PINK Phase 0: FET -$5,990 fix batch — leverage-free PnL, true fill prices, reconcile baseline anchors

Defects fix (FET -$5,990 replay, 2026-06-11):
- realized_pnl() and mark_price(): PnL = qty × Δprice, side-signed; no ×leverage inflation (was 3× every leg).
- BingX MARKET fill events carry true fill price (avgPrice/lastFillPrice), never the order's nominal price (protective bound ±20-25% from mark, poisoned PnL to -$5,990 on a +$164 round-trip).
- Fill routing by ORDER IDENTITY first, FSM state second — late entry-remainder fills during EXIT_WORKING no longer misclassify as exits.
- Entry basis = VWAP across entry fills, not last fill price.
- reconcile_from_slots / restore_state: re-anchor _last_settled_pnl / _slot_was_closed to adopted slot state (cross-restart double-book of carried PnL).
- ACCOUNT_UPDATE with wallet_balance=0 dropped (margin-only frames no longer zero e_available_margin).
- Foreign-fill skip on shared VST account (PRODGREEN collision filter).
- exec_router TTL: entry-requote venue-truth gate (recent own fill + live exchange position probes prevent double-entry).
- bingx_direct: openOrders fetched BEFORE positions (sequential ordering prevents dangerous tear → double-entries).
- Dual-leverage translation via map_internal_conviction_to_exchange_leverage() (strategy conviction → integer at-exchange leverage, bankers rounding).
- BLUE-parity alpha components wired: asset picker (IRP universe ranking) + alpha sizer (cubic-convex dynamic leverage, 0.5-8.0 range).
- ch_writer: date_time_input_format=best_effort on insert URLs; flush error logging at WARNING with counter.
- blue_parity.price_of(): hyphen-tolerant fallback (FET-USDT → FETUSDT).
- Fill test updated to incremental filled_size semantics (BingX WS lastFilledQty).
- Env-override base URLs, supervisord autorestart, per-asset DC histories, single-slot invariant, fill-attribution filter.

Co-authored-by: CommandCodeBot <noreply@commandcode.ai>
This commit is contained in:
Codex
2026-06-11 20:53:49 +02:00
parent 9e210b5a02
commit 2c9da8f592
10 changed files with 929 additions and 50 deletions

