feat(live): reconcile resting + orphan single-leg + circuit-breaker venue-lock + FEED_BOOK_GAP

Codice della tornata v1.1.27/28 (gia' in produzione, mai committato): - reconcile_account: estensione ordini RESTING (FILLED_UNBOOKED/MISSING/STALE, caso MR02_BTC: TP fillato di notte scoperto ore dopo) + expected_resting in books - strategy_worker: orphan_legs su REAL_CLOSE_PARTIAL anche single-leg, persistito - execution: circuit-breaker su venue-lock admin (stop ordini dopo errori ripetuti) - runner/hourly_report: alert FEED_BOOK_GAP + timestamp closed trades - cerbero_client: get_open_orders (merge all + trigger_all) Test: 12 nuovi, suite completa 126 passed. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
2026-06-12 20:29:02 +00:00
parent a2d581691a
commit 612f2bfced
11 changed files with 628 additions and 25 deletions
@@ -0,0 +1,73 @@
+"""Guard FEED_BOOK_GAP (2026-06-12): il feed candele e il book d'esecuzione possono
+divergere (MR02_BTC: fill reale a -443 bps dal sim; wick TP_PHANTOM il caso opposto).
+Alert per episodio con isteresi a soglia/2, fail-open su errori di rete."""
+import sys
+from pathlib import Path
+
+import pandas as pd
+
+sys.path.insert(0, str(Path(__file__).resolve().parents[2]))
+
+from src.portfolio import runner
+
+
+class _Client:
+    def __init__(self, marks):
+        self._marks = marks
+        self.calls = 0
+
+    def get_ticker_batch(self, instruments):
+        self.calls += 1
+        return {"tickers": [{"instrument_name": i, "mark_price": self._marks[i]}
+                            for i in instruments if i in self._marks]}
+
+
+class _Boom:
+    def get_ticker_batch(self, instruments):
+        raise RuntimeError("rete giu'")
+
+
+INSTR = {"BTC": "BTC_USDC-PERPETUAL"}
+
+
+def _feed(close):
+    return {"BTC": pd.DataFrame({"close": [100.0, close]})}
+
+
+def _events(monkeypatch):
+    sent = []
+    monkeypatch.setattr("src.live.telegram_notifier.notify_event",
+                        lambda ev, data: sent.append((ev, data)))
+    return sent
+
+
+def test_gap_alerts_once_per_episode(monkeypatch):
+    sent = _events(monkeypatch)
+    cl = _Client({"BTC_USDC-PERPETUAL": 60481.0})
+    alerted = set()
+    # feed a 63285 vs mark 60481 = il caso MR02 (~464 bps) -> alert, una volta sola
+    for _ in range(3):
+        runner._check_feed_book_gap(cl, _feed(63285.5), INSTR, 150.0, alerted)
+    assert len(sent) == 1 and sent[0][0] == "FEED_BOOK_GAP"
+    assert sent[0][1]["asset"] == "BTC" and sent[0][1]["gap_bps"] > 400
+
+
+def test_recovery_with_hysteresis(monkeypatch):
+    sent = _events(monkeypatch)
+    cl = _Client({"BTC_USDC-PERPETUAL": 60000.0})
+    alerted = {"BTC"}
+    # gap fra soglia/2 e soglia: NESSUN recovery (isteresi)
+    runner._check_feed_book_gap(cl, _feed(60000 * 1.0090), INSTR, 150.0, alerted)
+    assert sent == [] and "BTC" in alerted
+    # gap sotto soglia/2 -> RIENTRATO
+    runner._check_feed_book_gap(cl, _feed(60010.0), INSTR, 150.0, alerted)
+    assert len(sent) == 1 and sent[0][1].get("status") == "RIENTRATO"
+    assert "BTC" not in alerted
+
+
+def test_fail_open_and_no_instruments(monkeypatch):
+    sent = _events(monkeypatch)
+    runner._check_feed_book_gap(_Boom(), _feed(63285.5), INSTR, 150.0, set())
+    cl = _Client({"BTC_USDC-PERPETUAL": 60481.0})
+    runner._check_feed_book_gap(cl, {}, INSTR, 150.0, set())   # nessun feed
+    assert sent == [] and cl.calls == 0