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fix(live): StrategyWorker esce intrabar su TP/SL (high/low, al livello) come il backtest

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Chiude il gap live-vs-backtest delle fade/DIP01: prima il worker controllava solo il
close, ora controlla high/low della barra ed esce AL LIVELLO tp/sl (SL prioritario),
identico alla semantica intrabar del backtest. +4 test. Pairs/rotation/tsmom invariati.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
AdrianoDev
2026-05-29 18:00:12 +02:00
parent 9e91ad6335
commit 49039ac286
3 changed files with 70 additions and 10 deletions
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src/live/strategy_worker.py
+12 -9
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@@ -210,6 +210,8 @@ class StrategyWorker:
c = df["close"].values
current_price = float(c[-1])
bar_high = float(df["high"].iloc[-1])
bar_low = float(df["low"].iloc[-1])
current_ts = int(df["timestamp"].iloc[-1])
ts = pd.to_datetime(df["timestamp"], unit="ms", utc=True)
@@ -219,19 +221,20 @@ class StrategyWorker:
self.last_bar_ts = current_ts
if self.tp and self.sl:
# Exit guidati dalla strategia: SL (conservativo, prima), poi TP, poi time-limit
# Exit INTRABAR come il backtest: si controllano high/low della barra (non solo il
# close) e si esce AL LIVELLO tp/sl. SL prima (conservativo), poi TP, poi time-limit.
if self.direction == 1:
if current_price <= self.sl:
self._close_position(current_price, "stop_loss")
elif current_price >= self.tp:
self._close_position(current_price, "take_profit")
if bar_low <= self.sl:
self._close_position(self.sl, "stop_loss")
elif bar_high >= self.tp:
self._close_position(self.tp, "take_profit")
elif self.max_bars and self.bars_held >= self.max_bars:
self._close_position(current_price, "time_limit")
else:
if current_price >= self.sl:
self._close_position(current_price, "stop_loss")
elif current_price <= self.tp:
self._close_position(current_price, "take_profit")
if bar_high >= self.sl:
self._close_position(self.sl, "stop_loss")
elif bar_low <= self.tp:
self._close_position(self.tp, "take_profit")
elif self.max_bars and self.bars_held >= self.max_bars:
self._close_position(current_price, "time_limit")
elif self.bars_held >= self.hold_bars: