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audit 2026-09-13: eleven delivery/measurement fixes; books byte-identical

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Signal path
- A shipped setup always names a direction: grade C needs confidence
  >= 45 (gate 6c grants B at >= 45) while BUY/SELL needs >= 50, so C/B
  reports reached the alert gate as NEUTRAL with a full setup. The
  backtester traded them (the replay never reads final_signal) while
  Telegram rejected NEUTRAL first — 5/91 trades, +3.7R of +22.2R, in
  the H1 12-month book. _attach_core_setup stamps the setup's direction
  and repairs the pre-gate action text; no-setup reports stay NEUTRAL.
- analyze_pair fails the scan when ANY required frame is missing
  ("DATA UNAVAILABLE:", scan_kind='failed'); a lost confirmation frame
  used to run with an unearned -15 MTF penalty.

Outcomes and labels
- advisory_outcome.resolve_locked_floor: a gap the database cannot fill
  resolves at the locked trailing stop (GAP_LOCKED, result.floor) when
  the stop had crossed the entry; the rebuild fires on both gap reasons
  (rows 915/920: +1.14R / +0.84R floors; resolved sum -2.46R -> -0.48R).
- label_scan_outcomes: SCAN_LABEL_MAX_AGE_H = 72 h, stale rows never
  anchor the shared bar stream, labeled_at bumped on re-examination,
  _stream_since warns at its row cap (the Labor-Day pile would have
  blinded scan_outcomes around 2026-09-14).

Providers and scheduling
- The daily settlement pause (Mon-Thu 17:00 New York) is a scheduled
  closure for _has_latest_closed_bar (whole-span label walk-back) and
  _is_data_fresh (closed seconds are not age); bot and dashboard skip
  scans whose just-closed label sits in the pause (61 false stale rows
  in three nights).
- fetch_range retries a failed page in place (three failures on one
  window raise) and logs an ERROR for interior gaps of >3 unscheduled
  bars.
- pd.Timestamp.utcnow() replaced in providers/base.py and engine.py;
  requirements pin pandas<4, numpy<3.
- telegram_bot: boundary loops share one scan per bar with the breach
  handler (_remember_scan keys on the analysed bar; breach defers 20 s
  after an M15 boundary); the rotating file handler attaches in main()
  only (the test suite used to write into logs/telegram.log).
- dashboard_publisher: catch_up_timeframes re-scans boundaries missed
  while a cycle overran or the process was down.

Backtester and engine guards
- _replay_span returns the per-span GPU cache-miss count; run_backtest
  sums, logs it (must be 0) and writes cache_fallbacks to the manifest.
- regime_weight_table raises on a partial regime_weights_override.

Verification: 519 tests; M5/M15 2-yr, M15 OOS, H1/H4 3-yr books
byte-identical before and after; live signals.db untouched (checked on
a copy). CLAUDE.md carries the dated entry and the blocked-hours union
semantics that every book was validated under.

