feat(replay): R0 snapshot recorder — archive per-cycle decisions into signals
The signals and markets tables existed since Phase 2/5 but never had a writer; the replay engine (phase plan line 2.1) needs a per-(market, cycle) archive of what the strategy saw and decided. This wires them up: - signals: one row per evaluated market per cycle, now carrying INPUTS (news_sentiment, feat_*_lo, volume_24h, days_to_resolution) plus the existing outputs (probs, edges, gates, skip_reason). skip_reason is granular: unsupported/no_signals/prior_extreme/family/edge_net/ confidence/reentry_guard. news_budget_skipped distinguishes "GNews not asked" (5-query budget) from "no news". - ext_snapshots: one row per cycle with the ExternalSignals snapshot; signals rows join on cycle_ts. - markets: metadata upserted each cycle (replay rebuilds Market from it). - Retention: prune > SIGNALS_RETENTION_DAYS (default 90) once a day. - SIGNAL_RECORDER_ENABLED (default true) gates all DB writes; every write is try/except — the recorder can never break trading. Strategy changes are purely additive (record accumulation at each exit path of evaluate()); no weights, thresholds, gates or sizing touched, per the freeze in the current phase plan. Tests: 10 new deterministic tests (85 total passing). Schema migration dry-run validated against prod postgres inside a rolled-back transaction. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
chemavx
co-authored by
Claude Fable 5
Claude Fable 5
parent
117d2b33b2
commit
919fe1617a
@@ -650,6 +650,103 @@ class Database:
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cooldown_reason = EXCLUDED.cooldown_reason
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""", poly_market_id, last_status, retry_after, cooldown_reason)
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# ── Replay R0: snapshot recorder ─────────────────────────────────────────
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async def save_ext_snapshot(self, cycle_ts, ext) -> None:
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"""Persist the ExternalSignals snapshot for one cycle (Replay R0)."""
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async with self._pool.acquire() as conn:
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await conn.execute("""
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INSERT INTO ext_snapshots (
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cycle_ts, btc_price, btc_change_24h, eth_price, eth_change_24h,
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btc_dominance, fear_greed_index, fear_greed_label,
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total_market_cap_change, valid
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) VALUES ($1,$2,$3,$4,$5,$6,$7,$8,$9,$10)
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ON CONFLICT (cycle_ts) DO NOTHING
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""",
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cycle_ts, ext.btc_price, ext.btc_change_24h,
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ext.eth_price, ext.eth_change_24h, ext.btc_dominance,
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ext.fear_greed_index, ext.fear_greed_label,
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ext.total_market_cap_change, ext.valid,
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)
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async def upsert_markets(self, markets: list) -> None:
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"""Refresh market metadata (Replay R0) — replay rebuilds Market from here."""
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rows = [
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(m.id, m.condition_id, m.question, m.category, m.end_date, m.active)
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for m in markets
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]
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async with self._pool.acquire() as conn:
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await conn.executemany("""
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INSERT INTO markets (id, condition_id, question, category, end_date, active, last_seen)
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VALUES ($1,$2,$3,$4,$5,$6, now())
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ON CONFLICT (id) DO UPDATE SET
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condition_id = EXCLUDED.condition_id,
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question = EXCLUDED.question,
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category = EXCLUDED.category,
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end_date = EXCLUDED.end_date,
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active = EXCLUDED.active,
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last_seen = now()
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""", rows)
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async def save_signal_records(self, cycle_ts, records: list[dict]) -> None:
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"""Batch-insert one cycle's decision records into signals (Replay R0)."""
