momentum devandClaude Opus 4.8
9ab12bb3d6
Root cause of SSPC getting flattened on a mid-session restart (2026-06-24): flatten_overnight_carries built its today's-buy set from orders with status=="filled" only. But a marketable buy that PARTIALLY fills (SSPC: 84 of 88) cancels its unfilled remainder, so the order reads status=="canceled" even though it opened 84 real shares. The carry-detector saw "no filled buy today" for SSPC, tagged it an overnight carry, and market-closed a position opened ~6 min earlier. (Harmless this time — closed +$20 — but it could cut a runner or realize a loss.) Marketable orders partial-fill far more than resting limits, so flipping to marketable exposed this latent bug. Fix: extract buy_fills_from_orders() (runtime/flatten.py) that counts a buy as a real today-entry by filled_qty>0 + filled_at, NOT status=="filled" (scans legs too). flatten_overnight_carries uses it. Pure + unit-tested: partial-fill counts, full fill counts, zero-fill backout does not, and the partial-fill position is no longer flagged a carry. Note: only manifests on a mid-session restart (a clean session's EOD flatten leaves the book flat, so the open finds no carries). Deploys on next restart. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
80 lines
3.1 KiB
Python
80 lines
3.1 KiB
Python
"""Overnight-carry detection for the open catch-up flatten."""
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from datetime import date
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from runtime.flatten import buy_fills_from_orders, find_overnight_carries
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TODAY = date(2026, 6, 22)
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def _buy(sym, filled_at):
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return {"symbol": sym, "filled_at": filled_at}
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def test_position_bought_today_is_not_a_carry():
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# 14:00Z == 10:00 ET on 6/22 -> bought today
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carries = find_overnight_carries({"DAMD"}, [_buy("DAMD", "2026-06-22T14:00:00Z")], TODAY)
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assert carries == []
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def test_position_with_no_buy_today_is_a_carry():
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# only a prior-day buy -> carried overnight
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carries = find_overnight_carries({"ATPC"}, [_buy("ATPC", "2026-06-18T14:26:00Z")], TODAY)
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assert carries == ["ATPC"]
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def test_mixed_book_returns_only_carries():
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open_syms = {"ATPC", "DAMD", "NIXX"}
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fills = [
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_buy("ATPC", "2026-06-18T14:26:00Z"), # carry
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_buy("DAMD", "2026-06-22T14:34:00Z"), # today
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_buy("NIXX", "2026-06-22T14:00:00Z"), # today
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]
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assert find_overnight_carries(open_syms, fills, TODAY) == ["ATPC"]
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def test_late_utc_fill_maps_to_prior_et_day():
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# 01:00Z on 6/22 == 21:00 ET on 6/21 -> a prior session, so a carry
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carries = find_overnight_carries({"XYZ"}, [_buy("XYZ", "2026-06-22T01:00:00Z")], TODAY)
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assert carries == ["XYZ"]
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def test_no_open_positions_no_carries():
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assert find_overnight_carries(set(), [_buy("AAA", "2026-06-18T14:00:00Z")], TODAY) == []
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def test_open_with_no_fills_at_all_is_a_carry():
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# open but we have zero buy-fill records for it -> treat as carried (fail safe)
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assert find_overnight_carries({"GHOST"}, [], TODAY) == ["GHOST"]
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# --- buy_fills_from_orders: which orders count as a real today-entry ----------
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def test_partial_fill_then_canceled_buy_counts_as_a_fill():
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# SSPC-2026-06-24: marketable buy 88 filled 84, remainder canceled -> the
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# ORDER status reads 'canceled' but it opened 84 real shares. Must count.
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orders = [{"symbol": "SSPC", "side": "buy", "status": "canceled",
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"filled_qty": "84", "filled_at": "2026-06-24T13:38:54Z", "legs": None}]
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fills = buy_fills_from_orders(orders)
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assert [f["symbol"] for f in fills] == ["SSPC"]
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def test_fully_filled_buy_counts():
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orders = [{"symbol": "NOK", "side": "buy", "status": "filled",
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"filled_qty": "1000", "filled_at": "2026-06-24T13:37:18Z"}]
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assert [f["symbol"] for f in buy_fills_from_orders(orders)] == ["NOK"]
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def test_zero_fill_canceled_buy_is_not_a_fill():
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# a backed-out entry that never filled any shares -> NOT a today-entry
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orders = [{"symbol": "GRAB", "side": "buy", "status": "canceled",
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"filled_qty": "0", "filled_at": None}]
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assert buy_fills_from_orders(orders) == []
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def test_partial_fill_position_is_not_flattened_as_a_carry():
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# end-to-end: the partial fill makes the position "bought today" -> NOT a carry
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fills = buy_fills_from_orders(
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[{"symbol": "SSPC", "side": "buy", "status": "canceled", "filled_qty": "84",
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"filled_at": "2026-06-24T13:38:54Z"}])
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assert find_overnight_carries({"SSPC"}, fills, date(2026, 6, 24)) == []
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