docs: spec — paper-validation envelope + real exec-venue recording (C3)
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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jgrusewski
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vendored
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vendored
@@ -24,3 +24,7 @@ dist/
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# downloaded 1m klines (binance.vision) + the worst_basis side-store — data, never git
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klines_cache/
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*.parquet
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# local paper-trading API keys (never commit)
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alpacca-paper-keys.txt
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*-paper-keys.txt
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# C3 — Paper-Validation Execution Envelope + Real Exec-Venue Recording
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**Date:** 2026-07-10
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**Status:** Approved (design)
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**Depends on:** A (deterministic forward state), B2a (allocation), B3 (funding), C1 (Alpaca exec leg), C2 (Bybit exec leg) — all merged.
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## Problem
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Two gaps surfaced when the first executed multistrat run landed on the cockpit:
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1. **The exec track cannot run continuously.** The paper execution book (`multistrat_exec`,
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`bybit_4edge_exec`) is funded by B2a's real-capital allocation
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(`envelope = min(current_allocation[sid], nlv)`). B2a correctly sets `multistrat = $0`
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(edge has <60 forward days), so on the next `--execute` the book books one real return day
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and then **flattens** (`envelope = min($0, nlv) = $0`). We cannot validate execution over
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time because the deterministic real-capital policy — correctly — refuses to fund an immature
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edge. Paper execution *validation* is a different concern from real-capital *allocation*, but
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they currently share one envelope.
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2. **The executed-reality badge lies about the venue.** The cockpit's "Executed reality" block
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renders `d.venue` — the sleeve's *configured* venue (`alpaca-paper`). The first run actually
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executed on **IBKR paper** (Alpaca keys were unavailable). Since IBKR whole-share and Alpaca
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fractional have very different execution friction, and the divergence readout exists precisely
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to surface that friction, the badge must reflect **where the fills actually happened**.
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## Goals
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- A **separate paper-validation funding envelope** for exec tracks that is NOT gated by B2a's
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60-day / $35k real-capital policy, so the paper book runs continuously — while B2a continues to
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govern **real capital** unchanged.
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- Record the **actual execution venue** (`alpaca-paper`, `ibkr-paper`, `bybit-testnet`) on each
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exec track and surface it in the cockpit badge, falling back to the configured venue when no
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executed run has been recorded yet.
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- Arm the continuous Alpaca paper experiment.
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## Non-Goals / Hard Constraints
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- **Real money errs false-WAIT.** The paper envelope MUST be structurally impossible to apply
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against a live/real account. It never reads or writes B2a's `strategy_allocation` table, so the
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real-capital policy is untouched by construction.
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- No new execution engine, no new return store, no schema migration (venue rides in existing JSONB
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book-state).
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- Out of scope: the deferred crypto re-entry-cost accounting noted in `bybit_exec_record.py`
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(still deferred; not this sub-project despite the "C3" reference in that comment).
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## Design
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### Component 1 — Paper-validation envelope
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**Config (single source of the amount):** add `PaperValidationSettings` to `config.py`
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(env prefix `FXHNT_PAPER_VALIDATION_`), one field:
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```python
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class PaperValidationSettings(BaseSettings):
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model_config = SettingsConfigDict(env_prefix="FXHNT_PAPER_VALIDATION_")
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envelope: float = 0.0 # 0.0 = OFF (real-capital B2a behavior everywhere). >0 = paper $ per exec track.
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```
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Exposed as `settings.paper_validation`.
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**multistrat (`execute-multistrat`, CLI):** new option
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`--paper-envelope <float>` (default `0.0`). Resolution:
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`paper_envelope = paper_envelope_flag if paper_envelope_flag > 0 else settings.paper_validation.envelope`.
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The CronJob passes `--paper-envelope 1000000` explicitly (self-documenting).
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**bybit (`bybit_testnet_reconcile`, Dagster asset — no CLI):** reads
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`settings.paper_validation.envelope` directly (assets have no CLI flag surface).
