fix(xsfunding): runner robust to panel gaps — use last-known qvol for cost (KeyError on real data)

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

src/fxhnt/application/funding_backtest_runner.py

@@ -64,9 +64,7 @@ class FundingBacktestRunner:
             borrowable = {s for s in elig if self._p[s].get(d, (0.0, 0.0, 0.0))[1] >= self._borrow_q}
             funding_next = {s: self._p[s][nxt][2] for s in elig if nxt in self._p[s]}
             held = set().union(*(prev_w[m] for m in _MODES)) if any(prev_w[m] for m in _MODES) else set()
-            cost = {s: self._coin_cost(self._p[s][d][1]) for s in elig}
-            for s in held - set(cost):
-                cost[s] = self._coin_cost(self._last_qvol(s, d))   # exit cost for dropped-out holdings
+            cost = {s: self._coin_cost(self._last_qvol(s, d)) for s in set(elig) | held}
             names_seen += len(elig)
             n_rebals += 1
             for m in _MODES:

tests/integration/test_funding_backtest_runner.py

@@ -88,6 +88,20 @@ def test_dropped_out_holding_charged_nonzero_exit_cost(monkeypatch):
     assert exit_cost == 0.0008 + 0.005   # cost_bps 8 -> 8e-4 ; slip_cap 50bps -> 5e-3
 
 
+def test_runner_handles_panel_gaps_without_keyerror():
+    panel = {}
+    fund = {"HI": 0.0015, "MID": 0.0008, "LO": 0.0001, "NEG": -0.0010}
+    for sym, f in fund.items():
+        panel[sym] = {1000 + i: (1.0, 5e6, f) for i in range(200)}
+    # GAPCOIN: liquid + long history but MISSING several interior union-days (gaps) and stops early (delists)
+    panel["GAP"] = {1000 + i: (1.0, 5e6, 0.0012) for i in range(200) if i not in (50, 51, 120) and i < 180}
+    runner = FundingBacktestRunner(panel, min_qvol=1e6, min_history=20, lookback_days=7,
+                                   quantile=0.5, cost_bps=8.0, slip_coef=0.0005)
+    res = runner.run()                     # must NOT raise KeyError
+    for series in res.returns_by_mode.values():
+        assert len(series) > 50 and np.isfinite(series).all()
+
+
 def test_book_carry_and_turnover():
     # carry on the NEW book = sum w * funding_next
     w = {"A": 0.5, "B": -0.5}