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