Sydnee nightly — execution_quality audit — 2026-05-29 P0 findings: 0 P1 findings: 2 Risks: 3 - Area: Execution Quality (Friday theme) - Branch: `dev` (0f470d7) - Files scanned: `bot.py` (~17 700 lines), `docs/strategy_decisions.md`, prior execution audit (2026-05-15), recent commit chain - Bugs found (P0 / P1): 0 / 2 (both carryovers from 2026-05-15 — neither fixed) - Risks noted: 3 (1 new, 2 carryovers) --- Full report (dev branch): https://github.com/kanex1/sydnee.signals/blob/dev/docs/audit_2026-05-29_execution_quality.md Reply FROM [email protected] to [email protected] to request fixes, e.g.: "code_task on sydnee-signals-dev: apply fix for the P0 about RVOL threshold in bot.py" Sydnee Agent will propose + you APPROVE (or plain 'approve') + auto-push to dev. --- Full audit below (first 12 KB) --- # Nightly Audit 2026-05-29 — EXECUTION QUALITY ## Summary - Area: Execution Quality (Friday theme) - Branch: `dev` (0f470d7) - Files scanned: `bot.py` (~17 700 lines), `docs/strategy_decisions.md`, prior execution audit (2026-05-15), recent commit chain - Bugs found (P0 / P1): 0 / 2 (both carryovers from 2026-05-15 — neither fixed) - Risks noted: 3 (1 new, 2 carryovers) --- ## Findings ### BUG [P1] CARRYOVER — `RSI_TICK_FIRE` window ends 13:00 ET (780), not 16:00 ET (960) **File:** `bot.py:16204` **Evidence:** ```python # bot.py:16204 — confirmed present in HEAD (0f470d7) if not (570 <= t_min < 780) or now_et.weekday() >= 5: # Not RTH — reset state and skip if ss._tick_state != 0: ss._tick_state = 0 return ``` `780 = 13:00 ET = 1:00 PM ET`. RTH closes at `960 = 16:00 ET`. When `RSI_TICK_FIRE=true`, the 5m peak-confirm path AND the plain RSI fallback are both suppressed (`bot.py:5316-5322`). Net effect: zero `rsi_extreme` entries 1:00–4:00 PM ET when the flag is on. Flag defaults off — risk dormant until explicitly enabled. **Impact:** Three hours of RTH edge lost (1–4 PM ET window) for every session where `RSI_TICK_FIRE=true`. The worst-affected setups are the afternoon rsi_extreme longs (2026-05-19 backtest showed 13:00 ET is the single highest-edge slot: +0.534% avg). **Fix:** ```python # bot.py:16204 — change 780 → 960: if not (570 <= t_min < 960) or now_et.weekday() >= 5: ``` --- ### BUG [P1] CARRYOVER — `max_shares` cap applies to `_close_trade` but not `_open_trade`; now directly impacts TV-BXt 50% NLV sizing **File:** `bot.py:7760-7763` (close cap), `bot.py:6876-6878` (open — NLV cap only, no absolute cap) **Evidence:** ```python # _close_trade — bot.py:7760-7763 — caps EVERY close at max_shares (default 500) max_sh = self.cfg.get("max_shares", 500) if shares > max_sh: logger.warning("[%s] Close capped from %d to %d shares ...", ...) shares = max_sh # ← sends only 500 to IBKR; remainder stranded # _open_trade — bot.py:6876-6878 — NLV cap only, NO max_shares check max_position_dollar = nlv * _max_pos_pct max_shares_by_position = int(max_position_dollar / price) if price > 0 else shares if shares > max_shares_by_position: shares = max_shares_by_position # max_shares never checked here # TV-BXt override — bot.py:6890-6893 — bypasses NLV cap, sizes at 50% NLV if (entry_reason or "").startswith("TV-BXt") and price > 0 and nlv > 0: _tv_pct = float(os.environ.get("TV_BXT_NLV_PCT", "50.0")) _tv_shares = int((nlv * _tv_pct / 100.0) / price) ``` **Concrete TV-BXt scenario** (now an active trading strategy on dev): - NLV = $200 k, SNDK at ~$55, `TV_BXT_NLV_PCT=50` - Open: `_tv_shares = int(200 000 × 0.50 / 55) = 1 818 shares` → submitted to IBKR - Close: capped to `max_shares = 500` → 500 shares sent; **1 318 shares