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Pigbibi merged 1 commit into from
Jun 12, 2026
Merged

[codex] Sync TQQQ risk diagnostics #81

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66 changes: 66 additions & 0 deletions application/signal_snapshot.py
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Expand Up @@ -37,6 +37,72 @@
"blend_gate_volatility_delever_dynamic_cap",
"blend_gate_volatility_delever_metric",
"blend_gate_volatility_delever_triggered",
"blend_gate_volatility_delever_retention_ratio",
"blend_gate_volatility_delever_redirect_symbol",
"blend_gate_volatility_delever_removed_ratio",
"dual_drive_volatility_delever_enabled",
"dual_drive_volatility_delever_window",
"dual_drive_volatility_delever_threshold_mode",
"dual_drive_volatility_delever_threshold",
"dual_drive_volatility_delever_exit_threshold",
"dual_drive_volatility_delever_dynamic_threshold",
"dual_drive_volatility_delever_dynamic_sample_count",
"dual_drive_volatility_delever_dynamic_lookback",
"dual_drive_volatility_delever_dynamic_percentile",
"dual_drive_volatility_delever_dynamic_min_periods",
"dual_drive_volatility_delever_dynamic_floor",
"dual_drive_volatility_delever_dynamic_cap",
"dual_drive_volatility_delever_metric",
"dual_drive_volatility_delever_triggered",
"dual_drive_volatility_delever_entry_triggered",
"dual_drive_volatility_delever_hysteresis_triggered",
"dual_drive_volatility_delever_trigger_reason",
"dual_drive_volatility_delever_applied",
"dual_drive_volatility_delever_vetoed",
"dual_drive_volatility_delever_veto_reason",
"dual_drive_volatility_delever_taco_veto_enabled",
"dual_drive_volatility_delever_taco_rebound_context_active",
"dual_drive_volatility_delever_true_crisis_active",
"dual_drive_volatility_delever_redirect_symbol",
"dual_drive_volatility_delever_removed_value",
"dual_drive_macro_risk_governor_enabled",
"dual_drive_macro_risk_governor_found",
"dual_drive_macro_risk_governor_route",
"dual_drive_macro_risk_governor_active",
"dual_drive_macro_risk_governor_applied",
"dual_drive_macro_risk_governor_leverage_scalar",
"dual_drive_macro_risk_governor_risk_asset_scalar",
"dual_drive_macro_risk_governor_removed_value",
"dual_drive_macro_risk_governor_redirected_to_unlevered",
"dual_drive_crisis_defense_enabled",
"dual_drive_crisis_defense_triggered",
"dual_drive_crisis_defense_applied",
"dual_drive_crisis_defense_destination",
"dual_drive_crisis_defense_removed_value",
"market_regime_control_enabled",
"market_regime_control_found",
"market_regime_control_source",
"market_regime_control_schema_version",
"market_regime_control_route",
"market_regime_control_route_source",
"market_regime_control_active",
"market_regime_control_applied",
"market_regime_control_route_allowed",
"market_regime_control_risk_scalar",
"market_regime_control_risk_budget_scalar",
"market_regime_control_leverage_scalar",
"market_regime_control_risk_asset_scalar",
"market_regime_control_taco_allowed",
"market_regime_control_local_delever_veto_allowed",
"market_regime_control_crisis_defense_required",
"market_regime_control_blocked_actions",
"market_regime_control_vetoes",
"market_regime_control_reason_codes",
"market_regime_control_removed_weight",
"market_regime_control_removed_ratio",
"market_regime_control_redirected_to_unlevered_ratio",
"market_regime_control_safe_haven",
"market_regime_control_risk_symbols",
)