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if not records:
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return
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rows = [
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(
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r["market_id"], cycle_ts, cycle_ts,
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r["polymarket_price"], r["category"], r["volume_24h"],
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r["skip_reason"], r["family_key"],
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r["prior_prob"], r["estimated_prob"], r["raw_final_prob"],
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r["edge_gross"], r["edge_net"], r["regime_min_edge"],
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r["days_to_resolution"], r["confidence"], r["direction"],
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r["passed_gross"], r["passed_net"],
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r["news_sentiment"], r["news_budget_skipped"],
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r["guardrail_applied"], r["guardrail_changed_decision"],
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r["feat_fg_lo"], r["feat_mom_lo"], r["feat_news_lo"],
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r["feat_mfld_lo"], r["feat_btc_dom_lo"],
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r["edge_gross"], # legacy `edge` column mirrors edge_gross
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r["acted_on"],
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)
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for r in records
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]
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async with self._pool.acquire() as conn:
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await conn.executemany("""
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INSERT INTO signals (
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market_id, timestamp, cycle_ts,
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polymarket_price, category, volume_24h,
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skip_reason, family_key,
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prior_prob, estimated_prob, raw_final_prob,
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edge_gross, edge_net, regime_min_edge,
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days_to_resolution, confidence, direction,
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passed_gross, passed_net,
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news_sentiment, news_budget_skipped,
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guardrail_applied, guardrail_changed_decision,
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feat_fg_lo, feat_mom_lo, feat_news_lo,
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feat_mfld_lo, feat_btc_dom_lo,
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edge, acted_on
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) VALUES (
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$1,$2,$3,$4,$5,$6,$7,$8,$9,$10,$11,$12,$13,$14,$15,
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$16,$17,$18,$19,$20,$21,$22,$23,$24,$25,$26,$27,$28,$29,$30
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)
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""", rows)
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async def prune_signal_records(self, retention_days: int) -> int:
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"""Delete archive rows older than retention_days; returns rows deleted."""
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async with self._pool.acquire() as conn:
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result = await conn.execute(
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"DELETE FROM signals WHERE timestamp < now() - ($1 || ' days')::interval",
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str(retention_days),
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)
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await conn.execute(
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"DELETE FROM ext_snapshots WHERE cycle_ts < now() - ($1 || ' days')::interval",
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str(retention_days),
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)
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try:
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return int(result.split()[-1])
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except (ValueError, IndexError):
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return 0
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async def mark_manifold_audit_used(self, audit_id: str) -> None:
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async with self._pool.acquire() as conn:
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await conn.execute(
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@@ -318,3 +318,55 @@ CREATE TABLE IF NOT EXISTS manifold_eval_cooldown (
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);
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CREATE INDEX IF NOT EXISTS idx_mfld_cooldown_retry ON manifold_eval_cooldown(retry_after);
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-- ─────────────────────────────────────────────────────────────────────────────
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-- Replay R0: snapshot recorder — the archive the replay engine reads from
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--
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-- The signals table (Phase 2/5 schema) never had a writer; R0 makes it the
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-- per-(market, cycle) decision archive. One row per evaluated market per
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-- cycle, carrying both the INPUTS the strategy saw (external signals, news
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-- sentiment, per-feature log-odds) and the OUTPUTS it produced (probs, edges,
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-- gates, skip_reason). A replay run rebuilds Market/ExternalSignals from
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-- these rows plus ext_snapshots and re-executes evaluate() deterministically.
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--
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-- cycle_ts groups all rows of one trading cycle and joins them to their
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-- ext_snapshots row (same timestamp; no FK to keep writes independent).
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-- days_to_resolution is persisted so replay does not depend on wall-clock.
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-- news_budget_skipped distinguishes "GNews had nothing" from "GNews was not
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-- asked this cycle" (5-query budget) — without it politics replay would treat
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-- budget starvation as absence of news.
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-- Retention: rows older than SIGNALS_RETENTION_DAYS (default 90) are pruned.
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-- ─────────────────────────────────────────────────────────────────────────────
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS cycle_ts TIMESTAMPTZ;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS category TEXT;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS prior_prob DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS raw_final_prob DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS days_to_resolution INTEGER;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS volume_24h DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS news_sentiment DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS news_budget_skipped BOOLEAN;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS guardrail_applied BOOLEAN;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS guardrail_changed_decision BOOLEAN;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS feat_fg_lo DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS feat_mom_lo DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS feat_news_lo DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS feat_mfld_lo DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS feat_btc_dom_lo DOUBLE PRECISION;
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CREATE INDEX IF NOT EXISTS idx_signals_cycle ON signals(cycle_ts);
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-- One row per trading cycle: the ExternalSignals snapshot every market in
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-- that cycle was evaluated against. Written once per cycle before the
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-- evaluation loop; signals rows join on cycle_ts.
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CREATE TABLE IF NOT EXISTS ext_snapshots (
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cycle_ts TIMESTAMPTZ PRIMARY KEY,
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btc_price DOUBLE PRECISION,
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btc_change_24h DOUBLE PRECISION,
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eth_price DOUBLE PRECISION,
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eth_change_24h DOUBLE PRECISION,
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btc_dominance DOUBLE PRECISION,
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fear_greed_index INTEGER,
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fear_greed_label TEXT,
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total_market_cap_change DOUBLE PRECISION,
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valid BOOLEAN
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);
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