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 +1,79 @@
+"""Orfani single-leg (2026-06-12): un close fallito/cappato registra la quota
+residua in orphan_legs (parita' coi pairs) cosi' il reconciler la conta come
+drift SPIEGATO — prima il REAL_CLOSE_PARTIAL di MR07 (0.102 ETH nel lock testnet)
+lasciava drift non spiegato. Nessuna rete: executor finto."""
+import json
+from types import SimpleNamespace
+
+from src.live.execution import Fill
+from src.live.strategy_worker import StrategyWorker
+from src.strategies.base import Signal
+from src.live import books
+
+
+class FailingCloseExec:
+    """Apre ok, chiude con fill ZERO (venue locked / netting negato)."""
+    verify_polls = 1
+    verify_sleep = 0.0
+    disaster_sl_pct = None
+
+    def open(self, instrument, side, notional, label=None):
+        amt = round(notional / 100.0, 6)
+        return Fill(instrument, side, notional, amt, 100.0, 0.0, 0.05,
+                    "oid-open", "filled", True, filled_amount=amt)
+
+    def place_tp_limit(self, *a, **k):
+        return Fill("x", "sell", 0.0, 0.0, None, 0.0, 0.0, None, None, False)
+
+    def cancel_order(self, oid):
+        return {"state": "cancelled"}
+
+    def resting_fills(self, instrument, oid):
+        return 0.0, None, 0.0
+
+    def close_amount(self, instrument, side, amount, label=None):
+        return Fill(instrument, "sell", 0.0, amount, None, 0.0, 0.0,
+                    None, "error", False, notes="place_order error: locked_by_admin",
+                    filled_amount=0.0)
+
+
+def _worker(tmp_path):
+    return StrategyWorker(
+        strategy=SimpleNamespace(name="MR07_return_reversal", fee_rt=0.001),
+        asset="ETH", tf="1h", capital=100.0, position_size=0.5, leverage=2.0,
+        data_dir=tmp_path, executor=FailingCloseExec(),
+        exec_instrument="ETH_USDC-PERPETUAL")
+
+
+def test_failed_close_registers_orphan(tmp_path, monkeypatch):
+    monkeypatch.setattr("src.live.strategy_worker.notify_event", lambda *a, **k: None)
+    w = _worker(tmp_path)
+    w._open_position(Signal(idx=0, direction=1, entry_price=100.0,
+                            metadata={"max_bars": 12}), 100.0)
+    amt = w.real_amount
+    assert w.real_in_position and amt > 0
+    w._close_position(105.0, "time_limit")
+    assert not w.real_in_position
+    assert len(w.orphan_legs) == 1
+    o = w.orphan_legs[0]
+    assert o["instrument"] == "ETH_USDC-PERPETUAL"
+    assert o["entry_side"] == "buy" and abs(o["amount"] - amt) < 1e-9
+
+    # persistito nello status (resume-safe) e visto da books.real_books
+    st = json.loads((tmp_path / w.worker_id / "status.json").read_text())
+    assert st["orphan_legs"] == w.orphan_legs
+    monkeypatch.setattr(books, "PAPER", tmp_path)
+    _, orphans = books.real_books()
+    assert abs(orphans["ETH_USDC-PERPETUAL"] - amt) < 1e-9   # buy = firmato +
+
+
+def test_clean_close_no_orphan(tmp_path, monkeypatch):
+    monkeypatch.setattr("src.live.strategy_worker.notify_event", lambda *a, **k: None)
+    w = _worker(tmp_path)
+    w.executor.close_amount = lambda instrument, side, amount, label=None: Fill(
+        instrument, "sell", 0.0, amount, 105.0, 0.0, 0.05, "oid-close",
+        "filled", True, filled_amount=amount)
+    w._open_position(Signal(idx=0, direction=1, entry_price=100.0,
+                            metadata={"max_bars": 12}), 100.0)
+    w._close_position(105.0, "time_limit")
+    assert w.orphan_legs == []