feat: enforce profit-only spot exits

.env.example

@@ -93,9 +93,14 @@ TIME_SERIES_REQUIRE_FRESH_MODEL=true
 TIME_SERIES_MODEL_MAX_AGE_HOURS=48
 MARKET_TICKER_MAX_AGE_SECONDS=45
 STOP_LOSS_PERCENT=0.04
+STOP_LOSS_EXIT_ENABLED=false
 TAKE_PROFIT_PERCENT=0.035
 TRAILING_STOP_PERCENT=0.015
 MIN_HOLD_SECONDS=180
+# Ordinary RSI/EMA/model/exposure exits are only executed when the estimated
+# result after entry fee, exit fee, spread and slippage clears this net margin.
+PROFIT_ONLY_EXIT_ENABLED=true
+MIN_EXIT_NET_PERCENT=0.31
 ENTRY_COOLDOWN_SECONDS=180
 MAX_DAILY_DRAWDOWN_USDT=6
 MIN_CASH_RESERVE_USDT=5
@@ -122,6 +127,20 @@ STORAGE_PRUNE_INTERVAL_SECONDS=3600
 
 # Windows trainer keeps this final tail untouched by training and early stopping.
 TORCH_RETRAIN_HOLDOUT_WINDOW=1000
+TORCH_ORDERBOOK_DB=runtime/orderbook_observations.sqlite3
+TORCH_ORDERBOOK_MIN_SAMPLES_PER_BUCKET=20
+TORCH_ORDERBOOK_MIN_COVERED_BUCKETS=240
+TORCH_ORDERBOOK_MIN_SYMBOLS=2
+TORCH_ORDERBOOK_AUTO_CHECK_SECONDS=3600
+
+# Forward-only gate for an offline-approved shadow model. Promotion remains an
+# explicit authenticated API action after every check has passed.
+SHADOW_GATE_MIN_SETTLED=300
+SHADOW_GATE_MIN_ELIGIBLE=30
+SHADOW_GATE_MIN_SYMBOLS=2
+SHADOW_GATE_MIN_PROFIT_FACTOR=1.10
+SHADOW_GATE_MIN_DIRECTION_ACCURACY=0.52
+SHADOW_GATE_MAX_BRIER=0.25
 
 DATABASE_PATH=runtime/tradebot.sqlite3
 LOG_PATH=runtime/tradebot.log

README.md

@@ -203,9 +203,12 @@ TIME_SERIES_REQUIRE_FRESH_MODEL=true
 TIME_SERIES_MODEL_MAX_AGE_HOURS=48
 MARKET_TICKER_MAX_AGE_SECONDS=45
 STOP_LOSS_PERCENT=0.04
+STOP_LOSS_EXIT_ENABLED=false
 TAKE_PROFIT_PERCENT=0.035
 TRAILING_STOP_PERCENT=0.015
 MIN_HOLD_SECONDS=180
+PROFIT_ONLY_EXIT_ENABLED=true
+MIN_EXIT_NET_PERCENT=0.31
 ENTRY_COOLDOWN_SECONDS=180
 MAX_DAILY_DRAWDOWN_USDT=6
 TAKER_FEE_RATE=0.001
@@ -218,6 +221,12 @@ SLIPPAGE_RATE=0.0003
 
 Для быстрого режима рекомендуется оставлять `WEBSOCKET_ENABLED=true`: WebSocket дает частые рыночные обновления, а REST используется как периодическая сверка. Я не могу подтвердить, что быстрый режим повысит прибыльность; он только уменьшает техническую задержку реакции стратегии.
 
+## Profit-only выходы
+
+При `PROFIT_ONLY_EXIT_ENABLED=true` единый gate перед исполнением блокирует любой обычный `SELL`, если ожидаемый чистый результат с учетом входной и выходной комиссии, bid и проскальзывания ниже `MIN_EXIT_NET_PERCENT`. Это распространяется на RSI, EMA/MACD, ослабление прогноза, trailing и адаптивное снижение экспозиции. Явно помеченные аварийные выходы не блокируются; к ним относятся включенный оператором stop-loss, отказ установки защитного ордера в live и удаление старой paper-пары из торговой вселенной.
+
+Количество зависших позиций ограничивается `MAX_OPEN_POSITIONS`, `MAX_POSITIONS_PER_SYMBOL`, `MAX_SYMBOL_EXPOSURE_USDT` и `MAX_TOTAL_EXPOSURE_USDT`. Когда лимит достигнут, новые покупки блокируются, но существующие позиции продолжают отслеживаться.
+
 ## Live-режим
 
 Live-режим специально заблокирован. Для включения нужны все значения:
@@ -247,6 +256,10 @@ Live-исполнение ведет журнал order intent до отправ
 - `GET /api/status` — статус бота, account snapshot, позиции.
 - `GET /api/markets` — пары, ticker, свечи, инструменты.
 - `GET /api/training/market-observations?symbol=BTCUSDT&after_id=0&limit=5000` — защищённая training-token выгрузка L1-наблюдений.
+- `GET /api/training/market-observations/manifest` — training-token manifest для инкрементальной синхронизации forward L1-данных.
+- `GET /api/training/shadow` — состояние изолированной shadow-модели и повторного forward-gate.
+- `POST /api/training/shadow/promote` — атомарное продвижение shadow-модели; возвращает `409`, пока forward-gate не пройден.
+- `POST /api/training/retrain/auto` — ограниченная training-token команда Windows-agent; ставит только orderbook-retrain без произвольных параметров.
 - `GET /api/trades` — последние сделки.
 - `GET /api/signals` — последние сигналы стратегии.
 - `GET /api/events` — события.

android/TradeBotMonitor/app/build.gradle.kts

@@ -10,8 +10,8 @@ android {
         applicationId = "xyz.kusoft.tradebotmonitor"
         minSdk = 26
         targetSdk = 37
-        versionCode = 23
+        versionCode = 24
-        versionName = "0.5.1"
+        versionName = "0.5.2"
     }
 }
 

android/TradeBotMonitor/app/src/main/java/xyz/kusoft/tradebotmonitor/MainActivity.kt

@@ -1104,6 +1104,8 @@ class MainActivity : Activity() {
             addView(trainingComputerPanel(retrain).top(dp(12)))
             addView(thinDivider().top(dp(12)))
             addView(trainingProcessPanel(coordination))
+            addView(orderbookStagePanel(coordination).top(dp(10)))
+            addView(shadowStagePanel(retrain.optJSONObject("shadow") ?: JSONObject()).top(dp(10)))
             if (displayedEvaluation.optJSONObject("candidate") != null) {
                 addView(guardSummaryPanel(displayedEvaluation).top(dp(10)))
             }
@@ -1155,6 +1157,36 @@ class MainActivity : Activity() {
         }
     }
 
+    private fun orderbookStagePanel(coordination: JSONObject): View =
+        LinearLayout(this).apply {
+            orientation = LinearLayout.VERTICAL
+            val summary = coordination.optJSONObject("latest_job")?.optJSONObject("summary") ?: JSONObject()
+            val state = summary.optStringClean("state")
+            val minimum = summary.optInt("minimum_covered_buckets", 240)
+            val eligible = summary.optInt("eligible_symbol_count", 0)
+            val requiredSymbols = summary.optInt("minimum_symbols", 2)
+            val coverage = summary.optJSONObject("covered_buckets_by_symbol") ?: JSONObject()
+            val bestCoverage = coverage.keys().asSequence().map { coverage.optInt(it, 0) }.maxOrNull() ?: 0
+            addView(keyValueLine("Forward-стакан", if (state == "ready") "готов к обучению" else "накапливается", if (state == "ready") palette.green else palette.amber))
+            addView(keyValueLine("Лучшее покрытие", "$bestCoverage / $minimum свечей").top(dp(4)))
+            addView(keyValueLine("Готовые пары", "$eligible / $requiredSymbols").top(dp(4)))
+        }
+
+    private fun shadowStagePanel(shadow: JSONObject): View =
+        LinearLayout(this).apply {
+            orientation = LinearLayout.VERTICAL
+            val state = shadow.optStringClean("state").ifBlank { "нет модели" }
+            val color = when (state) {
+                "passed" -> palette.green
+                "failed" -> palette.red
+                else -> palette.amber
+            }
+            addView(keyValueLine("Shadow gate", state, color))
+            addView(keyValueLine("Forward-прогнозы", "${shadow.optInt("settled_predictions", 0)} / ${shadow.optInt("total_predictions", 0)}").top(dp(4)))
+            addView(keyValueLine("Shadow P&L", signedPercent(shadow.optDouble("total_net_percent", 0.0)), colorForSigned(shadow.optDouble("total_net_percent", 0.0))).top(dp(4)))
+            addView(keyValueLine("Direction / Brier", "${percent(shadow.optDouble("direction_accuracy", 0.0) * 100.0, 1)} / ${number(shadow.optDouble("brier", 0.0), 4)}").top(dp(4)))
+        }
+
     private fun guardSummaryPanel(retrain: JSONObject): View =
         LinearLayout(this).apply {
             val accepted = retrain.optBoolean("accepted", false)

crypto_spot_bot/__init__.py

@@ -1,3 +1,3 @@
 """Crypto spot trading bot package."""
 
