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fix: preserve direct short reversal affordability #134

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Merged
luisleo526 merged 1 commit into from
Jul 23, 2026
Merged

fix: preserve direct short reversal affordability #134

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20 changes: 14 additions & 6 deletions include/pineforge/engine.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -648,19 +648,27 @@ class BacktestEngine {
// commission. TV applies a one-contract post-fill affordability trim when
// this exact reversal has a positive but sub-lot restore amount.
bool opening_affordability_default_long_reversal_ = false;
// A close-then-open SHORT whose omitted 100%-of-equity MARKET order was
// placed while LONG after a full strategy.close in the same Pine
// evaluation, and therefore reaches the fill from FLAT with zero
// deferred-flip carry. The one-shot bit queues the fill-price affordability
// pass and then one ordinary adverse-price pass on that same bar, even when
// the opening check itself is a no-op.
// An eligible omitted 100%-of-equity MARKET short opening. This covers
// both the close-then-open shape that reaches the fill from FLAT and the
// direct LONG-to-SHORT auto-reversal shape. The one-shot bit queues the
// fill-price affordability pass and then one ordinary adverse-price pass
// on that same bar, even when the opening check itself is a no-op.
bool close_then_short_opening_requires_adverse_retry_ = false;
Comment on lines +652 to 656
// Position-lifecycle provenance for a commissioned, omitted-qty,
// percent-of-equity=100 MARKET short that fills from flat at 100% short
// margin. Unlike the one-shot close-then-short opening event, this remains
// live across partial margin trims and clears when the position lifecycle
// ends or a later add changes its shape.
bool commissioned_all_in_market_short_lifecycle_ = false;
// Position-lifecycle provenance for an omitted-qty,
// percent-of-equity=100 MARKET short opened by a direct LONG-to-SHORT
// auto-reversal at 100% short margin. It carries no commission or
// flat-admission requirement. Broker margin-call reductions preserve the
// lifecycle; a script-driven reduction, add, full close, or fresh position
// clears it. At a later finite-price floor-zero margin call, this lifecycle
// selects the one-contract fallback only when the configured full-residual
// interpretation is off.
bool default_market_direct_short_reversal_lifecycle_ = false;
double opening_affordability_raw_fill_base_ =
std::numeric_limits<double>::quiet_NaN();
int64_t position_entry_time_ = 0;
Expand Down
58 changes: 53 additions & 5 deletions src/engine_fills.cpp
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Expand Up @@ -931,7 +931,8 @@ void BacktestEngine::process_margin_call(const Bar& bar) {
if ((fee_created_floor_zero_candidate
|| opening_event_default_long_reversal
|| (opening_event_default_short_reversal
&& commissioned_all_in_market_short_lifecycle_))
&& (commissioned_all_in_market_short_lifecycle_
|| default_market_direct_short_reversal_lifecycle_)))
&& qty_step_ > 0.0
&& qty_step_ <= 1.0
&& raw_q_min > kQtyEpsilon
Expand Down Expand Up @@ -968,7 +969,10 @@ void BacktestEngine::process_margin_call(const Bar& bar) {
return;
}
bool used_one_contract_fallback = false;
if (commissioned_all_in_market_short_lifecycle_
const bool one_contract_short_lifecycle =
commissioned_all_in_market_short_lifecycle_
|| default_market_direct_short_reversal_lifecycle_;
if (one_contract_short_lifecycle
&& !margin_zero_cover_full_liquidation_
&& position_side_ == PositionSide::SHORT
&& qty_step_ <= 1.0
Expand Down Expand Up @@ -3344,6 +3348,43 @@ void BacktestEngine::apply_filled_order_to_state(
default_market_short_shape_after_fill
&& order.created_position_side == PositionSide::FLAT
&& !order.created_after_position_close_in_bar;
// A direct, default-sized strategy.entry auto-reversal has the same
// broker opening checkpoints as the already-pinned close-then-short
// shape. Re-prove the generic order/runtime topology at the fill.
const bool default_market_direct_short_reversal_after_fill =
successful_fresh_open
&& position_side_before_fill == PositionSide::LONG
&& position_side_ == PositionSide::SHORT
&& order.type == OrderType::MARKET
&& !order.is_long
&& std::isnan(order.qty)
&& order.created_position_side == PositionSide::LONG
&& !order.created_after_position_close_in_bar
&& order.tv_carry_qty > kQtyEpsilon
&& default_qty_type_ == QtyType::PERCENT_OF_EQUITY
&& std::abs(default_qty_value_ - 100.0) < 1e-12
&& std::isfinite(margin_short_)
&& std::abs(margin_short_ / 100.0 - 1.0) < 1e-12
&& std::isfinite(order.frozen_default_qty)
&& order.frozen_default_qty > kQtyEpsilon
&& std::isfinite(order.sizing_equity)
&& order.sizing_equity > 0.0
&& std::isfinite(order.sizing_price)
&& order.sizing_price > 0.0
