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_tp_floor.py
+++ b/prod/tests/test_tp_floor.py
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+"""TP profit-floor (TP_FLOOR) + TP-threshold diagnostics — regression suite.
+
+Incident: LINKUSDT 5e05eeeb (2026-06-11). The OB tail-avoidance layer
+silently widened the "fixed" 0.20% TP by x1.40 during a cascade
+(alpha_exit_manager.evaluate, cascade branch). The trade peaked at +0.265%
+(between base 0.19998% and widened 0.27998%), held four consecutive scans,
+reversed, and died at STOP_LOSS -$1,248.71.
+
+This suite pins:
+  1. Default-OFF parity: with tp_floor_enabled=False (the class default),
+     behavior is bit-identical to the pre-change engine, INCLUDING the
+     cascade-widened HOLD that caused the incident.
+  2. The golden LINK replay: with the floor ON, the trade exits TP_FLOOR
+     on the first regression scan below base TP (+0.1617%), not STOP_LOSS.
+  3. Arming and edge rules, modulation interactions, LONG symmetry,
+     STOP_LOSS / MAX_HOLD untouched, diagnostics present on every decision.
+"""
+
+import sys
+from pathlib import Path
+
+sys.path.insert(0, "/mnt/dolphinng5_predict/nautilus_dolphin")
+
+import pytest
+
+from nautilus_dolphin.nautilus.alpha_exit_manager import AlphaExitManager
+
+
+# ── OB engine mock — exactly the surface evaluate() consumes ─────────────────
+
+class _Sig:
+    def __init__(self, imbalance_ma5=0.0, withdrawal_velocity=0.0):
+        self.imbalance_ma5 = imbalance_ma5
+        self.withdrawal_velocity = withdrawal_velocity
+
+
+class _Macro:
+    def __init__(self, cascade_count=0, regime_signal=0):
+        self.cascade_count = cascade_count
+        self.regime_signal = regime_signal
+
+
+class MockOBEngine:
+    def __init__(self, cascade_count=0, regime_signal=0, imbalance_ma5=0.0,
+                 withdrawal_velocity=0.0):
+        self._sig = _Sig(imbalance_ma5, withdrawal_velocity)
+        self._macro = _Macro(cascade_count, regime_signal)
+
+    def get_signal(self, asset, ts):
+        return self._sig
+
+    def get_macro(self):
+        return self._macro
+
+
+# ── LINK 5e05eeeb constants (from the live tape) ─────────────────────────────
+
+LINK_ENTRY = 7.729
+LINK_TP = 0.0019998464          # tp_effective_pct as recorded
+LINK_DIR = -1                    # SHORT
+# (price, expected pnl_pct fraction) sequence from dolphin.v7_decision_events
+LINK_TAPE = [
+    (7.7225, 0.00084),   # bars 0-1
+    (7.7185, 0.00136),   # bars 4-7
+    (7.7175, 0.00149),   # bars 5-9
+    (7.7085, 0.00265),   # bars 10-12 — ABOVE base TP, below widened TP
+    (7.7125, 0.00213),   # bar 12-13 — still above base TP
+    (7.7165, 0.00162),   # bar 13-14 — REGRESSED below base TP
+]
+
+
+def _mgr(floor=False, ob=None, tp=LINK_TP, stop=1.0, max_hold=250):
+    m = AlphaExitManager(fixed_tp_pct=tp, stop_pct=stop, max_hold_bars=max_hold,
+                         tp_floor_enabled=floor)
+    if ob is not None:
+        m.ob_engine = ob
+    return m
+
+
+def _short(m, trade_id="t", entry=LINK_ENTRY, bar=0):
+    m.setup_position(trade_id, entry, LINK_DIR, bar)
+    return trade_id
+
+
+# ── 1. Default-off parity (incident behavior preserved bit-exact) ───────────
+
+def test_default_is_off():
+    assert AlphaExitManager().tp_floor_enabled is False
+
+
+def test_cascade_widened_hold_unchanged_when_floor_off():
+    """The incident, replayed: floor OFF + cascade ON -> HOLD through the
+    whole profitable window and no TP_FLOOR ever — pre-change behavior."""
+    m = _mgr(floor=False, ob=MockOBEngine(cascade_count=3))
+    t = _short(m)
+    bar = 0
+    for price, _pnl in LINK_TAPE:
+        bar += 1
+        r = m.evaluate(t, price, bar, asset="LINKUSDT")
+        assert r["action"] == "HOLD", (price, r)
+    # diagnostics still present even when floor is off
+    assert r["dynamic_tp_pct"] == pytest.approx(LINK_TP * 1.40, rel=1e-9)
+    assert r["tp_mod_factor"] == pytest.approx(1.40, rel=1e-9)
+    assert r["cascade_count"] == 3
+    assert r["tp_floor_armed"] is True
+
+
+def test_no_ob_engine_fixed_tp_fires_at_base():
+    """Without an OB engine there is no modulation: first scan at +0.265%
+    fires plain FIXED_TP (sanity that base behavior is intact)."""