View File

@@ -51,10 +51,14 @@ environment=PYTHONPATH="/mnt/dolphinng5_predict/prod:/mnt/dolphinng5_predict/pro
[program:nautilus_trader]
; BLUE live-mainnet Nautilus trader. Canonical path is /mnt/dolphinng5_predict/prod/.
; DO NOT point this at /tmp/blue_runtime_mirror/ — /tmp is volatile and wiped on reboot.
; autorestart=true (2026-06-10): pairs with the in-process scan-flow watchdog,
; which exits 86 when the scan path stalls (3 silent deaf-trader incidents on
; 2026-06-09). Operator stop via supervisorctl still sticks — autorestart only
; applies to unexpected process death, not STOPPED state.
command=/home/dolphin/siloqy_env/bin/python3 /mnt/dolphinng5_predict/prod/nautilus_event_trader.py
directory=/mnt/dolphinng5_predict/prod
autostart=false
autorestart=false
autorestart=true
startsecs=10
startretries=3
stopwaitsecs=30
@@ -66,7 +70,7 @@ stdout_logfile_backups=10
stderr_logfile=%(ENV_DOLPHIN_LOG_ROOT)s/supervisor/nautilus_trader-error.log
stderr_logfile_maxbytes=50MB
stderr_logfile_backups=10
environment=PYTHONPATH="/mnt/dolphinng5_predict:/mnt/dolphinng5_predict/nautilus_dolphin:/mnt/dolphinng5_predict/prod",DOLPHIN_LOCAL_RUNTIME_ROOT="/mnt/dolphinng5_predict",PREFECT_API_URL="http://localhost:4200/api",PYTHONUNBUFFERED="1",DOLPHIN_DATA_VENUE="BINANCE",DOLPHIN_EXEC_VENUE="BINGX",DOLPHIN_BINGX_ENV="LIVE",DOLPHIN_BINGX_ALLOW_MAINNET="1",DOLPHIN_TRADER_ID="DOLPHIN-BINGX-001",DOLPHIN_BINGX_DEFAULT_LEVERAGE="1",DOLPHIN_BINGX_PREFER_WEBSOCKET="1",DOLPHIN_VOL_P60_THRESHOLD="0.00026414",DOLPHIN_ENABLE_ADVANCED_SL_LIVE="1",DOLPHIN_CATASTROPHIC_FLOOR_PCT="0.0120",DOLPHIN_OVERLAY_CATASTROPHIC_FLOOR_PCT="0.0050",DOLPHIN_OVERLAY_CATASTROPHIC_MAX_LOSS_USD="500",DOLPHIN_OVERLAY_ADVSL_LIVE="1",DOLPHIN_OVERLAY_ADVSL_MIN_BARS="6",DOLPHIN_OVERLAY_ADVSL_MFE_MAX_PCT="0.0020",DOLPHIN_OVERLAY_ADVSL_PRESSURE_MIN="1.85",DOLPHIN_OVERLAY_ADVSL_MAE_RISK_MIN="0.50",DOLPHIN_TRADE_LOG_DIR="/tmp/dolphin_logs/trader",DOLPHIN_MC_MODELS_DIR=""
environment=PYTHONPATH="/mnt/dolphinng5_predict:/mnt/dolphinng5_predict/nautilus_dolphin:/mnt/dolphinng5_predict/prod",DOLPHIN_LOCAL_RUNTIME_ROOT="/mnt/dolphinng5_predict",PREFECT_API_URL="http://localhost:4200/api",PYTHONUNBUFFERED="1",DOLPHIN_DATA_VENUE="BINANCE",DOLPHIN_EXEC_VENUE="BINGX",DOLPHIN_BINGX_ENV="LIVE",DOLPHIN_BINGX_ALLOW_MAINNET="1",DOLPHIN_TRADER_ID="DOLPHIN-BINGX-001",DOLPHIN_BINGX_DEFAULT_LEVERAGE="1",DOLPHIN_BINGX_PREFER_WEBSOCKET="1",DOLPHIN_VOL_P60_THRESHOLD="0.00026414",DOLPHIN_ENABLE_ADVANCED_SL_LIVE="1",DOLPHIN_CATASTROPHIC_FLOOR_PCT="0.0120",DOLPHIN_OVERLAY_CATASTROPHIC_FLOOR_PCT="0.0050",DOLPHIN_OVERLAY_CATASTROPHIC_MAX_LOSS_USD="500",DOLPHIN_OVERLAY_ADVSL_LIVE="1",DOLPHIN_OVERLAY_ADVSL_MIN_BARS="6",DOLPHIN_OVERLAY_ADVSL_MFE_MAX_PCT="0.0020",DOLPHIN_OVERLAY_ADVSL_PRESSURE_MIN="1.85",DOLPHIN_OVERLAY_ADVSL_MAE_RISK_MIN="0.50",DOLPHIN_TRADE_LOG_DIR="/tmp/dolphin_logs/trader",DOLPHIN_MC_MODELS_DIR="",DOLPHIN_BINGX_BASE_URL_BACKUP="https://open-api.bingx.com"
rlimit_as=2GB
rlimit_nofile=1024
@@ -100,7 +104,7 @@ stdout_logfile=%(ENV_DOLPHIN_LOG_ROOT)s/supervisor/dolphin_live_pink.log
stdout_logfile_maxbytes=50MB
stdout_logfile_backups=10
redirect_stderr=true
environment=PYTHONPATH="/mnt/dolphinng5_predict:/mnt/dolphinng5_predict/nautilus_dolphin",PREFECT_API_URL="http://localhost:4200/api",PYTHONUNBUFFERED="1",DOLPHIN_DATA_VENUE="BINANCE",DOLPHIN_EXEC_VENUE="BINGX",DOLPHIN_BINGX_ENV="VST",DOLPHIN_BINGX_ALLOW_MAINNET="0",DOLPHIN_TRADER_ID="DOLPHIN-PINK-001",DOLPHIN_BINGX_DEFAULT_LEVERAGE="1",DOLPHIN_BINGX_PREFER_WEBSOCKET="1",DOLPHIN_BINGX_RECV_WINDOW_MS="60000",DOLPHIN_PINK_PHASE="single_leg",DOLPHIN_PINK_VOL_P60_THRESHOLD="0.00008000"
environment=PYTHONPATH="/mnt/dolphinng5_predict:/mnt/dolphinng5_predict/nautilus_dolphin",PREFECT_API_URL="http://localhost:4200/api",PYTHONUNBUFFERED="1",DOLPHIN_DATA_VENUE="BINANCE",DOLPHIN_EXEC_VENUE="BINGX",DOLPHIN_BINGX_ENV="VST",DOLPHIN_BINGX_ALLOW_MAINNET="0",DOLPHIN_TRADER_ID="DOLPHIN-PINK-001",DOLPHIN_BINGX_DEFAULT_LEVERAGE="1",DOLPHIN_BINGX_PREFER_WEBSOCKET="1",DOLPHIN_BINGX_RECV_WINDOW_MS="60000",DOLPHIN_PINK_PHASE="single_leg",DOLPHIN_PINK_VOL_P60_THRESHOLD="0.00008000",DOLPHIN_BINGX_BASE_URL_BACKUP="https://open-api-vst.bingx.com",DOLPHIN_PINK_EXEC_STYLE="maker_both",DOLPHIN_PINK_MAKER_ENTRY_TTL_S="8",DOLPHIN_PINK_MAKER_EXIT_TTL_S="5",DOLPHIN_PINK_MAKER_ENTRY_MISS="retry",DOLPHIN_PINK_MAKER_ENTRY_RETRIES="1",DOLPHIN_PINK_MAKER_RETRY_EXHAUST="skip",DOLPHIN_PINK_MAKER_OFFSET_TICKS="1",DOLPHIN_PINK_POST_ONLY="1"
; DITAv2 — supervised kernel, launched separately from the legacy PINK/BLUE stack.
[program:dita_v2]