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fix: harden shadow book against book leakage (review of ba2df8b)

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Review of the shadow book found seven ways the two books could leak into
each other; all are fixed here. The most serious silently invalidated the
comparison the shadow book exists to make.

- Shadow holdings no longer suppress the manual candidate list. The
  open-trade exclusion filtered on any book, so shadow taking the
  top-ranked names removed exactly those from the user's list and alerts,
  confining the discretionary book to leftovers. Scoped to the manual
  book. Closed-trade alerts and paper-book equity were leaking the same
  way and are likewise scoped.

- Shadow sizing now matches _simulate_portfolio: min(1% risk, 20% notional
  cap, available cash) from marked equity, plus the sub- dust guard.
  Previously risk-only from realized equity, so a tight stop produced a
  multiples-of-equity leveraged position the strategy would never take.

- Shadow only trades setups from the scan that just ran (<6h old) with one
  setup per ticker. A failed or disabled scan step could otherwise open
  positions from a prior session at stale prices.

- Gate-reset transitions are observed for both books, so a shadow stop-out
  completes fail -> requalify instead of staying locked forever.

- Manual list/close endpoints default to the manual book and reject
  hand-closing shadow trades; the performance endpoint is scoped to the
  caller so 'your picks' is not every user's book.

- run_shadow_book is registered as a paused job so Admin can trigger it.