-__version__ = "1.0.3"
+__version__ = "1.1.2"

crypto_spot_bot/bot.py

@@ -2,6 +2,7 @@ from __future__ import annotations
 
 import asyncio
 import logging
+import math
 import sqlite3
 from datetime import datetime
 
@@ -12,9 +13,13 @@ from crypto_spot_bot.learning import TradeLearner
 from crypto_spot_bot.market_data import MarketData
 from crypto_spot_bot.models import BotStatus, Signal, Ticker, utc_now
 from crypto_spot_bot.patterns import PatternAnalyzer
-from crypto_spot_bot.strategy import SpotStrategy, torch_model_readiness_reasons
+from crypto_spot_bot.strategy import (
+    SpotStrategy,
+    apply_profit_only_exit_policy,
+    torch_model_readiness_reasons,
+)
 from crypto_spot_bot.storage import Storage
-from crypto_spot_bot.time_series import TimeSeriesForecaster
+from crypto_spot_bot.time_series import TimeSeriesForecaster, _barrier_outcome
 
 
 logger = logging.getLogger(__name__)
@@ -31,6 +36,7 @@ class CryptoSpotBot:
         pattern_analyzer: PatternAnalyzer,
         learner: TradeLearner,
         forecaster: TimeSeriesForecaster | None = None,
+        shadow_forecaster: TimeSeriesForecaster | None = None,
         llm_advisor=None,
     ):
         self.settings = settings
@@ -41,6 +47,7 @@ class CryptoSpotBot:
         self.pattern_analyzer = pattern_analyzer
         self.learner = learner
         self.forecaster = forecaster
+        self.shadow_forecaster = shadow_forecaster
         self.llm_advisor = llm_advisor
         self.running = False
         self.started_at: datetime | None = None
@@ -52,6 +59,8 @@ class CryptoSpotBot:
         self._last_reconciliation_at: datetime | None = None
         self._last_prune_at: datetime | None = None
         self._consecutive_loop_errors = 0
+        self._orderbook_feature_cache_key: tuple[tuple[str, int], ...] = ()
+        self._orderbook_feature_cache: dict[str, dict[int, dict[str, float]]] = {}
 
     async def start(self) -> None:
         if self.running:
@@ -160,6 +169,8 @@ class CryptoSpotBot:
             adaptive_rules["reduce_now"] = position.id is not None and position.id == reduction_candidate_id
             learning = {"adaptive_rules": adaptive_rules}
             signal = self.strategy.exit_signal(position, candles, ticker, learning, forecast)
+            if ticker is not None:
+                signal = apply_profit_only_exit_policy(self.settings, position, ticker, signal)
             self._record_signal(signal)
             if signal.action == "SELL" and ticker is not None:
                 await asyncio.to_thread(self.broker.sell, position, ticker, signal.reason)
@@ -366,14 +377,28 @@ class CryptoSpotBot:
                 volume_24h=0.0,
                 change_24h=0.0,
             )
-            self.broker.sell(
+            candidate = Signal(
-                position,
+                position.symbol,
-                synthetic_ticker,
+                "SELL",
-                f"{self.settings.strategy_mode}: закрыта старая paper-позиция вне списка разрешенных пар",
+                0.5,
-            )
+                f"{self.settings.strategy_mode}: старая paper-позиция вне списка разрешенных пар",
-            self.storage.event(
+                {
-                f"{position.symbol}: старая paper-позиция закрыта при переходе на {self.settings.strategy_mode}"
+                    "emergency_exit": True,
+                    "emergency_exit_type": "symbol_removed_from_universe",
+                },
             )
+            decision = apply_profit_only_exit_policy(self.settings, position, synthetic_ticker, candidate)
+            self._record_signal(decision)
+            if decision.action == "SELL":
+                self.broker.sell(position, synthetic_ticker, decision.reason)
+                self.storage.event(
+                    f"{position.symbol}: старая paper-позиция закрыта при переходе на {self.settings.strategy_mode}"
+                )
+            else:
+                self.storage.event(
+                    f"{position.symbol}: старая paper-позиция сохранена политикой profit-only",
+                    "WARN",
+                )
 
     def _reduction_candidate_id(self, prices: dict[str, float]) -> int | None:
         rules = self._with_exposure_context(self.learner.state.adaptive_rules or {})
@@ -416,6 +441,25 @@ class CryptoSpotBot:
         self.market.patterns = patterns
 
     def _update_forecasts(self) -> None:
+        cache_key = tuple(
+            (symbol, rows[-1].timestamp if rows else 0)
+            for symbol, rows in sorted(self.market.candles.items())
+        )
+        earliest_timestamp = min(
+            (rows[0].timestamp for rows in self.market.candles.values() if rows),
+            default=0,
+        )
+        if cache_key != self._orderbook_feature_cache_key:
+            orderbook_features, _manifest = self.storage.recent_aggregated_orderbook_features(
+                interval=self.settings.base_interval,
+                symbols=self.market.symbols,
+                after_timestamp_ms=earliest_timestamp,
+                min_samples_per_bucket=20,
+            )
+            self._orderbook_feature_cache = orderbook_features
+            self._orderbook_feature_cache_key = cache_key
+        else:
+            orderbook_features = self._orderbook_feature_cache
         if (
             self.forecaster is None
             or not self.settings.time_series_forecast_enabled
@@ -429,8 +473,98 @@ class CryptoSpotBot:
                 symbol=symbol,
                 market_candles=self.market.candles,
                 trend_candles=self.market.trend_candles.get(symbol, []),
+                orderbook_features=orderbook_features,
             ).as_dict()
         self.market.forecasts = forecasts
+        self._update_shadow_forecasts(orderbook_features)
+
+    def _update_shadow_forecasts(
+        self,
+        orderbook_features: dict[str, dict[int, dict[str, float]]],
+    ) -> None:
+        if self.shadow_forecaster is None:
+            self.market.shadow_forecasts = {}
+            return
+        model_sha256 = self.shadow_forecaster.artifact_sha256()
+        if not model_sha256:
+            self.market.shadow_forecasts = {}
+            return
+        forecasts: dict[str, dict] = {}
+        for symbol in self.market.symbols:
+            candles = self.market.candles.get(symbol, [])
+            forecast = self.shadow_forecaster.forecast(
+                candles,
+                symbol=symbol,
+                market_candles=self.market.candles,
+                trend_candles=self.market.trend_candles.get(symbol, []),
+                orderbook_features=orderbook_features,
+            ).as_dict()
+            forecast["shadow"] = True
+            forecast["model_sha256"] = model_sha256
+            forecasts[symbol] = forecast
+            self._record_and_settle_shadow(symbol, candles, forecast, model_sha256)
+        self.market.shadow_forecasts = forecasts
+
+    def _record_and_settle_shadow(
+        self,
+        symbol: str,
+        candles: list,
+        forecast: dict,
+        model_sha256: str,
+    ) -> None:
+        if candles and forecast.get("usable"):
+            probability = float(
+                forecast.get("probability_take_profit_first")
+                if forecast.get("probability_take_profit_first") is not None
+                else forecast.get("probability_up", 0.5)
+            )
+            expected = float(forecast.get("expected_return_percent", 0.0) or 0.0)
+            eligible = bool(
+                not forecast.get("block_entry")
+                and expected >= float(forecast.get("calibrated_min_edge_percent", 0.0) or 0.0)
+                and probability >= float(forecast.get("calibrated_min_probability_up", 0.5) or 0.5)
+            )
+            self.storage.insert_shadow_prediction(
+                model_sha256=model_sha256,
+                symbol=symbol,
+                forecast_timestamp_ms=candles[-1].timestamp,
+                horizon=max(1, int(forecast.get("horizon", 1) or 1)),
+                reference_price=float(candles[-1].close),
+                expected_return_percent=expected,
+                probability_up=probability,
+                eligible_signal=eligible,
+            )
+        if not candles:
+            return
+        indexes = {candle.timestamp: index for index, candle in enumerate(candles)}
+        round_trip_cost = 2.0 * (
+            float(self.settings.taker_fee_rate) + float(self.settings.slippage_rate)
+        )
+        for row in self.storage.pending_shadow_predictions(
+            model_sha256=model_sha256,
+            symbol=symbol,
+        ):
+            index = indexes.get(int(row.get("forecast_timestamp_ms", 0) or 0))
+            horizon = max(1, int(row.get("horizon", 1) or 1))
+            if index is None or index + horizon >= len(candles):
+                continue
+            outcome = _barrier_outcome(
+                candles,
+                end_index=index,
+                horizon=horizon,
+                stop_loss_percent=float(self.settings.stop_loss_percent),
+                take_profit_percent=float(self.settings.take_profit_percent),
+                round_trip_cost=round_trip_cost,
+            )
+            if outcome is None:
+                continue
+            actual_log_return, take_profit_first = outcome
+            actual_return_percent = (math.exp(actual_log_return) - 1.0) * 100.0
+            self.storage.settle_shadow_prediction(
+                int(row["id"]),
+                actual_return_percent=actual_return_percent,
+                take_profit_first=take_profit_first >= 0.5,
+            )
 
