jgrusewski 110d1bd3b7 fix(bybit): missing-prior-mark 0-pnl (not full notional) + funding-cursor precision + flatten test (C2 final review) ...

Critical: a held symbol absent from PRIOR marks (rotated out of the crypto
universe then back in) was booking its FULL notional as P&L in
compute_crypto_exec_return, since a missing prior mark fell back to price 0.
Fix falls back to today's mark instead, so a missing prior mark yields 0 P&L
for that symbol this period. Also: document the accepted re-entry-day fee
gap, advance the funding cursor to the reconcile's funding-query timestamp
(no gap to the next period's funding_since), and strengthen the flatten
test to use a nonzero sleeve weight with equity=0, pinning that equity=0
alone flattens.

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

2026-07-10 11:06:37 +02:00

..

data

perf(sim): O(1)/day overlay loop + expensive/cheap split — simulate_book full run <1s (bit-identical)

2026-06-23 15:13:27 +02:00

test_adapters_ohlc.py

feat(dbn_local): ratio-adjusted synthetic high/low via pure _front_to_series helper

2026-06-14 23:35:59 +02:00

test_adaptive_target_vol.py

feat(paper): adaptive_target_vol (trailing-Sharpe vol budget, bounded [25,35])

2026-06-22 11:16:06 +02:00

test_allocation_engine_helpers.py

fix(alloc): deterministic tie-break in equal_weight_marginal_prune + accurate module docstring (B2a)

2026-07-09 21:07:23 +02:00

test_allocation_policy.py

feat(alloc): versioned AllocationPolicy + content-derived hash + capital_ceiling (B2a)

2026-07-09 20:58:21 +02:00

test_allocator_sleeve_weights.py

test(paper-snap): allocator sleeve weights — use non-binding cap so inverse-vol ordering holds

2026-06-21 20:18:38 +02:00

test_backtest_ref_alias.py

fix(exec): skip recording on blocked rebalance; alias exec track's reconciliation ref to modeled multistrat (C1)

2026-07-10 00:12:17 +02:00

test_bar_record.py

feat(warehouse): BarRecord canonical daily-bar value object

2026-06-15 00:20:48 +02:00

test_binance_ccxt_helpers.py

fix(exec): clear remaining minors — zip strict, rate-budget margin test, mid-sizing rationale

2026-06-14 17:03:11 +02:00

test_binance_funding_history.py

feat(funding): BinanceFundingHistory adapter (paginated, never-raise)

2026-06-22 12:21:09 +02:00

test_binance_settings.py

feat(exec): crypto dep + BinanceSettings (safe defaults: testnet on, live off)

2026-06-14 16:45:01 +02:00

test_binance_vision_klines.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_black_scholes.py

feat(vrp): defined-risk VRP (straddle + protective wings, BS-priced from DVOL) — caps the naked-short-vol tail

2026-06-24 20:21:06 +02:00

test_bybit_concurrency.py

perf(bybit): bounded-concurrency ingest (ThreadPool) + rate-limit backoff (~5-10x faster, memory-bounded, resumable)

2026-06-23 22:45:14 +02:00

test_bybit_exec_record.py

fix(bybit): missing-prior-mark 0-pnl (not full notional) + funding-cursor precision + flatten test (C2 final review)

2026-07-10 11:06:37 +02:00

test_bybit_execution_adapter.py

feat(broker): add BybitExecution.open_orders for testnet idempotency guard

2026-06-28 16:17:41 +02:00

test_bybit_funding_since.py

fix(bybit): paginate funding_since so a multi-day window isn't truncated (C2 review)

2026-07-10 10:09:43 +02:00

test_bybit_spread_refresh.py

fix(cost): use real L1 quoted spread for the Bybit liquid book (was daily-CS, 104x too harsh)

2026-06-26 23:19:51 +02:00

test_bybit_testnet_execution.py

fix(bybit): missing-prior-mark 0-pnl (not full notional) + funding-cursor precision + flatten test (C2 final review)

