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>

src/live/basket_trend_worker.py

@@ -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

@@ -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

@@ -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

@@ -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

@@ -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:

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