feat(kevin-exec): size from target_dollars, propagate price, bracket entries
Kevin signals never placed orders: the executor sized only from sentiment_context["current_price"] (None for Kevin) so qty=0, and orders were always built SIMPLE (stop/take pcts ignored). - TradeSignal gains `current_price`; the bridge now sets it on publish - risk_manager honors `target_dollars` directly (no strength re-scale) and resolves price from current_price then sentiment_context - executor builds BRACKET orders for LONG entries carrying stop/take pcts; EXIT/SELL signals stay SIMPLE (the bridge sets pcts even on exits) [ci skip] Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Viktor Barzin
parent
7d1d4464c9
commit
14407d37dc
6 changed files with 302 additions and 26 deletions
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@ -118,6 +118,65 @@ async def test_bridge_kill_switch_on_publishes_to_stream():
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cursor.advance.assert_awaited_with(1)
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async def test_bridge_attaches_current_price_to_signal():
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"""The bridge must propagate broker.get_latest_price onto the published
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TradeSignal so the executor can size the position."""
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config = MagicMock(
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kevin_enable_trading=True,
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kevin_stop_loss_pct=0.08,
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kevin_take_profit_pct=0.20,
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kevin_avoid_blocks_days=7,
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)
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cursor = AsyncMock()
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cursor.last_seen_id.return_value = 0
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publisher = AsyncMock()
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publisher.publish.return_value = "1234-0"
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aggregator = AsyncMock()
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aggregator.fetch_pending.return_value = [
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MagicMock(
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id=1,
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symbol="NVDA",
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action=MagicMock(value="buy"),
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conviction=Decimal("0.8"),
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effective_conviction=Decimal("0.8"),
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time_horizon=MagicMock(value="weeks"),
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),
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]
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strategy = AsyncMock()
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from shared.schemas.kevin import KevinDecisionType
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strategy.evaluate_mention.return_value = MagicMock(
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decision=KevinDecisionType.OPEN_LONG,
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symbol="NVDA",
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target_dollars=Decimal("3000"),
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holding_days=10,
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effective_conviction=Decimal("0.8"),
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rationale="ok",
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)
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audit_writer = AsyncMock()
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broker = AsyncMock()
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broker.is_asset_tradable.return_value = True
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broker.get_latest_price.return_value = Decimal("123.45")
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broker.get_account.return_value = MagicMock(
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equity=Decimal("100000"), cash=Decimal("100000")
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)
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broker.get_positions.return_value = []
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bridge = KevinBridge(
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config=config,
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cursor=cursor,
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publisher=publisher,
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aggregator=aggregator,
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strategy=strategy,
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audit_writer=audit_writer,
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broker=broker,
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)
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await bridge.process_one_pass()
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publisher.publish.assert_awaited_once()
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published_signal = publisher.publish.call_args[0][0]
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assert published_signal.current_price == Decimal("123.45")
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async def test_bridge_advances_cursor_only_after_publish():
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"""Race-condition guard: cursor must NOT advance if publish raises."""
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config = MagicMock(
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@ -7,6 +7,7 @@ position sizing) and the end-to-end executor flow with a mocked broker.
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from __future__ import annotations
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from datetime import datetime, timedelta, timezone
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from decimal import Decimal
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from unittest.mock import AsyncMock, MagicMock, patch
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from zoneinfo import ZoneInfo
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@ -64,6 +65,31 @@ def _make_signal(
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)
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def _make_kevin_signal(
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ticker: str = "NVDA",
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direction: SignalDirection = SignalDirection.LONG,
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strength: float = 0.8,
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current_price: Decimal | None = Decimal("100"),
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target_dollars: Decimal | None = Decimal("2000"),
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stop_loss_pct: Decimal | None = Decimal("0.08"),
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take_profit_pct: Decimal | None = Decimal("0.20"),
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) -> TradeSignal:
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"""A Kevin-style signal: price on the new ``current_price`` field,
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pre-computed ``target_dollars``, and stop/take percentages — but NO
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``sentiment_context``."""
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return TradeSignal(
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ticker=ticker,
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direction=direction,
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strength=strength,
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strategy_sources=["kevin:buy:0.8"],
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current_price=current_price,
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target_dollars=target_dollars,
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stop_loss_pct=stop_loss_pct,
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take_profit_pct=take_profit_pct,
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timestamp=datetime.now(timezone.utc),
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)
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def _make_account(equity: float = 100_000.0) -> AccountInfo:
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return AccountInfo(
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equity=equity,
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@ -373,6 +399,77 @@ class TestPositionSizingRespectsMaxPct:
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assert qty == 0
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# ---------------------------------------------------------------------------
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# Position sizing — Kevin path (target_dollars + current_price field)
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# ---------------------------------------------------------------------------
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class TestPositionSizingHonorsTargetDollars:
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"""When the signal carries ``target_dollars`` (Kevin's pre-computed
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sizing), use it directly and ignore signal strength."""
