fix: select shadow book setups by scan run id, not a time window
The run-id marker proved which scan wrote last, but the shadow book still selected setups by detected_at >= scan_start. An overlapping manual scan could insert rows in that same window; if the pipeline's scan wrote the marker last its id matched and the shadow book proceeded, then swept in -- or ranked highest -- a manual-scan row. The identity check gated entry but selection did not. Carry the run id onto the rows. Migration 025 adds an indexed trade_setups.scan_run_id. scan_all_tickers computes one id per run (pipeline's when a step, else fresh), passes it to scan_ticker which stamps every row after enhancement, and writes the same id to the completion marker. The shadow book selects WHERE scan_run_id == the matched id, so a concurrent scan's rows are excluded by identity regardless of their detected_at. The now-unused STARTED marker is dropped; COMPLETED (freshness) and RUN_ID (identity) remain. Decisive test: the pipeline's id matches, but a same-window manual row with a higher rank is present and is excluded -- only the pipeline's own row is traded. A time-window select would have swept it in and ranked it first. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
@@ -57,6 +57,7 @@ def _setup(
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entry=100.0,
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stop=95.0,
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direction="long",
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scan_run_id: str = "scan-run",
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):
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reward = abs(entry - stop) * 3
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target = entry + reward if direction == "long" else entry - reward
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@@ -73,6 +74,7 @@ def _setup(
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strategy_rank=rank,
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momentum_percentile=90.0,
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recommended_action="buy",
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scan_run_id=scan_run_id,
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targets_json=json.dumps(
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[{"price": target, "probability": 45.0, "is_primary": True, "rr": 3.0}]
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),
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@@ -82,17 +84,18 @@ def _setup(
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async def _mark_scan(
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session,
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*,
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started: datetime,
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started: datetime | None = None,
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completed: datetime | None = None,
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run_id: str = "scan-run",
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):
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"""Record a successful scan run so the shadow book has something to act on."""
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"""Record a successful scan run so the shadow book has something to act on.
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``started`` is accepted for readability at call sites but only ``completed``
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(freshness) and ``run_id`` (identity) are persisted.
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"""
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from app.services import rr_scanner_service as rr
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completed = completed or started
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await shadow_book_service.settings_store.upsert_setting(
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session, rr.KEY_LAST_SCAN_STARTED, started.isoformat()
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)
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completed = completed or started or datetime.now(timezone.utc)
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await shadow_book_service.settings_store.upsert_setting(
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session, rr.KEY_LAST_SCAN_COMPLETED, completed.isoformat()
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)
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@@ -242,20 +245,20 @@ class TestScanFreshness:
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assert summary["opened"] == 0
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@pytest.mark.asyncio
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async def test_setups_before_this_run_are_excluded(self, session):
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"""A qualified row from a previous run (before the current scan start)
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must not be traded even though the current scan completed."""
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async def test_setups_from_another_run_are_excluded_by_identity(self, session):
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"""A row from a different scan run must not be traded even if its
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detected_at falls in the same window — selection is by scan_run_id."""
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ids = await _seed(session, ["AAA", "BBB"])
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now = datetime.now(timezone.utc)
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scan_start = now - timedelta(minutes=5)
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session.add_all(
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[
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_setup(ids["AAA"], rank=0.9, detected=now), # this run
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_setup(ids["BBB"], rank=0.8, detected=now - timedelta(hours=20)), # prior run
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_setup(ids["AAA"], rank=0.9, detected=now, scan_run_id="scan-run"),
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# Same time window, different run — e.g. an overlapping manual scan.
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_setup(ids["BBB"], rank=0.8, detected=now, scan_run_id="other-run"),
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]
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)
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await session.commit()
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await _mark_scan(session, started=scan_start, completed=now)
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await _mark_scan(session, completed=now, run_id="scan-run")
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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@@ -269,21 +272,22 @@ class TestScanFreshness:
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ticker must beat an earlier qualified row, not the other way round."""
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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scan_start = now - timedelta(minutes=10)
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# Earlier row qualifies; later row fails the R:R floor (rr 1.0 < 2.0).
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# Both belong to the same scan run.
