dennisthiessenandClaude Fable 5
247a92a89f
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>
247 lines
8.7 KiB
Python
247 lines
8.7 KiB
Python
"""Shadow book selection, sizing and book isolation.
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The shadow book only has evidentiary value if it selects what the backtest
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would select: top-ranked qualified setups, up to capacity, skipping held names
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and post-stop gate-reset lockouts. These tests pin that contract.
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"""
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from __future__ import annotations
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import json
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from datetime import datetime, timedelta, timezone
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import pytest
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from app.models.paper_trade import PaperTrade
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from app.models.ticker import Ticker
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from app.models.trade_setup import TradeSetup
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from app.models.user import User
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from app.services import shadow_book_service
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from app.services.trade_policy import MANUAL_BOOK, SHADOW_BOOK, get_reentry_gate_locks
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@pytest.fixture
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async def session():
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from tests.conftest import _test_session_factory
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async with _test_session_factory() as session:
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yield session
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# Floors the gate applies; every setup below clears them so tests exercise
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# ranking rather than qualification.
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_CONFIG = {
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"min_rr": 2.0,
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"min_confidence": 0.0,
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"min_momentum_percentile": 80.0,
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"exclude_neutral": False,
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}
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async def _seed(session, symbols: list[str]) -> dict[str, int]:
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session.add(User(id=1, username="owner", password_hash="x"))
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ids: dict[str, int] = {}
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for i, symbol in enumerate(symbols, start=1):
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ticker = Ticker(id=i, symbol=symbol, name=symbol)
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session.add(ticker)
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ids[symbol] = i
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await session.commit()
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return ids
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def _setup(ticker_id: int, *, rank: float, detected: datetime, entry=100.0, stop=95.0):
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target = entry + 3 * (entry - stop)
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return TradeSetup(
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ticker_id=ticker_id,
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direction="long",
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entry_price=entry,
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stop_loss=stop,
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target=target,
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rr_ratio=3.0,
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composite_score=70.0,
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confidence_score=70.0,
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detected_at=detected,
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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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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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)
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class TestSizing:
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def test_risks_one_percent_down_to_the_stop(self):
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shares = shadow_book_service.position_shares(100_000, 1.0, 100.0, 95.0)
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assert shares == pytest.approx(200.0) # $1,000 risk / $5 per share
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def test_zero_risk_distance_takes_no_position(self):
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assert shadow_book_service.position_shares(100_000, 1.0, 100.0, 100.0) == 0.0
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def test_tight_stop_is_capped_at_the_notional_limit(self):
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"""Without the cap, 1% risk on a $0.50 stop is a 2x-equity position."""
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shares = shadow_book_service.position_shares(100_000, 1.0, 100.0, 99.5)
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# Risk sizing alone wants 2,000 shares ($200k); the 20% cap allows 200.
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assert shares == pytest.approx(200.0)
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assert shares * 100.0 <= 100_000 * shadow_book_service.NOTIONAL_CAP
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def test_cannot_spend_cash_it_does_not_have(self):
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shares = shadow_book_service.position_shares(
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100_000, 1.0, 100.0, 95.0, cash_available=5_000
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)
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assert shares == pytest.approx(50.0)
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def test_no_cash_means_no_position(self):
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assert (
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shadow_book_service.position_shares(
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100_000, 1.0, 100.0, 95.0, cash_available=0
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)
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== 0.0
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)
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class TestSelection:
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@pytest.mark.asyncio
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async def test_takes_top_ranked_up_to_capacity(self, session):
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ids = await _seed(session, ["AAA", "BBB", "CCC"])
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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=0.10, detected=now),
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_setup(ids["BBB"], rank=0.90, detected=now),
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_setup(ids["CCC"], rank=0.50, detected=now),
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]
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)
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await session.commit()
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await shadow_book_service.settings_store.upsert_setting(
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session, shadow_book_service.KEY_CAPACITY, "2"
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)
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["opened"] == 2
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# Highest strategy_rank first — the backtest's ordering key.
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assert summary["symbols"] == [ids["BBB"], ids["CCC"]]
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@pytest.mark.asyncio
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async def test_skips_names_already_held(self, session):
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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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[_setup(ids["AAA"], rank=0.9, detected=now), _setup(ids["BBB"], rank=0.5, detected=now)]
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)
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session.add(
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PaperTrade(
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user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
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shares=10.0, stop_loss=95.0, target=115.0, status="open",
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opened_at=now, book=SHADOW_BOOK,
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)
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)
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await session.commit()
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["skipped_held"] == 1
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assert summary["symbols"] == [ids["BBB"]]
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@pytest.mark.asyncio
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async def test_respects_post_stop_gate_lock(self, session):
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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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# Stopped out and never requalified — locked out of re-entry.
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session.add(
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PaperTrade(
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user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
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shares=10.0, stop_loss=95.0, target=115.0, status="closed",
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opened_at=now - timedelta(days=5), closed_at=now - timedelta(days=1),
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close_price=95.0, close_reason="stop", book=SHADOW_BOOK,
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)
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)
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await session.commit()
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["opened"] == 0
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assert summary["skipped_locked"] == 1
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class TestSetupFreshness:
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@pytest.mark.asyncio
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async def test_ignores_setups_from_a_previous_session(self, session):
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"""If the scan step failed or was disabled, the newest stored setups are
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yesterday's — trading them would enter stale picks at stale prices."""
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ids = await _seed(session, ["AAA"])
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stale = datetime.now(timezone.utc) - timedelta(days=1)
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session.add(_setup(ids["AAA"], rank=0.9, detected=stale))
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await session.commit()
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["opened"] == 0
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@pytest.mark.asyncio
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async def test_one_position_per_ticker_from_duplicate_setups(self, session):
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ids = await _seed(session, ["AAA"])
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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=0.5, detected=now - timedelta(minutes=30)),
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_setup(ids["AAA"], rank=0.9, detected=now),
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]
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)
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await session.commit()
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summary = await shadow_book_service.open_shadow_positions(
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session, activation_config=_CONFIG
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)
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assert summary["opened"] == 1
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class TestBookIsolation:
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@pytest.mark.asyncio
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async def test_gate_locks_do_not_leak_between_books(self, session):
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"""A manual stop must not lock the shadow book out of the same name."""
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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session.add(
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PaperTrade(
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user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
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shares=10.0, stop_loss=95.0, target=115.0, status="closed",
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opened_at=now - timedelta(days=5), closed_at=now - timedelta(days=1),
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close_price=95.0, close_reason="stop", book=MANUAL_BOOK,
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)
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)
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await session.commit()
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assert ids["AAA"] in await get_reentry_gate_locks(session, book=MANUAL_BOOK)
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assert ids["AAA"] not in await get_reentry_gate_locks(session, book=SHADOW_BOOK)
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@pytest.mark.asyncio
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async def test_shadow_equity_ignores_manual_pnl(self, session):
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ids = await _seed(session, ["AAA"])
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now = datetime.now(timezone.utc)
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session.add(
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PaperTrade(
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user_id=1, ticker_id=ids["AAA"], direction="long", entry_price=100.0,
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shares=100.0, stop_loss=95.0, target=115.0, status="closed",
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opened_at=now - timedelta(days=5), closed_at=now,
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close_price=150.0, close_reason="trailing", book=MANUAL_BOOK,
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)
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)
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await session.commit()
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equity, cash = await shadow_book_service.equity_and_cash(session, 100_000.0, [])
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assert equity == 100_000.0
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assert cash == 100_000.0
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