Also anchors three pre-existing paper-trade tests (and the new alpaca
window test) on the UTC date. They build fixtures from the local date but
the service stamps opened_at in UTC, so they failed only between 00:00 and
02:00 in a UTC+hh timezone -- latent on ba2df8b, exposed by the clock.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
dennisthiessen
2026-07-21 09:11:14 +02:00
co-authored by Claude Fable 5
parent ba2df8b9fd
commit 247a92a89f
11 changed files with 434 additions and 66 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/unit/test_paper_trade_service.py
+23 -13
View File
@@ -16,6 +16,16 @@ from app.services import paper_trade_service as svc
from tests.conftest import _test_session_factory # type: ignore
def _today() -> date:
"""UTC date — trades are stamped in UTC, so fixtures must use it too.
``date.today()`` is local; in a UTC+hh timezone it runs a day ahead between
midnight and the offset, which silently desynchronises bar and benchmark
fixtures from the UTC ``opened_at`` the service reads.
"""
return datetime.now(timezone.utc).date()
@pytest.fixture
async def session():
async with _test_session_factory() as s:
@@ -30,7 +40,7 @@ async def _seed(session, symbol: str, close: float) -> int:
t = Ticker(symbol=symbol)
session.add(t)
await session.flush()
session.add(OHLCVRecord(ticker_id=t.id, date=date.today(),
session.add(OHLCVRecord(ticker_id=t.id, date=_today(),
open=close, high=close, low=close, close=close, volume=1))
await session.commit()
return t.id
@@ -51,7 +61,7 @@ async def test_create_and_list_open(session):
async def test_create_trade_enforces_post_stop_gate_reset_at_service_boundary(session):
blocked_id = await _seed(session, "LOCKQ", close=100.0)
released_id = await _seed(session, "FREEQ", close=100.0)
today = date.today()
today = _today()
def stopped_trade(ticker_id: int, *, gate_reset_complete: bool) -> PaperTrade:
closed_on = today - timedelta(days=10)
@@ -167,7 +177,7 @@ async def test_resolve_closes_on_target(session):
trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
entry_price=100.0, shares=10, stop_loss=95.0, target=110.0)
# later bars: a day that trades up through 110
await _add_bars(session, tid, [(103, 101), (111, 108)], start=date.today())
await _add_bars(session, tid, [(103, 101), (111, 108)], start=_today())
closed = await svc.resolve_open_trades(session)
assert closed == 1
await session.refresh(trade)
@@ -180,7 +190,7 @@ async def test_resolve_closes_on_stop(session):
tid = await _seed(session, "AAA", close=100.0)
trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
entry_price=100.0, shares=10, stop_loss=95.0, target=110.0)
await _add_bars(session, tid, [(101, 94)], start=date.today()) # low pierces stop
await _add_bars(session, tid, [(101, 94)], start=_today()) # low pierces stop
closed = await svc.resolve_open_trades(session)
assert closed == 1
await session.refresh(trade)
@@ -192,7 +202,7 @@ async def test_resolve_leaves_open_when_neither_hit(session):
tid = await _seed(session, "AAA", close=100.0)
await svc.create_trade(session, 1, symbol="AAA", direction="long",
entry_price=100.0, shares=10, stop_loss=95.0, target=110.0)
await _add_bars(session, tid, [(103, 98), (104, 99)], start=date.today()) # range-bound
await _add_bars(session, tid, [(103, 98), (104, 99)], start=_today()) # range-bound
closed = await svc.resolve_open_trades(session)
assert closed == 0
rows = await svc.list_trades(session, 1, status="open")
@@ -217,7 +227,7 @@ async def _add_open_trade(session, ticker_id: int, direction: str, *, entry: flo
async def test_alpha_long_open(session):
tid = await _seed(session, "AAA", close=110.0) # current price 110 → +10% on a 100 entry
today = date.today()
today = _today()
await _seed_benchmark(session, {today - timedelta(days=10): 400.0, today: 420.0}) # SPY +5%
await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
@@ -229,7 +239,7 @@ async def test_alpha_long_open(session):
async def test_alpha_short_and_missing_benchmark(session):
tid = await _seed(session, "BBB", close=90.0) # price fell to 90 → short +10%
today = date.today()
today = _today()
await _add_open_trade(session, tid, "short", entry=100.0, shares=4, days_ago=10)
# No benchmark data yet → alpha unset, not an error.
@@ -389,7 +399,7 @@ async def test_resolve_time_mode_closes_at_horizon(session):
tid = await _seed(session, "AAA", close=100.0)
trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
entry_price=100.0, shares=10, stop_loss=95.0, target=200.0)
await _add_bars(session, tid, [(103, 101), (105, 102)], start=date.today())
await _add_bars(session, tid, [(103, 101), (105, 102)], start=_today())
assert await svc.resolve_open_trades(session) == 1
await session.refresh(trade)
assert trade.status == "closed"
@@ -402,7 +412,7 @@ async def test_resolve_time_mode_stop_still_governs(session):
tid = await _seed(session, "AAA", close=100.0)
trade = await svc.create_trade(session, 1, symbol="AAA", direction="long",
entry_price=100.0, shares=10, stop_loss=95.0, target=200.0)
await _add_bars(session, tid, [(101, 94)], start=date.today()) # low pierces the stop
await _add_bars(session, tid, [(101, 94)], start=_today()) # low pierces the stop
assert await svc.resolve_open_trades(session) == 1
await session.refresh(trade)
assert trade.close_reason == "stop"
@@ -413,7 +423,7 @@ async def test_resolve_trailing_closes_with_reason(session):
await svc.set_exit_policy(session, mode="trailing", trailing_pct=12.0)
tid = await _seed(session, "AAA", close=100.0)
await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
await _add_bars(session, tid, [(120, 110), (130, 100)], start=date.today()) # run up, pull back
await _add_bars(session, tid, [(120, 110), (130, 100)], start=_today()) # run up, pull back
assert await svc.resolve_open_trades(session) == 1
closed = await svc.list_trades(session, 1, status="closed")
assert closed[0]["close_reason"] == "trailing"
@@ -424,7 +434,7 @@ async def test_resolve_atr_trailing_closes_with_reason(session, monkeypatch):
await svc.set_exit_policy(session, mode="atr_trailing", atr_multiplier=3.0)
tid = await _seed(session, "AAA", close=100.0)
await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
await _add_bars(session, tid, [(121, 114), (107, 101)], start=date.today())
await _add_bars(session, tid, [(121, 114), (107, 101)], start=_today())
assert await svc.resolve_open_trades(session) == 1
closed = await svc.list_trades(session, 1, status="closed")
assert closed[0]["close_reason"] == "trailing"
@@ -443,7 +453,7 @@ async def test_list_open_exposes_trailing_stop(session):
await svc.set_exit_policy(session, mode="trailing", trailing_pct=12.0)
tid = await _seed(session, "AAA", close=120.0)
await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
await _add_bars(session, tid, [(125, 118)], start=date.today()) # peak 125
await _add_bars(session, tid, [(125, 118)], start=_today()) # peak 125
row = (await svc.list_trades(session, 1, status="open"))[0]
assert row["trailing_stop"] == pytest.approx(110.0) # 125 * (1 - 0.12)
assert row["trailing_distance_pct"] is not None
@@ -454,7 +464,7 @@ async def test_list_open_exposes_atr_trailing_stop(session, monkeypatch):
await svc.set_exit_policy(session, mode="atr_trailing", atr_multiplier=3.0)
tid = await _seed(session, "AAA", close=120.0)
await _add_open_trade(session, tid, "long", entry=100.0, shares=10, days_ago=10)
await _add_bars(session, tid, [(125, 118)], start=date.today())
await _add_bars(session, tid, [(125, 118)], start=_today())
row = (await svc.list_trades(session, 1, status="open"))[0]
assert row["trailing_stop"] == pytest.approx(106.5) # latest close 121.5 - 3 * 5
assert row["trailing_distance_pct"] is not None