chore(reset): v2.0.0 — storico certificato Deribit mainnet, ripartenza pulita

Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
2026-06-19 15:16:03 +00:00
parent 8401a280b9
commit 14522262e6
383 changed files with 1971 additions and 779 deletions
@@ -0,0 +1,133 @@
+"""Reconcile degli ordini RESTING (2026-06-12): TP/DSL attesi dai libri vs ordini
+in book + fill non bookati (caso MR02_BTC: TP resting fillato di notte e disaster-SL
+sparito, scoperti solo al close sim ore dopo). Nessuna rete: client stubbato,
+PAPER puntato su tmp_path."""
+import json
+import sys
+from pathlib import Path
+
+sys.path.insert(0, str(Path(__file__).resolve().parents[2]))
+
+from src.live import books
+
+
+class _Client:
+    def __init__(self, open_orders=None, trades=None):
+        self._oo = open_orders or []
+        self._tr = trades or []
+
+    def get_open_orders(self, currency="USDC", type="all"):
+        # merge 'all'+'trigger_all' nel chiamante: qui si ritorna tutto due volte
+        return self._oo
+
+    def get_trade_history(self, limit=100, instrument_name=None):
+        return [t for t in self._tr
+                if not instrument_name or t["instrument"] == instrument_name]
+
+
+def _mk_worker(root: Path, wid: str, st: dict):
+    d = root / wid
+    d.mkdir(parents=True)
+    (d / "status.json").write_text(json.dumps(st))
+
+
+def _setup(tmp_path, monkeypatch, statuses: dict):
+    root = tmp_path / "portfolio_paper"
+    for wid, st in statuses.items():
+        _mk_worker(root, wid, st)
+    monkeypatch.setattr(books, "PAPER", root)
+    import importlib
+    ra = importlib.import_module("scripts.analysis.reconcile_account")
+    monkeypatch.setattr(ra, "PAPER", root)
+    return ra
+
+
+IN_POS = {"real_in_position": True, "real_tp_order_id": "TP-1",
+          "real_dsl_order_id": "DSL-1"}
+
+
+def test_expected_resting_reads_single_leg(tmp_path, monkeypatch):
+    _setup(tmp_path, monkeypatch, {
+        "MR01_bollinger_fade__ETH__1h": IN_POS,
+        # pairs e worker flat: NESSUN resting atteso
+        "PR01_pairs_reversion__ETH_BTC__1h": {"real_in_position": True,
+                                              "real_amount_a": 0.1},
+        "MR02_donchian_fade__BTC__1h": {"real_in_position": False,
+                                        "real_tp_order_id": "TP-9"},
+    })
+    exp = books.expected_resting()
+    assert {(e["order_id"], e["kind"]) for e in exp} == {("TP-1", "tp"), ("DSL-1", "dsl")}
+    assert all(e["instrument"] == "ETH_USDC-PERPETUAL" for e in exp)
+
+
+def test_resting_ok_when_on_book(tmp_path, monkeypatch):
+    ra = _setup(tmp_path, monkeypatch, {"MR01_bollinger_fade__ETH__1h": IN_POS})
+    cl = _Client(open_orders=[{"order_id": "TP-1", "label": "MR01_bollinger_fade__ETH__1h"},
+                              {"order_id": "DSL-1", "label": "MR01_bollinger_fade__ETH__1h"}])
+    rows = ra.compute_resting_drift(cl)
+    assert [r["status"] for r in rows] == ["OK", "OK"]
+
+
+def test_resting_filled_unbooked_vs_missing(tmp_path, monkeypatch):
+    # TP sparito dal book MA con fill nel trade history -> FILLED_UNBOOKED (caso MR02);
+    # DSL sparito senza fill (trigger genera order_id nuovo) -> MISSING
+    ra = _setup(tmp_path, monkeypatch, {"MR01_bollinger_fade__ETH__1h": IN_POS})
+    cl = _Client(open_orders=[],
+                 trades=[{"instrument": "ETH_USDC-PERPETUAL", "order_id": "TP-1",
+                          "amount": 0.103, "price": 1640.6}])
+    by_kind = {r["kind"]: r for r in ra.compute_resting_drift(cl)}
+    assert by_kind["tp"]["status"] == "FILLED_UNBOOKED"
+    assert abs(by_kind["tp"]["filled"] - 0.103) < 1e-9
+    assert by_kind["dsl"]["status"] == "MISSING"
+
+
+def test_resting_stale_order_from_flat_worker(tmp_path, monkeypatch):
+    # ordine in book con label di un NOSTRO worker flat -> STALE (fillerebbe a sorpresa);
+    # ordini di altri bot (label sconosciuta) ignorati
+    ra = _setup(tmp_path, monkeypatch, {
+        "MR01_bollinger_fade__ETH__1h": {"real_in_position": False}})
+    cl = _Client(open_orders=[
+        {"order_id": "OLD-7", "label": "MR01_bollinger_fade__ETH__1h",
+         "instrument": "ETH_USDC-PERPETUAL", "order_type": "limit"},
+        {"order_id": "X-1", "label": "altro_bot", "instrument": "ETH_USDC-PERPETUAL"},
+    ])
+    rows = ra.compute_resting_drift(cl)
+    assert len(rows) == 1
+    assert rows[0]["status"] == "STALE" and rows[0]["order_id"] == "OLD-7"
+
+
+def _age(root: Path, wid: str, minutes: float):
+    """Invecchia lo status.json di un worker di `minutes` minuti (mtime)."""
+    import os
+    p = root / wid / "status.json"
+    t = p.stat().st_mtime - minutes * 60
+    os.utime(p, (t, t))
+
+
+def test_stale_real_position_flagged(tmp_path, monkeypatch):
+    # worker con posizione reale ma status.json vecchio = non gestito (caso
+    # MR02_BTC 1h ritirato dallo swap a 15m mentre short reale)
+    ra = _setup(tmp_path, monkeypatch, {
+        "MR02_donchian_fade__BTC__1h": {"real_in_position": True, "real_amount": 0.0028,
+                                        "real_side": "sell"}})
+    _age(ra.PAPER, "MR02_donchian_fade__BTC__1h", 800)
+    stale = ra.compute_stale_real_positions(max_age_min=15)
+    assert len(stale) == 1
+    assert stale[0]["worker"] == "MR02_donchian_fade__BTC__1h"
+    assert stale[0]["real_amount"] == 0.0028
+
+
+def test_fresh_real_position_not_flagged(tmp_path, monkeypatch):
+    # worker vivo (status.json appena scritto) NON e' stantio anche se in posizione
+    ra = _setup(tmp_path, monkeypatch, {
+        "SH01_shape_ml__ETH__1h": {"real_in_position": True, "real_amount": 0.053,
+                                   "real_side": "sell"}})
+    assert ra.compute_stale_real_positions(max_age_min=15) == []
+
+
+def test_flat_stale_worker_not_flagged(tmp_path, monkeypatch):
+    # worker vecchio MA flat: niente posizione reale -> non e' un orfano
+    ra = _setup(tmp_path, monkeypatch, {
+        "MR01_bollinger_fade__BTC__1h": {"real_in_position": False, "real_amount": 0.0}})
+    _age(ra.PAPER, "MR01_bollinger_fade__BTC__1h", 800)
+    assert ra.compute_stale_real_positions(max_age_min=15) == []