feat(kevin): correct exits, realized P&L, wire exit scanner
- executor: EXIT/SELL signals close the FULL held broker position (not a target_dollars-sized fresh order) and skip when flat - executor: book realized P&L on the closing trade ((fill - avg_entry)*qty) so the dashboard P&L + win-rate populate; entries leave pnl=None - exit scanner: wired into the bridge run loop on kevin_bridge_exit_scan_cron (daily ET gate; croniter intentionally not a dependency) plus an offsetting-SELL guard so it only emits exits for currently-held tickers [ci skip] Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Viktor Barzin
parent
a8b0d33bd1
commit
52b3c76482
7 changed files with 587 additions and 15 deletions
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@ -9,6 +9,7 @@ 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 uuid import UUID
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from zoneinfo import ZoneInfo
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import pytest
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@ -17,6 +18,7 @@ from services.trade_executor.config import TradeExecutorConfig
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from services.trade_executor.main import process_signal
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from services.trade_executor.risk_manager import RiskManager
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from shared.constants.kevin import KEVIN_STRATEGY_UUID
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from shared.models.trading import TradeSide as TradeSideModel
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from shared.schemas.trading import (
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AccountInfo,
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OrderResult,
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@ -557,7 +559,9 @@ class TestExecutorBracketOrders:
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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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# EXIT now requires a held position to size from.
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held = _make_position(ticker="NVDA", market_value=2000.0)
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broker = _mock_broker(positions=[held], 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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@ -586,6 +590,235 @@ class TestExecutorBracketOrders:
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assert order_arg.stop_loss_price is None
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# ---------------------------------------------------------------------------
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# Executor flow — EXIT sizing from the held broker position
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# ---------------------------------------------------------------------------
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def _held_position(ticker: str, qty: float, avg_entry: float) -> PositionInfo:
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return PositionInfo(
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ticker=ticker,
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qty=qty,
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avg_entry=avg_entry,
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current_price=avg_entry,
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unrealized_pnl=0.0,
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market_value=qty * avg_entry,
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)
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def _exit_filled_broker(
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positions: list[PositionInfo], fill_price: float, fill_qty: float
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):
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"""Broker whose submit_order returns a FILLED SELL at fill_price/fill_qty."""
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broker = AsyncMock()
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broker.get_positions = AsyncMock(return_value=positions)
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broker.get_account = AsyncMock(return_value=_make_account(100_000))
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broker.submit_order = AsyncMock(
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return_value=OrderResult(
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order_id="ord-exit",
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ticker=positions[0].ticker if positions else "NVDA",
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side=OrderSide.SELL,
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qty=fill_qty,
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filled_price=fill_price,
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status=OrderStatus.FILLED,
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timestamp=datetime.now(timezone.utc),
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)
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)
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return broker
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class TestExecutorExitSizing:
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"""EXIT signals must be sized from the currently-held broker position,
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NOT from the signal's target_dollars (which would open/size a fresh
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position)."""
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@pytest.mark.asyncio
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async def test_exit_sells_full_held_qty(self):
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"""A Kevin EXIT carrying target_dollars=$2000 (=20 sh @ $100) on a
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position of 37 held shares must SELL 37 — the full held qty."""
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config = _make_config()
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held = _held_position("NVDA", qty=37.0, avg_entry=90.0)
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broker = _exit_filled_broker([held], fill_price=110.0, fill_qty=37.0)
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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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)
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with patch.object(RiskManager, "check_risk", return_value=(True, "approved")):
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await process_signal(
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signal, RiskManager(config, broker), broker, publisher, counters
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)
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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.side == OrderSide.SELL
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assert order_arg.qty == 37.0 # held qty, NOT 20 (=target_dollars/price)
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assert order_arg.order_class == "simple"
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@pytest.mark.asyncio
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async def test_exit_with_no_held_position_submits_nothing(self):
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"""EXIT for a ticker with no held position → no order, skip logged,
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rejection counted (never a zero/garbage sell)."""
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config = _make_config()
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# Holds a DIFFERENT ticker — nothing for NVDA.
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broker = _exit_filled_broker(
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[_held_position("AAPL", qty=10.0, avg_entry=150.0)],
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fill_price=110.0,
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fill_qty=0.0,
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)
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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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)
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with patch.object(RiskManager, "check_risk", return_value=(True, "approved")):
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await process_signal(
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signal, RiskManager(config, broker), broker, publisher, counters
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)
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broker.submit_order.assert_not_called()
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publisher.publish.assert_not_called()
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counters["rejections"].add.assert_called_once()
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@pytest.mark.asyncio
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async def test_entry_sizing_path_unchanged(self):
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"""LONG entries keep the risk_manager.calculate_position_size path —
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target_dollars=$2000 @ $100 → 20 shares (not driven by held qty)."""
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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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)
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with patch.object(RiskManager, "check_risk", return_value=(True, "approved")):
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await process_signal(
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signal, RiskManager(config, broker), broker, publisher, counters
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)
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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.side == OrderSide.BUY
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assert order_arg.qty == 20.0 # target_dollars / current_price
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# ---------------------------------------------------------------------------
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# Executor flow — realized P&L on close
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# ---------------------------------------------------------------------------
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class TestExecutorRealizedPnl:
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"""When an EXIT fill closes a long, the persisted Trade row carries the
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round-trip realized P&L; ENTRY trades leave pnl=None."""
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@pytest.mark.asyncio
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async def test_exit_writes_realized_pnl(self):
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"""SELL 10 @ 110 against avg_entry 90 → pnl = (110-90)*10 = 200."""
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config = _make_config()
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held = _held_position("NVDA", qty=10.0, avg_entry=90.0)
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broker = _exit_filled_broker([held], fill_price=110.0, fill_qty=10.0)
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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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)
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mock_session = AsyncMock()
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mock_session.add = MagicMock()
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mock_session.commit = AsyncMock()
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db_factory = _make_mock_db_session_factory(mock_session)
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with patch.object(RiskManager, "check_risk", return_value=(True, "approved")):
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await process_signal(
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signal,
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RiskManager(config, broker),
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broker,
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publisher,
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counters,
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db_factory,
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)
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trade_obj = mock_session.add.call_args[0][0]
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assert trade_obj.side == TradeSideModel.SELL
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assert trade_obj.pnl == 200.0
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@pytest.mark.asyncio
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async def test_entry_trade_has_null_pnl(self):
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"""An ENTRY (LONG) trade is persisted with pnl=None."""
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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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)
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mock_session = AsyncMock()
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mock_session.add = MagicMock()
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mock_session.commit = AsyncMock()
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db_factory = _make_mock_db_session_factory(mock_session)
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with patch.object(RiskManager, "check_risk", return_value=(True, "approved")):
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await process_signal(
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signal,
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RiskManager(config, broker),
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broker,
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publisher,
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counters,
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db_factory,
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)
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trade_obj = mock_session.add.call_args[0][0]
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assert trade_obj.side == TradeSideModel.BUY
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assert trade_obj.pnl is None
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# ---------------------------------------------------------------------------
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# Executor flow — rejected signal
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# ---------------------------------------------------------------------------
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@ -734,8 +967,6 @@ class TestExecutorDBPersistence:
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"""signal_id from TradeSignal should appear in the published TradeExecution."""
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signal = _make_signal(ticker="AAPL", strength=0.8, current_price=150.0)
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assert signal.signal_id is not None
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# Verify signal_id is a UUID
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from uuid import UUID
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assert isinstance(signal.signal_id, UUID)
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