momentum devandClaude Fable 5.1
b5b38ab798
On 2026-10-02 the live bot bought 7 TNON at 4.62 and the Tradier sell-stop filled at 4.30 forty-nine seconds later, before a position record existed, so no position_closed event was written and the 80-trade scorecard silently dropped a -1R loser. The daily equity-vs-P&L gap ($2.31 that day, cents everywhere else) is what exposed it. load_trades now merges the journal with a cross-check of the broker's filled orders (account_orders_updated snapshots, one row per broker order id). For any session day and symbol with a filled buy and sell but no journaled close, reconstruct_missing synthesises the trade from the fills: fill VWAPs for entry/exit, the sell-stop's stop price for R. Such trades are labelled "[broker fill; journal missed]" and the daily report alerts on a same-day miss. The paper side of the exit A/B skips the check: that store's order snapshots run to 2.2 GB over the window and its Alpaca journal is reconciled by alpaca_paper/sync. Corrected test state: 16/80, mean R -0.08, realized +$0.91 (was 15/80, -0.02, +$3.15). Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01LXxioW7HA18AY1gqnzA2HN
63 lines
2.9 KiB
Python
63 lines
2.9 KiB
Python
"""Live-test scorecard: pure verdict / drift logic."""
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from research.live_scorecard import config_drift, load_freeze, verdict
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def test_running_until_target():
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assert verdict([0.5] * 10, 5.0, 0, target=80).startswith("RUNNING: 10/80")
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def test_floor_halt_fails_immediately():
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assert verdict([2.0] * 100, 50.0, 1).startswith("FAIL: the equity floor")
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def test_pass_needs_positive_r_and_pnl():
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assert verdict([0.2] * 80, 10.0, 0).startswith("PASS")
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assert verdict([0.2] * 80, -1.0, 0).startswith("FAIL")
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assert verdict([-0.1] * 80, 5.0, 0).startswith("FAIL")
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def test_drift_ignores_safety_knobs_and_catches_new_strategy_keys():
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frozen = {"TRADING_EXIT_TRAIL_PCT": "0.12", "TRADING_EQUITY_FLOOR": "215"}
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current = {"TRADING_EXIT_TRAIL_PCT": "0.12", "TRADING_EQUITY_FLOOR": "190",
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"TRIGGER_GAP_MAX": "40", "OLLAMA_MODEL": "x"}
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assert config_drift(frozen, current) == {"TRIGGER_GAP_MAX": (None, "40")}
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def test_freeze_file_is_valid():
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f = load_freeze()
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assert f["frozen_on"] == "2026-09-29"
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assert f["settings"]["TRADING_EXIT_TRAIL_PCT"] == "0.12"
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def _fill(ts, sym, side, typ, qty, price, stop=None):
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return {"ts": ts, "symbol": sym, "side": side, "type": typ, "qty": qty, "price": price, "stop": stop}
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def test_reconstruct_missing_counts_the_tnon_style_trade():
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# 2026-10-02: bought 7 TNON @4.62, sell-stop 4.30 filled 49 s later, no position_closed ever written
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from research.live_scorecard import reconstruct_missing
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fills = [_fill("2026-10-02 09:38:40", "TNON", "buy", "limit", 7, 4.62),
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_fill("2026-10-02 09:39:30", "TNON", "sell", "stop", 7, 4.30, stop=4.30),
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# a journaled trade the same day must NOT be duplicated
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_fill("2026-10-02 10:28:10", "CYCU", "buy", "limit", 5, 3.27),
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_fill("2026-10-02 10:40:05", "CYCU", "sell", "stop", 5, 4.32, stop=4.33)]
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journal = [{"ts": "2026-10-02 10:40:03", "symbol": "CYCU", "pnl": 5.25, "r": 1.8,
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"reason": "stop_loss", "source": "journal"}]
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out = reconstruct_missing(fills, journal)
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assert [t["symbol"] for t in out] == ["TNON"]
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t = out[0]
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assert t["pnl"] == -2.24 and abs(t["r"] + 1.0) < 1e-9
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assert t["source"] == "broker" and t["reason"].startswith("stop_loss")
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assert str(t["ts"]).startswith("2026-10-02 09:39")
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def test_reconstruct_missing_ignores_one_sided_and_journaled_days():
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from research.live_scorecard import reconstruct_missing
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fills = [_fill("2026-10-05 09:36:30", "SBS", "buy", "limit", 5, 6.33), # still open: no sell
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_fill("2026-10-06 11:10:00", "AIFA", "buy", "limit", 4, 7.425),
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_fill("2026-10-06 11:10:30", "AIFA", "sell", "market", 4, 7.88)] # journaled below
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journal = [{"ts": "2026-10-06 11:10:31", "symbol": "AIFA", "pnl": 1.82, "r": 0.6,
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"reason": "stop_loss", "source": "journal"}]
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assert reconstruct_missing(fills, journal) == []
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