (consecutive passes) so a just-filled
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# bracket's legs can attach first.
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grace = self.cfg.enforce_stop_grace_passes
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if grace and entry > 0 and leg_id is None:
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n = self._naked_passes.get(sym, 0) + 1
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self._naked_passes[sym] = n
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if n >= grace:
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try:
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if mkt_open:
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# session open: a market flatten fills — the safe exit.
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self._flatten(sym, orders)
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self._emit(sym, f"naked-stop enforced exit {sym} "
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f"(no live stop, {n} passes)", "exit_naked_stop",
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{"passes": n, "price": cur, "entry": entry})
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actions.append(f"{sym} naked-stop exit (no live stop)")
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else:
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# closed: a market sell can't fill (it just churns every
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# pass) — REST a protective stop so the position survives
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# to the open protected, and the next pass sees the stop
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# and stops enforcing.
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stop_px = self._rest_protective_stop(sym, p, entry, cur)
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self._emit(sym, f"naked-stop PROTECT {sym} @{stop_px:.2f} "
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f"(market closed — rested a stop, {n} passes)",
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"exit_naked_stop", {"passes": n, "stop": stop_px,
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"entry": entry})
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actions.append(f"{sym} rested protective stop @{stop_px:.2f} (closed)")
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self._tracked.pop(sym, None)
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except Exception as exc: # noqa: BLE001
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logger.warning("naked-stop enforcement failed %s: %s", sym, exc)
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self._naked_passes.pop(sym, None)
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continue # don't run trail logic on a naked position
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self._naked_passes.pop(sym, None) # has a live stop
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# TRAILING runs only while the session is OPEN: after-hours there are no new
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# highs to trail under, and a resting GTC stop is often not replaceable yet
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# ("accepted" status -> Alpaca 422 on replace), so attempting it just churns.
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# The stop stays protective; it ratchets up at the open.
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if not mkt_open:
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continue
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try:
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bars = self.bars_fn(sym)
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except Exception: # noqa: BLE001
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continue
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if bars is None or len(bars) == 0:
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continue
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if sym not in self._tracked:
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if cur_stop is None:
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continue # naked — handled by the enforcement above
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# trail from the ACTUAL entry fill time (so high-water/R reflect
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# the move since entry, not since we first noticed the position)
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entry_ts = self._entry_time(sym, orders) or _last_ts(bars)
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if cur_stop >= entry:
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# stop is at/above entry (breakeven reached, OR the original R was
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# lost — stripped/invalid), so there's no real risk distance to trail
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# from. RE-ANCHOR the +0.25R ladder to TODAY's opening range (ref =
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# the open, R = the OR height) so it tracks today's move, not the stale
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# overnight entry. Until the OR forms, trail off a synthetic R off
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# entry, then re-anchor. Only ever ratchets UP. 0 = leave it frozen.
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if not self.cfg.default_trail_r_pct:
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continue
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anchor = _open_range_anchor(bars)
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if anchor:
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ref, init, entry_ts = anchor
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self._open_anchored.add(sym)
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else:
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ref, init = entry, entry * (1.0 - self.cfg.default_trail_r_pct)
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self._tracked[sym] = _Tracked(ref, init, entry_ts)
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else:
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self._tracked[sym] = _Tracked(entry, cur_stop, entry_ts)
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elif (sym not in self._open_anchored and cur_stop is not None
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and cur_stop >= entry and self.cfg.default_trail_r_pct):
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# tracked on the synthetic R before the opening range formed — re-anchor
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# to the OR now that it has (one-shot; the stop only ratchets up).
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anchor = _open_range_anchor(bars)
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if anchor:
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ref, init, ots = anchor
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self._tracked[sym] = _Tracked(ref, init, ots)
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self._open_anchored.add(sym)
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tr = self._tracked[sym]
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since = _bars_since(bars, tr.entry_ts)
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if len(since) == 0:
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# no completed bar since the entry fill yet: the old whole-day fallback
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# fed manage_live PRE-entry bars, so its high-water included the day's
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# HOD and the trail read as already breached on any name trading off
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# its high — instantly market-exiting fresh entries (3-second round
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# trips on 2026-07-06). The bracket's initial stop already protects
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# the position; do nothing until the first post-entry bar lands.