Expand Down
106 changes: 106 additions & 0 deletions decision_mapper.py
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Expand Up @@ -21,6 +21,92 @@
_INCOME_SYMBOLS = frozenset({"QQQI", "SPYI"})
_DEFAULT_MIN_TRADE_FLOOR = 100.0
_DEFAULT_REBALANCE_THRESHOLD_RATIO = 0.01
_TQQQ_RISK_CONTROL_EXECUTION_FIELDS = (
"dual_drive_volatility_delever_enabled",
"dual_drive_volatility_delever_window",
"dual_drive_volatility_delever_threshold_mode",
"dual_drive_volatility_delever_threshold",
"dual_drive_volatility_delever_exit_threshold",
"dual_drive_volatility_delever_dynamic_threshold",
"dual_drive_volatility_delever_dynamic_sample_count",
"dual_drive_volatility_delever_dynamic_lookback",
"dual_drive_volatility_delever_dynamic_percentile",
"dual_drive_volatility_delever_dynamic_min_periods",
"dual_drive_volatility_delever_dynamic_floor",
"dual_drive_volatility_delever_dynamic_cap",
"dual_drive_volatility_delever_metric",
"dual_drive_volatility_delever_triggered",
"dual_drive_volatility_delever_entry_triggered",
"dual_drive_volatility_delever_hysteresis_triggered",
"dual_drive_volatility_delever_trigger_reason",
"dual_drive_volatility_delever_applied",
"dual_drive_volatility_delever_vetoed",
"dual_drive_volatility_delever_veto_reason",
"dual_drive_volatility_delever_taco_veto_enabled",
"dual_drive_volatility_delever_taco_rebound_context_active",
"dual_drive_volatility_delever_true_crisis_active",
"dual_drive_volatility_delever_redirect_symbol",
"dual_drive_volatility_delever_removed_value",
"dual_drive_macro_risk_governor_enabled",
"dual_drive_macro_risk_governor_found",
"dual_drive_macro_risk_governor_route",
"dual_drive_macro_risk_governor_active",
"dual_drive_macro_risk_governor_applied",
"dual_drive_macro_risk_governor_leverage_scalar",
"dual_drive_macro_risk_governor_risk_asset_scalar",
"dual_drive_macro_risk_governor_removed_value",
"dual_drive_macro_risk_governor_redirected_to_unlevered",
"dual_drive_crisis_defense_enabled",
"dual_drive_crisis_defense_triggered",
"dual_drive_crisis_defense_applied",
"dual_drive_crisis_defense_destination",
"dual_drive_crisis_defense_removed_value",
)
_SOXL_RISK_CONTROL_EXECUTION_FIELDS = (
"blend_gate_volatility_delever_enabled",
"blend_gate_volatility_delever_symbol",
"blend_gate_volatility_delever_window",
"blend_gate_volatility_delever_threshold_mode",
"blend_gate_volatility_delever_threshold",
"blend_gate_volatility_delever_dynamic_threshold",
"blend_gate_volatility_delever_dynamic_sample_count",
"blend_gate_volatility_delever_dynamic_lookback",
"blend_gate_volatility_delever_dynamic_percentile",
"blend_gate_volatility_delever_dynamic_min_periods",
"blend_gate_volatility_delever_dynamic_floor",
"blend_gate_volatility_delever_dynamic_cap",
"blend_gate_volatility_delever_metric",
"blend_gate_volatility_delever_triggered",
"blend_gate_volatility_delever_retention_ratio",
"blend_gate_volatility_delever_redirect_symbol",
"blend_gate_volatility_delever_removed_ratio",
)
_MARKET_REGIME_CONTROL_EXECUTION_FIELDS = (
"market_regime_control_enabled",
"market_regime_control_found",
"market_regime_control_source",
"market_regime_control_schema_version",
"market_regime_control_route",
"market_regime_control_route_source",
"market_regime_control_active",
"market_regime_control_applied",
"market_regime_control_route_allowed",
"market_regime_control_risk_scalar",
"market_regime_control_risk_budget_scalar",
"market_regime_control_leverage_scalar",
"market_regime_control_risk_asset_scalar",
"market_regime_control_taco_allowed",
"market_regime_control_local_delever_veto_allowed",
"market_regime_control_crisis_defense_required",
"market_regime_control_blocked_actions",
"market_regime_control_vetoes",
"market_regime_control_reason_codes",
"market_regime_control_removed_weight",
"market_regime_control_removed_ratio",
"market_regime_control_redirected_to_unlevered_ratio",
"market_regime_control_safe_haven",
"market_regime_control_risk_symbols",
)


