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Fix deferred close-all and frozen reversal lifecycle #102

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luisleo526 merged 2 commits into from
Jul 15, 2026
Merged

Fix deferred close-all and frozen reversal lifecycle #102

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e46e5e2
fix: preserve same-id stops across deferred close all
luisleo526 Jul 15, 2026
7d84fb3
fix: bind frozen reversals to position cycle
luisleo526 Jul 15, 2026
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56 changes: 47 additions & 9 deletions include/pineforge/engine.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -182,6 +182,10 @@ struct PendingOrder {
int oca_type; // 0=none, 1=cancel, 2=reduce
int created_bar; // bar_index when order was created
int64_t created_seq = 0;
// Fresh identity for this exact pending-order object. Unlike created_seq,
// which intentionally survives same-id replacement to keep broker ordering
// stable, incarnation is never copied or reused by a replacement.
uint64_t incarnation = 0;
// Entry stop-limit activation is durable broker state. Once the stop leg
// fires, later bars—and later COOF scheduler segments on the same bar—
// evaluate only the live limit leg until the order fills or is replaced.
Expand Down Expand Up @@ -235,6 +239,11 @@ struct PendingOrder {
// (seg_i == 2) or off-path (seg_i < 0) rolls to the next bar.
bool coof_cascade_inflight_fires = false;
PositionSide created_position_side = PositionSide::FLAT;
// Monotonic identity of the live position instance at placement. Side
// alone is insufficient: a resting order can survive LONG -> SHORT ->
// LONG and must not be mistaken for an order born in the later LONG
// cycle. Zero means the order was created while broker-flat.
int64_t created_position_cycle_seq = 0;
// True when a successful strategy.close/close_all call earlier in this
// same on_bar already targeted live quantity. This remains distinct from
// created_position_side: an immediate full close makes the engine truly
Expand All @@ -254,6 +263,15 @@ struct PendingOrder {
// gate ran. See classify_order_eligibility / compact_filled_pending_orders
// and test_close_all_coqueued_entry.cpp.
bool over_pyramiding_cap_at_placement = false;
// Call-bar provenance for the one deferred close_all whose post-fill
// cleanup may preserve this order. Set only on a PRIOR-bar, pure-STOP
// strategy.entry that was under the pyramiding cap and reused the id of a
// physically-live same-side pyramid lot when close_all was called. The
// cleanup requires both this value AND the paired incarnation below to
// equal the ACTUAL order that flattened, so a same-call-bar earlier RAW or
// close(id) fill cannot impersonate close_all. -1/0 means no provenance.
int same_id_stop_deferred_close_all_bar = -1;
uint64_t same_id_stop_deferred_close_all_incarnation = 0;
// KI-65 dual same-bar opposite entry (probe pf-probe-ki65-dual-entry-
// precedence): true when this priced (stop/limit) ENTRY was placed from
// FLAT and an EARLIER same-on_bar OPPOSITE-direction MARKET entry is
Expand Down Expand Up @@ -319,6 +337,13 @@ struct PendingOrder {
// fires the chain resets to qty=1 (matching TV's behaviour at
// probe 52 trade 113). Preserving the largest observed carry
// across re-placements would over-extend chains.
//
// The same placement snapshot also pins the equality-only M2 rule for a
// priced explicit-FIXED same-cycle reversal: frozen broker transaction =
// this held qty + the order's own quantized qty. If later same-direction
// adds grow the live opposite position to exactly that transaction, the
// fill closes to flat and opens no new leg. Other size relations retain
// legacy reversal semantics; see apply_entry_order_fill.
double tv_carry_qty = 0.0;
// Quantity frozen at PLACEMENT (signal) time for a DEFAULT-sized (qty=na)
// market order whose default sizing is price-dependent (percent_of_equity
Expand Down Expand Up @@ -524,6 +549,11 @@ class BacktestEngine {
double position_qty_ = 0.0;
int position_entry_count_ = 0; // number of entries in current direction (for pyramiding)
int position_open_bar_ = -1; // bar_index_ when position was opened (for exit delay)
// Exact position-instance provenance for pending orders whose semantics
// depend on the position cycle in which they were placed. A fresh open or
// reversal gets a new nonzero id; same-direction pyramid adds retain it.
int64_t position_cycle_seq_ = 0;
int64_t next_position_cycle_seq_ = 1;
std::vector<PyramidEntry> pyramid_entries_; // individual entries for trade reporting
// Per-entry-id UNCLOSED quantity ledger, used ONLY by strategy.close(id)
// under the default FIFO close-entries rule to decide how much to close.
Expand Down Expand Up @@ -789,6 +819,7 @@ class BacktestEngine {
bool historical_security_lookahead_projection_ = false;
bool historical_security_lookahead_projection_active_ = false;
int64_t next_order_seq_ = 1;
uint64_t next_order_incarnation_ = 1;
// TV: at most one priced ENTRY "open" event per bar; persists across
// multiple process_pending_orders calls (bar magnifier) and dual-pass
// opposing-stop resolution (see engine_fills.cpp).
Expand Down Expand Up @@ -989,6 +1020,7 @@ class BacktestEngine {
CoofFillResult process_next_pending_order(const Bar& bar,
bool allow_market_orders,
int& exit_closed_from_bar,
uint64_t& exit_closed_from_incarnation,
bool& exit_closed_was_long);