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continue
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d = manage_live(tr.entry_price, tr.init_stop, since, self.cfg, tr.scaled)
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# (1) first-red: exit the whole position now
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if d.exit_now:
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try:
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self._flatten(sym, orders)
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self._emit(sym, f"first-red exit {sym} @~mkt", "exit_first_red",
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{"reason": d.reason})
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actions.append(f"{sym} first-red exit")
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self._tracked.pop(sym, None)
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continue
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except Exception as exc: # noqa: BLE001
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logger.warning("first-red close failed %s: %s", sym, exc)
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# (2) scale-out a fraction into strength
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if d.scale_out_frac > 0 and not tr.scaled:
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qty = int(abs(float(p.get("qty") or 0)))
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sell = int(qty * d.scale_out_frac)
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if sell >= 1:
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try:
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self.client.close_position(sym, qty=sell)
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tr.scaled = True
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self._emit(sym, f"scaled out {sell} {sym}", "exit_scale_out",
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{"qty": sell})
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actions.append(f"{sym} scaled {sell}")
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except Exception as exc: # noqa: BLE001
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logger.warning("scale-out failed %s: %s", sym, exc)
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# (3) ratchet the protective stop UP (breakeven / trail) via replace
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leg_id, cur_stop = self._stop_leg(sym, orders)
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if cur_stop is not None and d.desired_stop > cur_stop + 0.01:
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last_px = float(p.get("current_price") or 0.0)
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if last_px > 0 and d.desired_stop >= last_px:
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# the trail is already BREACHED (price fell back through the
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# prior swing low) — a sell-stop above market would be
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# rejected, so exit at market now (this is the trail firing).
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try:
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self._flatten(sym, orders)
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self._emit(sym, f"trail breached, exit {sym} @~{last_px:.2f}",
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"exit_trail", {"trail": d.desired_stop, "price": last_px})
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actions.append(f"{sym} trail-exit @{last_px:.2f}")
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self._tracked.pop(sym, None)
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except Exception as exc: # noqa: BLE001
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logger.warning("trail exit failed %s: %s", sym, exc)
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elif leg_id:
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try:
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self.client.replace_order(leg_id, stop_price=round(d.desired_stop, 2))
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self._emit(sym, f"stop {sym} {cur_stop:.2f} -> {d.desired_stop:.2f}",
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"stop_moved", {"from": cur_stop, "to": d.desired_stop})
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actions.append(f"{sym} stop->{d.desired_stop:.2f}")
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except Exception as exc: # noqa: BLE001
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logger.warning("stop move failed %s: %s", sym, exc)
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return actions
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def _open_range_anchor(bars: pd.DataFrame, orb_bars: int = 5):
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"""Re-anchor a carried position's +0.25R trail to TODAY's OPENING RANGE: reference =
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the session open, R = the first ``orb_bars`` bars' high-low. So the step-trail ladders
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the stop up FROM THE OPEN (tracking today's move) instead of the stale overnight entry.
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Returns (ref, init_stop, open_ts), or None until the range has formed / if degenerate."""
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try:
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if bars is None or len(bars) < orb_bars:
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return None
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first = bars.iloc[:orb_bars]
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hi = float(first["high"].astype(float).max())
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lo = float(first["low"].astype(float).min())
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r = hi - lo
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if r <= 0:
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return None
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o = bars.iloc[0]
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ref = float(o["open"]) if "open" in bars.columns else float(o["close"])
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return (ref, ref - r, pd.Timestamp(o["timestamp"]))
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except Exception: # noqa: BLE001
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return None
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def _last_ts(bars: pd.DataFrame):
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try:
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return pd.Timestamp(bars["timestamp"].iloc[-1])
|
|
except Exception: # noqa: BLE001
|
|
return None
|
|
|
|
|
|
def _bars_since(bars: pd.DataFrame, ts) -> pd.DataFrame:
|
|
if ts is None or "timestamp" not in bars.columns:
|
|
return bars
|
|
try:
|
|
return bars[pd.to_datetime(bars["timestamp"]) >= pd.Timestamp(ts)].reset_index(drop=True)
|
|
except Exception: # noqa: BLE001
|
|
return bars
|