&& std::isfinite(order.sizing_mark)
&& order.sizing_mark > 0.0
&& std::isfinite(order.sizing_fx)
&& order.sizing_fx > 0.0
&& slippage_ == 0
&& !process_orders_on_close_
&& !calc_on_order_fills_
&& !bar_magnifier_enabled_
&& !stream_warmup_mode_
&& stream_phase_ == StreamPhase::IDLE
&& !order.created_during_coof_recalc
&& order.created_bar < bar_index_
&& order.oca_name.empty()
&& order.oca_type == 0;
const bool default_market_long_close_then_open_after_fill =
successful_fresh_open
&& position_side_before_fill == PositionSide::FLAT
Expand Down Expand Up @@ -3388,11 +3429,14 @@ void BacktestEngine::apply_filled_order_to_state(
commissioned_all_in_market_short_lifecycle_ =
default_market_short_close_then_open_after_fill
|| default_market_flat_short_after_fill;
default_market_direct_short_reversal_lifecycle_ =
default_market_direct_short_reversal_after_fill;
} else if (accepted_additional_entry) {
// A later add changes the exact position lifecycle whose TV
// zero-cover behavior is pinned by the source tape. Fail closed
// rather than lending the original provenance to the new shape.
commissioned_all_in_market_short_lifecycle_ = false;
default_market_direct_short_reversal_lifecycle_ = false;
}
const bool positive_raw_base =
std::isfinite(fill_price) && fill_price > 0.0;
Expand All @@ -3401,7 +3445,8 @@ void BacktestEngine::apply_filled_order_to_state(
&& (successful_fresh_open || accepted_additional_entry);
const bool scoped_short_opening_fill =
(explicit_market_short_full_margin_after_fill
|| default_market_short_close_then_open_after_fill)
|| default_market_short_close_then_open_after_fill
|| default_market_direct_short_reversal_after_fill)
&& positive_raw_base;
if (successful_short_open_or_add && !scoped_short_opening_fill) {
opening_affordability_pending_ = false;
Expand All @@ -3414,7 +3459,8 @@ void BacktestEngine::apply_filled_order_to_state(
}
if ((long_full_margin_after_fill
|| explicit_market_short_full_margin_after_fill
|| default_market_short_close_then_open_after_fill)
|| default_market_short_close_then_open_after_fill
|| default_market_direct_short_reversal_after_fill)
&& positive_raw_base
&& (successful_fresh_open || accepted_additional_entry)) {
// The only exemption requires every item of provenance to agree:
Expand Down Expand Up @@ -3482,7 +3528,8 @@ void BacktestEngine::apply_filled_order_to_state(
&& std::isfinite(new_opening_commission)
&& new_opening_commission == 0.0;
close_then_short_opening_requires_adverse_retry_ =
default_market_short_close_then_open_after_fill;
default_market_short_close_then_open_after_fill
|| default_market_direct_short_reversal_after_fill;
opening_affordability_raw_fill_base_ = fill_price;
}
}
Expand Down Expand Up @@ -4093,6 +4140,7 @@ void BacktestEngine::apply_raw_order_fill(PendingOrder& order, double fill_price
opening_affordability_default_long_reversal_ = false;
close_then_short_opening_requires_adverse_retry_ = false;
commissioned_all_in_market_short_lifecycle_ = false;
default_market_direct_short_reversal_lifecycle_ = false;
opening_affordability_raw_fill_base_ =
std::numeric_limits<double>::quiet_NaN();
position_entry_time_ = current_bar_.timestamp;
Expand Down
3 changes: 3 additions & 0 deletions src/engine_orders.cpp
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Expand Up @@ -594,6 +594,7 @@ void BacktestEngine::reset_position_state_to_flat() {
opening_affordability_default_long_reversal_ = false;
close_then_short_opening_requires_adverse_retry_ = false;
commissioned_all_in_market_short_lifecycle_ = false;
default_market_direct_short_reversal_lifecycle_ = false;
opening_affordability_raw_fill_base_ =
std::numeric_limits<double>::quiet_NaN();
position_entry_time_ = 0;
Expand Down Expand Up @@ -636,6 +637,7 @@ void BacktestEngine::settle_position_after_partial_exit(
&& position_side_ == PositionSide::SHORT
&& position_qty_ + kQtyEpsilon < qty_before) {
commissioned_all_in_market_short_lifecycle_ = false;
default_market_direct_short_reversal_lifecycle_ = false;
}
}
}
Expand All @@ -660,6 +662,7 @@ void BacktestEngine::open_fresh_position(PositionSide requested, double fill_pri
opening_affordability_default_long_reversal_ = false;
close_then_short_opening_requires_adverse_retry_ = false;
commissioned_all_in_market_short_lifecycle_ = false;
default_market_direct_short_reversal_lifecycle_ = false;
opening_affordability_raw_fill_base_ =
std::numeric_limits<double>::quiet_NaN();
position_entry_time_ = current_bar_.timestamp;
Expand Down
1 change: 1 addition & 0 deletions tests/CMakeLists.txt
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Expand Up @@ -74,6 +74,7 @@ set(TEST_SOURCES
test_fills_edge
test_default_qty_signal_freeze
test_margin_admission_gate
test_direct_short_reversal_affordability
test_short_reversal_emission
test_margin_stop_admission
test_stop_entry_placement_open_qty
Expand Down
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