2026-07-10 11:06:37 +02:00

test_capacity.py

fix(exec): fail-safe risk gates — NaN/misconfig guards (no fail-open to max exposure)

2026-06-14 17:11:58 +02:00

test_carry_winsorize.py

fix(carry): winsorize per-symbol daily carry return at ±25%/day

2026-07-02 12:51:39 +02:00

test_carry_worst_basis_charge.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_charts.py

feat(cockpit): /paper/sim compare mode — Binance vs Bybit books, same period + same cost, overlaid

2026-06-25 20:34:52 +02:00

test_combined_book_factory.py

feat(combined-book): FXHNT_COMBINED_BOOK_DATA_SOURCE flag + source factory; wire CLI

2026-06-15 11:27:24 +02:00

test_combined_book_injected_source.py

refactor(combined-book): read via injected CombinedBookSource (default RawFileSource)

2026-06-15 11:24:19 +02:00

test_combined_book_source.py

feat(combined-book): CombinedBookSource port + RawFileSource (existing path)

2026-06-15 11:13:21 +02:00

test_compute_allocation.py

fix(alloc): per-strategy cap now binds (concentration limit, holds cash) instead of a renormalise no-op (B2a)

2026-07-09 21:17:52 +02:00

test_config_paper.py

feat(paper): cockpit paper-book backend foundation (Phase 2F T1-6)

2026-06-21 19:33:15 +02:00

test_config_warehouse.py

fix(config): default feature store to postgres (duckdb now explicit opt-in for tests/B3)

2026-06-26 00:32:46 +02:00

test_config.py

feat(config): BybitExecutionConfig with triple-gate

2026-06-28 14:24:49 +02:00

test_correlation.py

fix(factory): fail-safe diversification core — HRP uniform fallback, corr epsilon + empty guard, gate reason

2026-06-14 20:06:52 +02:00

test_cross_sectional_funding.py

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

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

test_crypto_exchange_dtos.py

feat(exec): crypto_exchange port (DTOs + Protocol)

2026-06-14 16:45:36 +02:00

test_crypto_factors.py

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

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

test_crypto_fetch.py

fix(crypto-fetch): drop non-ASCII Binance perp symbols from the universe

2026-06-28 09:47:35 +02:00

test_crypto_panel_builder.py

refactor(crypto): extract _panel builder (shared by raw + warehouse sources)

2026-06-15 11:10:13 +02:00

test_cusum.py

feat: CUSUM structural-break detector ported (regime #6) — the edge-decay signal

2026-06-13 17:56:19 +02:00

test_data_provider_warehouse.py

feat(cli): warehouse-ingest + warehouse-catalog commands; warehouse data source

2026-06-15 00:38:17 +02:00

test_dbn_continuous_front.py

refactor(dbn_local): extract continuous_front_adjust + read_front_arrays for reuse

2026-06-15 00:23:05 +02:00

test_dd_controller_v1a.py

feat(paper): drawdown controller v1a — DD-budget Kelly + per-sleeve edge-health (controller flag, default killswitch)

2026-06-23 00:10:39 +02:00

test_delta_neutral_orders.py

feat(surfer): xsfunding micro-live order bridge (paper -> manual delta-neutral orders)

2026-06-20 17:45:00 +02:00

test_drawdown_killswitch.py

feat(paper): DrawdownKillSwitch (hysteresis, mirrors allocator)

2026-06-22 08:08:47 +02:00

test_dsr_scales_with_n.py

test(factory): lock DSR bar rises with trial count (FST immune system)

2026-06-14 19:54:57 +02:00

test_edge_decay.py

feat(paper): scale-invariant WindowedEdgeHealth detector + wire into edge_health controller (replaces broken PH-health)

2026-06-23 00:37:58 +02:00

test_equity_backtest_domain.py

feat(b3b): PIT-trailing universe selection — remove peak-liquidity lookahead (two-pass, memory-bounded)

