Adriano Dal Pastro
14522262e6
Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
74 lines
2.4 KiB
Python
74 lines
2.4 KiB
Python
"""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
|