Review market data backend

[eluiken]

@claude

Review the market data backend in full
Diagnose critical issues only
Create a report with how to remedy these critical issues in the planning folder in a document called REVIEW2.md

[claude]

Claude finished @eluiken's task in 4m 51s —— View job • claude/issue-3-20260515-1520 • Create PR ➔

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Market Data Backend Review

Tasks:

• Gather context and understand request
• Read market data backend code in full
• Identify critical issues
• Create planning/REVIEW2.md with findings and remediation steps
• Commit and push report

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Findings — 3 Critical Issues

Issue 1: Simulator permanently killed when Cholesky decomposition fails
simulator.py — add_ticker() calls _add_ticker_internal() (which mutates _tickers/_prices) and then _rebuild_cholesky(). If Cholesky raises LinAlgError, the simulator is left with a mismatch: _tickers is length N+1 but _cholesky is still shape (N×N). Every subsequent step() call throws a matrix dimension error, which _run_loop's except Exception silently swallows. All price updates stop permanently until restart — no visible error to the user.

Issue 2: SSE price_cache captured at module import, not at request time
stream.py — The create_stream_router(price_cache) factory registers the route on a module-level router singleton and closes over the price_cache argument. In main.py, this is called once at import time with state.price_cache (the initial empty object). Any later reassignment of state.price_cache (as test fixtures do) is invisible to the SSE handler — it still streams from the original empty cache. Calling create_stream_router a second time also registers a duplicate route on the same shared router.

Issue 3: open_price resets on every SSE reconnect
stream.py — open_prices is a dict local to each connection generator. EventSource auto-reconnects on any network interruption (the retry: 1000 preamble guarantees this). On each reconnect, every ticker's open_price resets to current price and the frontend shows 0% session change across the whole watchlist. The spec mandates open_price should be the "price at backend startup" — a backend-persisted value, not a per-connection snapshot.

Full remediation steps (with code) are in planning/REVIEW2.md.