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older = _setup(ids["AAA"], rank=0.9, detected=now - timedelta(minutes=8))
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newer = TradeSetup(
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ticker_id=ids["AAA"], direction="long", entry_price=100.0,
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stop_loss=95.0, target=105.0, rr_ratio=1.0, composite_score=70.0,
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confidence_score=70.0, detected_at=now, strategy_rank=0.9,
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momentum_percentile=90.0, recommended_action="buy",
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scan_run_id="scan-run",
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targets_json=json.dumps(
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[{"price": 105.0, "probability": 45.0, "is_primary": True, "rr": 1.0}]
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),
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)
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session.add_all([older, newer])
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await session.commit()
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await _mark_scan(session, started=scan_start, completed=now)
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await _mark_scan(session, completed=now, run_id="scan-run")
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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@@ -298,10 +302,9 @@ class TestPipelineScanBinding:
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"""The scan that stamped this pipeline's run id is the one to act on."""
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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session.add(_setup(ids["AAA"], rank=0.9, detected=now))
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session.add(_setup(ids["AAA"], rank=0.9, detected=now, scan_run_id="pipeline-A"))
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await session.commit()
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await _mark_scan(session, started=now - timedelta(minutes=1),
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completed=now, run_id="pipeline-A")
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await _mark_scan(session, completed=now, run_id="pipeline-A")
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG, expected_run_id="pipeline-A"
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@@ -309,19 +312,41 @@ class TestPipelineScanBinding:
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assert summary["opened"] == 1
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@pytest.mark.asyncio
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async def test_concurrent_manual_row_excluded_even_when_pipeline_matches(self, session):
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"""The reported P2: the pipeline's scan matches (it wrote the marker
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last), but an overlapping manual scan inserted a row in the same time
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window. Identity selection must exclude that manual row — a detected_at
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window would have swept it in."""
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ids = await _seed(session, ["AAA", "BBB"])
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now = datetime.now(timezone.utc)
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session.add_all(
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[
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_setup(ids["AAA"], rank=0.9, detected=now, scan_run_id="pipeline-A"),
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# Overlapping manual scan, same window, higher rank — must NOT win.
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_setup(ids["BBB"], rank=0.99, detected=now, scan_run_id="manual-X"),
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]
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)
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await session.commit()
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await _mark_scan(session, completed=now, run_id="pipeline-A")
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG, expected_run_id="pipeline-A"
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)
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assert summary["symbols"] == [ids["AAA"]]
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@pytest.mark.asyncio
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async def test_concurrent_manual_scan_finishing_last_is_refused(self, session):
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"""The reported race: a manual rr_scanner overlaps the near-close
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pipeline and writes the markers last. Its completion timestamp is later
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than the pipeline start, but its run id is not the pipeline's — so the
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shadow book must refuse, even though a timestamp check would accept."""
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"""A manual rr_scanner overlaps the pipeline and writes the markers last.
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Its completion timestamp is later than the pipeline start, but its run id
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is not the pipeline's — refuse, though a timestamp check would accept."""
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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session.add(_setup(ids["AAA"], rank=0.9, detected=now))
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session.add(_setup(ids["AAA"], rank=0.9, detected=now, scan_run_id="manual-999"))
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await session.commit()
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# Pipeline expects "pipeline-A"; the manual scan's id won the last write.
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await _mark_scan(session, started=now - timedelta(minutes=1),
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completed=now, run_id="manual-999")
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await _mark_scan(session, completed=now, run_id="manual-999")
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG, expected_run_id="pipeline-A"
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@@ -334,10 +359,9 @@ class TestPipelineScanBinding:
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"""If the pipeline's own scan failed, the stored id is a prior run's."""
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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session.add(_setup(ids["AAA"], rank=0.9, detected=now))
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session.add(_setup(ids["AAA"], rank=0.9, detected=now, scan_run_id="yesterday"))
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await session.commit()
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await _mark_scan(session, started=now - timedelta(minutes=1),
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completed=now, run_id="yesterday")
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await _mark_scan(session, completed=now, run_id="yesterday")
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG, expected_run_id="pipeline-today"
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