Paper engine: replay fills in execution order per symbol, never into a short (#355 follow-up) — Claude review pending

blueprints/us-equities/adaptive-paper/native_adapter.py

@@ -714,6 +714,10 @@ async def reconcile_fills(self, cid, target=None):
                 average = prior["averages"].get(cum, (notional / cum).quantize(Decimal("0.000001")))
                 result = sink_observation({"client_order_id": cid, "id": prior["id"], "status": status,
                     "filled_qty": str(cum), "filled_avg_price": str(average), "updated_at_ns": stamp,
+                    # https://docs.alpaca.markets/docs/account-activities:
+                    # FILL transaction_time is the
+                    # execution time. Preserve its integer ns through the sink.
+                    "execution_time_ns": stamp,
                     "event": "fill" if status == "filled" else "partial_fill",
                     "execution_id": execution["trade_id"], "event_qty": str(execution["qty"]),
                     "event_price": str(execution["price"])})
@@ -892,6 +896,7 @@ async def _generate_fill_reports(self, command):
                         status = row["status"] if cum == filled else "partially_filled"
                         result = sink_observation(dict(row, status=status, filled_qty=str(cum),
                             filled_avg_price=str(average), updated_at_ns=execution["ts"],
+                            execution_time_ns=execution["ts"],  # FILL transaction_time, not startup order.updated_at
                             event="fill" if status == "filled" else "partial_fill",
                             execution_id=execution["trade_id"], event_qty=str(execution["qty"]),
                             event_price=str(execution["price"])))

