Live paper trader (engine.py):
- On first run_next_open per daemon session, call get_candidates_for_lookback()
to fetch events from [today - max_mhd*2, today) that are still active
- Skip gap-cap check for lookback entries (multi-day drift ≠ overnight gap)
- Initialize days_held to elapsed trading days when saving strategy state
EventDetector (event_detector.py):
- Extract shared enrichment logic into _enrich_raw_rows(raw_rows, bar_end_date, config)
- Add _fetch_events_for_date_range(start, end): single DB query with entry_date range
- Add get_candidates_for_lookback(today, start_date, config): annotates each row
with is_lookback_entry=True and lookback_days_elapsed=N
Mock broker (backtest_sim.py):
- Extend slice_by_date_range start backward when lookback_entry_enabled, mirroring
the same logic already present in apps/backtester/run.py main()
Verified: BX/EBAY/ENB all entered 2026-03-30 via lookback in both research
backtest and mock broker. Parking, idle_alpha, form4 sleeves unaffected.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Backtester (run.py):
- cash_available = (self._cash + parking_value) * multiplier caused trades to be
approved even when self._cash ≈ 0 (all money in SGOV/QQQ). Trades executed
by deducting from self._cash → negative cash (phantom money).
- Fix: after simulate_entry, if self._cash < actual trade cost and parking exists,
call _liquidate_parking_for_cash(shortfall) before deducting from cash.
- Verified: 2022-2026 backtest with qqqm_low_dd shows 0 cash_negative events.
Live engine (engine.py):
- Add _parking_liquidate_for_event(): frees parking cash to fund event entries.
SGOV (virtual) reduces entry_value in DB; QQQM/QQQ sells real shares via broker.
- Both entry loops (engines mode + flat/reaction_close mode) now attempt parking
liquidation when plan.skip_reason == "insufficient_cash" before giving up.
Also includes prior session work (accumulated since last commit):
- 6 novel parking gate signals: VRP, Market Temperature, Hurst exponent, Rolling
Kurtosis, Return Autocorrelation, SPY-QQQ Correlation (composite risk score v2)
- QQQM parking symbol support (lower expense ratio vs QQQ)
- Snapshot auto-refresh + bar extension cache (pickle) to avoid 10-min re-fetches
- Bar extension clamps to last market-closed date (ET 4PM check)
- fithia2 refresh command; --no-refresh flag for paper backtest
- Paper backtest macro extension beyond last event date (parking-only periods)
- parking_state DB schema: 7 new columns (peak_price, gate_in_sgov,
committed_target, pending_target, pending_days, sgov_entry_value, sold_today)
- Live engine: target confirmation (2-day), top-up drawdown gate, trailing stop,
SGOV interest accrual, full 6-signal gate evaluation
- New PARKING_PRESETS: qqqm_low_dd, composite_v2, vv_24_vrp8, vt_24_t13, etc.
- Web GUI / CLI result parity fix (Oracle URL via get_settings().stock_oracle_url)
- Force-close uses last_exec_date (has bar data); parking liquidates at last_date
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- ReconciliationReport dataclass tracking orphaned/ghost positions and stale orders
- _cancel_stale_orders(): cancel leftover open orders at daily run start
- _reconcile_positions(): detect Alpaca vs local state mismatches; auto-close ghost positions with RECONCILED exit reason
- _verify_order_fill(): poll broker up to 2s to confirm market order fill before saving state
- _check_kill_switch(): activate and persist kill switch at 25% drawdown; blocks new entries
- run_daily() and _process_entries() wired with all safety checks
- 18 unit tests covering all reconciliation scenarios
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Phase 5 — Engine selection (both entry paths):
- Added residual_reserve_selected tracking between engines
- Added prelimit amplification (5x) for attention-requiring engines
- Added truncate_to parameter to select_candidates calls
Matches BacktestRunner._select_candidates_for_date() behavior.
Phase 6 — Macro data:
- Added FRED series fetch (VIXCLS, BAMLH0A0HYM2) to _fetch_macro()
- Matches SnapshotStore._fetch_macro() which loads from MacroObservation DB
- Enables VIX/HY regime sizing in live paper trading
All 6 phases of BacktestRunner ↔ PaperTradingEngine unification complete.
450 unit tests pass. Multi-strategy paper backtest verified.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
I Luk Kim