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
@@ -361,6 +361,9 @@ class BayesianStrategy:
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self._news_shifts: list[float] = [] # final_prob - prior, signed
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self._news_guardrail_applied: int = 0
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self._news_changed_decisions: int = 0
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# Replay R0: per-(market, cycle) decision records, drained by main.py
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# into the signals table after each evaluation loop.
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self._cycle_records: list[dict] = []
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def reset_cycle(self) -> None:
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"""Call once at the start of each trading cycle to reset per-cycle counters."""
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@@ -375,6 +378,51 @@ class BayesianStrategy:
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self._news_shifts = []
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self._news_guardrail_applied = 0
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self._news_changed_decisions = 0
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self._cycle_records = []
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def record_skip(self, market: Market, skip_reason: str) -> None:
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"""Record a skip decided OUTSIDE evaluate() (e.g. reentry_guard in main)."""
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self._record(market, skip_reason=skip_reason)
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def drain_cycle_records(self) -> list[dict]:
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"""Return and clear this cycle's decision records (Replay R0)."""
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records, self._cycle_records = self._cycle_records, []
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return records
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def _record(self, market: Market, skip_reason: Optional[str], **fields) -> None:
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"""Append one decision record. Early skips leave most fields None —
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the archive still shows the market existed and why it went no further."""
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rec = {
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"market_id": market.id,
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"polymarket_price": market.yes_price,
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"category": market.category,
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"volume_24h": market.volume_24h,
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"skip_reason": skip_reason,
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"family_key": None,
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"prior_prob": None,
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"estimated_prob": None,
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"raw_final_prob": None,
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"edge_gross": None,
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"edge_net": None,
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"regime_min_edge": None,
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"days_to_resolution": None,
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"confidence": None,
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"direction": None,
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"passed_gross": None,
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"passed_net": None,
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"news_sentiment": None,
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"news_budget_skipped": None,
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"guardrail_applied": None,
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"guardrail_changed_decision": None,
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"feat_fg_lo": None,
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"feat_mom_lo": None,
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"feat_news_lo": None,
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"feat_mfld_lo": None,
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"feat_btc_dom_lo": None,
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"acted_on": False,
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}
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rec.update(fields)
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self._cycle_records.append(rec)
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def get_cycle_stats(self) -> dict:
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"""Return per-cycle counters for the [CYCLE SUMMARY] log block."""
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@@ -467,6 +515,7 @@ class BayesianStrategy:
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"SKIP_UNSUPPORTED %-50s | cat=%r",
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market.question[:50], category,
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)
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self._record(market, skip_reason="unsupported")
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return None
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if not ext.valid:
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@@ -474,6 +523,7 @@ class BayesianStrategy:
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"SKIP_NO_SIGNALS %-50s | reason=external data unavailable",
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market.question[:50],
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)
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self._record(market, skip_reason="no_signals")
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return None
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# ── Phase 1: prior + prior-extreme filter ────────────────────────────
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@@ -485,6 +535,7 @@ class BayesianStrategy:
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"SKIP_PRIOR_EXTREME %-50s | cat=%-12s | prior=%.3f | reason=prior<0.08",
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market.question[:50], category, market.yes_price,
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)
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self._record(market, skip_reason="prior_extreme", prior_prob=prior)
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return None
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if market.yes_price > 0.92:
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self._skip_prior_extreme += 1
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@@ -492,6 +543,7 @@ class BayesianStrategy:
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"SKIP_PRIOR_EXTREME %-50s | cat=%-12s | prior=%.3f | reason=prior>0.92",
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market.question[:50], category, market.yes_price,
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)
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self._record(market, skip_reason="prior_extreme", prior_prob=prior)
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return None
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# ── Phase 2: family deduplication ────────────────────────────────────
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@@ -502,6 +554,7 @@ class BayesianStrategy:
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"SKIP_FAMILY %-50s | cat=%-12s | family=%s",
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market.question[:50], category, family,
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)
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self._record(market, skip_reason="family", prior_prob=prior, family_key=family)
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return None
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# ── Phase 4: regime min-edge ─────────────────────────────────────────
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@@ -576,6 +629,10 @@ class BayesianStrategy:
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# highest-value markets reach this block first.
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news_log_adj = 0.0
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news_sentiment = 0.0
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# Replay R0: True when GNews was never consulted for this market this
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# cycle (budget exhausted) — a replay must not read feat_news_lo=0.0 as
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# "there was no news".
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news_budget_skipped = False
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# self._news.enabled gates the whole block: with no GNews API key the
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# client is a no-op, so we must not consume (or report) query budget for
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# it — see NewsClient.enabled.
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@@ -588,6 +645,7 @@ class BayesianStrategy:
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news_log_adj = sentiment * NEWS_LOGODDS_WEIGHT
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sources.append(f"GNews: {sentiment:+.2f}")
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else:
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news_budget_skipped = True
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log.info(
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"SKIP_GNEWS_PRIORITY %-50s | reason=cycle budget %d reached",
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market.question[:50], MAX_NEWS_QUERIES_PER_CYCLE,
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@@ -825,6 +883,38 @@ class BayesianStrategy:
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MAX_NEWS_ONLY_PROB_SHIFT,
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)
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# Replay R0: full decision record — same fields for skip and trade paths.
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# skip_reason granularity: "edge_net" when the edge gate failed,
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# "confidence" when only the confidence gate blocked the trade.
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self._record(
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market,
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skip_reason=(
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None if can_trade
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else ("edge_net" if not passed_net else "confidence")
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),
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family_key=family,
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prior_prob=prior,
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estimated_prob=estimated_prob,
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raw_final_prob=raw_final_prob,
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edge_gross=edge_gross,
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edge_net=edge_net,
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regime_min_edge=regime_min,
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days_to_resolution=days,
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confidence=confidence,
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direction=direction,
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passed_gross=passed_gross,
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passed_net=passed_net,
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news_sentiment=news_sentiment,
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news_budget_skipped=news_budget_skipped,
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guardrail_applied=news_guardrail_applied,
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guardrail_changed_decision=guardrail_changed_trade_decision,
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feat_fg_lo=feat_fg_lo,
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feat_mom_lo=feat_mom_lo,
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feat_news_lo=feat_news_lo,
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feat_mfld_lo=feat_mfld_lo,
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feat_btc_dom_lo=feat_btc_dom_lo,
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)
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if not can_trade:
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# Increment the appropriate edge-net counter
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if edge_net <= 0:
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