remain at IBKR** - Bot marks trade closed in DB; IBKR still holds 1 318 shares - `_reconcile_ibkr_positions` re-imports the orphan as `reconcile_import` - TV engine adopts it as `my_pos` (commit 3907291) — cycle repeats on the next close The 2026-05-15 audit described this for cheap biotech ($1–$3 stocks). With TV-BXt active and sizing at 50% NLV, the gap now appears on every TV-BXt close at any liquid price where open shares > 500. At SNDK $55, that is every single TV-BXt position. **Impact:** IBKR/bot desync on every TV-BXt close. Orphaned IBKR position re-imported as `reconcile_import`, adopted by TV engine, re-closed to 500 shares again, re-orphaned. Loop terminates only when IBKR position drops below 500 shares via repeated partial fills. Real-money equivalent: leftover shares accumulate unreported P&L and bypass all risk gates. **Fix:** ```python # bot.py — add after TV-BXt override block (~line 6900), before _exec_qa call: max_sh = self.cfg.get("max_shares", 500) if shares > max_sh: self._log_activity(sym, f"Entry capped {shares}→{max_sh}sh (max_shares limit)", "warn") shares = max_sh if shares <= 0: return ``` Alternatively, raise `max_shares` in config to cover the TV-BXt sizing (e.g. `max_shares=3000` for $200k NLV / $10 min stock price at 15% NLV). --- ### RISK: `TV_BXT_DISABLE_ALGO_STOPS=true` removes all stop coverage — TV webhook downtime = unbounded loss **File:** `bot.py:3966-3974` (84db012, 2026-05-28) **Evidence:** ```python _algo_stops_off = os.environ.get( "TV_BXT_DISABLE_ALGO_STOPS", "").lower() in ("1", "true", "yes") if my_pos is not None and price > 0: if not _algo_stops_off: # ← OBV trail + catastrophic floor skipped when True _sr = self._obv_trail_stop_hit(my_pos, ss, price) if _sr: self._tv_close(my_pos, f"TV-BXt {_sr}") self._tv_bxt_signal_clear(sym) return _now = datetime.now(ET) if _now.weekday() == 4 and ...: # ← Friday EOD still fires ✓ ... ``` Safety flats (Friday EOD at 3:45 PM ET, overnight/weekend `win=="flat"`) are correctly preserved outside the `_algo_stops_off` gate. However, when the flag is on, the ONLY intraday exit path for a TV-BXt position is an opposite TV webhook alert. **Failure scenarios:** 1. **TV alert service downtime / misconfigured ticker** — no alert arrives; position held indefinitely (Mon–Thu overnight, no hard stop). 2. **Bot restart during session** — `_tv_bxt_signal` persists in Redis; position re-adopted via `reconcile_import` (3907291); re-managed by TV engine. No OBV trail on restart since the trail was never updated while `_algo_stops_off=True`. But the trail lazy-init at `_obv_trail_stop_hit` catches up to current price on first call — so if `_algo_stops_off` is LATER disabled, stop initializes at current price (ok, but misses intra-`off` peak). 3. **Rapid adverse move intraday** — without the 2×ATR catastrophic floor, a position can lose arbitrarily until the next TV alert or the overnight/weekend flat. **Note:** Flag is `default off`; dev compose enables it; prod not set. Risk is dev-only for now. When promoting TV-BXt to prod, this flag must NOT be enabled in prod compose without an independent stop mechanism (e.g., native IBKR stop order, monitoring alert). --- ### RISK CARRYOVER — `_reconcile_bracket_fills` records `ss.last_price` as exit price, not IBKR fill **File:** `bot.py:8099` **Evidence:** ```python if t.direction == 1 and ibkr_qty <= 0: ss = self.sym_states.get(t.symbol) exit_price = ss.last_price if ss else t.entry_price # ← polled price, not fill pnl = self._close_trade_in_store(t.trade_id, exit_price) ``` No change since 2026-05-15 