     def status(self) -> BotStatus:
         live_ready = self.settings.live_ready

crypto_spot_bot/config.py

@@ -155,6 +155,7 @@ class Settings:
     database_path: Path
     log_path: Path
     env_file_path: Path
+    profit_only_exit_enabled: bool = True
     api_auth_token: str = ""
     training_worker_token: str = ""
     trusted_proxy_user_header: str = ""
@@ -332,6 +333,7 @@ def load_settings(env_file: str | Path | None = None) -> Settings:
         database_path=Path(os.getenv("DATABASE_PATH", "runtime/tradebot.sqlite3")),
         log_path=Path(os.getenv("LOG_PATH", "runtime/tradebot.log")),
         env_file_path=env_path,
+        profit_only_exit_enabled=_bool_env("PROFIT_ONLY_EXIT_ENABLED", True),
         api_auth_token=os.getenv("TRADEBOT_API_TOKEN", "").strip(),
         training_worker_token=os.getenv("TRADEBOT_TRAINING_TOKEN", "").strip(),
         trusted_proxy_user_header=os.getenv("TRUSTED_PROXY_USER_HEADER", "").strip(),
@@ -392,6 +394,8 @@ def _validate_settings(settings: Settings) -> None:
         errors.append("position count limits must be positive")
     if settings.taker_fee_rate < 0 or settings.slippage_rate < 0:
         errors.append("TAKER_FEE_RATE and SLIPPAGE_RATE must be non-negative")
+    if not 0 <= settings.min_exit_net_percent <= 5:
+        errors.append("MIN_EXIT_NET_PERCENT must be in range 0..5")
     if settings.market_ticker_max_age_seconds <= 0:
         errors.append("MARKET_TICKER_MAX_AGE_SECONDS must be positive")
     if settings.time_series_model_max_age_hours <= 0:

crypto_spot_bot/dashboard.py

@@ -20,6 +20,7 @@ from crypto_spot_bot.learning import TradeLearner
 from crypto_spot_bot.market_data import MarketData
 from crypto_spot_bot.patterns import PatternAnalyzer
 from crypto_spot_bot.reconciliation import reconciliation_snapshot
+from crypto_spot_bot.shadow import shadow_gate_snapshot
 from crypto_spot_bot.storage import Storage
 from crypto_spot_bot.strategy import SpotStrategy
 from crypto_spot_bot.time_series import TimeSeriesForecaster
@@ -47,7 +48,23 @@ def create_app(settings: Settings | None = None) -> FastAPI:
     pattern_analyzer = PatternAnalyzer()
     learner = TradeLearner(settings, storage)
     forecaster = TimeSeriesForecaster(settings)
-    bot = CryptoSpotBot(settings, storage, market, broker, strategy, pattern_analyzer, learner, forecaster)
+    runtime_dir = settings.time_series_lstm_model_path.parent
+    shadow_forecaster = TimeSeriesForecaster(
+        settings,
+        model_path=runtime_dir / "lstm_forecaster.shadow.json",
+        calibration_path=runtime_dir / "torch_shadow_calibration.json",
+    )
+    bot = CryptoSpotBot(
+        settings,
+        storage,
+        market,
+        broker,
+        strategy,
+        pattern_analyzer,
+        learner,
+        forecaster,
+        shadow_forecaster,
+    )
     training = TrainingCoordinator(settings.time_series_lstm_model_path.parent)
     authorizer = ApiAuthorizer(settings)
 
@@ -143,12 +160,31 @@ def create_app(settings: Settings | None = None) -> FastAPI:
     async def retrain(_: None = Depends(authorizer.require)) -> dict[str, Any]:
         data = _runtime_json(settings, "torch_retrain_guard.json")
         data["coordination"] = training.status()
+        data["shadow"] = shadow_gate_snapshot(storage, shadow_forecaster.artifact_sha256())
         return data
 
     @app.get("/api/training/status")
     async def training_status(_: None = Depends(authorizer.require)) -> dict[str, Any]:
         return training.status()
 
+    @app.get("/api/training/shadow")
+    async def training_shadow_status(
+        _: None = Depends(authorizer.require),
+    ) -> dict[str, Any]:
+        return shadow_gate_snapshot(storage, shadow_forecaster.artifact_sha256())
+
+    @app.post("/api/training/shadow/promote")
+    async def training_shadow_promote(
+        _: None = Depends(authorizer.require),
+    ) -> dict[str, Any]:
+        gate = shadow_gate_snapshot(storage, shadow_forecaster.artifact_sha256())
+        if not gate.get("passed"):
+            raise HTTPException(status_code=409, detail={"message": "shadow forward gate has not passed", "gate": gate})
+        try:
+            return training.promote_shadow(gate)
+        except ValueError as exc:
+            raise HTTPException(status_code=400, detail=str(exc)) from exc
+
     @app.get("/api/training/market-observations")
     async def training_market_observations(
         symbol: str,
@@ -170,6 +206,16 @@ def create_app(settings: Settings | None = None) -> FastAPI:
             "next_after_id": int(items[-1]["id"]) if items else max(0, after_id),
         }
 
+    @app.get("/api/training/market-observations/manifest")
+    async def training_market_observation_manifest(
+        _: None = Depends(authorizer.require_training),
+    ) -> dict[str, Any]:
+        items = storage.market_observation_manifest()
+        return {
+            "items": items,
+            "total_samples": sum(int(item.get("samples", 0) or 0) for item in items),
+        }
+
     @app.post("/api/training/retrain")
     async def training_retrain(
         payload: dict[str, Any] | None = None,
@@ -177,6 +223,17 @@ def create_app(settings: Settings | None = None) -> FastAPI:
     ) -> dict[str, Any]:
         return training.request_retrain(payload)
 
+    @app.post("/api/training/retrain/auto")
+    async def training_retrain_auto(
+        _: None = Depends(authorizer.require_training),
+    ) -> dict[str, Any]:
+        return training.request_retrain(
+            {
+                "source": "windows-agent-auto",
+                "parameters": {"use_orderbook": True},
+            }
+        )
+
     @app.post("/api/training/heartbeat")
     async def training_heartbeat(
         payload: dict[str, Any] | None = None,
@@ -233,6 +290,10 @@ def create_app(settings: Settings | None = None) -> FastAPI:
         row_limit = 220
         retrain_data = _runtime_json(settings, "torch_retrain_guard.json")
         retrain_data["coordination"] = training.status()
+        retrain_data["shadow"] = shadow_gate_snapshot(
+            storage,
+            shadow_forecaster.artifact_sha256(),
+        )
         return {
             "health": {
                 "ok": True,
@@ -437,6 +498,7 @@ def _safe_config(settings: Settings) -> dict[str, Any]:
         "trailing_stop_percent": settings.trailing_stop_percent,
         "min_hold_seconds": settings.min_hold_seconds,
         "min_exit_net_percent": settings.min_exit_net_percent,
+        "profit_only_exit_enabled": settings.profit_only_exit_enabled,
         "entry_cooldown_seconds": settings.entry_cooldown_seconds,
         "max_daily_drawdown_usdt": settings.max_daily_drawdown_usdt,
         "min_cash_reserve_usdt": settings.min_cash_reserve_usdt,