2026-06-18 10:01:36 +02:00

test_equity_beta_current_weights.py

feat(paper-snap): 60/40 + crypto-momentum current_weights

2026-06-21 20:17:56 +02:00

test_equity_factor_helpers.py

fix(equity-factor): guard non-positive recent price in momentum_12_1 (delisted-name safety)

2026-06-17 12:24:29 +02:00

test_execution_gap.py

feat(exec): execution-gap mechanics verdict + indicative slippage

2026-06-28 14:05:18 +02:00

test_forward_definition.py

fix(bybit): observed-mode pin + skip kill-switch funding call + flatten test (C2 review)

2026-07-10 10:53:17 +02:00

test_forward_recompute.py

feat(forward): pure recompute_series + derive_nav (matches ForwardTracker formula)

2026-07-09 00:02:20 +02:00

test_funding_status.py

fix(funding): gap-window override for gaps only + floor at 2 (B3 final review)

2026-07-10 02:11:52 +02:00

test_futures_fetch.py

feat(fetch): port futures fetcher into fxhnt (Databento, cost-gated, offline-testable)

2026-06-14 12:23:09 +02:00

test_gate_policy_regression.py

refactor(policy): gate functions take ResolvedPolicy; remove scattered gate constants (B1)

2026-07-09 14:16:18 +02:00

test_gate_policy_resolve.py

feat(policy): resolve_policy — per-track overrides on GatePolicy defaults, one resolution point (B1)

2026-07-09 13:37:00 +02:00

test_gate_policy.py

feat(policy): add defund/refund windows to GatePolicy, bump POLICY_VERSION=2 (B3)

2026-07-10 01:34:35 +02:00

test_gate_verdict_category.py

fix(funding): gap-window override for gaps only + floor at 2 (B3 final review)

2026-07-10 02:11:52 +02:00

test_gate.py

refactor(policy): gate functions take ResolvedPolicy; remove scattered gate constants (B1)

2026-07-09 14:16:18 +02:00

test_gauntlet.py

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

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

test_hrp.py

fix(factory): fail-safe diversification core — HRP uniform fallback, corr epsilon + empty guard, gate reason

2026-06-14 20:06:52 +02:00

test_httpx_live_price.py

fix(paper): cockpit live price via httpx Binance REST (ccxt not in cockpit image)

2026-06-21 20:54:50 +02:00

test_hurst.py

feat: Hurst exponent (R/S) ported — the persistence signal for regime classification

2026-06-13 19:09:08 +02:00

test_incremental_overlay_golden.py

feat(paper): combined risk-stack controller — K(D*) sizing + WEH structural-retirement gate + killswitch backstop

2026-06-23 09:04:18 +02:00

test_ingest_historical_cli.py

feat(b3a-deploy): historical-ingest entrypoint + config + dedicated backtest PVC + resumable Job

2026-06-17 00:22:38 +02:00

test_isv_adaptive_weights.py

feat(paper): isv_adaptive_weights (adaptive lookback/cap + max-with-floor)

2026-06-21 23:32:36 +02:00

test_live_price_fake.py

feat(paper): cockpit paper-book backend foundation (Phase 2F T1-6)

2026-06-21 19:33:15 +02:00

test_marginal_gate_active.py

feat(paper): marginal_gate_active (leave-one-out edge pruning)

2026-06-22 09:17:01 +02:00

test_marginal.py

feat(factory): marginal Sharpe contribution (selection objective)

2026-06-14 19:54:08 +02:00

test_microprice.py

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

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

test_models_ohlc.py

fix(models): PriceSeries high/low — copy-on-default (immutability) + strict-mypy field type + test gaps

2026-06-14 23:05:03 +02:00

test_multistrat_exec_helpers.py

fix(exec): compute_exec_return handles None prior + missing prices; accurate docstring (C1)

