feat(orders): quantize margin-call liquidation lots to the symbol qty-step#48
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TradingView floors each margin-call liquidation to the instrument's quantity
step (verified: every TV margin-call lot in the probe data is an exact multiple
of 0.0004 for ETHUSDT.P). The engine previously liquidated unquantized lots, so
its nibbles were slightly mis-sized and the per-call exit prices drifted from TV.
- syminfo gains qty_step (default 0.0 = disabled -> corpus no-op). Plumbed via the
existing strategy_set_syminfo_metadata channel ("qty_step"), so NO new PF_API /
C-ABI export is added (C-ABI CI gate unaffected).
- process_margin_call(): when qty_step_ > 0, floor the liquidation quantity down
to the nearest qty_step multiple; if it floors to 0 while a call is required,
liquidate min(qty_step, residual) to guarantee progress; cap at the full position.
- scripts/run_strategy.py reads runtime_overrides.qty_step into the metadata channel.
Validated: corpus verify_corpus --all = 251 excellent / 1 anomaly, byte-identical
to HEAD with default qty_step=0 (proven: regenerated all 1628 corpus trade files,
0 lines differ). ctest 76/76 incl. a new quantization test (teeth: mutating the
guard -> 4 failures). With qty_step=0.0004 the margin-call lots become exact
0.0004 multiples and abhivish strict match 63.7->66.4%, pridarasx 79.9->80.8%
(price-exactness held), confirming alignment with TV's per-instrument lot rows.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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Refines the margin-call liquidation (PR #47) with TradingView's per-instrument lot quantization. TV floors each liquidation lot to the symbol's quantity step (verified: every TV margin-call lot for ETHUSDT.P is an exact 0.0004 multiple).
syminfo.qty_step(default 0.0 = disabled → corpus no-op), plumbed via the existingstrategy_set_syminfo_metadatachannel — no new C-ABI export (CI gate unaffected).process_margin_call()floors the liquidation qty to the step (progress-guaranteed, position-capped) whenqty_step_ > 0.run_strategy.pyreadsruntime_overrides.qty_step.Gates: corpus 251/1, byte-identical to HEAD with default (regenerated all 1628 corpus trade files → 0 lines differ); ctest 76/76 incl. a teeth-verified quantization test; C-ABI gate exit 0. With
qty_step=0.0004: lots become exact 0.0004 multiples; abhivish 63.7→66.4%, pridarasx 79.9→80.8% (price-exact held).🤖 Generated with Claude Code