BLUE: TP_FLOOR profit-floor + malformed-OPEN Option A (first add of trader)

TP_FLOOR (LINK 5e05eeeb, -$1,248.71): once the BASE 0.20% TP is crossed, regression to base exits — caps the left tail of the OB cascade x1.40 TP-widening (which is logged per decision now: dynamic_tp_pct, tp_mod_factor, cascade_count, ob_regime_signal, tp_floor_armed on v7_decision_events). Class default OFF (champion parity); live ON via DOLPHIN_TP_FLOOR. Malformed-OPEN Option A (causal fix): POSITION_DUST_NOTIONAL_USD shared by the full-close decision and the single _ps_write_open lifecycle gate (OPEN rows can never round to zero size on disk); retract terminal leg writes its trade_exit_legs + trade_reconstruction rows; restore reject-exhaustion halts for unknown-corruption classes and flat-continues only for the documented zero-size tombstone class; chain-token mismatch emits a CHAIN_TOKEN_MISMATCH journal event; restored entry_bar preserves bars_held continuity (negative entry_bar allowed, Int32) in both CH and HZ restore paths. Tests: test_tp_floor.py 16/16 incl. LINK golden replay; test_malformed_open_distal.py 11/11. Suites before/after identical except one PRE-EXISTING failure fixed (full-close zero-size-row test). Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
2026-06-12 14:59:49 +02:00
parent 4929087f7a
commit 520257de7a
3 changed files with 5872 additions and 0 deletions
--- a/prod/tests/test_malformed_open_distal.py
+++ b/prod/tests/test_malformed_open_distal.py
@@ -0,0 +1,436 @@
+"""Distal fix for MALFORMED_OPEN_RESTORE_BUG — regression suite (Option A).
+
+Pins the causal fix set applied 2026-06-12:
+  1. `_ps_write_open` is the SINGLE gate for OPEN position_state rows and
+     enforces the lifecycle invariant (qty > 0 AND notional > dust).
+  2. The partial-retract path persists remainders THROUGH that gate
+     (previously a raw ch_put bypass — the causal origin of zero-size
+     OPEN snapshots).
+  3. The dust threshold (POSITION_DUST_NOTIONAL_USD) is shared between the
+     full-close decision and the write gate, so no remainder can be "open"
+     in memory yet round to a zero-size row on disk.
+  4. The terminal retract leg writes its trade_exit_legs +
+     trade_reconstruction rows (the old early-return lost the final leg
+     from the §38.9 replay surface).
+  5. Restore-candidate rejection with exhausted fallbacks marks
+     `_restore_failed` (halt) instead of silently trading from flat
+     (XTZ 863c21da single-slot-violation class).
+  6. Chain-token mismatch emits a queryable CHAIN_TOKEN_MISMATCH journal
+     event, not just a log line.
+  7. Restored entry_bar preserves bars_held continuity (negative entry_bar
+     allowed; the old max(0, ...) clamp reset the MAX_HOLD clock).
+"""
+
+from __future__ import annotations
+
+import json
+import threading
+import tempfile
+from dataclasses import dataclass
+import importlib.util
+from pathlib import Path
+
+import pytest
+
+_MOD_PATH = Path("/mnt/dolphinng5_predict/prod/nautilus_event_trader.py")
+_SPEC = importlib.util.spec_from_file_location("nautilus_event_trader_distal_mod", _MOD_PATH)
+assert _SPEC and _SPEC.loader
+mod = importlib.util.module_from_spec(_SPEC)
+_SPEC.loader.exec_module(mod)  # type: ignore[arg-type]
+
+
+# ── harness (mirrors test_multi_exit_retraction_integration.py) ─────────────
+
+@dataclass
+class _Pos:
+    trade_id: str
+    asset: str
+    entry_price: float
+    notional: float
+    current_price: float = 0.0
+    pnl_pct: float = 0.0
+
+
+class _ExitMgr:
+    def __init__(self) -> None:
+        self._positions: dict[str, dict] = {}
+
+
+class _Eng:
+    def __init__(self, pos: _Pos | None, capital: float = 25_000.0) -> None:
+        self.position = pos
+        self.capital = capital
+        self.exit_manager = _ExitMgr()
+        self.regime_dd_halt = False
+        self._day_posture = "APEX"
+        if pos is not None:
+            self.exit_manager._positions[pos.trade_id] = {"dummy": True}