// TradingView forced-liquidation (margin call). Finite-price liquidation
Expand Down Expand Up @@ -2015,6 +2047,7 @@ class BacktestEngine {
void invalidate_pending_flat_market_pair(int64_t created_seq);
void compact_filled_pending_orders(const std::vector<size_t>& filled_indices,
int exit_closed_from_bar,
uint64_t exit_closed_from_incarnation,
bool exit_closed_was_long);
// Apply a fill to engine state: dispatches by order.type to the
// per-type apply_*_order_fill helpers below, plus runs the risk
Expand All @@ -2027,6 +2060,7 @@ class BacktestEngine {
const Bar& bar,
double& trail_best_path_state,
int& exit_closed_from_bar,
uint64_t& exit_closed_from_incarnation,
bool& exit_closed_was_long,
std::vector<size_t>& filled_indices);
// design-declined-reversal-close-leg: called at the KI-54 reversal-decline
Expand All @@ -2047,6 +2081,7 @@ class BacktestEngine {
double& trail_best_path_state);
void apply_exit_order_fill(PendingOrder& order, double fill_price,
int& exit_closed_from_bar,
uint64_t& exit_closed_from_incarnation,
bool& exit_closed_was_long);
// Freeze the reserved qty of LAYERED strategy.exit legs (a qty_percent<100
// partial + a sibling default/100% leg) that were armed while the position
Expand All @@ -2061,6 +2096,7 @@ class BacktestEngine {
void apply_raw_order_fill(PendingOrder& order, double fill_price,
double& trail_best_path_state,
int& exit_closed_from_bar,
uint64_t& exit_closed_from_incarnation,
bool& exit_closed_was_long);
void materialize_relative_exit_prices_for_live_position();

Expand All @@ -2075,7 +2111,8 @@ class BacktestEngine {
PendingOrder& order, int opposing_pass,
internal::DualEntryStopPathWinner dual_entry_path,
const std::unordered_set<std::string>& pass0_opposing_skip_ids,
int exit_closed_from_bar, bool exit_closed_was_long, const Bar& bar);
int exit_closed_from_bar, uint64_t exit_closed_from_incarnation,
bool exit_closed_was_long, const Bar& bar);
struct FillEvaluation {
enum class Kind { Fill, NoFill, DeferredToOpposingPass };
Kind kind;
Expand Down Expand Up @@ -2114,14 +2151,15 @@ class BacktestEngine {
bool closes_full_position,
bool closes_fifo_qty,
bool closes_any_qty);
void queue_deferred_close_order(const std::string& id,
const std::string& comment,
double qty_to_close,
double matching_qty,
bool closes_full_position,
bool closes_any_qty,
double consumed_ledger_qty =
std::numeric_limits<double>::quiet_NaN());
uint64_t queue_deferred_close_order(
const std::string& id,
const std::string& comment,
double qty_to_close,
double matching_qty,
bool closes_full_position,
bool closes_any_qty,
double consumed_ledger_qty =
std::numeric_limits<double>::quiet_NaN());
void clear_existing_exit_order(const std::string& id,
const std::string& from_entry,
bool has_trail_request,
Expand Down
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