def _symbol_role(symbol: str) -> str | None:
Expand Down Expand Up @@ -331,4 +417,24 @@ def map_strategy_decision_to_plan(
cash_by_currency = metadata.get("cash_by_currency")
if isinstance(cash_by_currency, Mapping):
plan["portfolio"]["cash_by_currency"] = dict(cash_by_currency)
diagnostics = {
**dict(runtime_metadata or {}),
**dict(decision.diagnostics),
**dict(normalized_decision.diagnostics),
}
for source in (
(runtime_metadata or {}).get("execution_annotations"),
decision.diagnostics.get("execution_annotations"),
normalized_decision.diagnostics.get("execution_annotations"),
):
if isinstance(source, Mapping):
diagnostics.update(source)
execution = plan.setdefault("execution", {})
for field_name in (
*_MARKET_REGIME_CONTROL_EXECUTION_FIELDS,
*_TQQQ_RISK_CONTROL_EXECUTION_FIELDS,
*_SOXL_RISK_CONTROL_EXECUTION_FIELDS,
):
if field_name in diagnostics:
execution[field_name] = diagnostics[field_name]
return plan
124 changes: 124 additions & 0 deletions notifications/telegram.py
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Expand Up @@ -203,6 +203,10 @@ def format_small_account_cash_substitution_notes(
"signal_blend_gate_risk_on": "{trend_symbol} 站上 {window} 日门槛线，持有 SOXL {soxl_ratio} + SOXX {soxx_ratio}",
"signal_blend_gate_defensive": "{trend_symbol} 跌破门槛线，防守持有 SOXX {soxx_ratio}",
"signal_blend_gate_overlay_capped": "{trend_symbol} 仍在 {window} 日门槛线上方，但触发风控降档（{reasons}），目标仓位 {allocation_text}",
"risk_control_tqqq_volatility_delever_applied": "🛡️ 风控: QQQ {window} 日年化波动率 {volatility} 高于 {threshold}，{source_symbol} 转向 {redirect_symbol}",
"risk_control_tqqq_volatility_delever_applied_dynamic": "🛡️ 风控: QQQ {window} 日年化波动率 {volatility} 高于实际阈值 {threshold}（{threshold_detail}），{source_symbol} 转向 {redirect_symbol}",
"risk_control_tqqq_volatility_delever_hysteresis": "🛡️ 风控: QQQ {window} 日年化波动率 {volatility} 仍高于退出阈值 {exit_threshold}，维持 {source_symbol} 转向 {redirect_symbol}",
"risk_control_tqqq_volatility_delever_hysteresis_dynamic": "🛡️ 风控: QQQ {window} 日年化波动率 {volatility} 仍高于退出阈值 {exit_threshold}；入场实际阈值 {threshold}（{threshold_detail}），维持 {source_symbol} 转向 {redirect_symbol}",
"market_status_risk_on": "🚀 风险开启（{asset}）",
"market_status_delever": "🛡️ 降杠杆（{asset}）",
"signal_risk_on": "SOXL 站上 {window} 日均线，持有 SOXL，交易层风险仓位 {ratio}",
Expand Down Expand Up @@ -322,6 +326,10 @@ def format_small_account_cash_substitution_notes(
"signal_blend_gate_risk_on": "{trend_symbol} is above the {window}-day gate; hold SOXL {soxl_ratio} + SOXX {soxx_ratio}",
"signal_blend_gate_defensive": "{trend_symbol} is below the gate; hold SOXX {soxx_ratio}",
"signal_blend_gate_overlay_capped": "{trend_symbol} remains above the {window}-day gate, but risk cap is active ({reasons}); target {allocation_text}",
"risk_control_tqqq_volatility_delever_applied": "🛡️ Risk control: QQQ {window}d annualized volatility {volatility} is above {threshold}; {source_symbol} redirects to {redirect_symbol}",
"risk_control_tqqq_volatility_delever_applied_dynamic": "🛡️ Risk control: QQQ {window}d annualized volatility {volatility} is above effective threshold {threshold} ({threshold_detail}); {source_symbol} redirects to {redirect_symbol}",
"risk_control_tqqq_volatility_delever_hysteresis": "🛡️ Risk control: QQQ {window}d annualized volatility {volatility} remains above the exit threshold {exit_threshold}; keep {source_symbol} redirected to {redirect_symbol}",
"risk_control_tqqq_volatility_delever_hysteresis_dynamic": "🛡️ Risk control: QQQ {window}d annualized volatility {volatility} remains above exit threshold {exit_threshold}; entry effective threshold {threshold} ({threshold_detail}); keep {source_symbol} redirected to {redirect_symbol}",
"market_status_risk_on": "Risk on ({asset})",
"market_status_delever": "Delever ({asset})",
"signal_risk_on": "SOXL is above the {window}-day average; hold SOXL at risk sleeve {ratio}",
Expand Down Expand Up @@ -702,12 +710,128 @@ def _detail_lines(value: Any, *, translator: Callable[..., str]) -> list[str]:
return details


def _format_percent(value: Any) -> str:
try:
return f"{float(value) * 100:.1f}%"
except (TypeError, ValueError):
return "n/a"


def _format_percentile(value: Any) -> str:
try:
percentile = float(value) * 100
except (TypeError, ValueError):
return "p?"
if float(percentile).is_integer():
return f"p{int(percentile)}"
return f"p{percentile:.1f}"


def _format_sample_count(value: Any) -> str:
try:
count = float(value)
except (TypeError, ValueError):
return "n/a"
if float(count).is_integer():
return str(int(count))
return f"{count:.1f}"


def _present(value: Any) -> bool:
return value not in (None, "")


def _is_truthy(value: Any) -> bool:
if isinstance(value, bool):
return value
return str(value or "").strip().lower() in {"1", "true", "yes", "y"}


def _effective_volatility_delever_threshold(execution: Mapping[str, Any], *, prefix: str) -> Any:
mode = str(execution.get(f"{prefix}_threshold_mode") or "").strip().lower()
dynamic_threshold = execution.get(f"{prefix}_dynamic_threshold")
if mode == "rolling_percentile" and _present(dynamic_threshold):
return dynamic_threshold
return execution.get(f"{prefix}_threshold")


