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fix(positioning): cap testnet exec-sizing path (4th uncapped money-path found by exhaustive sweep)

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An exhaustive grep of every build_bybit_paper_book / combined_symbol_weights* /
latest_raw_sleeve_weights caller found bybit_testnet_run.py sized the executed
testnet positions UNCAPPED (latest_raw_sleeve_weights + combined_symbol_weights
called without positioning_coin_gross_cap). The cron is suspended (no creds) but
it is a real order-placing path — the moment it arms it would size concentrated
positions. Thread POSITIONING_COIN_GROSS_CAP the same as every other exec path.

35 testnet tests green, import + lint clean (no circular import).

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Jeroen Grusewski
2026-07-20 20:00:07 +00:00
parent dd527e6658
commit f325a37070
1 changed files with 8 additions and 2 deletions
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10
src/fxhnt/application/bybit_testnet_run.py
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@@ -17,6 +17,7 @@ from typing import Any
# `latest_raw_sleeve_weights` / `combined_symbol_weights` are imported at MODULE level (not locally like the
# other body deps) so tests can `monkeypatch.setattr(run_mod, "latest_raw_sleeve_weights", ...)`.
from fxhnt.application.bybit_forward_track import POSITIONING_COIN_GROSS_CAP
from fxhnt.application.bybit_paper_book import combined_symbol_weights, latest_raw_sleeve_weights
@@ -112,9 +113,14 @@ def run_bybit_testnet(settings: Any, *, paper_envelope: float, execute: bool,
try:
universe = _testnet_universe(store)
unlock_events = _testnet_unlock_events(s)
weights = latest_raw_sleeve_weights(store, universe=universe, unlock_events=unlock_events)
# Cap the executed testnet positions the SAME way the modeled/forward/paper-book paths do, so a single
# over-short coin can't take an outsized real position (the reconciled return is capped; the executed
# position must match). POSITIONING_COIN_GROSS_CAP is the ex-ante per-coin weight cap (0.07).
weights = latest_raw_sleeve_weights(store, universe=universe, unlock_events=unlock_events,
positioning_coin_gross_cap=POSITIONING_COIN_GROSS_CAP)
_combined, as_of_day = combined_symbol_weights(
store, universe=universe, unlock_events=unlock_events)
store, universe=universe, unlock_events=unlock_events,
positioning_coin_gross_cap=POSITIONING_COIN_GROSS_CAP)
marks = _testnet_marks(store, universe=universe)
finally:
store.close()