+
+
+class _Map:
+    def __init__(self, initial: dict | None = None) -> None:
+        self._d = dict(initial or {})
+        self._lock = threading.Lock()
+
+    def blocking(self):
+        return self
+
+    def get(self, key):
+        with self._lock:
+            return self._d.get(key)
+
+    def put(self, key, val):
+        with self._lock:
+            self._d[key] = val
+
+        class _F:
+            def add_done_callback(self, _cb):
+                return None
+        return _F()
+
+
+def _mk_trader() -> "mod.DolphinLiveTrader":
+    t = object.__new__(mod.DolphinLiveTrader)
+    tmpdir = Path(tempfile.mkdtemp(prefix="dolphin_distal_test_"))
+    mod.CAPITAL_DISK_CHECKPOINT = tmpdir / "capital_checkpoint.json"
+    mod.CAPITAL_CORRECTIVE_REPLAY = tmpdir / "capital_replay.json"
+    mod.CAPITAL_UPDATE_LEDGER = tmpdir / "capital_update_ledger.json"
+    t.eng_lock = threading.Lock()
+    t.state_map = _Map({})
+    t.pnl_map = _Map({})
+    t.control_map = _Map({"blue_runtime_commands": "[]"})
+    t._processed_retract_commands = mod.deque(maxlen=5000)
+    t._processed_retract_set = set()
+    t._runtime_command_lock = threading.Lock()
+    t._pending_entries = {}
+    t._last_prices_dict = {}
+    t.current_day = "2026-06-12"
+    t.bar_idx = 100
+    t._restore_failed = False
+    t._restore_failure_reason = ""
+    return t
+
+
+def _seed_pending(t, trade_id: str, *, notional: float = 1000.0,
+                  entry_price: float = 1.0) -> None:
+    t._pending_entries[trade_id] = {
+        "asset": "STXUSDT",
+        "side": "SHORT",
+        "entry_price": entry_price,
+        "entry_bar": 90,
+        "entry_date": "2026-06-12",
+        "notional": notional,
+        "notional_entry": notional,
+        "retraction_legs": 0,
+        "realized_pnl_legs_total": 0.0,
+        "leverage": 2.0,
+    }
+    pending = t._pending_entries[trade_id]
+    pending.update(t._chain_state_for_pending(
+        trade_id, pending,
+        chain_mode="LIVE",
+        chain_head_leg_id=f"{trade_id}:open",
+        chain_prev_leg_id="",
+        chain_seq=0,
+    ))
+
+
+def _retract_cmd(t, trade_id: str, *, command_id: str, fraction: float) -> dict:
+    pending = t._pending_entries[trade_id]
+    return {
+        "command_id": command_id,
+        "trade_id": trade_id,
+        "action": "RETRACT",
+        "fraction": fraction,
+        "reason": "HOTKEY_RETRACT",
+        "source": "tui_hotkey",
+        "chain_root_trade_id": pending["chain_root_trade_id"],
+        "chain_head_leg_id": pending["chain_head_leg_id"],
+        "chain_prev_leg_id": pending["chain_prev_leg_id"],
+        "chain_seq": pending["chain_seq"],
+        "chain_token": pending["chain_token"],
+    }
+
+
+def _run_retract(t, rows, *, fraction: float, notional: float = 1000.0,
+                 price: float = 1.0):
+    pos = _Pos("T-1", "STXUSDT", 1.0, notional, current_price=price)
+    t.eng = _Eng(pos)
+    _seed_pending(t, "T-1", notional=notional)
+    cmd = _retract_cmd(t, "T-1", command_id=f"c-{fraction}", fraction=fraction)
+    t.control_map.put("blue_runtime_commands", json.dumps([cmd]))
+    return t._process_runtime_commands({"STXUSDT": price})
+
+
+# ── 1+2: lifecycle invariant at the single write gate ───────────────────────
+
+def test_ps_write_open_refuses_zero_quantity(monkeypatch):
+    rows = []
+    monkeypatch.setattr(mod, "ch_put", lambda tbl, row: rows.append((tbl, row)))
+    t = _mk_trader()
+    ok = t._ps_write_open("T-z", {
+        "asset": "STXUSDT", "side": "SHORT", "entry_price": 1.0,
+        "quantity": 0.0, "leverage": 2.0, "entry_ts": 1,
+    })
+    assert ok is False
+    assert rows == []
+
+
+def test_ps_write_open_refuses_dust_notional(monkeypatch):
+    rows = []
+    monkeypatch.setattr(mod, "ch_put", lambda tbl, row: rows.append((tbl, row)))
+    t = _mk_trader()
