Adriano Dal Pastro
612f2bfced
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>
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
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divergere (MR02_BTC: fill reale a -443 bps dal sim; wick TP_PHANTOM il caso opposto).
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Alert per episodio con isteresi a soglia/2, fail-open su errori di rete."""
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import sys
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from pathlib import Path
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import pandas as pd
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sys.path.insert(0, str(Path(__file__).resolve().parents[2]))
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from src.portfolio import runner
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class _Client:
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def __init__(self, marks):
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self._marks = marks
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self.calls = 0
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def get_ticker_batch(self, instruments):
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self.calls += 1
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return {"tickers": [{"instrument_name": i, "mark_price": self._marks[i]}
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for i in instruments if i in self._marks]}
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class _Boom:
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def get_ticker_batch(self, instruments):
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raise RuntimeError("rete giu'")
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INSTR = {"BTC": "BTC_USDC-PERPETUAL"}
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def _feed(close):
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return {"BTC": pd.DataFrame({"close": [100.0, close]})}
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def _events(monkeypatch):
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sent = []
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monkeypatch.setattr("src.live.telegram_notifier.notify_event",
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lambda ev, data: sent.append((ev, data)))
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return sent
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def test_gap_alerts_once_per_episode(monkeypatch):
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sent = _events(monkeypatch)
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cl = _Client({"BTC_USDC-PERPETUAL": 60481.0})
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alerted = set()
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# feed a 63285 vs mark 60481 = il caso MR02 (~464 bps) -> alert, una volta sola
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for _ in range(3):
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runner._check_feed_book_gap(cl, _feed(63285.5), INSTR, 150.0, alerted)
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assert len(sent) == 1 and sent[0][0] == "FEED_BOOK_GAP"
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assert sent[0][1]["asset"] == "BTC" and sent[0][1]["gap_bps"] > 400
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def test_recovery_with_hysteresis(monkeypatch):
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sent = _events(monkeypatch)
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cl = _Client({"BTC_USDC-PERPETUAL": 60000.0})
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alerted = {"BTC"}
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# gap fra soglia/2 e soglia: NESSUN recovery (isteresi)
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runner._check_feed_book_gap(cl, _feed(60000 * 1.0090), INSTR, 150.0, alerted)
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assert sent == [] and "BTC" in alerted
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# gap sotto soglia/2 -> RIENTRATO
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runner._check_feed_book_gap(cl, _feed(60010.0), INSTR, 150.0, alerted)
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assert len(sent) == 1 and sent[0][1].get("status") == "RIENTRATO"
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assert "BTC" not in alerted
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def test_fail_open_and_no_instruments(monkeypatch):
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sent = _events(monkeypatch)
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runner._check_feed_book_gap(_Boom(), _feed(63285.5), INSTR, 150.0, set())
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cl = _Client({"BTC_USDC-PERPETUAL": 60481.0})
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runner._check_feed_book_gap(cl, {}, INSTR, 150.0, set()) # nessun feed
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assert sent == [] and cl.calls == 0
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