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def test_target_dollars_drives_qty(self):
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config = _make_config(max_position_pct=0.05)
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broker = _mock_broker()
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rm = RiskManager(config, broker)
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signal = _make_kevin_signal(
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target_dollars=Decimal("2000"), current_price=Decimal("100")
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)
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account = _make_account(equity=100_000)
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qty = rm.calculate_position_size(signal, account)
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# 2000 / 100 = 20 shares — NOT scaled by strength/max_position_pct.
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assert qty == 20
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def test_target_dollars_ignores_strength(self):
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"""qty must be identical regardless of strength when target_dollars is set."""
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config = _make_config(max_position_pct=0.05)
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broker = _mock_broker()
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rm = RiskManager(config, broker)
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account = _make_account(equity=100_000)
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low = rm.calculate_position_size(
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_make_kevin_signal(
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strength=0.1, target_dollars=Decimal("2000"), current_price=Decimal("100")
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),
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account,
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)
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high = rm.calculate_position_size(
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_make_kevin_signal(
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strength=1.0, target_dollars=Decimal("2000"), current_price=Decimal("100")
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),
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account,
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)
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assert low == high == 20
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class TestPositionSizingReadsCurrentPriceField:
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"""Sizing must read the new ``current_price`` field when
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``sentiment_context`` is absent (the legacy price source)."""
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def test_current_price_field_used_when_no_sentiment_context(self):
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config = _make_config(max_position_pct=0.05)
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broker = _mock_broker()
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rm = RiskManager(config, broker)
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# Legacy fixed-fractional path (no target_dollars) but price lives
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# on the new field, not in sentiment_context.
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signal = _make_kevin_signal(
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strength=1.0,
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current_price=Decimal("100"),
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target_dollars=None,
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stop_loss_pct=None,
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take_profit_pct=None,
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)
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assert signal.sentiment_context is None
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account = _make_account(equity=100_000)
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qty = rm.calculate_position_size(signal, account)
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# 100k * 0.05 * 1.0 = 5000 / 100 = 50 shares.
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assert qty == 50
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# ---------------------------------------------------------------------------
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# Executor flow — approved signal
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# ---------------------------------------------------------------------------
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@ -411,6 +508,81 @@ class TestExecutorFlowApproved:
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counters["trades_executed"].add.assert_called_once_with(1)
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# ---------------------------------------------------------------------------
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# Executor flow — bracket vs simple order construction
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# ---------------------------------------------------------------------------
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class TestExecutorBracketOrders:
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"""LONG entries with both stop/take pcts become BRACKET orders;
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EXIT signals (or signals missing a pct) stay SIMPLE."""
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@pytest.mark.asyncio
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async def test_long_entry_with_pcts_builds_bracket(self):
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config = _make_config()
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broker = _mock_broker(positions=[], account=_make_account(100_000))
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publisher = AsyncMock()
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publisher.publish = AsyncMock(return_value=b"1-0")
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counters = {
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"trades_executed": MagicMock(),
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"rejections": MagicMock(),
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"fill_latency": MagicMock(),
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}
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signal = _make_kevin_signal(
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ticker="NVDA",
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direction=SignalDirection.LONG,
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current_price=Decimal("100"),
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target_dollars=Decimal("2000"),
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stop_loss_pct=Decimal("0.08"),
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take_profit_pct=Decimal("0.20"),
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)
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with patch.object(RiskManager, "check_risk", return_value=(True, "approved")):
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await process_signal(signal, RiskManager(config, broker), broker, publisher, counters)
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broker.submit_order.assert_called_once()
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order_arg = broker.submit_order.call_args[0][0]
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assert order_arg.order_class == "bracket"
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assert order_arg.side == OrderSide.BUY
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# entry=100 → stop=100*(1-0.08)=92.0, take=100*(1+0.20)=120.0
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assert order_arg.stop_loss_price == 92.0
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assert order_arg.take_profit_price == 120.0
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@pytest.mark.asyncio
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async def test_exit_signal_with_pcts_stays_simple(self):
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"""The bridge stamps stop/take pcts even on EXIT signals; the
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direction guard must keep the resulting SELL order SIMPLE."""
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config = _make_config()
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broker = _mock_broker(positions=[], account=_make_account(100_000))
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publisher = AsyncMock()
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publisher.publish = AsyncMock(return_value=b"1-0")
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counters = {
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"trades_executed": MagicMock(),
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"rejections": MagicMock(),
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"fill_latency": MagicMock(),
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}
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signal = _make_kevin_signal(
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ticker="NVDA",
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direction=SignalDirection.EXIT,
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current_price=Decimal("100"),
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target_dollars=Decimal("2000"),
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stop_loss_pct=Decimal("0.08"),
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take_profit_pct=Decimal("0.20"),
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)
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with patch.object(RiskManager, "check_risk", return_value=(True, "approved")):
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await process_signal(signal, RiskManager(config, broker), broker, publisher, counters)
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broker.submit_order.assert_called_once()
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order_arg = broker.submit_order.call_args[0][0]
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assert order_arg.order_class == "simple"
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assert order_arg.side == OrderSide.SELL
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assert order_arg.take_profit_price is None
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assert order_arg.stop_loss_price is None
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# ---------------------------------------------------------------------------
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# Executor flow — rejected signal
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# ---------------------------------------------------------------------------
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