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**Envelope selection** — `plan_and_record` (`multistrat_exec_record.py`) and the bybit asset
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(`assets.py:1208`, via a new `crypto_envelope` param or a sibling helper):
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```
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if paper_envelope > 0: # paper-validation mode — bypasses B2a entirely
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if not account_is_paper: # SAFETY GATE (see below)
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REFUSE: raise / block, place NO orders
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envelope = min(paper_envelope, nlv) # nlv = alpaca NLV / bybit testnet equity
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else: # real-capital mode — UNCHANGED
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envelope = min(current_allocation[sid], nlv)
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```
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In paper mode `current_allocation` is never read → B2a real-capital policy is structurally
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untouched.
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**Safety gate (the load-bearing invariant):** paper mode requires a paper/testnet account.
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`AccountState.is_paper` is already populated correctly by every adapter:
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- `AlpacaBroker`: `is_paper = "paper-api" in base_url`
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- `IbkrBroker`: `is_paper = account.startswith("DU")`
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- `BybitBroker`: testnet → paper.
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The exec path already reads `account_state()` for NLV, so the gate reuses that read. If
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`paper_envelope > 0` and `account_state().is_paper` is False (or an `allow_live` escape is set),
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the command/asset **hard-refuses**: raises before any order is placed, exits non-zero (CLI) /
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fails the asset (Dagster). A live account can never be sized by the paper envelope.
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For multistrat this gate lives in `plan_and_record` (it already has `nlv`/account context via the
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caller); the caller passes `account_is_paper` alongside `nlv`. For bybit the asset checks testnet
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before calling the envelope helper.
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### Component 2 — Real exec-venue recording
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**Derive** the venue string at the execution site from the broker:
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`venue = f"{broker.name}-{'paper' if account_state().is_paper else 'live'}"`
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→ `alpaca-paper`, `ibkr-paper`. Bybit's asset records the literal `bybit-testnet`
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(its broker runs testnet-only).
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**Persist** it in the existing exec-position book-state (JSONB, no migration):
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- `build_pos_state(positions, prices, envelope, venue)` adds `"venue": str(venue)`.
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- `build_crypto_pos_state(positions, marks, envelope, funding_cursor_ts, venue)` adds
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`"venue": str(venue)`.
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`record_exec_track` / `record_bybit_exec_track` gain a `venue: str` parameter, threaded from the
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CLI/asset (which hold the live broker). The venue is written on **every** exec run, including the
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inception run (the book-state is written even when no return is booked), so the badge is correct
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from the first run.
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### Component 3 — Cockpit surfacing
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- `DashboardService._exec_pair(sid, summaries)` additionally reads
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`self._repo.get_book_state(f"{twin}_pos")` and extracts `.get("venue")` →
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new field `exec_venue: str | None` on the returned dict.
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- `ports/dashboard.py`: `StrategyDetail` gains `exec_venue: str | None = None`.
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(FleetRow does not need it — the badge only appears on the detail page.)
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- `strategy.html` exec-tag: render `{{ d.exec_venue or d.venue }}` — recorded venue wins, configured
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venue is the fallback when no executed run exists yet.
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### Component 4 — Wiring & deploy
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- `infra/k8s/jobs/fxhnt-alpaca-rebalancer.yaml`: append `--paper-envelope 1000000` to the
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`execute-multistrat --execute` args; flip `suspend: false` to arm the continuous Alpaca paper
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experiment. (`alpaca-credentials` secret is already populated with paper keys.)
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- **Revert the `$1M` `strategy_allocation[multistrat]` override** in prod Postgres so the cockpit
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ALLOCATION shows the true B2a state (`$0`, building). The paper experiment funds via the flag,
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not the override → the "$1M silently reverts" confusion is resolved: policy display is honest,
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experiment is flag-driven.
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- **Cancel the queued IBKR paper orders** on DU9600528 (the Monday-queued ETF rebalance + IBIT
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flatten) via a one-off `ib_async` job, so the experiment lives solely on Alpaca.
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## Data Flow
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```
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CronJob (alpaca-rebalancer, --paper-envelope 1000000)
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→ execute-multistrat
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→ AlpacaBroker.account_state() → nlv, is_paper=True
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→ plan_and_record(paper_envelope=1e6, account_is_paper=True, ...)