crypto_spot_bot/market_data.py

@@ -55,6 +55,7 @@ class MarketData:
         self.orderbook_metrics: dict[str, dict[str, Any]] = {}
         self.patterns: dict[str, dict[str, Any]] = {}
         self.forecasts: dict[str, dict[str, Any]] = {}
+        self.shadow_forecasts: dict[str, dict[str, Any]] = {}
         self.last_rest_refresh_at: datetime | None = None
         self.last_ws_message_at: datetime | None = None
         self.ws_connected = False
@@ -393,6 +394,7 @@ class MarketData:
                     "trend_candles": [candle.as_dict() for candle in self.trend_candles.get(symbol, [])[-5:]],
                     "pattern": self.patterns.get(symbol),
                     "forecast": self.forecasts.get(symbol),
+                    "shadow_forecast": self.shadow_forecasts.get(symbol),
                     "orderbook": self.orderbook_metrics.get(symbol),
                     "quality": analyze_symbol_quality(
                         symbol=symbol,

crypto_spot_bot/orderbook_features.py

@@ -0,0 +1,180 @@
+from __future__ import annotations
+
+import math
+import sqlite3
+from collections import defaultdict
+from datetime import datetime
+from pathlib import Path
+from typing import Any, Iterable
+
+
+ORDERBOOK_FEATURES = (
+    "l1_imbalance_mean",
+    "l1_imbalance_std",
+    "l1_spread_bps_mean",
+    "l1_spread_bps_p90",
+    "l1_microprice_deviation_bps_mean",
+    "l1_microprice_deviation_bps_std",
+    "l1_sample_count_log1p",
+)
+
+
+def interval_milliseconds(interval: str) -> int:
+    normalized = str(interval).strip().upper()
+    if normalized.isdigit():
+        return max(1, int(normalized)) * 60_000
+    units = {
+        "D": 86_400_000,
+        "W": 7 * 86_400_000,
+        "M": 30 * 86_400_000,
+    }
+    return units.get(normalized, 0)
+
+
+def load_orderbook_feature_map(
+    path: str | Path,
+    *,
+    interval: str,
+    symbols: Iterable[str] | None = None,
+    min_samples_per_bucket: int = 20,
+) -> tuple[dict[str, dict[int, dict[str, float]]], dict[str, dict[str, Any]]]:
+    database_path = Path(path)
+    if not database_path.is_file():
+        return {}, {}
+    selected = sorted({str(symbol).strip().upper() for symbol in symbols or [] if str(symbol).strip()})
+    query = (
+        "SELECT symbol, bid_price, bid_size, ask_price, ask_size, mid_price, "
+        "microprice, spread_bps, imbalance, source_timestamp_ms, created_at "
+        "FROM market_observations"
+    )
+    parameters: list[Any] = []
+    if selected:
+        placeholders = ",".join("?" for _ in selected)
+        query += f" WHERE symbol IN ({placeholders})"
+        parameters.extend(selected)
+    query += " ORDER BY symbol, source_timestamp_ms, created_at"
+    with sqlite3.connect(database_path) as connection:
+        connection.row_factory = sqlite3.Row
+        try:
+            rows = connection.execute(query, parameters).fetchall()
+        except sqlite3.Error:
+            return {}, {}
+    return aggregate_orderbook_observations(
+        (dict(row) for row in rows),
+        interval=interval,
+        min_samples_per_bucket=min_samples_per_bucket,
+    )
+
+
+def aggregate_orderbook_observations(
+    rows: Iterable[dict[str, Any]],
+    *,
+    interval: str,
+    min_samples_per_bucket: int = 20,
+) -> tuple[dict[str, dict[int, dict[str, float]]], dict[str, dict[str, Any]]]:
+    interval_ms = interval_milliseconds(interval)
+    if interval_ms <= 0:
+        raise ValueError(f"unsupported orderbook aggregation interval: {interval}")
+    minimum = max(1, int(min_samples_per_bucket))
+    buckets: dict[tuple[str, int], list[tuple[float, float, float]]] = defaultdict(list)
+    raw_counts: dict[str, int] = defaultdict(int)
+    first_timestamp: dict[str, int] = {}
+    last_timestamp: dict[str, int] = {}
+    for row in rows:
+        symbol = str(row.get("symbol") or "").strip().upper()
+        timestamp_ms = _observation_timestamp_ms(row)
+        mid_price = _float(row.get("mid_price"))
+        microprice = _float(row.get("microprice"), mid_price)
+        spread_bps = max(0.0, _float(row.get("spread_bps")))
+        imbalance = max(-1.0, min(1.0, _float(row.get("imbalance"))))
+        if not symbol or timestamp_ms <= 0 or mid_price <= 0:
+            continue
+        microprice_deviation_bps = ((microprice - mid_price) / mid_price) * 10_000.0
+        if not all(math.isfinite(value) for value in (imbalance, spread_bps, microprice_deviation_bps)):
+            continue
+        bucket_timestamp = (timestamp_ms // interval_ms) * interval_ms
+        buckets[(symbol, bucket_timestamp)].append(
+            (imbalance, spread_bps, microprice_deviation_bps)
+        )
+        raw_counts[symbol] += 1
+        first_timestamp[symbol] = min(first_timestamp.get(symbol, timestamp_ms), timestamp_ms)
+        last_timestamp[symbol] = max(last_timestamp.get(symbol, timestamp_ms), timestamp_ms)
+
+    features: dict[str, dict[int, dict[str, float]]] = defaultdict(dict)
+    rejected_buckets: dict[str, int] = defaultdict(int)
+    for (symbol, bucket_timestamp), samples in sorted(buckets.items()):
+        if len(samples) < minimum:
+            rejected_buckets[symbol] += 1
+            continue
+        imbalances = [sample[0] for sample in samples]
+        spreads = [sample[1] for sample in samples]
+        microprice_deviations = [sample[2] for sample in samples]
+        features[symbol][bucket_timestamp] = {
+            "l1_imbalance_mean": _mean(imbalances),
+            "l1_imbalance_std": _standard_deviation(imbalances),
+            "l1_spread_bps_mean": _mean(spreads),
+            "l1_spread_bps_p90": _percentile(spreads, 0.90),
+            "l1_microprice_deviation_bps_mean": _mean(microprice_deviations),
+            "l1_microprice_deviation_bps_std": _standard_deviation(microprice_deviations),
+            "l1_sample_count_log1p": math.log1p(len(samples)),
+        }
+
+    manifest: dict[str, dict[str, Any]] = {}
+    all_symbols = sorted(set(raw_counts) | set(features))
+    for symbol in all_symbols:
+        accepted = features.get(symbol, {})
+        manifest[symbol] = {
+            "raw_samples": raw_counts.get(symbol, 0),
+            "covered_buckets": len(accepted),
+            "rejected_buckets": rejected_buckets.get(symbol, 0),
+            "first_timestamp_ms": first_timestamp.get(symbol, 0),
+            "last_timestamp_ms": last_timestamp.get(symbol, 0),
+            "min_samples_per_bucket": minimum,
+        }
+    return {symbol: dict(rows) for symbol, rows in features.items()}, manifest
+
+
+def _observation_timestamp_ms(row: dict[str, Any]) -> int:
+    source_timestamp = int(_float(row.get("source_timestamp_ms")))
+    if source_timestamp > 0:
+        return source_timestamp
+    raw = str(row.get("created_at") or "").strip()
+    if not raw:
+        return 0
+    try:
+        parsed = datetime.fromisoformat(raw.replace("Z", "+00:00"))
+    except ValueError:
+        return 0
+    return int(parsed.timestamp() * 1000)
+
+
+def _mean(values: list[float]) -> float:
+    return sum(values) / len(values) if values else 0.0
+
+
+def _standard_deviation(values: list[float]) -> float:
+    if len(values) < 2:
+        return 0.0
+    mean = _mean(values)
+    return math.sqrt(sum((value - mean) ** 2 for value in values) / len(values))
+
+
+def _percentile(values: list[float], quantile: float) -> float:
+    if not values:
+        return 0.0
+    ordered = sorted(values)
+    position = max(0.0, min(1.0, quantile)) * (len(ordered) - 1)
+    lower = int(math.floor(position))
+    upper = int(math.ceil(position))
+    if lower == upper:
+        return ordered[lower]
+    fraction = position - lower
+    return ordered[lower] * (1.0 - fraction) + ordered[upper] * fraction
+
+
+def _float(value: Any, default: float = 0.0) -> float:
+    try:
+        result = float(value)
+    except (TypeError, ValueError):
+        return default
+    return result if math.isfinite(result) else default