filing. Distorted P&L on bracket-closed trades; affects `consec_losses` accounting and daily report. Low blast radius but structurally silent. --- ### RISK CARRYOVER — `_on_portfolio_update` hook writes `ss.last_price` without `_sym_lock` **File:** `bot.py:17493-17499` **Evidence:** ```python def _on_portfolio_update(item): try: _sym = item.contract.symbol _px = float(item.marketPrice or 0) if _px > 0 and _sym in self.sym_states: # ← not atomic with next line self.sym_states[_sym].last_price = _px except Exception: pass ``` No change since 2026-05-15 filing. GIL-atomic float write is safe; the `in`+`[_sym]` two-step can `KeyError` if `_sym` is removed mid-check (watchlist shrink overnight). Low probability; silently caught by `except Exception`. No execution consequence. --- ## OK (checked, working or recently fixed) - **FLAT_EXIT double-sell — FIXED** (commit 73481b3, 2026-05-19): `_close_trade` replaced with `_close_trade_in_store` at `bot.py:5176`. DB-only close; no second IBKR order; no asyncio conflict. Carryover P1 from 2026-05-08 audit resolved. ✓ - **`reconcile_import` adoption as TV `my_pos`** (commit 3907291, 2026-05-28): `_eval_tv_bxt_sym` now recognises positions with `strategy_reason == "reconcile_import"` as `my_pos`. Fixes the SNDK freeze where re-imported positions blocked TV signals and prevented new entries. `other_open` guard correctly excludes `reconcile_import` from the manual-block list. ✓ - **avgCost sanity check** (commit 62f9195, 2026-05-28): `_reconcile_ibkr_positions` now queries `ib.portfolio()` for live market price and substitutes it when `avgCost` deviates >25% from market (IBKR paper-engine short→long flip corruption, e.g. AMZN $55 vs $271). Prevents phantom-profit exits on corrupted basis imports. ✓ - **Quarantine guard 25%→55% NLV** (commit a4a5277, 2026-05-28): legitimate TV-BXt positions at 50% NLV no longer quarantined on restart. 55% ceiling still catches true runaways. ✓ - **Friday EOD + overnight/weekend safety flats preserved** when `TV_BXT_DISABLE_ALGO_STOPS=true`: Friday EOD flat (3:45 PM ET, `bot.py:3975-3979`) is outside the `_algo_stops_off` guard; overnight/weekend `win=="flat"` path (line 3934-3938) is entirely independent. ✓ - **Phase-0 scalp signal logger** (commit 0f470d7): pure research, no trading. Thread is a no-op unless `SCALP_SIGNAL_LOG=true`. `_tape_score_sym` refactor is byte-for-byte equivalent for the `/api/tape-scanner` route output (confirmed in commit validation). ✓ - **IOC limit entry with NBBO+1¢ cushion** (`bot.py:5963-5970`): marketable LMT IOC in RTH; DAY outside; retries with GTC LMT or MKT on cancel. No MKT-at-entry exposure. ✓ - **`avgFillPrice` used in all close paths** (`bot.py:6125, 6777`): weighted average across venue splits; fills[0] fallback only when avgFillPrice=0. ✓ - **`_deferred_closes` dedup** (trade_id + `is_open` guard, `bot.py:5250-5266`): correctly suppresses duplicate close attempts queued during `ib.sleep()` yield windows. ✓ - **3-layer entry guard** (in-store + IBKR cache + ib_insync wrapper, `bot.py:5716-5754`): prevents double-open from three independent data sources. ✓ - **`exec_qa_patrol` stale-order sweep** (`bot.py:6411-6489`): cancels PreSubmitted/Submitted orders >5 min old that are not in `_active_order_ids`. Manual orders exempted. ✓ - **`BLOCK_PROFILE_ENABLED` default `"true"` carryover**: still unflipped at `bot.py:6191`. Now consequential post the 2026-05-03 `total_scale` fix — block-profile ±15% does reach actual share count on dev. Tracked in `strategy_decisions.md` action item; no change today. (noted)