2026-07-09 23:27:46 +02:00

test_nav_stats.py

feat(cockpit): redesign Overview — connect the backfill record, provisional pre-gate Sharpes, cut clutter

2026-06-26 08:07:42 +02:00

test_nav_summary.py

perf(cockpit): materialize the headline nav-summary (stats + curve) — read 1 row, not 3650, per request

2026-06-27 16:12:37 +02:00

test_ofi.py

feat: OFI features TDD-ported (Blocks F/G/H/CC) — the follow-the-money signal

2026-06-13 02:06:30 +02:00

test_paper_book_returns_golden.py

perf(paper): O(1) before_d accumulation in paper_book_returns (kill O(N^3) backfill)

2026-06-22 19:56:51 +02:00

test_paper_domain.py

fix(paper): idempotent trades + realized PnL + DRY mark-to-market

2026-06-21 19:45:32 +02:00

test_paper_models.py

feat(paper): cockpit paper-book backend foundation (Phase 2F T1-6)

2026-06-21 19:33:15 +02:00

test_paper_nav_model.py

feat(replay): paper_nav ORM row

2026-06-21 21:06:01 +02:00

test_paper_risk_overlay.py

feat(paper): combined risk-stack controller — K(D*) sizing + WEH structural-retirement gate + killswitch backstop

2026-06-23 09:04:18 +02:00

test_paper_sim.py

feat(cockpit): Bybit 4-edge book — configurable backtest (precomputed sleeve returns) + live forward track, clearly labeled

2026-06-24 17:27:10 +02:00

test_periods.py

feat(cockpit): period-aware aggregation + rolling mean (raw, no normalization)

2026-06-14 11:45:42 +02:00

test_portfolio.py

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

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

test_position_source.py

feat(paper-snap): PositionSource protocol

2026-06-21 20:14:30 +02:00

test_reconciliation_gate.py

refactor(policy): gate functions take ResolvedPolicy; remove scattered gate constants (B1)

2026-07-09 14:16:18 +02:00

test_reconciliation.py

fix(exec): capital-risk fixes — authoritative IOC sizing, accumulate all legs, θ=0 hold, true arrival mid, dry-run gate report, rate-budget window

2026-06-14 17:29:37 +02:00

test_regime_lookback.py

fix(paper): _regime_lookback NaN-aware (drop zero-fill bias)

2026-06-22 09:22:07 +02:00

test_regime.py

feat: regime layer — the foundation of the agentic strategy factory (ADR 0002)

2026-06-09 19:20:23 +02:00

test_registration.py

feat(strategies): register breakout/seasonality/vol_managed_momentum (3->6 kinds)

2026-06-14 23:21:08 +02:00

test_registry_bybit_4edge_exec.py

feat(bybit): register bybit_4edge_exec observed track + reconciliation ref alias (C2)

2026-07-10 10:17:52 +02:00

test_registry_multistrat_exec.py

feat(exec): register multistrat_exec as an observed Alpaca-paper track (C1)

2026-07-09 23:29:07 +02:00

test_registry_new_edges.py

refactor(cockpit): retire xvenue_carry forward track (H3) — light retire

2026-07-07 20:22:30 +02:00

test_registry_tiers.py

refactor(cockpit): retire xvenue_carry forward track (H3) — light retire

2026-07-07 20:22:30 +02:00

test_registry_tstrend.py

feat(gate): reconciliation-based forward gate (~2wk + forward-tracks-backtest + clean exec) replacing blind 60-day wait

2026-06-26 00:46:10 +02:00

test_retirement_gate.py

feat(paper): combined risk-stack controller — K(D*) sizing + WEH structural-retirement gate + killswitch backstop

2026-06-23 09:04:18 +02:00

test_risk_gates.py

fix(exec): fail-safe risk gates — NaN/misconfig guards (no fail-open to max exposure)