+    # qty>0 but notional rounds to <= $0.01 (the malformed-row recipe)
+    ok = t._ps_write_open("T-d", {
+        "asset": "STXUSDT", "side": "SHORT", "entry_price": 0.0001,
+        "quantity": 40.0, "leverage": 2.0, "entry_ts": 1,   # notional 0.004
+    })
+    assert ok is False
+    assert rows == []
+
+
+def test_ps_write_open_accepts_valid_entry(monkeypatch):
+    rows = []
+    monkeypatch.setattr(mod, "ch_put", lambda tbl, row: rows.append((tbl, row)))
+    t = _mk_trader()
+    ok = t._ps_write_open("T-v", {
+        "asset": "STXUSDT", "side": "SHORT", "entry_price": 1.0,
+        "quantity": 1000.0, "leverage": 2.0, "entry_ts": 777,
+    })
+    assert ok is True
+    assert len(rows) == 1
+    tbl, row = rows[0]
+    assert tbl == "position_state"
+    assert row["status"] == "OPEN"
+    assert row["quantity"] > 0 and row["notional"] > 0
+    assert row["ts"] == 777 and row["bars_held"] == 0
+
+
+# ── 2+3: retract remainder goes through the gate; thresholds aligned ────────
+
+def test_partial_retract_open_row_never_zero_sized(monkeypatch):
+    """Sweep fractions: every surviving OPEN row must satisfy the invariant."""
+    for fraction in (0.1, 0.5, 0.9, 0.99, 0.999):
+        rows = []
+        monkeypatch.setattr(mod, "ch_put", lambda tbl, row, _r=rows: _r.append((tbl, row)))
+        monkeypatch.setattr(mod, "_ch_ts_us", lambda: 123)
+        t = _mk_trader()
+        forced = _run_retract(t, rows, fraction=fraction)
+        open_rows = [r for tbl, r in rows
+                     if tbl == "position_state" and r.get("status") == "OPEN"]
+        if forced is None:
+            assert len(open_rows) == 1, f"fraction={fraction}"
+            assert open_rows[0]["quantity"] > 0.0
+            assert open_rows[0]["notional"] > mod.POSITION_DUST_NOTIONAL_USD
+        else:
+            assert open_rows == [], f"fraction={fraction} full-close wrote OPEN row"
+
+
+def test_dust_remainder_is_full_close(monkeypatch):
+    """$1000 × 0.99999 retract leaves $0.01 — at/below dust ⇒ FULL_CLOSE,
+    no OPEN snapshot, forced exit carries capital_already_realized."""
+    rows = []
+    monkeypatch.setattr(mod, "ch_put", lambda tbl, row: rows.append((tbl, row)))
+    monkeypatch.setattr(mod, "_ch_ts_us", lambda: 123)
+    t = _mk_trader()
+    forced = _run_retract(t, rows, fraction=0.99999)
+    assert forced is not None
+    assert forced.get("capital_already_realized") is True
+    assert t.eng.position is None
+    open_rows = [r for tbl, r in rows
+                 if tbl == "position_state" and r.get("status") == "OPEN"]
+    assert open_rows == []
+
+
+def test_full_retract_writes_terminal_leg_rows(monkeypatch):
+    """fraction=1.0: terminal leg MUST appear in trade_exit_legs and
+    trade_reconstruction (FULL_RETRACT_EXIT) — the §38.9 replay surface."""
+    rows = []
+    monkeypatch.setattr(mod, "ch_put", lambda tbl, row: rows.append((tbl, row)))
+    monkeypatch.setattr(mod, "_ch_ts_us", lambda: 123)
+    t = _mk_trader()
+    forced = _run_retract(t, rows, fraction=1.0, price=0.95)
+    assert forced is not None and forced["reason"] == "HOTKEY_RETRACT"
+    legs = [r for tbl, r in rows if tbl == "trade_exit_legs"]
+    assert len(legs) == 1
+    assert legs[0]["exit_seq"] == 1
+    assert legs[0]["remaining_notional"] <= mod.POSITION_DUST_NOTIONAL_USD
+    recon = [r for tbl, r in rows if tbl == "trade_reconstruction"]
+    assert any(r["event_type"] == "FULL_RETRACT_EXIT" for r in recon)
+    open_rows = [r for tbl, r in rows
+                 if tbl == "position_state" and r.get("status") == "OPEN"]
+    assert open_rows == []
+    # capital realized exactly once for the leg: 5% on $1000 short = +$50
+    assert pytest.approx(t.eng.capital, abs=1e-6) == 25_050.0
+    assert pytest.approx(forced["net_pnl"], abs=1e-6) == 50.0
+
+
+def test_partial_then_full_chain_keeps_all_legs(monkeypatch):
+    """Two-leg chain: every leg lands in trade_exit_legs; totals coherent."""
