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

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>

tests/portfolio/test_basket_worker.py

@@ -28,3 +28,32 @@ def test_basket_persists_and_resumes(tmp_path):
     w.tick({"AAA": _ramp_df(slope=1.0)})
     w2 = BasketTrendWorker(universe=["AAA"], tf="4h", capital=1000.0, data_dir=tmp_path)
     assert w2.positions["AAA"] == 1.0          # stato ripreso da status.json
+
+
+def _ramp_df_now(n=300, slope=1.0, forming_close=None):
+    """Serie 4h che termina ADESSO: l'ultima riga e' la candela IN FORMAZIONE."""
+    import time
+    c = np.linspace(100, 100 + slope * n, n)
+    if forming_close is not None:
+        c = c.copy()
+        c[-1] = forming_close
+    bar = 4 * 3_600_000
+    now_ms = int(time.time() * 1000)
+    ts = now_ms - bar * np.arange(n - 1, -1, -1)
+    return pd.DataFrame({"timestamp": ts, "open": c, "high": c, "low": c, "close": c, "volume": 1.0})
+
+
+def test_basket_ignores_forming_bar(tmp_path):
+    # downtrend su barre COMPLETE (target flat); la candela in formazione e' un
+    # spike estremo che flipperebbe EMA20>EMA100 se contata -> va ignorata.
+    w = BasketTrendWorker(universe=["AAA"], tf="4h", capital=1000.0, data_dir=tmp_path)
+    w.tick({"AAA": _ramp_df_now(slope=-0.3, forming_close=1e6)})
+    assert w.positions["AAA"] == 0.0
+
+
+def test_basket_fee_includes_leverage(tmp_path):
+    # flip 0->1: fee = cap * POS * LEV * fee_rt/2 (reference honest_improve2:150)
+    w = BasketTrendWorker(universe=["AAA"], tf="4h", capital=1000.0, data_dir=tmp_path)
+    w.tick({"AAA": _ramp_df(slope=1.0)})
+    expected = 1000.0 - 1000.0 * w.position_size * w.leverage * (w.fee_rt / 2)
+    assert np.isclose(w.capital, expected)

tests/portfolio/test_pairs_forming_bar.py

@@ -0,0 +1,41 @@
+"""PairsWorker: entry/exit valutati SOLO su barre COMPLETE (lezione EXIT-16)."""
+import time
+
+import numpy as np
+import pandas as pd
+
+from src.live.pairs_worker import PairsWorker
+
+
+def _pair_dfs(n=80, jump=0.05, forming=True):
+    """Log-ratio = rumore alternato ±0.001 (z ~ ±1, nessun segnale) tranne l'ULTIMA
+    barra, dove un salto `jump` del ratio porta z >> z_in (e dr <= jump_max).
+    Con forming=True la serie termina ADESSO -> l'ultima riga e' in formazione."""
+    r = 0.001 * np.array([(-1) ** i for i in range(n)], dtype=float)
+    r[-1] = jump
+    ca = 100.0 * np.exp(r)
+    cb = np.full(n, 100.0)
+    if forming:
+        now_ms = int(time.time() * 1000)
+        ts = now_ms - 3_600_000 * np.arange(n - 1, -1, -1)
+    else:
+        ts = (pd.date_range("2024-01-01", periods=n, freq="1h", tz="UTC").astype("int64") // 10**6)
+    dfa = pd.DataFrame({"timestamp": ts, "close": ca})
+    dfb = pd.DataFrame({"timestamp": ts, "close": cb})
+    return dfa, dfb
+
+
+def test_pairs_opens_on_completed_extreme_bar(tmp_path):
+    # controllo: la stessa barra estrema, se COMPLETA, apre (z >= z_in, short ratio)
+    w = PairsWorker("AAA", "BBB", "1h", data_dir=tmp_path)
+    dfa, dfb = _pair_dfs(forming=False)
+    w.tick(dfa, dfb)
+    assert w.in_position and w.direction == -1
+
+
+def test_pairs_ignores_forming_bar(tmp_path):
+    # la stessa barra estrema IN FORMAZIONE va ignorata: nessun ingresso
+    w = PairsWorker("AAA", "BBB", "1h", data_dir=tmp_path)
+    dfa, dfb = _pair_dfs(forming=True)
+    w.tick(dfa, dfb)
+    assert not w.in_position

tests/portfolio/test_rotation_worker.py

@@ -30,3 +30,27 @@ def test_rotation_persists_and_resumes(tmp_path):
     w.tick({"BTC": _df(slope=1.0), "AAA": _df(slope=3.0)})
     w2 = RotationWorker(universe=["BTC", "AAA"], top_k=1, gross=0.45, data_dir=tmp_path)
     assert w2.weights == w.weights
+
+
+def test_rotation_warns_once_on_short_panel(tmp_path, monkeypatch):
+    # worker GIA' operativo + panel troncato -> WARN (una sola notifica per episodio)
+    calls = []
+    monkeypatch.setattr("src.live.telegram_notifier.notify_event",
+                        lambda e, d=None: calls.append(e))
+    w = RotationWorker(universe=["BTC", "AAA"], data_dir=tmp_path)
+    w.last_bar_ts = 123                       # era gia' operativo
+    short = {"BTC": _df(n=20), "AAA": _df(n=20)}
+    w.tick(short)
+    w.tick(short)                              # dedup: niente seconda notifica
+    assert calls == ["PANEL_SHORT"]
+    w.tick({"BTC": _df(n=200), "AAA": _df(n=200)})   # recovery resetta il dedup
+    assert w._panel_warned is False
+
+
+def test_rotation_no_warn_on_cold_start(tmp_path, monkeypatch):
+    calls = []
+    monkeypatch.setattr("src.live.telegram_notifier.notify_event",
+                        lambda e, d=None: calls.append(e))
+    w = RotationWorker(universe=["BTC", "AAA"], data_dir=tmp_path)   # last_bar_ts=0
+    w.tick({"BTC": _df(n=20), "AAA": _df(n=20)})
+    assert calls == []

tests/portfolio/test_tsmom_worker.py

@@ -31,3 +31,14 @@ def test_tsmom_persists_and_resumes(tmp_path):
     w.tick({"BTC": _df(slope=1.0), "AAA": _df(slope=2.0)})
     w2 = TsmomWorker(universe=["BTC", "AAA"], gross=0.30, data_dir=tmp_path)
     assert w2.weights == w.weights
+
+
+def test_tsmom_warns_on_short_panel(tmp_path, monkeypatch):
+    # worker GIA' operativo + panel sotto need=253 -> WARN invece di silent return
+    calls = []
+    monkeypatch.setattr("src.live.telegram_notifier.notify_event",
+                        lambda e, d=None: calls.append(e))
+    w = TsmomWorker(universe=["BTC", "AAA"], gross=0.30, data_dir=tmp_path)
+    w.last_bar_ts = 123
+    w.tick({"BTC": _df(n=100), "AAA": _df(n=100)})
+    assert calls == ["PANEL_SHORT"] and w._panel_warned