2026-06-14 17:11:58 +02:00

test_rounding.py

feat(exec): pure exchange-filter rounding (step/tick/min-notional)

2026-06-14 16:46:05 +02:00

test_sleeve_daily_carry.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_sleeve_daily_return.py

feat(paper): shared sleeve_daily_return pure fn

2026-06-21 23:29:30 +02:00

test_slippage.py

feat(exec): pure decomposed slippage model

2026-06-28 14:04:03 +02:00

test_smart_router.py

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

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

test_stablecoin_current_weights.py

perf(paper): memoize date-independent work in sleeve current_weights

2026-06-22 20:22:31 +02:00

test_stablecoin_registry.py

feat(gate): reconciliation-based forward gate (~2wk + forward-tracks-backtest + clean exec) replacing blind 60-day wait

2026-06-26 00:46:10 +02:00

test_stablecoin_reversion.py

fix(stablecoin): graceful delisting skip + n_active_avg overcount + boundary guard test

2026-06-21 10:37:05 +02:00

test_strategies_single_market.py

feat(strategies): vol_managed_momentum kind (Moreira-Muir, de-risk only)

2026-06-14 23:18:09 +02:00

test_target_capital.py

fix(alloc): target_capital fail-safes on non-finite equity + tests short positions (B2a)

2026-07-09 21:22:06 +02:00

test_target_weights.py

feat(exec): latest_target_weights — current per-symbol targets for execution

2026-06-14 16:46:45 +02:00

test_tca.py

fix(exec): capital-risk fixes — authoritative IOC sizing, accumulate all legs, θ=0 hold, true arrival mid, dry-run gate report, rate-budget window

2026-06-14 17:29:37 +02:00

test_ts_trend.py

feat(hunt): TSMOM trend harness (directional, vol-scaled, long/short) + gauntlet

2026-06-19 19:49:46 +02:00

test_tstrend_current_weights.py

fix(paper-snap): faithful ts-trend current_weights + review fixes

2026-06-21 20:30:05 +02:00

test_unit_shadow_positions.py

feat(paper): persist_paper_book leverage (notional only) + unit_shadow_positions

2026-06-22 08:18:22 +02:00

test_unlock_calendar_live.py

fix(forward): defensive Binance ticker parsing in unlock_calendar_live — unblocks the nightly gate

2026-06-26 16:33:47 +02:00

test_unlock_current_weights.py

perf(paper): memoize date-independent work in sleeve current_weights

2026-06-22 20:22:31 +02:00

test_unlock_shorts.py

feat(surfer): risk-managed token-unlock dilution-short edge (the 2nd uncorrelated edge)

2026-06-20 20:11:07 +02:00

test_validation.py

feat: López de Prado validation suite ported (DSR + PBO + permutation + FDR) — the honesty backbone

2026-06-13 02:24:41 +02:00

test_vol_target_leverage.py

feat(paper): vol_target_leverage warmup (no leverage until vol_lookback obs)

2026-06-22 16:59:24 +02:00

test_vol_targeted_metrics.py

fix(cockpit): vol-targeted comparable sleeve metrics (was misleading raw cumulative) + backtest-reference on single-edge detail pages

2026-06-25 01:39:07 +02:00

test_warehouse_catalog_format.py

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

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

test_warehouse_price_provider.py

feat(warehouse): WarehousePriceProvider reads bars as PriceSeries (DataProvider)

2026-06-15 00:28:40 +02:00

test_warehouse_silver.py

feat(data): capture real daily high/low through the crypto pipeline (was high=low=close)

2026-06-25 23:16:18 +02:00

test_waterfill.py

fix(paper): _waterfill redistributes residual so weights always sum to 1

2026-06-21 23:37:58 +02:00

test_worst_basis_ingest.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_worst_basis_store.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_worst_basis.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_xsfunding_current_weights.py

feat(paper-snap): xsfunding current_weights

2026-06-21 20:16:15 +02:00