crypto_spot_bot/shadow.py

@@ -0,0 +1,94 @@
+from __future__ import annotations
+
+import math
+import os
+from typing import Any
+
+from crypto_spot_bot.storage import Storage
+
+
+def shadow_gate_snapshot(storage: Storage, model_sha256: str) -> dict[str, Any]:
+    minimum_settled = _int_env("SHADOW_GATE_MIN_SETTLED", 300)
+    minimum_eligible = _int_env("SHADOW_GATE_MIN_ELIGIBLE", 30)
+    minimum_symbols = _int_env("SHADOW_GATE_MIN_SYMBOLS", 2)
+    minimum_profit_factor = _float_env("SHADOW_GATE_MIN_PROFIT_FACTOR", 1.10)
+    minimum_direction_accuracy = _float_env("SHADOW_GATE_MIN_DIRECTION_ACCURACY", 0.52)
+    maximum_brier = _float_env("SHADOW_GATE_MAX_BRIER", 0.25)
+    rows = storage.shadow_prediction_rows(model_sha256=model_sha256) if model_sha256 else []
+    settled = [row for row in rows if row.get("settled_at")]
+    eligible = [row for row in settled if bool(row.get("eligible_signal"))]
+    eligible_returns = [float(row.get("actual_return_percent", 0.0) or 0.0) for row in eligible]
+    gross_profit = sum(max(0.0, value) for value in eligible_returns)
+    gross_loss = abs(sum(min(0.0, value) for value in eligible_returns))
+    profit_factor = gross_profit / gross_loss if gross_loss > 1e-12 else (float("inf") if gross_profit > 0 else 0.0)
+    correct = sum(
+        1
+        for row in settled
+        if (float(row.get("expected_return_percent", 0.0) or 0.0) >= 0)
+        == (float(row.get("actual_return_percent", 0.0) or 0.0) >= 0)
+    )
+    direction_accuracy = correct / len(settled) if settled else 0.0
+    brier_values = [
+        (
+            max(0.0, min(1.0, float(row.get("probability_up", 0.5) or 0.5)))
+            - float(int(row.get("take_profit_first", 0) or 0))
+        )
+        ** 2
+        for row in settled
+        if row.get("take_profit_first") is not None
+    ]
+    brier = sum(brier_values) / len(brier_values) if brier_values else 1.0
+    symbols = sorted({str(row.get("symbol") or "") for row in eligible if row.get("symbol")})
+    checks = {
+        "minimum_settled": len(settled) >= minimum_settled,
+        "minimum_eligible": len(eligible) >= minimum_eligible,
+        "minimum_symbols": len(symbols) >= minimum_symbols,
+        "positive_average_net": bool(eligible_returns) and sum(eligible_returns) / len(eligible_returns) > 0.0,
+        "profit_factor": profit_factor >= minimum_profit_factor,
+        "direction_accuracy": direction_accuracy >= minimum_direction_accuracy,
+        "brier": brier <= maximum_brier,
+    }
+    enough_data = checks["minimum_settled"] and checks["minimum_eligible"] and checks["minimum_symbols"]
+    passed = enough_data and all(checks.values())
+    state = "passed" if passed else ("failed" if enough_data else "collecting")
+    return {
+        "available": bool(model_sha256),
+        "model_sha256": model_sha256,
+        "state": state,
+        "passed": passed,
+        "active_model_unchanged": True,
+        "total_predictions": len(rows),
+        "pending_predictions": len(rows) - len(settled),
+        "settled_predictions": len(settled),
+        "eligible_predictions": len(eligible),
+        "eligible_symbols": symbols,
+        "average_net_percent": round(sum(eligible_returns) / len(eligible_returns), 6) if eligible_returns else 0.0,
+        "total_net_percent": round(sum(eligible_returns), 6),
+        "win_rate": round(sum(value > 0 for value in eligible_returns) / len(eligible_returns), 6) if eligible_returns else 0.0,
+        "profit_factor": round(profit_factor, 6) if math.isfinite(profit_factor) else None,
+        "direction_accuracy": round(direction_accuracy, 6),
+        "brier": round(brier, 6),
+        "criteria": {
+            "minimum_settled": minimum_settled,
+            "minimum_eligible": minimum_eligible,
+            "minimum_symbols": minimum_symbols,
+            "minimum_profit_factor": minimum_profit_factor,
+            "minimum_direction_accuracy": minimum_direction_accuracy,
+            "maximum_brier": maximum_brier,
+        },
+        "checks": checks,
+    }
+
+
+def _int_env(name: str, default: int) -> int:
+    try:
+        return max(1, int(os.environ.get(name, str(default))))
+    except ValueError:
+        return default
+
+
+def _float_env(name: str, default: float) -> float:
+    try:
+        return float(os.environ.get(name, str(default)))
+    except ValueError:
+        return default

crypto_spot_bot/storage.py

@@ -9,6 +9,7 @@ from pathlib import Path
 from typing import Any, Iterator
 
 from crypto_spot_bot.models import Position, Signal, Trade, utc_now
+from crypto_spot_bot.orderbook_features import aggregate_orderbook_observations, load_orderbook_feature_map
 
 
 MAX_SIGNAL_DIAGNOSTICS_BYTES = 4 * 1024
@@ -19,6 +20,7 @@ MAX_RUNTIME_ROWS = {
     "events": 20_000,
     "llm_advice": 20_000,
     "market_observations": 1_200_000,
+    "shadow_predictions": 250_000,
 }
 _STORED_FORECAST_KEYS = {
     "enabled",
@@ -187,6 +189,22 @@ class Storage:
                     source_timestamp_ms INTEGER NOT NULL DEFAULT 0,
                     created_at TEXT NOT NULL
                 );
+                CREATE TABLE IF NOT EXISTS shadow_predictions (
+                    id INTEGER PRIMARY KEY AUTOINCREMENT,
+                    model_sha256 TEXT NOT NULL,
+                    symbol TEXT NOT NULL,
+                    forecast_timestamp_ms INTEGER NOT NULL,
+                    horizon INTEGER NOT NULL,
+                    reference_price REAL NOT NULL,
+                    expected_return_percent REAL NOT NULL,
+                    probability_up REAL NOT NULL,
+                    eligible_signal INTEGER NOT NULL DEFAULT 0,
+                    created_at TEXT NOT NULL,
+                    settled_at TEXT,
+                    actual_return_percent REAL,
+                    take_profit_first INTEGER,
+                    UNIQUE(model_sha256, symbol, forecast_timestamp_ms, horizon)
+                );
                 CREATE INDEX IF NOT EXISTS idx_positions_status_opened
                     ON positions(status, opened_at);
                 CREATE INDEX IF NOT EXISTS idx_trades_closed
@@ -203,6 +221,10 @@ class Storage:
                     ON market_observations(symbol, id);
                 CREATE INDEX IF NOT EXISTS idx_market_observations_created
                     ON market_observations(created_at);
+                CREATE INDEX IF NOT EXISTS idx_market_observations_symbol_source_timestamp
+                    ON market_observations(symbol, source_timestamp_ms);
+                CREATE INDEX IF NOT EXISTS idx_shadow_predictions_model_status
+                    ON shadow_predictions(model_sha256, settled_at, symbol);
                 """
             )
             columns = {
@@ -542,6 +564,159 @@ class Storage:
             ).fetchall()
         return [dict(row) for row in rows]
 
