fithia2

Commit Graph

Author	SHA1	Message	Date
I Luk Kim	f2113b7e06	Fix cash parking phantom-money bug + live engine parking liquidation for events 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>	5 months ago
I Luk Kim	c646303423	Recalibrate public SQS and exposure-aware tracking	5 months ago
I Luk Kim	0471018dd8	feat: implement ACE-F v1 Phase 1 -- Stock Oracle 기반 이벤트 파이프라인 Stock Oracle (localhost:18001)을 단일 데이터 소스로 사용하는 미국 주식 이벤트 스윙 트레이딩 시스템의 Phase 1 구현체. 주요 구성: - libs/oracle_client/: Stock Oracle REST 클라이언트 (filings, price, financial, fred, finra) - libs/common/: config, logging, time_utils, ids, retries, file_store - libs/db/: SQLAlchemy 2.0 모델 12개 + Alembic 마이그레이션 0001 - libs/parser/: 규칙 기반 파서 (텍스트 정규화, JSON Schema 검증, LLM 스텁) - libs/features/: 시장/이벤트 피처 계산기 - apps/pipeline/: filing_poller → filing_fetcher → event_parser → feature_builder - apps/sync/: macro_sync (FRED), short_volume_sync (FINRA), issuer_sync - tests/: 단위 81개 + 리플레이 5개 전체 통과, lint clean Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>	5 months ago

Author

SHA1

Message

Date

I Luk Kim

f2113b7e06

Fix cash parking phantom-money bug + live engine parking liquidation for events

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>

I Luk Kim

c646303423

Recalibrate public SQS and exposure-aware tracking

I Luk Kim

0471018dd8

feat: implement ACE-F v1 Phase 1 -- Stock Oracle 기반 이벤트 파이프라인

Stock Oracle (localhost:18001)을 단일 데이터 소스로 사용하는 미국 주식
이벤트 스윙 트레이딩 시스템의 Phase 1 구현체.

주요 구성:
- libs/oracle_client/: Stock Oracle REST 클라이언트 (filings, price, financial, fred, finra)
- libs/common/: config, logging, time_utils, ids, retries, file_store
- libs/db/: SQLAlchemy 2.0 모델 12개 + Alembic 마이그레이션 0001
- libs/parser/: 규칙 기반 파서 (텍스트 정규화, JSON Schema 검증, LLM 스텁)
- libs/features/: 시장/이벤트 피처 계산기
- apps/pipeline/: filing_poller → filing_fetcher → event_parser → feature_builder
- apps/sync/: macro_sync (FRED), short_volume_sync (FINRA), issuer_sync
- tests/: 단위 81개 + 리플레이 5개 전체 통과, lint clean

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

3 Commits (969dedc635156fb3152befc317b2e773ddb4511d)