momentum devandClaude Fable 5
8c62804808
eod_reconcile, backfill_journal and the admin health block were hardwired to AlpacaPaperClient — on a BROKER=tradier stack they would silently reconcile/report against the wrong broker. make_trading_client() honors BROKER env with no silent cross-broker fallback (missing Tradier keys => skip with reason, never fall back to Alpaca). Admin UI shows the active broker label; JSON key stays 'alpaca' for compatibility. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
120 lines
4.6 KiB
Python
120 lines
4.6 KiB
Python
#!/usr/bin/env python3
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"""One-time backfill of the trade journal from Alpaca's filled-order history.
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The live journal (position_closed events from the sync snapshot-diff) is
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forward-only, so past market days show 0 trades. This reconstructs every
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completed round-trip from order history and emits the matching position_closed
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events, timestamped (ET) at the exit fill so each lands on its own market day —
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populating per-day win-rate / avg-R / the trade list retroactively.
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Idempotent: re-running deletes prior backfill events first. Live-reconciled
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closes are left untouched (deduped by symbol + exit-minute).
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python backfill_journal.py --dry-run # preview, write nothing
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python backfill_journal.py # write the events
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"""
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from __future__ import annotations
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import argparse
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import json
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from datetime import datetime, timezone
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from zoneinfo import ZoneInfo
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from dotenv import load_dotenv
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ET = ZoneInfo("America/New_York")
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BACKFILL_TAG = "journal_backfill"
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def _to_et_naive(iso: str):
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"""Alpaca filled_at is UTC; store as naive ET to match the loop's clock and
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land each close on the correct market day."""
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try:
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dt = datetime.fromisoformat(str(iso).replace("Z", "+00:00"))
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if dt.tzinfo is None:
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dt = dt.replace(tzinfo=timezone.utc)
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return dt.astimezone(ET).replace(tzinfo=None)
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except (TypeError, ValueError):
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return None
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def main() -> None:
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ap = argparse.ArgumentParser(description=__doc__)
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ap.add_argument("--dry-run", action="store_true", help="preview, write nothing")
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args = ap.parse_args()
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load_dotenv()
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from storage.event_schema import EventMode, PositionClosedEvent
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from storage.event_store import EventStore
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from storage.journal_backfill import flatten_fills, reconstruct_round_trips
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from tradier_broker.factory import make_trading_client
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store = EventStore("momentum")
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client, label = make_trading_client()
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if client is None:
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raise SystemExit(f"[backfill_journal] {label} — aborting")
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raw = client.get_orders(status="closed", limit=500, nested=True)
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print(f"fetched {len(raw)} historical orders from {label}")
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trips = reconstruct_round_trips(flatten_fills(raw))
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print(f"reconstructed {len(trips)} completed round-trips")
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# existing closes: collect prior-backfill ids (to clear) and live keys (to skip)
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existing = store.query_events(event_type="position_closed", limit=None)
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prior_backfill = [e["id"] for e in existing if e.get("correlation_id") == BACKFILL_TAG]
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live_keys = set()
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for e in existing:
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if e.get("correlation_id") == BACKFILL_TAG:
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continue
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p = json.loads(e["payload_json"])
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live_keys.add((p.get("symbol"), str(e["timestamp"])[:16]))
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pending, by_day, skipped = [], {}, 0
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for t in trips:
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et = _to_et_naive(t["exit_time"])
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if et is None:
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continue
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if (t["symbol"], et.isoformat()[:16]) in live_keys:
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skipped += 1
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continue
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pending.append((t, et))
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d = by_day.setdefault(et.date().isoformat(), {"n": 0, "pnl": 0.0, "w": 0})
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d["n"] += 1
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d["pnl"] += t["realized_pnl"]
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d["w"] += 1 if t["realized_pnl"] > 0 else 0
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print("\nper market day:")
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for day in sorted(by_day):
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d = by_day[day]
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wr = (d["w"] / d["n"] * 100) if d["n"] else 0
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print(f" {day}: {d['n']:>3} trades win {wr:>3.0f}% pnl {d['pnl']:+.2f}")
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if skipped:
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print(f"(skipped {skipped} already journaled live)")
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if args.dry_run:
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print(f"\n[dry-run] would write {len(pending)} events (no changes made)")
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return
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if prior_backfill:
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store.con.execute(
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"DELETE FROM events WHERE event_type = 'position_closed' "
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"AND correlation_id = ?", [BACKFILL_TAG])
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print(f"cleared {len(prior_backfill)} prior backfill events")
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for t, et in pending:
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store.emit(PositionClosedEvent(
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timestamp=et, mode=EventMode.PAPER, correlation_id=BACKFILL_TAG,
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message=(f"[backfill] {t['symbol']} closed @ {t['exit_price']} "
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f"({t['exit_reason']}) pnl={t['realized_pnl']:+.2f}"),
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position_id=f"backfill-{t['symbol']}-{et.isoformat()}",
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symbol=t["symbol"], exit_price=t["exit_price"], exit_reason=t["exit_reason"],
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realized_pnl=t["realized_pnl"], entry_price=t["entry_price"],
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stop_loss_price=t["stop_loss_price"], side=t["side"], quantity=t["qty"],
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))
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print(f"\nemitted {len(pending)} position_closed events across {len(by_day)} market days")
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if __name__ == "__main__":
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main()
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