+    def market_observation_manifest(self) -> list[dict[str, Any]]:
+        with self.connect() as conn:
+            rows = conn.execute(
+                """
+                SELECT symbol, COUNT(*) AS samples, MIN(id) AS min_id, MAX(id) AS max_id,
+                       MIN(source_timestamp_ms) AS first_source_timestamp_ms,
+                       MAX(source_timestamp_ms) AS last_source_timestamp_ms,
+                       MIN(created_at) AS first_created_at,
+                       MAX(created_at) AS last_created_at
+                FROM market_observations
+                GROUP BY symbol
+                ORDER BY symbol
+                """
+            ).fetchall()
+        return [dict(row) for row in rows]
+
+    def aggregated_orderbook_features(
+        self,
+        *,
+        interval: str,
+        symbols: list[str] | None = None,
+        min_samples_per_bucket: int = 20,
+    ) -> tuple[dict[str, dict[int, dict[str, float]]], dict[str, dict[str, Any]]]:
+        return load_orderbook_feature_map(
+            self.path,
+            interval=interval,
+            symbols=symbols,
+            min_samples_per_bucket=min_samples_per_bucket,
+        )
+
+    def recent_aggregated_orderbook_features(
+        self,
+        *,
+        interval: str,
+        symbols: list[str],
+        after_timestamp_ms: int,
+        min_samples_per_bucket: int = 20,
+    ) -> tuple[dict[str, dict[int, dict[str, float]]], dict[str, dict[str, Any]]]:
+        selected = sorted({symbol.strip().upper() for symbol in symbols if symbol.strip()})
+        if not selected:
+            return {}, {}
+        placeholders = ",".join("?" for _ in selected)
+        with self.connect() as conn:
+            rows = conn.execute(
+                f"""
+                SELECT symbol, bid_price, bid_size, ask_price, ask_size, mid_price,
+                       microprice, spread_bps, imbalance, source_timestamp_ms, created_at
+                FROM market_observations
+                WHERE symbol IN ({placeholders}) AND source_timestamp_ms >= ?
+                ORDER BY symbol, source_timestamp_ms
+                """,
+                (*selected, max(0, int(after_timestamp_ms))),
+            ).fetchall()
+        return aggregate_orderbook_observations(
+            (dict(row) for row in rows),
+            interval=interval,
+            min_samples_per_bucket=min_samples_per_bucket,
+        )
+
+    def insert_shadow_prediction(
+        self,
+        *,
+        model_sha256: str,
+        symbol: str,
+        forecast_timestamp_ms: int,
+        horizon: int,
+        reference_price: float,
+        expected_return_percent: float,
+        probability_up: float,
+        eligible_signal: bool,
+    ) -> bool:
+        with self.connect() as conn:
+            cursor = conn.execute(
+                """
+                INSERT OR IGNORE INTO shadow_predictions (
+                    model_sha256, symbol, forecast_timestamp_ms, horizon,
+                    reference_price, expected_return_percent, probability_up,
+                    eligible_signal, created_at
+                ) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?)
+                """,
+                (
+                    model_sha256,
+                    symbol.upper(),
+                    max(0, int(forecast_timestamp_ms)),
+                    max(1, int(horizon)),
+                    max(0.0, float(reference_price)),
+                    float(expected_return_percent),
+                    max(0.0, min(1.0, float(probability_up))),
+                    1 if eligible_signal else 0,
+                    utc_now().isoformat(),
+                ),
+            )
+        return bool(cursor.rowcount)
+
+    def pending_shadow_predictions(
+        self,
+        *,
+        model_sha256: str,
+        symbol: str,
+        limit: int = 500,
+    ) -> list[dict[str, Any]]:
+        with self.connect() as conn:
+            rows = conn.execute(
+                """
+                SELECT * FROM shadow_predictions
+                WHERE model_sha256 = ? AND symbol = ? AND settled_at IS NULL
+                ORDER BY forecast_timestamp_ms
+                LIMIT ?
+                """,
+                (model_sha256, symbol.upper(), max(1, min(5000, int(limit)))),
+            ).fetchall()
+        return [dict(row) for row in rows]
+
+    def settle_shadow_prediction(
+        self,
+        prediction_id: int,
+        *,
+        actual_return_percent: float,
+        take_profit_first: bool,
+    ) -> bool:
+        with self.connect() as conn:
+            cursor = conn.execute(
+                """
+                UPDATE shadow_predictions
+                SET settled_at = ?, actual_return_percent = ?, take_profit_first = ?
+                WHERE id = ? AND settled_at IS NULL
+                """,
+                (
+                    utc_now().isoformat(),
+                    float(actual_return_percent),
+                    1 if take_profit_first else 0,
+                    int(prediction_id),
+                ),
+            )
+        return bool(cursor.rowcount)
+
+    def shadow_prediction_rows(
+        self,
+        *,
+        model_sha256: str,
+        settled_only: bool = False,
+        limit: int = 250_000,
+    ) -> list[dict[str, Any]]:
+        where = "WHERE model_sha256 = ?"
+        if settled_only:
+            where += " AND settled_at IS NOT NULL"
+        with self.connect() as conn:
+            rows = conn.execute(
+                f"SELECT * FROM shadow_predictions {where} ORDER BY id DESC LIMIT ?",
+                (model_sha256, max(1, min(250_000, int(limit)))),
+            ).fetchall()
+        return [dict(row) for row in rows]
+
     def insert_equity(
         self,
         equity: float,
@@ -719,7 +894,14 @@ class Storage:
             return {}
         cutoff = (utc_now() - timedelta(days=retention_days)).isoformat()
         deleted: dict[str, int] = {}
-        for table in ("signals", "equity", "events", "llm_advice", "market_observations"):
+        for table in (
+            "signals",
+            "equity",
+            "events",
+            "llm_advice",
+            "market_observations",
+            "shadow_predictions",
+        ):
             with self.connect() as conn:
                 max_id_row = conn.execute(f"SELECT MAX(id) AS value FROM {table}").fetchone()
                 max_id = int(max_id_row["value"] or 0) if max_id_row else 0

crypto_spot_bot/strategy.py

@@ -387,6 +387,8 @@ class SpotStrategy:
             "adaptive_rules": adaptive,
         }
         if self.settings.stop_loss_exit_enabled and price <= position.stop_loss:
+            diagnostics["emergency_exit"] = True
+            diagnostics["emergency_exit_type"] = "configured_stop_loss"
             return Signal(position.symbol, "SELL", 1.0, "сработал стоп-лосс", diagnostics)
         if price >= position.take_profit:
             return Signal(position.symbol, "SELL", 0.96, "сработал тейк-профит", diagnostics)
@@ -517,6 +519,8 @@ class SpotStrategy:
             "min_exit_profit_percent": float(adaptive.get("min_exit_profit_percent", 0.0) or 0.0),
         }
         if effective_stop_loss is not None and price <= effective_stop_loss:
+            diagnostics["emergency_exit"] = True
+            diagnostics["emergency_exit_type"] = "configured_stop_loss"
             return Signal(position.symbol, "SELL", 1.0, "сработал стоп-лосс", diagnostics)
         if price >= effective_take_profit:
             return Signal(position.symbol, "SELL", 0.96, "сработал тейк-профит", diagnostics)
@@ -718,6 +722,8 @@ def _trend_macd_exit_signal(
         "close_below_ema50": close_below_ema50,
     }
     if effective_stop_loss is not None and price <= effective_stop_loss:
+        diagnostics["emergency_exit"] = True
+        diagnostics["emergency_exit_type"] = "configured_stop_loss"
         return Signal(position.symbol, "SELL", 1.0, "trend_macd: сработал стоп-лосс", diagnostics)
     if atr_trailing_stop is not None and price <= atr_trailing_stop:
         return Signal(position.symbol, "SELL", 0.94, "trend_macd: сработал ATR trailing stop", diagnostics)
@@ -1048,6 +1054,8 @@ def _torch_forecast_exit_signal(
     diagnostics["hold_seconds"] = hold_seconds
     diagnostics["min_hold_seconds"] = settings.min_hold_seconds
     if effective_stop_loss is not None and price <= effective_stop_loss:
+        diagnostics["emergency_exit"] = True
+        diagnostics["emergency_exit_type"] = "configured_stop_loss"
         return Signal(position.symbol, "SELL", 1.0, "torch_forecast: stop-loss hit", diagnostics)
     if price >= position.take_profit:
         return Signal(position.symbol, "SELL", 0.96, "torch_forecast: take-profit hit", diagnostics)
@@ -1827,6 +1835,96 @@ def _estimated_exit_net_percent(position: Position, price: float, settings: Sett
     return gross_percent - round_trip_cost_percent
 
