Adriano Dal Pastro
429fa01c97
Da audit live (3 indagini parallele, diario 2026-06-11-system-audit.md): il modello quote-per-worker reduce-only si rompe con direzioni opposte sullo stesso strumento (pairs long ETH vs fade short ETH) — close cappati bookati pieni, 3 gambe pairs mai eseguite col PnL sim nel ledger reale, conto short 0.027 ETH oltre i libri (riallineato a mano + DSL orfano cancellato). - Fill.filled_amount (order.filled_amount): TUTTI i ledger usano il fillato reale - REAL_CLOSE_PARTIAL (log+alert) su close cappato; residuo orfano dichiarato - pairs: PnL solo per gambe verificate; gamba respinta -> orphan_legs persistito + alert PAIR_LEG_ORPHAN; applied solo con entrambe le gambe (else sim_fallback) - REAL_DIVERGENCE anche su jsonl (prima solo Telegram) - runner: tick isolato per-worker + WORKER_ERROR_STREAK a 5 fail consecutivi Strutturale APERTO (decisione utente, opzioni nel diario): position-manager centrale / sotto-conti per famiglia / status-quo monitorato. Test: +2 (partial-close, orphan-leg), fixture filled_amount -> 106 passed. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
106 lines
3.7 KiB
Python
106 lines
3.7 KiB
Python
"""TP_PHANTOM (2026-06-11): il tocco TP che esiste solo nel feed (spike-print testnet)
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NON deve chiudere — il LIMIT resting sul book reale e' l'oracolo: zero fill + prezzo
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lontano dal livello = wick fantasma -> exit soppressa. Con fill reale (anche parziale),
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o prezzo realmente oltre il livello, o worker senza esecuzione -> comportamento storico."""
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import pandas as pd
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from src.live.strategy_worker import StrategyWorker
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from src.live.strategy_loader import load_strategy
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def _df(last_high, last_low, n=120, price=100.0):
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c = [price] * n
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h = [price] * n
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l = [price] * n
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h[-1] = last_high
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l[-1] = last_low
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ts = (pd.date_range("2024-01-01", periods=n, freq="1h", tz="UTC").astype("int64") // 10**6)
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return pd.DataFrame({"timestamp": ts, "open": c, "high": h, "low": l, "close": c, "volume": 1.0})
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class _FakeExecutor:
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"""Solo cio' che serve al gate + alla _real_close di un eventuale exit."""
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def __init__(self, tp_filled_amount=0.0):
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self.tp_filled_amount = tp_filled_amount
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self.verify_polls = 1
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self.verify_sleep = 0.0
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def resting_fills(self, instrument, order_id):
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return self.tp_filled_amount, 102.0 if self.tp_filled_amount else None, 0.0
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def cancel_order(self, order_id):
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return {"state": "cancelled"}
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def close_amount(self, instrument, side, amount, label=""):
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class F:
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verified = True
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amount = 0.01
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filled_amount = 0.01
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fill_price = 100.0
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fee_usd = 0.01
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order_id = "X"
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return F()
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def _long_worker(tmp, executor=None):
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w = StrategyWorker(strategy=load_strategy("MR01_bollinger_fade"), asset="BTC", tf="1h",
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capital=1000.0, data_dir=tmp,
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executor=executor,
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exec_instrument="BTC_USDC-PERPETUAL" if executor else None)
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w._notify = lambda *a, **k: None
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w.in_position = True
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w.direction = 1
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w.entry_price = 100.0
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w.tp = 102.0
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w.sl = 98.0
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w.max_bars = 24
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w.bars_held = 1
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w.last_bar_ts = 0
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if executor:
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w.real_in_position = True
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w.real_side = "buy"
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w.real_amount = 0.01
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w.real_entry_price = 100.0
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w.real_entry_notional = 1.0
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w.real_tp_order_id = "TP-1"
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return w
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def test_phantom_touch_suppressed(tmp_path):
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# wick a 102.5 nel feed, resting zero-fill, close 100 lontano dal TP -> NON chiude
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w = _long_worker(tmp_path, executor=_FakeExecutor(tp_filled_amount=0.0))
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w.tick(_df(last_high=102.5, last_low=99.5))
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assert w.in_position
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assert w.real_in_position
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def test_real_fill_closes(tmp_path):
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# stesso wick ma il resting HA fillato -> tocco reale -> chiude
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w = _long_worker(tmp_path, executor=_FakeExecutor(tp_filled_amount=0.01))
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w.tick(_df(last_high=102.5, last_low=99.5))
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assert not w.in_position
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def test_price_beyond_tp_closes_without_fill(tmp_path):
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# close corrente OLTRE il TP (gap fra poll): tocco genuino anche a zero fill
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w = _long_worker(tmp_path, executor=_FakeExecutor(tp_filled_amount=0.0))
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df = _df(last_high=103.0, last_low=99.5)
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df.loc[df.index[-1], "close"] = 102.6
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w.tick(df)
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assert not w.in_position
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def test_no_executor_keeps_legacy_behavior(tmp_path):
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# worker senza esecuzione reale: il gate non si applica (parita' storica)
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w = _long_worker(tmp_path, executor=None)
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w.tick(_df(last_high=102.5, last_low=99.5))
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assert not w.in_position
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def test_phantom_does_not_block_other_exits(tmp_path):
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# tocco TP fantasma E max_bars raggiunto nello stesso tick -> esce a time_limit
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w = _long_worker(tmp_path, executor=_FakeExecutor(tp_filled_amount=0.0))
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w.bars_held = 24
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w.tick(_df(last_high=102.5, last_low=99.5))
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assert not w.in_position
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