+    rows = []
+    monkeypatch.setattr(mod, "ch_put", lambda tbl, row: rows.append((tbl, row)))
+    monkeypatch.setattr(mod, "_ch_ts_us", lambda: 123)
+    t = _mk_trader()
+    pos = _Pos("T-1", "STXUSDT", 1.0, 1000.0, current_price=0.95)
+    t.eng = _Eng(pos)
+    _seed_pending(t, "T-1", notional=1000.0)
+
+    cmd1 = _retract_cmd(t, "T-1", command_id="c-a", fraction=0.5)
+    t.control_map.put("blue_runtime_commands", json.dumps([cmd1]))
+    assert t._process_runtime_commands({"STXUSDT": 0.95}) is None
+
+    cmd2 = _retract_cmd(t, "T-1", command_id="c-b", fraction=1.0)
+    t.control_map.put("blue_runtime_commands", json.dumps([cmd2]))
+    forced = t._process_runtime_commands({"STXUSDT": 0.95})
+    assert forced is not None
+
+    legs = [r for tbl, r in rows if tbl == "trade_exit_legs"]
+    assert [l["exit_seq"] for l in legs] == [1, 2]
+    # both legs at +5%: 0.05*500 + 0.05*500 = 50 total
+    assert pytest.approx(forced["net_pnl"], abs=1e-6) == 50.0
+    assert pytest.approx(legs[0]["pnl_leg"] + legs[1]["pnl_leg"], abs=1e-6) == 50.0
+
+
+# ── 5: reject-exhaustion halts instead of silently trading flat ─────────────
+
+def test_restore_reject_exhaustion_marks_failure(monkeypatch):
+    """CH returns a candidate with invalid leverage; HZ has neither a
+    position nor flat-proof ⇒ _restore_failed must be set (halt)."""
+    monkeypatch.setattr(mod, "ch_put", lambda *a, **k: None)
+
+    class _Resp:
+        def __init__(self, body: bytes):
+            self._b = body
+
+        def read(self):
+            return self._b
+
+        def __enter__(self):
+            return self
+
+        def __exit__(self, *a):
+            return False
+
+    # leverage = 0 → invalid candidate; fresh ts to pass staleness
+    # columns: trade_id asset direction entry_price quantity notional
+    #          leverage bucket_id bars_held last_ts  (10 fields)
+    import datetime as _dt
+    ts = _dt.datetime.utcnow().strftime("%Y-%m-%d %H:%M:%S")
+    row = f"T-bad\tXTZUSDT\t-1\t0.2276\t1000\t227.6\t0\t0\t14\t{ts}"
+    import urllib.request as _ur
+    monkeypatch.setattr(_ur, "urlopen", lambda *a, **k: _Resp(row.encode()))
+
+    t = _mk_trader()
+    t.eng = _Eng(None)
+    t._restore_state_snapshots = {}
+    t._parse_timestamp_seconds = mod.DolphinLiveTrader._parse_timestamp_seconds.__get__(t)
+    t._restore_position_state()
+    assert t._restore_failed is True
+    assert "leverage" in t._restore_failure_reason
+
+
+# ── 6: chain mismatch is a queryable journal event ───────────────────────────
+
+def test_chain_token_mismatch_emits_journal_event(monkeypatch):
+    rows = []
+    monkeypatch.setattr(mod, "ch_put", lambda tbl, row: rows.append((tbl, row)))
+    monkeypatch.setattr(mod, "_ch_ts_us", lambda: 123)
+    t = _mk_trader()
+    pending = {
+        "asset": "XTZUSDT", "side": "SHORT", "entry_price": 0.2276,
+        "quantity": 1000.0, "notional": 227.6, "notional_entry": 227.6,
+        "leverage": 2.0, "entry_bar": 0,
+        "retraction_legs": 0, "realized_pnl_legs_total": 0.0,
+    }
+    recon = {"chain_token": "deadbeef" * 8, "chain_seq": 0,
+             "chain_head_leg_id": "T-x:open", "chain_mode": "LIVE"}
+    chain = t._chain_state_from_reconstruction("T-x", pending, recon)
+    assert chain["chain_mode"] == "LEGACY_REBUILT_MISMATCH"
+    mismatch_rows = [r for tbl, r in rows
+                     if tbl == "trade_reconstruction"