+    m = _mgr(floor=False)
+    t = _short(m)
+    r = m.evaluate(t, 7.7085, 10, asset="LINKUSDT")
+    assert (r["action"], r["reason"]) == ("EXIT", "FIXED_TP")
+    assert r["dynamic_tp_pct"] == pytest.approx(LINK_TP)
+    assert r["tp_mod_factor"] == pytest.approx(1.0)
+
+
+# ── 2. Golden LINK replay with the floor ON ─────────────────────────────────
+
+def test_link_golden_replay_floor_exits_on_regression():
+    """THE fix: cascade widens TP to 0.27998%; the tape peaks at 0.265%
+    (HOLD, matching live); on the first scan back below base TP the floor
+    fires TP_FLOOR at +0.1617% — instead of riding to -1.26% STOP_LOSS."""
+    m = _mgr(floor=True, ob=MockOBEngine(cascade_count=3))
+    t = _short(m)
+    actions = []
+    bar = 0
+    result = None
+    for price, _pnl in LINK_TAPE:
+        bar += 1
+        result = m.evaluate(t, price, bar, asset="LINKUSDT")
+        actions.append(result["action"])
+        if result["action"] == "EXIT":
+            break
+    assert result["action"] == "EXIT"
+    assert result["reason"] == "TP_FLOOR"
+    # exits on the LAST tape row (the regression scan), not earlier
+    assert actions == ["HOLD"] * (len(LINK_TAPE) - 1) + ["EXIT"]
+    assert result["pnl_pct"] == pytest.approx(
+        LINK_DIR * (7.7165 - LINK_ENTRY) / LINK_ENTRY)  # +0.16173%
+    assert result["pnl_pct"] > 0.0                       # banked a WIN
+    assert result["tp_floor_armed"] is True
+
+
+def test_floor_does_not_fire_while_above_base():
+    """pnl at 0.2135% (above base 0.19998%) must NOT trigger the floor —
+    the widened FIXED_TP logic stays in charge of capturing more."""
+    m = _mgr(floor=True, ob=MockOBEngine(cascade_count=1))
+    t = _short(m)
+    m.evaluate(t, 7.7085, 1, asset="LINKUSDT")           # arm (0.265%)
+    r = m.evaluate(t, 7.7125, 2, asset="LINKUSDT")       # 0.2135% > base
+    assert r["action"] == "HOLD"
+
+
+# ── 3. Arming rules ──────────────────────────────────────────────────────────
+
+def test_floor_unarmed_below_base_never_fires():
+    """Excursion never reached base TP -> dips can not trigger TP_FLOOR."""
+    m = _mgr(floor=True, ob=MockOBEngine(cascade_count=2))
+    t = _short(m)
+    r1 = m.evaluate(t, 7.7185, 1, asset="LINKUSDT")      # +0.136% < base
+    assert (r1["action"], r1["tp_floor_armed"]) == ("HOLD", False)
+    r2 = m.evaluate(t, 7.7350, 2, asset="LINKUSDT")      # negative excursion
+    assert r2["action"] == "HOLD"
+    r3 = m.evaluate(t, 7.760, 3, asset="LINKUSDT")       # -0.40% — still HOLD
+    assert r3["action"] == "HOLD"
+
+
+def test_marginal_cross_then_reverse_exits_near_base():
+    """Cross base TP by a hair (1.0001x), reverse: floor exits ~at base —
+    economically a 0.20% TP (the operator's stated intent). An EXACT-ulp
+    touch is allowed not to arm (float round-trip); crossing must arm."""
+    m = _mgr(floor=True, ob=MockOBEngine(cascade_count=2))
+    t = _short(m)
+    cross = LINK_ENTRY * (1.0 - LINK_TP * 1.0001)         # just through base
+    r1 = m.evaluate(t, cross, 1, asset="LINKUSDT")
+    # armed on the crossing bar; pnl marginally ABOVE base -> no fire yet
+    # (pnl <= base is false by the 1.0001 margin)
+    assert r1["action"] == "HOLD" and r1["tp_floor_armed"] is True
+    back = LINK_ENTRY * (1.0 - LINK_TP * 0.95)            # regression below base
+    r2 = m.evaluate(t, back, 2, asset="LINKUSDT")
+    assert (r2["action"], r2["reason"]) == ("EXIT", "TP_FLOOR")
+    assert r2["pnl_pct"] == pytest.approx(LINK_TP * 0.95, rel=1e-6)
+
+
+def test_set_live_tp_pct_rebases_floor():
+    """The soft-leverage sync re-bases the floor each scan."""
