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fix(live): parita' worker multi-asset — TR01 fee x leva, forming-bar su TR01/Pairs, WARN panel corto

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Punti 2-4 dell'improvement-sweep 2026-06-06 (fix di parita', nessun cambio di strategia):

- TR01 (basket_trend_worker): fee per flip = POS * LEV * fee_rt/2 come il reference
  honest_improve2._tr_basket_daily:150 (mancava il fattore leva -> fee sotto-caricate 2x,
  bias ottimistico che gonfiava total_capital al ribilancio).
- TR01: crossover EMA e booking del return valutati SOLO su barre 4h COMPLETE
  (la riga -1 e' la candela in corso finche' non e' trascorsa la sua durata) — lezione
  EXIT-16; evidenza live: flip SOL 0->1->0 in 59min nella stessa finestra 4h.
- PairsWorker: entry ED exit valutati sul close di barra COMPLETA, come il backtest
  pairs_research (close settled). Stesso pattern bar_ms di strategy_worker.tick.
- TSM01/ROT02: il silent return su panel inner-join troncato sotto il lookback ora
  emette WARN log + Telegram PANEL_SHORT (helper _warn_panel_short condiviso), gated
  su "era gia' operativo" (no falsi positivi al cold-start), una notifica per episodio.

Test: 72/72 verdi (7 nuovi: forming-bar TR01/pairs + controllo positivo, fee con leva,
PANEL_SHORT warn/dedup/cold-start). Replay parity: validate_worker_pairs ESATTO
(ETH/BTC e BTC/LTC == backtest); validate_honest_workers invariato (TR01 -44% vs ref
+42% IDENTICO pre/post fix: e' la divergenza di convenzione capitale-unico vs
media-equity gia' documentata, da rivisitare a parte).