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→ is_paper True ✓ → envelope = min(1e6, nlv) [B2a NOT read]
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→ exec_svc.rebalance_weights(...) places fills
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→ compute_exec_return(prior_book) → observed return
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→ record_exec_track(..., venue="alpaca-paper")
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→ run_track("multistrat_exec", return) [A's forward store]
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→ set_book_state("multistrat_exec_pos", {positions, prices, envelope, venue})
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Cockpit (dashboard.fxhnt.ai/strategy/multistrat)
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→ DashboardService.detail("multistrat")
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→ _exec_pair → exec_return_pct, exec_divergence_pct, exec_venue="alpaca-paper"
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→ strategy.html badge renders "alpaca-paper"
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```
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## Error Handling
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- **Paper envelope on a live/non-paper account** → hard refuse before any order; non-zero exit /
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asset failure. Test explicitly.
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- **`paper_envelope = 0`** → identical behavior to today (B2a-gated). Regression-tested.
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- **Missing `venue` in an older book-state** (pre-C3 anchor, e.g. today's IBKR inception) →
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`_exec_pair` `.get("venue")` returns `None` → badge falls back to configured `d.venue`. No crash.
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- **Paper envelope > NLV** → `min(paper_envelope, nlv)` clamps to NLV (cannot deploy more than the
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account holds). Existing behavior, retained.
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## Testing
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Unit (pytest):
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- `plan_and_record`: `paper_envelope>0` + `is_paper=True` → envelope = `min(paper, nlv)`,
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`current_allocation` NOT consulted.
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- `plan_and_record`: `paper_envelope>0` + `is_paper=False` → refuses, no orders placed.
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- `plan_and_record`: `paper_envelope=0` → envelope = `min(alloc, nlv)` (unchanged).
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- bybit envelope helper: same three cases against testnet equity.
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- venue string derivation: `alpaca`+paper → `alpaca-paper`; `ibkr`+paper → `ibkr-paper`.
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- `build_pos_state` / `build_crypto_pos_state` persist `venue`.
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- `_exec_pair`: reads `venue` from book-state → `exec_venue`; missing venue → `None` (fallback).
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Local cockpit verify (per `feedback_verify_cockpit_locally_not_prod`):
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- Seed a `multistrat_exec` book-state with `venue="alpaca-paper"` and a `bybit_4edge_exec` with
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`venue="bybit-testnet"` in the local dev DB.
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- `scripts/dev-cockpit-local.sh`, drive with Playwright, screenshot `/strategy/multistrat` and
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`/strategy/bybit_4edge`, **read** that each badge shows the real venue.
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## File Touchpoints
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| File | Change |
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|---|---|
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| `src/fxhnt/config.py` | `PaperValidationSettings` + `settings.paper_validation` |
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| `src/fxhnt/application/multistrat_exec_record.py` | paper-envelope branch + safety gate in `plan_and_record`; `venue` in `build_pos_state` + `record_exec_track` |
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| `src/fxhnt/application/bybit_exec_record.py` | paper-envelope helper + `venue` in `build_crypto_pos_state` + `record_bybit_exec_track` |
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| `src/fxhnt/adapters/orchestration/assets.py` | bybit asset reads `settings.paper_validation.envelope`, testnet gate, passes `venue="bybit-testnet"` |
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| `src/fxhnt/cli.py` | `execute-multistrat --paper-envelope` flag + threading `account_is_paper`/venue |
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| `src/fxhnt/application/dashboard_service.py` | `_exec_pair` reads book-state `venue` → `exec_venue` |
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| `src/fxhnt/ports/dashboard.py` | `StrategyDetail.exec_venue` |
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| `src/fxhnt/adapters/web/templates/strategy.html` | exec-tag → `{{ d.exec_venue or d.venue }}` |
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| `infra/k8s/jobs/fxhnt-alpaca-rebalancer.yaml` | `--paper-envelope 1000000`, `suspend: false` |
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## Deploy Sequence (post-merge)
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1. Push master → `argo-deploy-cockpit.sh` (build + deploy).
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2. `migrate-forward-anchors` — not required (no schema change), but harmless.
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3. Revert `strategy_allocation[multistrat]` override → `$0` (or let the nightly do it).
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4. Cancel queued IBKR paper orders on DU9600528.
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5. Arm `fxhnt-alpaca-rebalancer` (`suspend: false`).
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6. Verify cockpit LOCALLY, then confirm on `dashboard.fxhnt.ai`.
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