audit: alert delivery, provider robustness, backtester NaN/cache guards (Batches C+E+F)

2026-08-04 Fable 5 QA audit. Three batches sharing one test file, all
verified by runnable repros before fixing, all gated below.

Batch C — telegram alert delivery (verified by h4 harness):
- Failed breach rescan shrinks the cooldown to 30 s instead of
  silencing the symbol for 5 min; breach during cooldown is PARKED and
  fired on the first tick after expiry (was dropped forever).
- Level cache keyed symbol→TF (M5 scans no longer wipe H1/H4 swing
  levels within minutes); breach labels TF-qualified.
- Markdown alert sends get a plain-text fallback (mirroring _safe_edit);
  fingerprint commits only when a message actually landed.
- Per-key asyncio.Lock closes the dedup TOCTOU between auto-scan and
  breach sends (forced-interleave repro produced duplicate alerts).
- _start_scheduler respawns dead per-TF loops (was all-or-nothing).
- Clean WS close now backs off (was a zero-delay reconnect hot loop);
  backoff resets only after a connection that received ticks; TD
  iter_ticks fires on_connect on the first RECEIVED frame (invalid key
  can no longer pin the backoff at minimum).
- Scan-failure logs carry the real traceback (was "NoneType: None").

Batch E — providers (verified by h5 harness):
- fetch_range: 3 consecutive chunk ERRORS raise instead of returning
  silently truncated history (verified 731-day silent gap repro; also
  covers 429 storms); pagination no-progress guard; head-truncation
  ERROR log.
- Single-flight per (symbol,TF): 4 concurrent scans = 1 API call (was
  4); cache records requested depth so a longer-lookback call refetches.
- Multi-bar forming/future tail fully dropped (was iloc[:-1] once).
- Oanda: malformed candles skipped, never 0.0-defaulted; cleaning drops
  non-positive-price rows BEFORE OHLC repair; inf returns neutralized so
  one corrupt bar can no longer disarm the whole 10-sigma filter.

Batch F — backtester internals (verified by h6 harness):
- NaN bar in a trailing window exits at the last valid bar (was NaN R
  poisoning every metric); static-path TIMEOUT NaN guard;
  compute_metrics excludes non-finite R loudly. Zero real-data exposure
  (0 NaN rows in all 10 Oanda parquets) — defensive.
- fetch_history ERROR-logs pre-2026-07-08 cache files (cleaned-bars era)
  when loaded for raw-path resolution.

Gates: suite 333/333 green; pinned M15 12mo book reproduced identically
(397 trades, +78.7111R) after E and after F; M5 HEAD-config baseline
reproduced identically (556 trades, +97.5604R) after F.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01UnZkzeFcTu9agFg8BDh2tn

providers/oanda.py

@@ -149,23 +149,37 @@ class OandaDataProvider(BaseDataProvider):
         rows = []
         last_bid_close = None
         last_ask_close = None
+        skipped_malformed = 0
         for c in candles:
             if not c.get("complete", False):
                 continue
             mid = c.get("mid", {})
             bid = c.get("bid", {})
             ask = c.get("ask", {})
+            # A candle missing any OHLC field must be SKIPPED, never
+            # defaulted to 0.0: a zero price flows through cleaning as a
+            # "legit" bar and poisons ATR/Keltner/SL math — and a
+            # mid-frame zero Close makes pct_change() emit inf, which
+            # NaNs the std and disarms the 10σ outlier filter for the
+            # whole frame (2026-08-04 audit, I45).
+            if any(mid.get(k) is None for k in ("o", "h", "l", "c")):
+                skipped_malformed += 1
+                continue
             rows.append({
                 "Datetime": pd.Timestamp(c["time"]).tz_convert("UTC"),
-                "Open": float(mid.get("o", 0)),
-                "High": float(mid.get("h", 0)),
-                "Low": float(mid.get("l", 0)),
-                "Close": float(mid.get("c", 0)),
+                "Open": float(mid["o"]),
+                "High": float(mid["h"]),
+                "Low": float(mid["l"]),
+                "Close": float(mid["c"]),
                 "Volume": int(c.get("volume", 0)),
             })
             if bid and ask:
                 last_bid_close = float(bid.get("c", 0))
                 last_ask_close = float(ask.get("c", 0))
+        if skipped_malformed:
+            logger.warning(
+                "Oanda returned %d malformed candle(s) for %s (missing "
+                "OHLC fields) — skipped", skipped_malformed, instrument)
 
         if not rows:
             raise OandaDataError(