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PINK Phases 1-4: E-anchored capital, atomic snapshot, sizer feedback, kernel hardening

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Phase 1: account.py anchor_to_exchange, capital_source provenance, settle
includes fees in capital delta.
Phase 2: atomic snapshot swap, CH provenance DDL (08_provenance.sql),
naive-UTC timestamps, ch_writer wait_for_async_insert=1 for all tables,
head-of-line stuck-row logging at WARNING per 100 attempts.
Phase 3: sizer feedback uses slot realized_pnl (not capital delta),
FILL_SETTLED repairs slot-level PnL for price-less exit legs.
Phase 4: resolve_slot returns Option<usize>, UNRESOLVED_SLOT diagnostic.
bars_held clamped to max(0, ...) at row-build time.
This commit is contained in:
Codex
2026-06-11 21:44:24 +02:00
parent 2c9da8f592
commit d280407327
6 changed files with 793 additions and 45 deletions
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28
prod/clean_arch/runtime/pink_direct.py
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@@ -259,13 +259,13 @@ def _reconcile_position_slot(
# No open positions — ensure slot is idle
kernel.reconcile_from_slots([])
# Seed capital once from exchange balance.
# Seed capital once from exchange balance — E-anchored.
if exchange_balance_capital > 0:
kernel.account.snapshot.capital = exchange_balance_capital
kernel.account.snapshot.peak_capital = max(
kernel.account.snapshot.peak_capital, exchange_balance_capital
kernel.account.anchor_to_exchange(
wallet_balance=exchange_balance_capital,
available_margin=exchange_balance_capital,
event_seq=0,
)
kernel.account.snapshot.equity = exchange_balance_capital
@dataclass
@@ -1453,9 +1453,11 @@ class PinkDirectRuntime:
def _sizer_trade_feedback(self, acc: dict, slot_dict: dict) -> None:
"""Close-out detection → feed realized PnL into the alpha layers.
Capital-delta PnL (net of fees) — the kernel's capital is the
authoritative ledger, and bucket/streak multipliers only need the
sign and rough magnitude.
PnL is sourced from the closing slot's realized_pnl (kernel estimate,
overridden by exchange FILL_SETTLED when available) — NOT the capital
delta, which absorbs funding, fees of other activity, and foreign fills
from the shared VST account (PRODGREEN collision class).
Bucket/streak multipliers only need sign and rough magnitude.
"""
if self.alpha_sizer is None or not self._sizer_open_tid:
return
@@ -1467,11 +1469,17 @@ class PinkDirectRuntime:
)
if still_open:
return
pnl = float(acc.get("capital") or 0.0) - self._sizer_entry_capital
# Phase 3: slot.realized_pnl is the trade's own PnL (no capital-delta
# contamination from funding, foreign fills, or other-activity fees).
pnl = float(slot_dict.get("realized_pnl") or 0.0)
# Subtract accumulated fees when available (fees_paid on slot metadata)
fees = float(slot_dict.get("fees_paid", 0.0) or slot_dict.get("metadata", {}).get("fees_paid", 0.0) or 0.0)
pnl = pnl - fees
self._sizer_open_tid = ""
try:
self.alpha_sizer.record_close(pnl)
self.logger.info("alpha sizer feedback: trade closed pnl=%.4f", pnl)
self.logger.info("alpha sizer feedback: trade closed pnl=%.4f (rp=%.4f fees=%.4f)", pnl,
float(slot_dict.get("realized_pnl") or 0.0), fees)
except Exception:
pass