 
+def apply_profit_only_exit_policy(
+    settings: Settings,
+    position: Position,
+    ticker: Ticker,
+    signal: Signal,
+) -> Signal:
+    """Block every ordinary exit that would realize less than the configured net profit.
+
+    The estimate mirrors the paper broker fill calculation. Live fills can still differ,
+    so the configured minimum also acts as a safety margin. A loss-making exit is only
+    allowed when the producing subsystem marks it explicitly as an emergency.
+    """
+    if signal.action != "SELL" or not settings.profit_only_exit_enabled:
+        return signal
+
+    diagnostics = dict(signal.diagnostics)
+    expected_fill_price = _expected_sell_fill_price(ticker, settings)
+    expected_net_usdt = _expected_exit_net_usdt(position, expected_fill_price, settings)
+    expected_net_percent = (
+        expected_net_usdt / position.notional_usdt * 100
+        if position.notional_usdt > 0
+        else 0.0
+    )
+    adaptive = diagnostics.get("adaptive_rules")
+    adaptive_minimum = (
+        _safe_float(adaptive.get("min_exit_profit_percent"), 0.0)
+        if isinstance(adaptive, dict)
+        else 0.0
+    )
+    signal_minimum = _safe_float(diagnostics.get("min_exit_profit_percent"), 0.0)
+    minimum_net_percent = max(
+        _min_exit_net_percent(settings),
+        adaptive_minimum,
+        signal_minimum,
+    )
+    emergency = diagnostics.get("emergency_exit") is True
+    diagnostics.update(
+        {
+            "exit_policy": "profit_only",
+            "profit_only_exit_enabled": True,
+            "expected_exit_fill_price": round(expected_fill_price, 12),
+            "expected_exit_net_usdt": round(expected_net_usdt, 8),
+            "expected_exit_net_percent": round(expected_net_percent, 4),
+            "required_exit_net_percent": round(minimum_net_percent, 4),
+            "emergency_exit": emergency,
+        }
+    )
+    if emergency or expected_net_percent + 1e-9 >= minimum_net_percent:
+        diagnostics["exit_policy_blocked"] = False
+        return Signal(
+            signal.symbol,
+            signal.action,
+            signal.confidence,
+            signal.reason,
+            diagnostics,
+            signal.created_at,
+        )
+
+    diagnostics.update(
+        {
+            "exit_policy_blocked": True,
+            "blocked_sell_reason": signal.reason,
+            "blocked_sell_confidence": signal.confidence,
+        }
+    )
+    return Signal(
+        signal.symbol,
+        "HOLD",
+        min(signal.confidence, 0.49),
+        (
+            "profit-only: продажа заблокирована, ожидаемая чистая доходность "
+            f"{expected_net_percent:.4f}% ниже минимума {minimum_net_percent:.4f}%"
+        ),
+        diagnostics,
+        signal.created_at,
+    )
+
+
+def _expected_sell_fill_price(ticker: Ticker, settings: Settings) -> float:
+    base = ticker.bid if ticker.bid > 0 else ticker.last_price
+    return base * (1 - settings.slippage_rate)
+
+
+def _expected_exit_net_usdt(position: Position, fill_price: float, settings: Settings) -> float:
+    exit_notional = position.qty * fill_price
+    exit_fee = exit_notional * settings.taker_fee_rate
+    gross_pnl = (fill_price - position.entry_price) * position.qty
+    return gross_pnl - position.entry_fee_usdt - exit_fee
+
+
 def _min_exit_net_percent(settings: Settings) -> float:
     return round(_clamp(settings.min_exit_net_percent, 0.0, 5.0), 4)
 

crypto_spot_bot/time_series.py

@@ -2,13 +2,16 @@ from __future__ import annotations
 
 import json
 import math
+import hashlib
 from bisect import bisect_right
 from dataclasses import asdict, dataclass, field
 from datetime import UTC, datetime
+from pathlib import Path
 from typing import Any
 
 from crypto_spot_bot.config import Settings
 from crypto_spot_bot.models import Candle
+from crypto_spot_bot.orderbook_features import ORDERBOOK_FEATURES
 
 
 DEFAULT_TORCH_FEATURES = (
@@ -170,8 +173,18 @@ class TimeSeriesForecast:
 
 
 class TimeSeriesForecaster:
-    def __init__(self, settings: Settings):
+    def __init__(
+        self,
+        settings: Settings,
+        *,
+        model_path: Path | None = None,
+        calibration_path: Path | None = None,
+    ):
         self.settings = settings
+        self.model_path = model_path or settings.time_series_lstm_model_path
+        self.calibration_path = calibration_path or (
+            self.model_path.parent / "torch_threshold_calibration.json"
+        )
         self._lstm_artifact_mtime: float | None = None
         self._lstm_artifact: dict[str, Any] = {}
         self._calibration_mtime: float | None = None
@@ -184,6 +197,7 @@ class TimeSeriesForecaster:
         *,
         market_candles: dict[str, list[Candle]] | None = None,
         trend_candles: list[Candle] | None = None,
+        orderbook_features: dict[str, dict[int, dict[str, float]]] | None = None,
     ) -> TimeSeriesForecast:
         if not self.settings.time_series_forecast_enabled:
             return _empty_forecast(False, "time-series forecast is disabled")
@@ -225,6 +239,7 @@ class TimeSeriesForecaster:
                 symbol=symbol,
                 market_candles=market_candles,
                 trend_candles=trend_candles,
+                orderbook_features=orderbook_features,
             )
             if entry
             else []
@@ -413,7 +428,7 @@ class TimeSeriesForecaster:
     def _load_lstm_artifact(self) -> dict[str, Any]:
         if not self.settings.time_series_lstm_enabled:
             return {}
-        path = self.settings.time_series_lstm_model_path
+        path = self.model_path
         try:
             stat = path.stat()
         except OSError:
@@ -431,7 +446,7 @@ class TimeSeriesForecaster:
         return self._lstm_artifact
 
     def _load_quality_gate(self) -> dict[str, Any]:
-        path = self.settings.time_series_lstm_model_path.parent / "torch_threshold_calibration.json"
+        path = self.calibration_path
         try:
             stat = path.stat()
         except OSError:
@@ -448,6 +463,12 @@ class TimeSeriesForecaster:
         self._calibration_mtime = stat.st_mtime
         return self._quality_gate
 
+    def artifact_sha256(self) -> str:
+        try:
+            return hashlib.sha256(self.model_path.read_bytes()).hexdigest()
+        except OSError:
+            return ""
+
 
 def _empty_forecast(enabled: bool, reason: str) -> TimeSeriesForecast:
     return TimeSeriesForecast(
@@ -554,6 +575,7 @@ def _feature_matrix(
     symbol: str | None = None,
     market_candles: dict[str, list[Candle]] | None = None,
     trend_candles: list[Candle] | None = None,
+    orderbook_features: dict[str, dict[int, dict[str, float]]] | None = None,
 ) -> list[list[float]]:
     names = list(feature_names or DEFAULT_TORCH_FEATURES)
     context = _feature_context(
@@ -561,6 +583,7 @@ def _feature_matrix(
         symbol=symbol,
         market_candles=market_candles,
         trend_candles=trend_candles,
+        orderbook_features=orderbook_features,
     )
     rows: list[list[float]] = []
     for index, candle in enumerate(candles):
@@ -574,6 +597,7 @@ def _feature_context(
     symbol: str | None,
     market_candles: dict[str, list[Candle]] | None,
     trend_candles: list[Candle] | None,
+    orderbook_features: dict[str, dict[int, dict[str, float]]] | None,
 ) -> dict[str, Any]:
     market_candles = market_candles or {}
     normalized_market = {key.upper(): value for key, value in market_candles.items()}
@@ -595,6 +619,9 @@ def _feature_context(
         "context_indexes": context_indexes,
         "trend_candles": trend_rows,
         "trend_positions": trend_positions,
+        "orderbook_features": {
+            key.upper(): value for key, value in (orderbook_features or {}).items()
+        },
     }
 
 
@@ -603,6 +630,12 @@ def _feature_value(name: str, candles: list[Candle], index: int, candle: Candle,
     previous = candles[index - 1] if index >= 1 else candle
     if name.startswith("symbol_is_"):
         return 1.0 if context.get("symbol") == name.removeprefix("symbol_is_").upper() else 0.0
+    if name in ORDERBOOK_FEATURES:
+        symbol_features = (context.get("orderbook_features") or {}).get(
+            context.get("symbol"), {}
+        )
+        values = symbol_features.get(candle.timestamp, {})
+        return _safe_feature(float(values.get(name, 0.0) or 0.0))
     if name == "return_1":
         return _log_change(candle.close, previous.close)
     if name == "return_3":

crypto_spot_bot/training_coordination.py

@@ -17,11 +17,17 @@ from threading import Lock
 from typing import Any
 
 
-ALLOWED_TRAINING_ARTIFACTS = {
+ACTIVE_TRAINING_ARTIFACTS = {
     "lstm_forecaster.json",
     "torch_retrain_guard.json",
     "torch_threshold_calibration.json",
 }
+SHADOW_TRAINING_ARTIFACTS = {
+    "lstm_forecaster.shadow.json",
+    "torch_shadow_guard.json",
+    "torch_shadow_calibration.json",
+}
+ALLOWED_TRAINING_ARTIFACTS = ACTIVE_TRAINING_ARTIFACTS | SHADOW_TRAINING_ARTIFACTS
 RUNNING_LEASE_TIMEOUT = timedelta(minutes=10)
 ONLINE_WINDOW = timedelta(minutes=3)
 MAX_JOB_ATTEMPTS = 3
@@ -29,7 +35,8 @@ MAX_ARTIFACT_CHUNK_BYTES = 1024 * 1024
 # Keep uploads bounded while leaving room for explicitly requested per-symbol bundles.
 MAX_ARTIFACT_BYTES = 256 * 1024 * 1024
 MAX_ARTIFACT_CHUNKS = 1024
-REQUIRED_MODEL_BUNDLE = set(ALLOWED_TRAINING_ARTIFACTS)
+REQUIRED_MODEL_BUNDLE = set(ACTIVE_TRAINING_ARTIFACTS)
+REQUIRED_SHADOW_BUNDLE = set(SHADOW_TRAINING_ARTIFACTS)
 
 
 class TrainingCoordinator:
@@ -46,6 +53,61 @@ class TrainingCoordinator:
             self._save_state(state)
             return self._public_status(state)
 