def _format_volatility_delever_threshold_detail(
execution: Mapping[str, Any],
*,
prefix: str,
translator: Callable[..., str],
) -> str:
mode = str(execution.get(f"{prefix}_threshold_mode") or "").strip().lower()
fixed_threshold = execution.get(f"{prefix}_threshold")
dynamic_threshold = execution.get(f"{prefix}_dynamic_threshold")
if mode == "rolling_percentile":
kwargs = {
"percentile": _format_percentile(execution.get(f"{prefix}_dynamic_percentile")),
"lookback": _format_sample_count(execution.get(f"{prefix}_dynamic_lookback")),
"min_periods": _format_sample_count(execution.get(f"{prefix}_dynamic_min_periods")),
"sample_count": _format_sample_count(execution.get(f"{prefix}_dynamic_sample_count")),
"floor": _format_percent(execution.get(f"{prefix}_dynamic_floor")),
"cap": _format_percent(execution.get(f"{prefix}_dynamic_cap")),
"fixed_threshold": _format_percent(fixed_threshold),
}
if _present(dynamic_threshold):
return translator("blend_gate_volatility_threshold_detail_dynamic", **kwargs)
return translator("blend_gate_volatility_threshold_detail_dynamic_fallback", **kwargs)
return translator(
"blend_gate_volatility_threshold_detail_fixed",
threshold=_format_percent(fixed_threshold),
)


def _format_tqqq_risk_control_lines(
execution: Mapping[str, Any],
*,
translator: Callable[..., str],
) -> list[str]:
prefix = "dual_drive_volatility_delever"
if not _is_truthy(execution.get(f"{prefix}_applied")):
return []
redirect_symbol = str(execution.get(f"{prefix}_redirect_symbol") or "QQQ").strip().upper()
window = str(execution.get(f"{prefix}_window") or "5").strip()
threshold = _effective_volatility_delever_threshold(execution, prefix=prefix)
threshold_detail = _format_volatility_delever_threshold_detail(
execution,
prefix=prefix,
translator=translator,
)
if str(execution.get(f"{prefix}_trigger_reason") or "").strip() == "hysteresis_hold":
return [
translator(
"risk_control_tqqq_volatility_delever_hysteresis_dynamic",
window=window,
volatility=_format_percent(execution.get(f"{prefix}_metric")),
exit_threshold=_format_percent(execution.get(f"{prefix}_exit_threshold")),
threshold=_format_percent(threshold),
threshold_detail=threshold_detail,
source_symbol="TQQQ",
redirect_symbol=redirect_symbol or "QQQ",
)
]
return [
translator(
"risk_control_tqqq_volatility_delever_applied_dynamic",
window=window,
volatility=_format_percent(execution.get(f"{prefix}_metric")),
threshold=_format_percent(threshold),
threshold_detail=threshold_detail,
source_symbol="TQQQ",
redirect_symbol=redirect_symbol or "QQQ",
)
]


def _format_signal_lines(execution: Mapping[str, Any], *, translator: Callable[..., str]) -> list[str]:
status = _first_summary(execution.get("status_display"), translator=translator)
signal = _first_summary(execution.get("signal_display"), translator=translator)
lines = []
if status and status != signal:
lines.append(translator("market_status_line", status=status))
lines.extend(_format_tqqq_risk_control_lines(execution, translator=translator))
if signal:
lines.append(translator("signal_line", signal=signal))
lines.extend(f" - {line}" for line in _detail_lines(execution.get("signal_display"), translator=translator))
Expand Down
4 changes: 2 additions & 2 deletions pyproject.toml
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Expand Up @@ -14,8 +14,8 @@ authors = [
]
dependencies = [
"firstrade==0.0.39",
"quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@3b6a0a9bedde72773e188041e0dc48516b38aadc",
"us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@8278048366f1cd83e29e0c921e4048e7e25ae227",
"quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@023641c88506c732624a7329e48b51b9dbbe3c2a",
"us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@7d35772d1125b534d0bcca557cb6dbaf28914719",
"google-cloud-storage",
"requests",
]
Expand Down
4 changes: 2 additions & 2 deletions requirements.txt
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@@ -1,8 +1,8 @@
flask
gunicorn
firstrade==0.0.39
quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@3b6a0a9bedde72773e188041e0dc48516b38aadc
us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@8278048366f1cd83e29e0c921e4048e7e25ae227
quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@023641c88506c732624a7329e48b51b9dbbe3c2a
us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@7d35772d1125b534d0bcca557cb6dbaf28914719
google-cloud-storage
requests
pytest
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