+                     and r.get("event_type") == "CHAIN_TOKEN_MISMATCH"]
+    assert len(mismatch_rows) == 1
+    payload = json.loads(mismatch_rows[0]["payload_json"])
+    assert payload["stored_token"].startswith("deadbeef")
+    assert payload["derived_token"] != payload["stored_token"]
+
+
+def test_chain_token_match_emits_nothing(monkeypatch):
+    rows = []
+    monkeypatch.setattr(mod, "ch_put", lambda tbl, row: rows.append((tbl, row)))
+    t = _mk_trader()
+    pending = {
+        "asset": "XTZUSDT", "side": "SHORT", "entry_price": 0.2276,
+        "quantity": 1000.0, "notional": 227.6, "notional_entry": 227.6,
+        "leverage": 2.0, "entry_bar": 0,
+        "retraction_legs": 0, "realized_pnl_legs_total": 0.0,
+    }
+    # derive the true token with the SAME chain parameters the recon will
+    # carry (mode LIVE), then feed it back as the stored token
+    expected = t._chain_state_for_pending(
+        "T-y", pending, chain_mode="LIVE",
+        chain_head_leg_id="T-y:open", chain_prev_leg_id="", chain_seq=0,
+    )
+    recon = {"chain_token": expected["chain_token"], "chain_seq": 0,
+             "chain_head_leg_id": "T-y:open", "chain_mode": "LIVE"}
+    chain = t._chain_state_from_reconstruction("T-y", pending, recon)
+    assert chain["chain_mode"] != "LEGACY_REBUILT_MISMATCH"
+    assert [r for tbl, r in rows
+            if r.get("event_type") == "CHAIN_TOKEN_MISMATCH"] == []
+
+
+# ── 7: bars_held continuity across restore ──────────────────────────────────
+
+def test_restored_entry_bar_preserves_bars_held(monkeypatch):
+    """boot bar_idx=0, stored_bars=34 ⇒ entry_bar=-34 ⇒ bars_held resumes
+    at 34 immediately (the XTZ bars_held≈0 / MAX_HOLD-reset fix)."""
+    captured = {}
+    monkeypatch.setattr(mod, "ch_put", lambda *a, **k: None)
+
+    class _Resp:
+        def __init__(self, body: bytes):
+            self._b = body
+
+        def read(self):
+            return self._b
+
+        def __enter__(self):
+            return self
+
+        def __exit__(self, *a):
+            return False
+
+    import datetime as _dt
+    ts = _dt.datetime.utcnow().strftime("%Y-%m-%d %H:%M:%S")
+    row = f"T-c\tXTZUSDT\t-1\t0.2276\t248173\t56484.4\t6.37\t0\t34\t{ts}"
+    import urllib.request as _ur
+    monkeypatch.setattr(_ur, "urlopen", lambda *a, **k: _Resp(row.encode()))
+
+    class _RecordingExitMgr(_ExitMgr):
+        def setup_position(self, trade_id, entry_price, direction, entry_bar,
+                           **kw):
+            captured["entry_bar"] = entry_bar
+            self._positions[trade_id] = {"entry_bar": entry_bar}
+
+    t = _mk_trader()
+    t.bar_idx = 0                      # fresh boot
+    t.eng = _Eng(None)
+    t.eng.exit_manager = _RecordingExitMgr()
+    t._restore_state_snapshots = {}
+    t._parse_timestamp_seconds = mod.DolphinLiveTrader._parse_timestamp_seconds.__get__(t)
+    t._load_chain_ledger_state = lambda _tid: None
+    t._v7_exit_engine = None
+    t._seed_posture_for_restored_position = lambda: None
+    t._apply_catastrophic_floor_to_open_position = lambda: None
+    t._restore_position_state()
+
+    assert t._restore_failed is False
+    assert t.eng.position is not None
+    assert captured["entry_bar"] == -34
+    # bars_held = current_bar - entry_bar = 0 - (-34) = 34 → clock continues
+    assert (t.bar_idx - captured["entry_bar"]) == 34
+
+
+if __name__ == "__main__":
+    import sys
+    sys.exit(pytest.main([__file__, "-v"]))