jgrusewski b5301a0fff feat(carry): 1m worst_basis ingest (binance.vision) + intraday-liquidation charge in carry accounting (Parquet side-store) ...

Charges the carry book's INTRADAY basis-squeeze / liquidation tail that the
daily-close basis accounting was blind to (probed: LUNAUSDT 2022-05-12 intraday
worst_basis ≈ −163% vs daily-close −0.7%).

- application/worst_basis.py — PURE cumulative-MAE: {epoch_day: worst_basis} =
  min over the day's aligned minutes of Σ(spot_1m_ret − perp_1m_ret).
- adapters/data/binance_vision_klines.py — resumable/cached 1m monthly-kline
  fetch+parse → {epoch_ms: close}; µs→ms, missing month = empty (no crash),
  injectable fetch (no network in tests).
- adapters/persistence/worst_basis_store.py — Parquet SIDE-STORE (duckdb I/O,
  NOT the warehouse → no single-writer contention) with load/write round-trip.
- paper_book.carry_return_by_symbol — optional worst_basis_by_symbol overrides
  the daily-close basis with max(worst_basis, −1.0) (capped at total leg loss);
  absent → daily-close basis, bit-identical. Threaded through paper_backfill
  (worst_basis_by_date) + paper_snapshot (worst_basis) + assets, live==replay.
- CLI: fxhnt ingest-worst-basis --symbols <list|@file> --from --to (resumable).
- TDD: LUNA-pattern fixture, parquet round-trip, charge+cap+fallback, absent=
  bit-identical backfill curve. Full suite 812 passed.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

2026-06-23 13:38:51 +02:00

..

test_analyst_fleet.py

fix(factory): constrain LlmAnalyst to backtestable kinds (no hallucinated kinds)

2026-06-14 21:44:16 +02:00

test_backtest_equity_cli.py

feat(b3b): expose candidate-top-k/min-history on backtest-equity CLI (use bounded path by default)

2026-06-18 09:09:01 +02:00

test_backtest_funding_cli.py

docs(xsfunding): self-document funding-only + annualization caveats in report/CLI; book_return_xs note

2026-06-18 23:54:17 +02:00

test_backtest_persist_cockpit_cli.py

feat(b3b): persist backtest verdict to cockpit (backtest_summary table + --persist-cockpit)

2026-06-18 18:39:24 +02:00

test_backtest_summary_repo.py

feat(b3b): persist backtest verdict to cockpit (backtest_summary table + --persist-cockpit)

2026-06-18 18:39:24 +02:00

test_basis_panel_builder.py

feat(xsfunding): basis-panel builder + build-basis-panel CLI + spot-panel npz persistence

2026-06-19 00:22:46 +02:00

test_binance_spot_history.py

feat(xsfunding): spot-history adapter + ticker-reuse guard clean_spot_leg (basis prep)

2026-06-19 00:18:14 +02:00

test_binance_xsfunding_live.py

fix(xsfunding): guard live snapshot against decoupled-basis tickers (LIT-type artifacts)

2026-06-19 08:12:51 +02:00

test_book_allocator.py

feat(surfer): regime drawdown kill-switch for the book

2026-06-19 23:16:17 +02:00

test_combined_book_source_equivalence.py

feat(combined-book): WarehouseSource reads SSOT; equivalence test proves A->B faithful

2026-06-15 11:16:25 +02:00

test_crypto_execution.py

fix(exec): stable data-derived rebalance_id + rate-limit signal + cover/drift invariant tests

2026-06-14 17:39:29 +02:00

test_crypto_factor_runner.py

feat(hunt): crypto XS price-factor harness (reversal/lowvol/illiquidity) + gauntlet matrix

2026-06-19 19:38:19 +02:00

test_crypto_funding_panel.py

feat(funding): crypto_funding_panel accessor

2026-06-22 12:23:33 +02:00

test_crypto_pit_panel.py

feat(xsfunding): crypto_pit npz panel adapter (survivorship-free, read-only)

2026-06-18 23:02:00 +02:00

test_crypto_spot_panel.py

feat(carry): ingest spot closes (feature=spot_close) + crypto_spot_panel + CLI/asset

2026-06-22 15:00:00 +02:00

test_dashboard_service.py

chore(surfer): relabel combined as crypto-momentum book + retire equity-factor sleeves

2026-06-20 22:53:03 +02:00

test_delta_neutral_return.py

fix(paper): carry books full return (funding + daily basis), not funding-only — collapses fake Sharpe 12.55 -> ~1.56

2026-06-23 10:53:15 +02:00

test_discovery.py

feat: wire FDR into the gauntlet/discovery — multiple-testing complement over the whole search

2026-06-13 09:35:18 +02:00

test_duckdb_ohlc.py

feat(duckdb): migrate + round-trip high/low (COALESCE fallback to close)

2026-06-14 23:40:56 +02:00

test_equity_backtest_runner.py

fix(b3b): PIT path uses full trading calendar for hold days; CLI omits candidate_top_k under --pit