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-06-07 08:23:19 +00:00
parent 9ce43031ee
commit 3909646028
9 changed files with 164 additions and 5 deletions
Download Patch File Download Diff File Expand all files Collapse all files
src/live/basket_trend_worker.py
+18 -3
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@@ -3,6 +3,7 @@ Replica live di honest_improve2._tr_basket_daily."""
from __future__ import annotations
import json
import time
from datetime import datetime, timezone
from pathlib import Path
@@ -52,21 +53,35 @@ class BasketTrendWorker:
"ts": datetime.now(timezone.utc).isoformat()}, indent=2))
def tick(self, data: dict):
now_ms = int(time.time() * 1000)
rets = []
for a in self.universe:
df = data.get(a)
if df is None or len(df) < 110:
if df is None or len(df) < 111:
continue
# Scarta la barra 4h IN FORMAZIONE (la riga -1 e' la candela in corso
# finche' non e' trascorsa la sua durata): crossover EMA e booking del
# return valutati SOLO su barre COMPLETE, come il reference
# honest_improve2._tr_basket_daily (lezione EXIT-16; evidenza live: flip
# SOL 0->1->0 in 59min nella stessa finestra 4h, -9.3% di glitch).
ts_arr = df["timestamp"].values.astype("int64")
bar_ms = int(np.median(np.diff(ts_arr[-50:]))) if len(ts_arr) > 1 else 0
c = df["close"].values
if bar_ms and now_ms < int(ts_arr[-1]) + bar_ms:
c, ts_arr = c[:-1], ts_arr[:-1]
if len(c) < 110:
continue
ef, es = _ema(c, 20)[-1], _ema(c, 100)[-1]
target = 1.0 if ef > es else 0.0
bar_ts = int(df["timestamp"].iloc[-1])
bar_ts = int(ts_arr[-1])
prev = self.positions[a]
if self.last_bar_ts[a] and bar_ts > self.last_bar_ts[a] and prev > 0:
r = (c[-1] - c[-2]) / c[-2]
rets.append(self.position_size * self.leverage * r * prev)
if target != prev:
self.capital -= self.capital * self.position_size * (self.fee_rt / 2) * abs(target - prev) / len(self.universe)
# fee = FEE_RT/2 * LEV come il reference (honest_improve2.py:150):
# il notional e' leveraged, la fee si paga sul notional
self.capital -= self.capital * self.position_size * self.leverage * (self.fee_rt / 2) * abs(target - prev) / len(self.universe)
self._log(a, prev, target, float(c[-1]))
self.positions[a] = target
self.last_bar_ts[a] = bar_ts
src/live/pairs_worker.py
+9
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@@ -16,6 +16,7 @@ Stato persistente (resume al restart) e log come StrategyWorker.
from __future__ import annotations
import json
import time
from datetime import datetime, timezone
from pathlib import Path
@@ -178,6 +179,14 @@ class PairsWorker:
m = df_a[["timestamp", "close"]].rename(columns={"close": "ca"}).merge(
df_b[["timestamp", "close"]].rename(columns={"close": "cb"}), on="timestamp", how="inner"
).sort_values("timestamp").reset_index(drop=True)
# Scarta la barra IN FORMAZIONE (la riga -1 e' la candela in corso finche'
# non e' trascorsa la sua durata): entry ED exit valutati SOLO sul close di
# barra COMPLETA, come il backtest (pairs_research: close settled) —
# lezione EXIT-16 (strategy_worker.tick).
ts_arr = m["timestamp"].values.astype("int64")
bar_ms = int(np.median(np.diff(ts_arr[-50:]))) if len(ts_arr) > 1 else 0
if bar_ms and int(time.time() * 1000) < int(ts_arr[-1]) + bar_ms:
m = m.iloc[:-1]
if len(m) < self.n + 2:
return
ca, cb = m["ca"].values, m["cb"].values
src/live/rotation_worker.py
+25 -1
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@@ -29,6 +29,25 @@ def _panel(data: dict, universe: list):
return panel, cols
def _warn_panel_short(worker_id: str, panel, cols: list, need: int,
last_bar_ts: int, already_warned: bool) -> bool:
"""WARN (log + Telegram) quando il panel inner-join e' troncato sotto il lookback
richiesto e tick() salterebbe in SILENZIO (worker inerte senza segnale di vita).
Gated su last_bar_ts != 0 ("era gia' operativo") per evitare falsi positivi al
cold-start; una notifica per episodio. Ritorna il nuovo flag warned."""
if not last_bar_ts: # mai stato operativo: cold-start, non un guasto
return already_warned
if already_warned:
return True
from src.live.telegram_notifier import notify_event
got = 0 if panel is None else len(panel)
msg = {"worker": worker_id, "panel_rows": got, "need": need,
"assets": cols or "nessuno (BTC mancante?)"}
print(f" [{worker_id}] WARN panel corto: {got}/{need} righe — tick saltato")
notify_event("PANEL_SHORT", msg)
return True
class RotationWorker:
def __init__(self, universe, lookback=60, top_k=3, gross=0.45, regime_n=100,
tf="1d", capital=1000.0, fee_rt=FEE_RT, name="ROT02_rot",
@@ -50,6 +69,7 @@ class RotationWorker:
self.weights = {a: 0.0 for a in self.universe}
self.last_bar_ts = 0
self.in_position = False
self._panel_warned = False # dedup WARN panel corto (per episodio, non persistito)
self._load()
def _load(self):
@@ -67,9 +87,13 @@ class RotationWorker:
"ts": datetime.now(timezone.utc).isoformat()}, indent=2))
def tick(self, data: dict):
need = max(self.lookback + 1, self.regime_n + 1)
panel, cols = _panel(data, self.universe)
if panel is None or len(panel) < max(self.lookback + 1, self.regime_n + 1) or "BTC" not in cols:
if panel is None or len(panel) < need or "BTC" not in cols:
self._panel_warned = _warn_panel_short(
self.worker_id, panel, cols, need, self.last_bar_ts, self._panel_warned)
return
self._panel_warned = False
P = panel[cols].values
bar_ts = int(panel["timestamp"].iloc[-1])
# 1) realizza il rendimento dei pesi correnti sull'ultima barra chiusa
src/live/telegram_notifier.py
+2
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@@ -19,6 +19,8 @@ NOTIFY_EVENTS = {
"REAL_OPEN_FAIL", # un'apertura reale NON si e' verificata (problema da guardare)
"STALE_FEED", # feed flat/fermo da >= N barre 1h (worker ciechi: il prossimo
# prezzo reale puo' gappare, come ETH 2026-06-05 1655->1600)
"PANEL_SHORT", # TSM01/ROT02: panel inner-join troncato sotto il lookback
# richiesto -> tick() salterebbe in SILENZIO (worker inerte)
}
src/live/tsmom_worker.py
+5 -1
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@@ -9,7 +9,7 @@ from pathlib import Path
import numpy as np
import pandas as pd
from src.live.rotation_worker import _panel, FEE_RT
from src.live.rotation_worker import _panel, _warn_panel_short, FEE_RT
class TsmomWorker:
@@ -33,6 +33,7 @@ class TsmomWorker:
self.weights = {a: 0.0 for a in self.universe}
self.last_bar_ts = 0
self.in_position = False
self._panel_warned = False # dedup WARN panel corto (per episodio, non persistito)
self._load()
def _load(self):
@@ -53,7 +54,10 @@ class TsmomWorker:
need = max(max(self.horizons) + 1, self.regime_n + 1)
panel, cols = _panel(data, self.universe)
if panel is None or len(panel) < need or "BTC" not in cols:
self._panel_warned = _warn_panel_short(
self.worker_id, panel, cols, need, self.last_bar_ts, self._panel_warned)
return
self._panel_warned = False
P = panel[cols].values
bar_ts = int(panel["timestamp"].iloc[-1])
if self.last_bar_ts and bar_ts > self.last_bar_ts: