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>
130 lines
5.5 KiB
Python
130 lines
5.5 KiB
Python
"""Netting delle chiusure market (v1.1.25): close_amount tenta il reduce-only e
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riesegue il RESIDUO in market puro quando il netting di conto lo cappa/respinge
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(audit 2026-06-11: 3 gambe pairs orfane + 1 close cappato). Il chiamante riceve
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UN Fill combinato. Nessuna rete: _submit monkeypatchato."""
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from src.live.execution import ExecutionClient, Fill
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def _fill(inst, side, amount, filled, px, verified=True, state="filled", fee=0.05):
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return Fill(inst, side, 0.0, amount, px if filled else None, 0.0, fee,
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f"oid-{side}-{filled}", state, verified, filled_amount=filled)
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def _client_with(submits, allowance=float("inf")):
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"""ExecutionClient con _submit finto e guard del netting stubbato (il guard
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reale legge conto+libri via HTTP/filesystem; qui si inietta il gap)."""
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ec = ExecutionClient()
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calls = []
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def fake_submit(instrument, side, amount, notional, reduce_only, label=None,
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order_type="market", price=None):
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calls.append(dict(amount=amount, reduce_only=reduce_only, label=label))
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return submits.pop(0)(instrument, side, amount)
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ec._submit = fake_submit
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ec._net_close_allowance = lambda *a, **k: allowance
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return ec, calls
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INST = "ETH_USDC-PERPETUAL"
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def test_full_reduce_only_no_fallback():
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# caso normale: il reduce-only filla tutto -> NESSUN secondo ordine
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ec, calls = _client_with([
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lambda i, s, a: _fill(i, s, a, filled=a, px=1700.0),
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])
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f = ec.close_amount(INST, "sell", 0.103, label="w1")
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assert len(calls) == 1 and calls[0]["reduce_only"] is True
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assert f.verified and abs(f.filled_amount - 0.103) < 1e-9
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assert "netting" not in (f.notes or "")
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def test_capped_reduce_only_nets_residual():
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# reduce-only CAPPATO (filla 0.078 su 0.105) -> residuo 0.027 in market puro
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ec, calls = _client_with([
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lambda i, s, a: _fill(i, s, a, filled=0.078, px=1700.0),
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lambda i, s, a: _fill(i, s, a, filled=a, px=1702.0),
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])
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f = ec.close_amount(INST, "sell", 0.105, label="w1")
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assert len(calls) == 2
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assert calls[0]["reduce_only"] is True and calls[1]["reduce_only"] is False
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assert abs(calls[1]["amount"] - 0.027) < 1e-9
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assert calls[1]["label"] == "w1|net"
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assert f.verified and abs(f.filled_amount - 0.105) < 1e-9
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# prezzo medio pesato: (0.078*1700 + 0.027*1702) / 0.105
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exp_px = (0.078 * 1700.0 + 0.027 * 1702.0) / 0.105
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assert abs(f.fill_price - exp_px) < 1e-6
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assert abs(f.fee_usd - 0.10) < 1e-9 # fee sommate
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assert "netting" in f.notes
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def test_rejected_reduce_only_nets_full_amount():
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# reduce-only RESPINTO (error, 0 fill) -> tutto l'amount in market puro
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ec, calls = _client_with([
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lambda i, s, a: _fill(i, s, a, filled=0.0, px=None, verified=False, state="error", fee=0.0),
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lambda i, s, a: _fill(i, s, a, filled=a, px=1701.0),
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])
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f = ec.close_amount(INST, "buy", 0.027, label="pair")
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assert len(calls) == 2 and abs(calls[1]["amount"] - 0.027) < 1e-9
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assert f.verified and abs(f.filled_amount - 0.027) < 1e-9
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assert f.fill_price == 1701.0
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assert "netting" in f.notes
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def test_net_leg_also_fails_reports_partial():
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# anche il market puro fallisce -> Fill combinato NON verified, filled = solo r-o
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ec, calls = _client_with([
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lambda i, s, a: _fill(i, s, a, filled=0.05, px=1700.0),
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lambda i, s, a: _fill(i, s, a, filled=0.0, px=None, verified=False, state="error", fee=0.0),
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])
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f = ec.close_amount(INST, "sell", 0.105, label="w1")
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assert len(calls) == 2
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assert not f.verified
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assert abs(f.filled_amount - 0.05) < 1e-9 # solo il fillato vero nel ledger
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def test_stale_state_guard_blocks_naked_order():
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# quota gia' chiusa (DSL in outage / flatten manuale): reduce-only filla 0 e
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# il gap conto-vs-libri e' 0 -> NESSUN ordine market nudo (code-review 2026-06-11)
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ec, calls = _client_with([
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lambda i, s, a: _fill(i, s, a, filled=0.0, px=None, verified=False, state="error", fee=0.0),
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], allowance=0.0)
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f = ec.close_amount(INST, "buy", 0.105, label="w1")
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assert len(calls) == 1 # solo il reduce-only, niente fallback
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assert not f.verified and f.filled_amount == 0.0
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assert "netting NEGATO" in f.notes
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def test_guard_unknown_fails_safe():
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# guard non calcolabile (rete): FAIL-SAFE, niente ordine nudo
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ec, calls = _client_with([
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lambda i, s, a: _fill(i, s, a, filled=0.0, px=None, verified=False, state="error", fee=0.0),
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], allowance=None)
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f = ec.close_amount(INST, "buy", 0.105, label="w1")
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assert len(calls) == 1
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assert "non calcolabile" in f.notes
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def test_guard_caps_residual_to_allowance():
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# gap parziale: il residuo nudo e' cappato a quanto i libri giustificano
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ec, calls = _client_with([
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lambda i, s, a: _fill(i, s, a, filled=0.0, px=None, verified=False, state="error", fee=0.0),
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lambda i, s, a: _fill(i, s, a, filled=a, px=1700.0),
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], allowance=0.027)
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f = ec.close_amount(INST, "sell", 0.105, label="w1")
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assert len(calls) == 2
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assert abs(calls[1]["amount"] - 0.027) < 1e-9
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assert not f.verified # 0.027 < 0.105: chiusura parziale onesta
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assert abs(f.filled_amount - 0.027) < 1e-9
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def test_dust_residual_no_fallback():
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# residuo da artefatto float (1e-17): NON deve diventare un lotto minimo nudo
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ec, calls = _client_with([
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lambda i, s, a: _fill(i, s, a, filled=a - 1e-17, px=1700.0),
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])
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f = ec.close_amount(INST, "sell", 0.105, label="w1")
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assert len(calls) == 1
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assert f.verified
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