2026-06-18 10:16:27 +02:00

test_equity_factor_strategy.py

feat(b3b): retire eqfactor_ls forward track (no edge per backtest); keep long/tilt + shared scores

2026-06-18 18:48:41 +02:00

test_equity_factor.py

feat(b2.2): low-vol factor + price-only composite (momentum+lowvol); keep value/quality for future

2026-06-16 22:27:26 +02:00

test_execution.py

feat: multi-strategy execution layer (domain netting + Broker port + ExecutionService)

2026-06-09 13:52:32 +02:00

test_factory_cycle_wiring.py

fix(factory): closure hardening — zero-sum HRP guard, read-only dry-run, single trial-count authority, funnel + E501

2026-06-14 21:27:23 +02:00

test_factory_loop.py

fix(factory): capital-correct loop — record_cycle, sequential HRP-weighted admission, kill-switch, tests

2026-06-14 20:24:50 +02:00

test_factory_store.py

fix(factory): capital-correct loop — record_cycle, sequential HRP-weighted admission, kill-switch, tests

2026-06-14 20:24:50 +02:00

test_feature_pipeline.py

feat: SSOT feature-warehouse foundation + first feature TDD-ported (microprice)

2026-06-13 02:01:04 +02:00

test_fetch_cli.py

fix(fetch): clean missing-key error + day-aligned funding array

2026-06-14 12:30:07 +02:00

test_fleet.py

feat: fleet orchestrator (factory layer 3) — the standing research force

2026-06-09 19:28:08 +02:00

test_forward_ingest.py

chore(surfer): cockpit cleanup — retire dead legacy tracks + fix seed-registry prune bug

2026-06-20 22:27:19 +02:00

test_forward_nav_repo.py

fix(cockpit): port-protocol web dep + bulk nav histories + lint/log/title

2026-06-14 11:56:01 +02:00

test_forward_tracker.py

feat(surfer): wire regime kill-switch into the live combined-book forward track

2026-06-19 23:22:15 +02:00

test_forward.py

fix(factory): scale DSR bar by global N + remove gate-bypass promote + silence HRP warning

2026-06-14 20:54:16 +02:00

test_funding_backtest_runner.py

feat(alloc): book-of-books allocator (date-aligned edges, inverse-vol+cap, fractional-Kelly, vol-target) + gauntlet

2026-06-19 20:11:02 +02:00

test_funding_ingest.py

feat(funding): ingest_funding (8h->daily) + crypto-funding-ingest CLI + Dagster asset

2026-06-22 12:31:37 +02:00

test_global_n_flows.py

fix(factory): scale DSR bar by global N + remove gate-bypass promote + silence HRP warning

2026-06-14 20:54:16 +02:00

test_historical_eod_ingest.py

fix(b3a): bound ingest in-flight window (~2x workers) — prevent unbounded result accumulation / OOM eviction

2026-06-17 01:37:29 +02:00

test_ingest_worst_basis_cli.py

feat(carry): 1m worst_basis ingest (binance.vision) + intraday-liquidation charge in carry accounting (Parquet side-store)

2026-06-23 13:38:51 +02:00

test_massive_daily.py

test(b1): lock multi-dividend back-adjustment compounding in MassiveDailyClient

2026-06-16 08:38:29 +02:00

test_orchestration_assets.py

feat(orchestration): B0 Dagster assets (crypto/futures bars -> nav -> cockpit) + forward_ingest extract

2026-06-15 11:40:39 +02:00

test_orchestration_definitions.py

feat(carry): ingest spot closes (feature=spot_close) + crypto_spot_panel + CLI/asset

2026-06-22 15:00:00 +02:00

test_paper_backfill_cli.py

feat(paper): carry (xsfunding) in backtest via funding-accrual accounting (basis-tail still TODO)

2026-06-23 10:16:45 +02:00

test_paper_backfill.py

feat(carry): 1m worst_basis ingest (binance.vision) + intraday-liquidation charge in carry accounting (Parquet side-store)

2026-06-23 13:38:51 +02:00

test_paper_book.py

test(paper): update full-exit/partial-reduction equity tests to compounding model

2026-06-22 10:17:46 +02:00

test_paper_compounding.py

fix(paper): compounding mark-to-market equity (size book off running equity)

2026-06-22 10:05:21 +02:00

test_paper_cost_model.py

feat(paper): realistic trading-cost + funding model (toggleable, default off)

2026-06-22 22:11:11 +02:00

test_paper_hook.py

feat(paper): cap realized gross exposure (max_gross, default 3x equity)

2026-06-22 17:00:42 +02:00

test_paper_nav_equity_reads.py

feat(paper): PaperRepo nav_equity_before + latest_nav_equity

2026-06-22 09:59:02 +02:00

test_paper_replay_web.py

feat(replay): /paper/replay scrubber + curve + book@date

2026-06-21 21:24:18 +02:00

test_paper_repo_nav.py

feat(replay): PaperRepo upsert_nav + nav_history/positions_at/trades_on

2026-06-21 21:06:51 +02:00

test_paper_repo.py

fix(paper-replay): point-in-time realized in nav rows so backfill re-run is idempotent