+    m = _mgr(floor=True, ob=MockOBEngine(cascade_count=2), tp=0.0020)
+    t = _short(m)
+    m.evaluate(t, 7.7085, 1, asset="LINKUSDT")            # armed vs 0.20%
+    m.set_live_tp_pct(0.0030)                             # TP widened to 0.30%
+    # 0.265% max_favorable is now BELOW the new base -> floor disarmed
+    r = m.evaluate(t, 7.7125, 2, asset="LINKUSDT")        # 0.2135%
+    assert r["action"] == "HOLD"
+    assert r["tp_floor_armed"] is False
+
+
+# ── 4. Other exits untouched ─────────────────────────────────────────────────
+
+def test_stop_loss_unaffected():
+    m = _mgr(floor=True, ob=MockOBEngine(cascade_count=2), stop=0.012)
+    t = _short(m)
+    r = m.evaluate(t, LINK_ENTRY * 1.013, 1, asset="LINKUSDT")  # -1.3% (short)
+    assert (r["action"], r["reason"]) == ("EXIT", "STOP_LOSS")
+
+
+def test_max_hold_unaffected():
+    m = _mgr(floor=True, ob=MockOBEngine(cascade_count=2), max_hold=5)
+    t = _short(m)
+    r = None
+    for bar in range(1, 7):
+        r = m.evaluate(t, LINK_ENTRY * 1.0005, bar, asset="LINKUSDT")  # small loss
+        if r["action"] == "EXIT":
+            break
+    assert (r["action"], r["reason"]) == ("EXIT", "MAX_HOLD")
+
+
+def test_widened_fixed_tp_still_fires_above_widened():
+    """Cascade ON, pnl ABOVE the widened threshold -> FIXED_TP (continuation
+    capture preserved; the floor must not pre-empt it)."""
+    m = _mgr(floor=True, ob=MockOBEngine(cascade_count=2))
+    t = _short(m)
+    deep = LINK_ENTRY * (1.0 - LINK_TP * 1.40 * 1.1)      # 10% past widened
+    r = m.evaluate(t, deep, 1, asset="LINKUSDT")
+    assert (r["action"], r["reason"]) == ("EXIT", "FIXED_TP")
+    assert r["pnl_pct"] > LINK_TP * 1.40
+
+
+def test_withdrawal_tightening_fires_fixed_tp_not_floor():
+    """regime_signal=1 with profit tightens TP x0.60 -> FIXED_TP fires below
+    base; the floor never engages (pnl above dynamic but below base is
+    impossible here because dynamic < base)."""
+    m = _mgr(floor=True, ob=MockOBEngine(regime_signal=1))
+    t = _short(m)
+    px = LINK_ENTRY * (1.0 - LINK_TP * 0.8)               # pnl = 0.8x base
+    r = m.evaluate(t, px, 1, asset="LINKUSDT")
+    assert (r["action"], r["reason"]) == ("EXIT", "FIXED_TP")
+    assert r["tp_mod_factor"] == pytest.approx(0.60, rel=1e-9)
+
+
+# ── 5. LONG symmetry ─────────────────────────────────────────────────────────
+
+def test_long_floor_symmetry():
+    m = _mgr(floor=True, ob=MockOBEngine(cascade_count=2), tp=0.0020)
+    m.setup_position("L", 100.0, +1, 0)
+    r1 = m.evaluate("L", 100.25, 1, asset="X")            # +0.25% in band -> HOLD
+    assert r1["action"] == "HOLD" and r1["tp_floor_armed"] is True
+    r2 = m.evaluate("L", 100.15, 2, asset="X")            # regression below base
+    assert (r2["action"], r2["reason"]) == ("EXIT", "TP_FLOOR")
+    assert r2["pnl_pct"] == pytest.approx(0.0015, rel=1e-6)
+
+
+# ── 6. Diagnostics contract ──────────────────────────────────────────────────
+
+DIAG_KEYS = ("tp_base_pct", "dynamic_tp_pct", "tp_mod_factor",
+             "cascade_count", "ob_regime_signal", "tp_floor_armed")
+
+
+def test_diagnostics_on_every_decision_and_last_eval():
+    m = _mgr(floor=True, ob=MockOBEngine(cascade_count=4, regime_signal=0))
+    t = _short(m)
+    r = m.evaluate(t, 7.7225, 1, asset="LINKUSDT")
+    for k in DIAG_KEYS:
+        assert k in r, k
+    assert r["cascade_count"] == 4
+    le = m.last_eval
+    assert le["trade_id"] == t and le["bar"] == 1
+    for k in DIAG_KEYS:
+        assert k in le, k
+
+
+def test_diagnostics_defaults_without_ob_engine():
+    m = _mgr(floor=True)
+    t = _short(m)
+    r = m.evaluate(t, 7.7225, 1, asset="LINKUSDT")
+    assert r["cascade_count"] == 0
+    assert r["ob_regime_signal"] == 0
+    assert r["tp_mod_factor"] == pytest.approx(1.0)
+
+
+def test_no_state_return_unchanged():
+    m = _mgr(floor=True)
+    r = m.evaluate("ghost", 1.0, 1)
+    assert (r["action"], r["reason"]) == ("HOLD", "NO_STATE")
+
+
+if __name__ == "__main__":
+    sys.exit(pytest.main([__file__, "-v"]))