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

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>
2026-05-29 18:00:12 +02:00
parent 9e91ad6335
commit 49039ac286
3 changed files with 70 additions and 10 deletions
@@ -0,0 +1,56 @@
+"""Fix gap intrabar: lo StrategyWorker esce su TP/SL toccati INTRABAR (high/low della barra),
+al livello, come il backtest — non solo quando il close supera il livello."""
+import pandas as pd
+from src.live.strategy_worker import StrategyWorker
+from src.live.strategy_loader import load_strategy
+
+
+def _df(last_high, last_low, n=120, price=100.0):
+    c = [price] * n
+    h = [price] * n
+    l = [price] * n
+    h[-1] = last_high
+    l[-1] = last_low
+    ts = (pd.date_range("2024-01-01", periods=n, freq="1h", tz="UTC").astype("int64") // 10**6)
+    return pd.DataFrame({"timestamp": ts, "open": c, "high": h, "low": l, "close": c, "volume": 1.0})
+
+
+def _long_worker(tmp):
+    w = StrategyWorker(strategy=load_strategy("MR01_bollinger_fade"), asset="BTC", tf="1h",
+                       capital=1000.0, data_dir=tmp)
+    w._notify = lambda *a, **k: None
+    w.in_position = True
+    w.direction = 1
+    w.entry_price = 100.0
+    w.tp = 102.0
+    w.sl = 98.0
+    w.max_bars = 24
+    w.bars_held = 1
+    w.last_bar_ts = 0
+    return w
+
+
+def test_long_exits_at_tp_on_intrabar_high(tmp_path):
+    w = _long_worker(tmp_path)
+    # close=100 (dentro la banda) ma high tocca 102.5 -> con il fix esce a TP
+    w.tick(_df(last_high=102.5, last_low=99.5))
+    assert not w.in_position
+
+
+def test_long_exits_at_sl_on_intrabar_low(tmp_path):
+    w = _long_worker(tmp_path)
+    w.tick(_df(last_high=100.5, last_low=97.0))      # low sotto SL -> stop
+    assert not w.in_position
+
+
+def test_long_holds_when_bar_within_band(tmp_path):
+    w = _long_worker(tmp_path)
+    w.tick(_df(last_high=101.0, last_low=99.0))       # né TP né SL toccati -> resta in posizione
+    assert w.in_position
+
+
+def test_sl_has_priority_over_tp_same_bar(tmp_path):
+    w = _long_worker(tmp_path)
+    # barra che tocca SIA tp(102) SIA sl(98): conservativo -> SL prima
+    w.tick(_df(last_high=103.0, last_low=97.0))
+    assert not w.in_position                          # uscito (allo stop, ramo SL valutato per primo)