blueprints/us-equities/adaptive-paper/source-hashes.json

@@ -21,21 +21,21 @@
   "blueprints/us-equities/adaptive-paper/mover_runner.py": "ff1baf36baf4dd319cd0ed549cc5258194536548a098892bd203f8ab61c13bcd",
   "blueprints/us-equities/adaptive-paper/mover_simulation.py": "8ac5955de1e814bb26fbfbca068a5719b9033b2bae0d8e50e78d7a78a546761e",
   "blueprints/us-equities/adaptive-paper/mover_strategy.py": "4730c5e535aa480030d6484669a9d8565ca25e4e1ea50ea12a45bd1892536cba",
-  "blueprints/us-equities/adaptive-paper/native_adapter.py": "fe544c95ea2ee066052e1009e2f75a90e00ac5aaa34304f0264a00e5bc313b75",
+  "blueprints/us-equities/adaptive-paper/native_adapter.py": "fbf530884c2ad3b9e0c2b1f989eda399531647cc1db3c56dc9bcac10174fea47",
   "blueprints/us-equities/adaptive-paper/native_strategy.py": "bc102eb6c4456cb651510fe59cf5f92decf3b70b31e0da1c833e7a27d6f1a226",
   "blueprints/us-equities/adaptive-paper/receipts/adaptive_policy_v1.golden.json": "5cb4b21c7d2159e496093c67b3b358810db4e225d9c5ee1c633258050973556e",
   "blueprints/us-equities/adaptive-paper/recovery.py": "5cf7dcea572efbda6979a2726eebf6d676f6bd62263900c7b6626da8b45c1215",
   "blueprints/us-equities/adaptive-paper/registry.json": "60da73b985e718bd1dece7a3350f34636bda0fb38e766a44ae71c5a8c532282a",
   "blueprints/us-equities/adaptive-paper/requirements.txt": "518afe4b77f901e87abd3a5d6faa126aa7e211db77eecec80cfe7ef42d82e07a",
   "blueprints/us-equities/adaptive-paper/runner.py": "27bc3fdc80472c3ee218d3723e506288ebc6eef536dafc8365b30474213a6ae4",
-  "blueprints/us-equities/adaptive-paper/safety.py": "dd4ef862d9f8658a786db7f5df0fb0918ed177f01bad88db0e5029d535127626",
+  "blueprints/us-equities/adaptive-paper/safety.py": "c2d44faa1e4d369b8882dec9782ef32174c404b723edd2419833146b24eb2357",
   "blueprints/us-equities/adaptive-paper/scheduled_trial.sh": "58a5b656875bda629443768cd0c69a4be28cbf90dfc9f5ae8782d7dcf3ac7d76",
   "blueprints/us-equities/adaptive-paper/selector.py": "28de8ebf66b6e7135979554f73692ede772167682007d8c6ba41da6fb6fb39b3",
   "blueprints/us-equities/adaptive-paper/sessions.py": "95f0affee512e88dd44f196fa72bb7471e00899356793bdbb12f15c4ed84e64d",
   "blueprints/us-equities/adaptive-paper/simulation.py": "0119e0efe3b498be3c415eee9c1a0be922c9b5b17e3b774aa7528668c4eb0b30",
   "blueprints/us-equities/adaptive-paper/strategies.py": "2d488a4fdd21ad323ab07cf7fb147b3623fd6e38951abcf2fc59cf8094a1383e",
   "blueprints/us-equities/adaptive-paper/strategies_v1.py": "1952be269694485e12e4d927f124adca0ee29667588d6ac6651caede454c92f7",
-  "blueprints/us-equities/adaptive-paper/transport.py": "76c8a83d327545b2dd88a0bed416d857066d5389debaeddfce4137cc8ed5e484",
+  "blueprints/us-equities/adaptive-paper/transport.py": "e3038bd5562fecc7cea52df47c4ff6b94ddae7e85ce545d6684e651b856b89d9",
   "tests/_credential_mutation_driver.py": "bfe35e69702016718452ed702aab20a0a33da5723e28a61de513b3c268849301",
   "tests/adaptive_paper_hermetic.py": "0f41601cd10abf10ccba4f17d9c35716bb766a5e9951a4390649d6c9387fc1da",
   "tests/test_adaptive_market_research.py": "772b4fd467d4405bd098a440c54de4bfd61f91bbb80693c052077b867f9e2fd6",
@@ -48,12 +48,12 @@
   "tests/test_adaptive_paper_metrics.py": "1d6eaf940021fbaba3ac687a3d3a2d9f6e5492e85a5a372621299d4363ec3ee5",
   "tests/test_adaptive_paper_mover.py": "0bb27aa6d5fb1883fb5e9b26179cf615c6ba589d2c46bb4898a1d7db50c1c0d3",
   "tests/test_adaptive_paper_mover_native.py": "15ad37b5901ffac27bffcc1bc3b91f3b04307781de0103f45634b2046c5a9542",
-  "tests/test_adaptive_paper_native.py": "0713d85e034cc337b07d8bb889f18b32179420d843c264158901e260045191d6",
+  "tests/test_adaptive_paper_native.py": "728458624788243abcaf653f6a20a5a6201cfa9ec3328e8d7eb3fd58fdfa94b0",
   "tests/test_adaptive_paper_recovery.py": "08e351ff903d6d008b802dc93a8dde07da8900df5cc0540f551ffa909cf4ce95",
   "tests/test_adaptive_paper_runner.py": "29c4c48a8103cadb7906719d7145a9b14192b7d35486bb9eaa934faad5eac0b7",
-  "tests/test_adaptive_paper_safety.py": "a9287c503faf44cc9d6a5d824fb8cf39c545ff499221bde25d276a4af1aceae0",
+  "tests/test_adaptive_paper_safety.py": "68449ba3b2d4164c3c2c45c4c08cf7c51b171fce43e1ce0a0cedf08f32149235",
   "tests/test_adaptive_paper_selector.py": "27b431ac7911372d050f25d32ac24a3df9d2cf3c5e7dafdebfe51db6cab55936",
   "tests/test_adaptive_paper_sessions.py": "1e8b33ec8b496807468067112f5b7f0a2a6d6ce897ac7412605678b94984fc6a",
   "tests/test_adaptive_paper_strategies.py": "f0814b36909f2fc6b4c4213b4142ffc13339740f0397c99ad9c7c81982e2033a",
-  "tests/test_adaptive_paper_transport.py": "6a9a17afa9aaee7ffab1625133655c9916e341a45f21e5a020ef3a027e9860ae"
+  "tests/test_adaptive_paper_transport.py": "5899a2498819d66db937e90e4a7fcec862f57fe8c551d8a5ca1f3dbc9e6e3a64"
 }

blueprints/us-equities/adaptive-paper/transport.py

@@ -43,7 +43,7 @@
 ACTIVITY_PAGE_SIZE = 100
 # trade_updates events that carry one execution's own qty, price and execution_id.
 EXECUTION_EVENTS = frozenset({"fill", "partial_fill"})
-EXECUTION_FIELDS = ("event", "execution_id", "event_qty", "event_price")
+EXECUTION_FIELDS = ("event", "execution_id", "event_qty", "event_price", "execution_time_ns")
 # The pre-submission boundary (blueprints/us-equities/order-contract). Loaded by
 # path at import, so a missing or broken contract fails transport import closed.
 ORDER_CONTRACT_PATH = Path(__file__).resolve().parent.parent / "order-contract" / "order_contract.py"
@@ -328,11 +328,13 @@ def timestamp_ns(value):
             raise TransportError("timestamp lacks timezone")
         return int(value.timestamp()) * 1_000_000_000 + value.microsecond * 1000
     if isinstance(value, str):
-        match = re.fullmatch(r"(.+?)(?:\.(\d{1,9}))?(Z|[+-]\d\d:\d\d)", value)
+        # RFC 3339 section 5.6 permits lowercase z and arbitrary fractional
+        # precision. Keep the first nine digits for integer nanoseconds.
+        match = re.fullmatch(r"(.+?)(?:\.(\d+))?([Zz]|[+-]\d\d:\d\d)", value)
         if not match:
             raise TransportError("invalid timestamp")
-        base = datetime.fromisoformat(match[1] + match[3].replace("Z", "+00:00"))
-        return int(base.timestamp()) * 1_000_000_000 + int((match[2] or "").ljust(9, "0"))
+        base = datetime.fromisoformat(match[1] + match[3].upper().replace("Z", "+00:00"))
+        return int(base.timestamp()) * 1_000_000_000 + int((match[2] or "")[:9].ljust(9, "0"))
     raise TransportError("unsupported timestamp")
 
 
@@ -1290,6 +1292,11 @@ async def _consume_events(self):
                                         ("event_qty", "qty"), ("event_price", "price")):
                         if payload.get(source) is not None:
                             order[key] = str(payload[source])
+                    # https://docs.alpaca.markets/docs/websocket-streaming:
+                    # fill/partial_fill timestamp is when the execution occurred;
+                    # nested order.updated_at is a separate order-state timestamp.
+                    if order.get("event") in EXECUTION_EVENTS and payload.get("timestamp") is not None:
+                        order["execution_time_ns"] = timestamp_ns(payload["timestamp"])
                     self._stream_seen.add(order["client_order_id"])
                     self._pending_stream.pop(order["client_order_id"], None)
                     order = await self._observe(order)

manifests/evidence.json

@@ -9773,8 +9773,8 @@
     },
     {
       "path": "blueprints/us-equities/adaptive-paper/native_adapter.py",
-      "sha256": "fe544c95ea2ee066052e1009e2f75a90e00ac5aaa34304f0264a00e5bc313b75",
-      "bytes": 53661
+      "sha256": "fbf530884c2ad3b9e0c2b1f989eda399531647cc1db3c56dc9bcac10174fea47",
+      "bytes": 54033
     },
     {
       "path": "blueprints/us-equities/adaptive-paper/native_strategy.py",
@@ -9813,8 +9813,8 @@
     },
     {
       "path": "blueprints/us-equities/adaptive-paper/safety.py",
-      "sha256": "dd4ef862d9f8658a786db7f5df0fb0918ed177f01bad88db0e5029d535127626",
-      "bytes": 75461
+      "sha256": "c2d44faa1e4d369b8882dec9782ef32174c404b723edd2419833146b24eb2357",
+      "bytes": 83006
     },
     {
       "path": "blueprints/us-equities/adaptive-paper/selector.py",
@@ -9833,7 +9833,7 @@
     },
     {
       "path": "blueprints/us-equities/adaptive-paper/source-hashes.json",
-      "sha256": "9f5e65c472a214a85dd5657260e9a7aaca3075bd5c0161a95a7ded2658759f2d",
+      "sha256": "f2832e37855426ff7e296cb085d60b640fb20375e2e1527a715ac734c5fdbf98",
       "bytes": 6969
     },
     {
@@ -9848,8 +9848,8 @@
     },
     {
       "path": "blueprints/us-equities/adaptive-paper/transport.py",
-      "sha256": "76c8a83d327545b2dd88a0bed416d857066d5389debaeddfce4137cc8ed5e484",
-      "bytes": 82686
+      "sha256": "e3038bd5562fecc7cea52df47c4ff6b94ddae7e85ce545d6684e651b856b89d9",
+      "bytes": 83300
     },
     {
       "path": "blueprints/us-equities/adaptive-paper/trials/20260923-interrupted/README.md",
@@ -37058,8 +37058,8 @@
     },
     {
       "path": "tests/test_adaptive_paper_native.py",
-      "sha256": "0713d85e034cc337b07d8bb889f18b32179420d843c264158901e260045191d6",
-      "bytes": 83385
+      "sha256": "728458624788243abcaf653f6a20a5a6201cfa9ec3328e8d7eb3fd58fdfa94b0",
+      "bytes": 85779
     },
     {
       "path": "tests/test_adaptive_paper_recovery.py",
@@ -37073,8 +37073,8 @@
     },
     {
       "path": "tests/test_adaptive_paper_safety.py",
-      "sha256": "a9287c503faf44cc9d6a5d824fb8cf39c545ff499221bde25d276a4af1aceae0",
-      "bytes": 75302
+      "sha256": "68449ba3b2d4164c3c2c45c4c08cf7c51b171fce43e1ce0a0cedf08f32149235",
+      "bytes": 94507
     },
     {
       "path": "tests/test_adaptive_paper_sessions.py",
@@ -37088,8 +37088,8 @@
     },
     {
       "path": "tests/test_adaptive_paper_transport.py",
-      "sha256": "6a9a17afa9aaee7ffab1625133655c9916e341a45f21e5a020ef3a027e9860ae",
-      "bytes": 94796
+      "sha256": "5899a2498819d66db937e90e4a7fcec862f57fe8c551d8a5ca1f3dbc9e6e3a64",
+      "bytes": 103152
     },
     {
       "path": "tests/test_adoption_bootstrap.py",

tests/test_adaptive_paper_native.py

@@ -300,6 +300,13 @@ async def exercise():
             self.assertEqual(reopened.positions()["SPY"].cost_basis_usd, Decimal("300.02"))
             self.assertEqual(reopened.accounting().cash_delta_usd, Decimal("-300.02"))
             self.assertEqual(reopened.unresolved(), [])
+            # https://docs.alpaca.markets/docs/account-activities: FILL's
+            # transaction_time is the execution time. Adjacent nanoseconds
+            # must survive the recovery hook, Controller and SQLite reopen.
+            executions = reopened.db.execute("SELECT * FROM executions ORDER BY cum_qty").fetchall()
+            self.assertIn("execution_time_ns", executions[0].keys())
+            self.assertEqual([r["execution_time_ns"] for r in executions],
+                             [r["transaction_time_ns"] for r in port.activities])
 
     def test_real_native_roundtrip_partial_and_duplicate_events(self):
         port, strategy, session = self.run_node("fills")
@@ -1190,6 +1197,24 @@ def test_startup_reports_survive_reopen_without_later_observation(self):
         self.assertEqual(self.executions(), self.expected_executions())
         self.assert_exact_accounting()
 
+    def test_startup_execution_times_are_durable_before_any_later_observation(self):
+        # Startup has a separate _adopted_executions -> sink_observation loop.
+        # Alpaca FILL transaction_time (account-activities) and rc5 FillReport
+        # must describe the same execution, including the last nanosecond.
+        expected = {}
+        for activities in self.activities.values():
+            for index, activity in enumerate(activities):
+                stamp = TRANSPORT.timestamp_ns("2026-09-24T15:00:21.12345678%dZ" % index)
+                activity["transaction_time_ns"] = stamp
+                expected[activity["trade_id"]] = stamp
+        reports = self.reports()
+        self.reopen()
+        rows = self.ledger.db.execute("SELECT * FROM executions WHERE client_id != 'held-buy'").fetchall()
+        self.assertEqual(len(rows), 4)
+        self.assertIn("execution_time_ns", rows[0].keys())
+        self.assertEqual({r["execution_id"]: r["execution_time_ns"] for r in rows}, expected)
+        self.assertEqual({str(r.trade_id): r.ts_event for r in reports}, expected)
+
     def test_restart_does_not_double_book_previously_recorded_startup_fills(self):
         self.deliver(self.deliveries)
         self.assert_exact_accounting()
@@ -1203,6 +1228,20 @@ def test_restart_does_not_double_book_previously_recorded_startup_fills(self):
         self.assertEqual(self.durable_state(), before)
         self.assertEqual(self.executions(), self.expected_executions())
 
+    def test_startup_redelivery_keeps_untimed_executions_in_journal_positions(self):
+        # probe_startup_native.py: an activity can have a transaction time
+        # even though its already-booked stream/legacy execution was untimed.
+        self.deliver(self.deliveries)
+        before = tuple(self.ledger.db.iterdump())
+        reports = self.reports()
+        self.assertEqual(len(reports), 4)
+        self.assertTrue(all(report.ts_event > 0 for report in reports))
+        self.reopen()
+        times = [row[0] for row in self.ledger.db.execute(
+            "SELECT execution_time_ns FROM executions WHERE client_id != 'held-buy'")]
+        self.assertEqual(times, [None] * 4)
+        self.assertEqual(tuple(self.ledger.db.iterdump()), before)
+
     def test_startup_report_quantities_and_prices_match_durable_executions(self):
         reports = self.reports()
         reported = {(str(r.client_order_id), str(r.trade_id)):