2026-06-21 21:19:59 +02:00

test_paper_shadow_positions.py

feat(paper): paper_shadow_positions unit book (kill-proof return signal)

2026-06-22 08:15:31 +02:00

test_paper_sleeve_ret.py

feat(paper): paper_sleeve_ret table + PaperRepo upsert/sleeve_returns

2026-06-21 23:39:40 +02:00

test_paper_snapshot_asset.py

feat(carry): 1m worst_basis ingest (binance.vision) + intraday-liquidation charge in carry accounting (Parquet side-store)

2026-06-23 13:38:51 +02:00

test_paper_snapshot.py

fix(paper): carry books full return (funding + daily basis), not funding-only — collapses fake Sharpe 12.55 -> ~1.56

2026-06-23 10:53:15 +02:00

test_paper_strategies.py

feat: retire crossvenue forward track (falsified 3x — max-min artifact, no edge)

2026-06-18 20:56:50 +02:00

test_paper_view_equity.py

fix(paper): live view equity = nav curve + live intraday MTM

2026-06-22 10:11:39 +02:00

test_paper_web.py

feat(paper): /paper + /paper/live cockpit view (HTMX live MTM)

2026-06-21 19:49:36 +02:00

test_portfolio_eval.py

feat: agentic research layer — LangGraph agent + LLM port + compute tools

2026-06-09 16:22:59 +02:00

test_regime_execution.py

fix(factory): closure hardening — zero-sum HRP guard, read-only dry-run, single trial-count authority, funnel + E501

2026-06-14 21:27:23 +02:00

test_research_slice.py

feat: fxhnt foundation — hexagonal architecture + proven gauntlet + vertical slice

2026-06-09 12:21:47 +02:00

test_runtime.py

feat: LLM-driven hunters (fxhnt 2) — agents direct their own search

2026-06-13 01:20:53 +02:00

test_spot_ingest.py

fix(carry): ingest_spot skips per-symbol errors (perp-only coins have no spot market)

2026-06-22 15:25:22 +02:00

test_stablecoin_strategy.py

fix(forward): production ts_trend/stablecoin kills use scale-invariant WindowedEdgeHealth (stops PH over-kill)

2026-06-23 01:17:38 +02:00

test_stablecoin_wiring.py

feat(orchestration): wire stablecoin_rotation_nav into nightly job + cockpit

2026-06-21 10:22:43 +02:00

test_strategy_store.py

feat: strategy-lifecycle store (factory layer 2) — the persistent backbone

2026-06-09 19:24:07 +02:00

test_tiingo_daily.py

feat(b1): TiingoDailyClient (native adjClose, 33yr); swap equity sleeves Massive->Tiingo

2026-06-16 08:50:25 +02:00

test_tiingo_fundamentals.py

feat(b2): TiingoFundamentalsClient (daily metrics + statements)

2026-06-16 17:35:51 +02:00

test_tiingo_universe.py

fix(b2): rank full filtered universe by dollar-volume (drop alphabetical pre-slice bias)

2026-06-16 17:45:46 +02:00

test_trend_runner.py

feat(alloc): book-of-books allocator (date-aligned edges, inverse-vol+cap, fractional-Kelly, vol-target) + gauntlet

2026-06-19 20:11:02 +02:00

test_tstrend_strategy.py

fix(forward): production ts_trend/stablecoin kills use scale-invariant WindowedEdgeHealth (stops PH over-kill)

2026-06-23 01:17:38 +02:00

test_tstrend_wiring.py

feat(orchestration): wire crypto_tstrend_nav into nightly combined-book job + cockpit

2026-06-21 00:38:12 +02:00

test_unlock_short_strategy.py

feat(surfer): deploy unlock-shorts as a paper-forward cockpit track (2nd edge live)

2026-06-20 20:21:20 +02:00

test_unlock_warehouse_panel.py

feat(paper): unlock + snapshot ts-trend read warehouse panel (drop crypto_pit_dir)

2026-06-21 22:23:51 +02:00

test_warehouse_bulk_ingest.py

perf(warehouse): bulk ingest in one transaction (~50x faster crypto ingest on PVC)

2026-06-15 19:20:30 +02:00

test_warehouse_ingest_catalog.py

feat(warehouse): catalog/freshness inventory (store.catalog + format_catalog)

2026-06-15 00:34:55 +02:00

test_warehouse_read_panel.py

feat(warehouse): read_panel — per-symbol epoch-day matrix for one feature

2026-06-15 11:11:57 +02:00

test_web_funnel.py

feat(factory): cockpit funnel view (funnel counts + global trials + HRP weights)

2026-06-14 20:37:54 +02:00

test_web.py

chore(surfer): relabel combined as crypto-momentum book + retire equity-factor sleeves

2026-06-20 22:53:03 +02:00

test_xsfunding_replay.py

feat(funding): warehouse_funding_panel + XsFundingReplay sleeve (faithful, causal)

2026-06-22 12:37:37 +02:00

test_xsfunding_strategy.py

feat(xsfunding): live-booking forward strategy (delta-neutral funding+basis, executable)

2026-06-19 07:45:45 +02:00