Claude-Session: https://claude.ai/code/session_0139xz1J6YccndA2be6yFnEo
This commit is contained in:
Harwinder Sekhon
2026-09-13 21:42:37 -04:00
parent be72f3f350
commit 7936c2fe6e
12 changed files with 1602 additions and 70 deletions
Download Patch File Download Diff File Expand all files Collapse all files
signal_aggregator.py
+62 -8
View File
@@ -242,6 +242,36 @@ class SignalAggregator:
except Exception as e:
logger.warning(f"Fetch failed for {symbol} {tf.value}: {e}")
# A missing frame is a FAILED scan, never a degraded one. Losing a
# CONFIRMATION frame used to let the scan continue with fewer
# frames: _check_mtf_agreement needs >= 2 signals, so it returned
# False and the composite took a 15-point mtf_disagreement penalty
# the market never earned (A/A+ became impossible), while on
# M15/H1/H4 a B/C setup could still ship on one confirmation with
# no warning at all. The backtester never sees that state
# (run_backtest raises on an empty frame), so it was a live-only
# divergence. 2026-09-13 audit.
missing = [tf for tf in timeframes if tf not in dfs]
if missing:
report = SignalReport(
symbol=symbol,
display_name=pair_info["display"],
timestamp=str(now_utc),
)
report.final_signal = SignalStrength.NEUTRAL
report.signal_quality = "F"
report.trade_setup = None
if self.config.primary_timeframe in missing:
# Legacy text signal_log.gate_reason already recognises.
report.warnings.append("Primary timeframe data unavailable")
report.warnings.append(
f"DATA UNAVAILABLE: {', '.join(tf.value for tf in missing)}"
" — scan failed"
)
report.action_recommendation = "NO TRADE — market data unavailable"
self._log_signal(report, log_source, dfs, failed=True)
return report
report = self.analyze_from_dataframes(
symbol=symbol,
dfs=dfs,
@@ -303,7 +333,7 @@ class SignalAggregator:
def _log_signal(
self, report: SignalReport, source: Optional[str],
dataframes: Optional[Dict[Timeframe, pd.DataFrame]] = None,
blocked: bool = False,
blocked: bool = False, failed: bool = False,
) -> None:
"""Persist the scan to the signal-history DB (signal_log.py).
@@ -314,9 +344,11 @@ class SignalAggregator:
is still written, just without the news JSON blobs. ``blocked``
marks weekend/day early returns: no news fetch, no snapshots —
a ~1 KB liveness row (or nothing, per signal_log.log_blocked_scans).
A scan whose PRIMARY fetch failed is logged as ``scan_kind``
``failed`` (price 0, no signal): liveness evidence that readers
skip like ``blocked``, so it never pollutes NEUTRAL statistics."""
A scan missing ANY required frame (primary or confirmation, or
the regime-filter frame when that filter is on) is logged as
``scan_kind`` ``failed`` (price 0, no signal): liveness evidence
that readers skip like ``blocked``, so it never pollutes NEUTRAL
statistics."""
context = None
if not blocked:
try:
@@ -325,10 +357,10 @@ class SignalAggregator:
logger.debug("signal log: news context unavailable",
exc_info=True)
kind = "blocked" if blocked else "scan"
if not blocked and dataframes is not None:
primary = dataframes.get(self.config.primary_timeframe)
if primary is None or primary.empty:
kind = "failed"
primary = (dataframes or {}).get(self.config.primary_timeframe)
if failed or (not blocked and dataframes is not None
and (primary is None or primary.empty)):
kind = "failed"
extra = {"scan_kind": kind}
for key, fingerprint in (
("config_fingerprint", self.gate_config_fingerprint),
@@ -1297,6 +1329,28 @@ class SignalAggregator:
report.trade_setup = self._generate_xau_atr_trade_setup(report, atr)
if report.trade_setup is None and report.signal_quality in ("A+", "A", "B", "C"):
report.trade_setup = self._generate_trade_setup(report, pip_value)
# A shipped setup always names a direction. The signal thresholds
# (BUY/SELL need confidence >= 50) sit above the C grade floor
# (>= 45), and gate 6c grants B at >= 45 in "transitioning", so a
# C/B report could leave here as NEUTRAL with a full setup: the
# backtester traded it (the replay never reads final_signal) while
# the Telegram alert gate rejects NEUTRAL first (2026-09-13 audit:
# 5/91 H1 12-mo book trades, +3.7R of +22.2R, were never alerted).
# The generators derived the direction from the score sign — the
# same sign every direction gate above used — so this changes
# display and alert eligibility only; the trade books are unchanged.
# A report no generator served stays NEUTRAL, as before.
if (report.trade_setup is not None
and report.final_signal == SignalStrength.NEUTRAL):
report.final_signal = (SignalStrength.BUY
if report.trade_setup.direction == "BUY"
else SignalStrength.SELL)
# The action text was written before the gate chain with the
# old signal name; keep it consistent with the header.
if report.action_recommendation.startswith("NEUTRAL"):
report.action_recommendation = (
report.final_signal.name.replace("_", " ")
+ report.action_recommendation[len("NEUTRAL"):])
@staticmethod
def _drop_stale_spread_gate_vetoes(report: SignalReport) -> None: