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Merged
Pigbibi merged 1 commit into from
Jun 12, 2026
Merged

[codex] Sync TQQQ risk diagnostics #116

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66 changes: 66 additions & 0 deletions application/signal_snapshot.py
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Original file line number Diff line number Diff line change
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
66 changes: 66 additions & 0 deletions decision_mapper.py
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Expand Up @@ -251,6 +251,72 @@ def map_strategy_decision_to_plan(
"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",
Comment on lines +257 to +260

@chatgpt-codex-connector chatgpt-codex-connector Bot Jun 12, 2026

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P2 Badge Preserve new fields from execution annotations

When a strategy supplies these new risk-control audit values under diagnostics["execution_annotations"] (the same normalized path this mapper already supports for signal_display, thresholds, benchmark values, etc.), they are dropped because the new pass-through list is only copied from top-level diagnostics in the loop below. In that scenario the TQQQ notification and signal snapshot never see dual_drive_volatility_delever_applied or its thresholds, so the risk-control line added in this commit is silently omitted; check execution_annotations as a fallback for these fields or include them in the execution-field mapping.

Useful? React with 👍 / 👎.

"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",
):
if field_name in diagnostics:
execution[field_name] = diagnostics[field_name]
Expand Down
122 changes: 122 additions & 0 deletions notifications/renderers.py
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Expand Up @@ -185,6 +185,112 @@ def _build_timing_audit_lines(execution, *, translator) -> list[str]:
return [f"{label}: {value}"]


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


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


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


def _effective_volatility_delever_threshold(execution, *, prefix: str):
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, *, prefix: str, translator) -> 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 _build_tqqq_risk_control_lines(execution, *, translator) -> 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_snapshot_line(snapshot, *, translator) -> str:
if not isinstance(snapshot, Mapping):
return ""
Expand Down Expand Up @@ -261,6 +367,7 @@ def _build_compact_trade_message(
signal_display,
timing_lines,
signal_snapshot_line,
risk_control_lines,
trade_logs,
) -> str:
lines = [
Expand All @@ -284,6 +391,7 @@ def _build_compact_trade_message(
status_summary = _first_detail_line(status_display)
if status_summary:
lines.append(_format_market_status_line(status_summary, translator=translator))
lines.extend(risk_control_lines)
signal_summary = _first_detail_line(signal_display)
if signal_summary:
lines.append(f"🎯 {translator('signal_label')}: {signal_summary}")
Expand All @@ -307,6 +415,7 @@ def _build_compact_heartbeat_message(
signal_display,
timing_lines,
signal_snapshot_line,
risk_control_lines,
) -> str:
lines = [
translator("heartbeat_header"),
Expand All @@ -330,6 +439,7 @@ def _build_compact_heartbeat_message(
status_summary = _first_detail_line(status_display)
if status_summary:
lines.append(_format_market_status_line(status_summary, translator=translator))
lines.extend(risk_control_lines)
signal_summary = _first_detail_line(signal_display)
if signal_summary:
lines.append(f"🎯 {translator('signal_label')}: {signal_summary}")
Expand Down Expand Up @@ -357,12 +467,16 @@ def render_trade_notification(
execution.get("signal_snapshot"),
translator=translator,
)
risk_control_lines = _build_tqqq_risk_control_lines(execution, translator=translator)
separator = str(execution["separator"])
status_line = (
"\n".join(_split_labeled_text(_format_market_status_line(status_display, translator=translator))) + "\n"
if status_display
else ""
)
risk_control_block = "\n".join(risk_control_lines)
if risk_control_block:
risk_control_block += "\n"
dashboard_block = f"{dashboard_text}\n{separator}\n" if dashboard_text else ""
trade_signal_lines = _format_label_value_lines(f"🎯 {translator('signal_label')}", signal_display)
trade_signal_block = "\n".join(trade_signal_lines)
Expand All @@ -376,6 +490,7 @@ def render_trade_notification(
f"{chr(10).join(timing_lines) + chr(10) if timing_lines else ''}"
f"{signal_snapshot_line + chr(10) if signal_snapshot_line else ''}"
f"{status_line}"
f"{risk_control_block}"
f"{trade_signal_block}\n\n"
f"{dashboard_block}"
+ "\n".join(trade_logs)
Expand All @@ -392,6 +507,7 @@ def render_trade_notification(
signal_display=signal_display,
timing_lines=timing_lines,
signal_snapshot_line=signal_snapshot_line,
risk_control_lines=risk_control_lines,
trade_logs=trade_logs,
)
return RenderedNotification(detailed_text=detailed_text, compact_text=compact_text)
Expand All @@ -416,6 +532,7 @@ def render_heartbeat_notification(
execution.get("signal_snapshot"),
translator=translator,
)
risk_control_lines = _build_tqqq_risk_control_lines(execution, translator=translator)
separator = str(execution["separator"])
total_equity = float(portfolio["total_equity"])
portfolio_rows = tuple(portfolio["portfolio_rows"])
Expand All @@ -425,6 +542,9 @@ def render_heartbeat_notification(
if status_display
else ""
)
risk_control_block = "\n".join(risk_control_lines)
if risk_control_block:
risk_control_block += "\n"
dashboard_block = f"{dashboard_text}\n{separator}\n" if dashboard_text else ""
benchmark_lines = _format_benchmark_lines(execution, translator=translator)
benchmark_block = "\n".join(benchmark_lines) + "\n" if benchmark_lines else ""
Expand All @@ -449,6 +569,7 @@ def render_heartbeat_notification(
f"{chr(10).join(timing_lines) + chr(10) if timing_lines else ''}"
f"{signal_snapshot_line + chr(10) if signal_snapshot_line else ''}"
f"{status_line}"
f"{risk_control_block}"
f"{heartbeat_signal_block}\n"
f"{benchmark_block}"
f"{separator}\n"
Expand All @@ -467,5 +588,6 @@ def render_heartbeat_notification(
signal_display=signal_display,
timing_lines=timing_lines,
signal_snapshot_line=signal_snapshot_line,
risk_control_lines=risk_control_lines,
)
return RenderedNotification(detailed_text=detailed_text, compact_text=compact_text)
8 changes: 8 additions & 0 deletions notifications/telegram.py
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Expand Up @@ -55,6 +55,10 @@
"signal_blend_gate_defensive": "{trend_symbol} 跌破门槛线，防守持有 SOXX {soxx_ratio}",
"market_status_blend_gate_overlay_capped": "🧯 风控降档（{asset}）",
"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}",
"blend_gate_reason_rsi_cap": "RSI 超阈值",
"blend_gate_reason_bollinger_cap": "突破布林上轨",
"blend_gate_reason_volatility_delever": "{symbol} {window} 日年化波动率 {volatility} 高于 {threshold}，SOXL 转向 {redirect_symbol}",
Expand Down Expand Up @@ -164,6 +168,10 @@
"signal_blend_gate_defensive": "{trend_symbol} below gated entry, hold defensive SOXX {soxx_ratio}",
"market_status_blend_gate_overlay_capped": "🧯 RISK-CAP ({asset})",
"signal_blend_gate_overlay_capped": "{trend_symbol} stays above the {window}d gate, but risk cap ({reasons}) cuts exposure to {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}",
"blend_gate_reason_rsi_cap": "RSI over threshold",
"blend_gate_reason_bollinger_cap": "price above upper band",
"blend_gate_reason_volatility_delever": "{symbol} {window}d annualized volatility {volatility} is above {threshold}; redirect SOXL to {redirect_symbol}",
Expand Down
4 changes: 2 additions & 2 deletions requirements.txt
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
flask
gunicorn
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
pandas
requests
pandas_market_calendars
Expand Down
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