+    def promote_shadow(self, forward_gate: dict[str, Any]) -> dict[str, Any]:
+        with self._lock:
+            if not bool(forward_gate.get("passed")):
+                raise ValueError("shadow forward gate has not passed")
+            shadow_model = self.runtime_dir / "lstm_forecaster.shadow.json"
+            shadow_calibration = self.runtime_dir / "torch_shadow_calibration.json"
+            shadow_guard = self.runtime_dir / "torch_shadow_guard.json"
+            missing = [
+                path.name
+                for path in (shadow_model, shadow_calibration, shadow_guard)
+                if not path.is_file()
+            ]
+            if missing:
+                raise ValueError("shadow bundle is incomplete: " + ", ".join(missing))
+            model_sha256 = hashlib.sha256(shadow_model.read_bytes()).hexdigest()
+            if str(forward_gate.get("model_sha256") or "") != model_sha256:
+                raise ValueError("shadow forward gate is bound to another model")
+            calibration = _read_json(shadow_calibration)
+            guard = _read_json(shadow_guard)
+            if calibration.get("artifact_sha256") != model_sha256:
+                raise ValueError("shadow calibration is not bound to the model")
+            if not bool(guard.get("accepted")) or guard.get("candidate_artifact_sha256") != model_sha256:
+                raise ValueError("shadow offline guard is invalid")
+
+            promotion_id = str(uuid.uuid4())
+            backup_dir = self.runtime_dir / ".model_backups" / f"{_compact_now()}-shadow-{promotion_id}"
+            backup_dir.mkdir(parents=True, exist_ok=True)
+            targets = {
+                "lstm_forecaster.json": shadow_model,
+                "torch_threshold_calibration.json": shadow_calibration,
+                "torch_retrain_guard.json": shadow_guard,
+            }
+            for target_name in targets:
+                current = self.runtime_dir / target_name
+                if current.is_file():
+                    shutil.copy2(current, backup_dir / target_name)
+            for target_name, source in targets.items():
+                target_tmp = self.runtime_dir / f".{target_name}.{promotion_id}.promote"
+                shutil.copy2(source, target_tmp)
+                os.replace(target_tmp, self.runtime_dir / target_name)
+            gate_path = self.runtime_dir / "torch_shadow_forward_gate.json"
+            gate_tmp = gate_path.with_suffix(".tmp")
+            gate_tmp.write_text(
+                json.dumps(forward_gate, ensure_ascii=False, indent=2) + "\n",
+                encoding="utf-8",
+            )
+            os.replace(gate_tmp, gate_path)
+            return {
+                "promoted": True,
+                "model_sha256": model_sha256,
+                "promotion_id": promotion_id,
+                "backup_dir": str(backup_dir),
+                "promoted_at": _now(),
+            }
+
     def request_retrain(self, payload: dict[str, Any] | None = None) -> dict[str, Any]:
         payload = payload or {}
         with self._lock:
@@ -238,8 +300,17 @@ class TrainingCoordinator:
             self._require_lease(job, payload)
             success = bool(payload.get("success", payload.get("status") == "completed"))
             if success and job.get("artifacts"):
-                promoted = self._validate_and_promote(job_id, job)
+                artifact_names = {
-                job["promoted_artifacts"] = promoted
+                    str(item.get("name"))
+                    for item in job.get("artifacts", [])
+                    if isinstance(item, dict)
+                }
+                if artifact_names & REQUIRED_SHADOW_BUNDLE:
+                    staged = self._validate_and_stage_shadow(job_id, job)
+                    job["shadow_artifacts"] = staged
+                else:
+                    promoted = self._validate_and_promote(job_id, job)
+                    job["promoted_artifacts"] = promoted
             job["status"] = "completed" if success else "failed"
             job["phase"] = "completed" if success else "failed"
             job["progress_percent"] = 100 if success else _coerce_percent(payload.get("progress_percent"), job.get("progress_percent", 0))
@@ -247,7 +318,9 @@ class TrainingCoordinator:
             job["message"] = str(payload.get("message") or "")
             if isinstance(payload.get("summary"), dict):
                 job["summary"] = payload["summary"]
-                if isinstance(payload["summary"].get("accepted"), bool):
+                if str(payload["summary"].get("state") or "").startswith("collecting"):
+                    job["model_decision"] = "collecting"
+                elif isinstance(payload["summary"].get("accepted"), bool):
                     job["model_decision"] = (
                         "accepted" if payload["summary"]["accepted"] else "rejected"
                     )
@@ -318,6 +391,60 @@ class TrainingCoordinator:
         _remove_tree(self.upload_root / job_id)
         return promoted
 
+    def _validate_and_stage_shadow(self, job_id: str, job: dict[str, Any]) -> list[dict[str, Any]]:
+        ready_dir = self.upload_root / job_id / "ready"
+        staged = {path.name for path in ready_dir.iterdir() if path.is_file()} if ready_dir.is_dir() else set()
+        missing = REQUIRED_SHADOW_BUNDLE - staged
+        if missing:
+            raise ValueError("shadow training bundle is incomplete: " + ", ".join(sorted(missing)))
+
+        model_path = ready_dir / "lstm_forecaster.shadow.json"
+        calibration_path = ready_dir / "torch_shadow_calibration.json"
+        guard_path = ready_dir / "torch_shadow_guard.json"
+        model = _read_json(model_path)
+        calibration = _read_json(calibration_path)
+        guard = _read_json(guard_path)
+        if model.get("type") != "pytorch_recurrent_forecaster":
+            raise ValueError("shadow candidate model type is invalid")
+        symbols = model.get("symbols")
+        if not isinstance(symbols, dict) or not symbols:
+            raise ValueError("shadow candidate model has no symbol models")
+        _validate_symbol_models(symbols)
+        model_sha256 = hashlib.sha256(model_path.read_bytes()).hexdigest()
+        if calibration.get("artifact_sha256") != model_sha256:
+            raise ValueError("shadow calibration is not bound to the uploaded model")
+        if not bool(guard.get("accepted")):
+            raise ValueError("shadow candidate did not pass the offline guard")
+        if guard.get("candidate_artifact_sha256") != model_sha256:
+            raise ValueError("shadow guard is not bound to the uploaded model")
+        validation = calibration.get("validation")
+        if not isinstance(validation, dict) or not _validation_passed(validation):
+            raise ValueError("shadow candidate offline quality gate did not pass")
+        if validation.get("protocol") != "untouched_model_holdout_with_threshold_walk_forward":
+            raise ValueError("shadow candidate validation protocol is not an untouched holdout")
+
+        self.runtime_dir.mkdir(parents=True, exist_ok=True)
+        artifact_rows = {
+            str(item.get("name")): item
+            for item in job.get("artifacts", [])
+            if isinstance(item, dict)
+        }
+        installed: list[dict[str, Any]] = []
+        for name in sorted(REQUIRED_SHADOW_BUNDLE):
+            target_tmp = self.runtime_dir / f".{name}.{job_id}.stage"
+            shutil.copy2(ready_dir / name, target_tmp)
+            os.replace(target_tmp, self.runtime_dir / name)
+            row = artifact_rows.get(name, {})
+            installed.append(
+                {
+                    "name": name,
+                    "sha256": row.get("sha256", ""),
+                    "staged_at": _now(),
+                }
+            )
+        _remove_tree(self.upload_root / job_id)
+        return installed
+
     def _load_state(self) -> dict[str, Any]:
         try:
             data = json.loads(self.state_path.read_text(encoding="utf-8"))
@@ -464,6 +591,10 @@ def _safe_parameters(value: Any) -> dict[str, Any]:
         "interval",
         "pooled",
         "resume_candidate",
+        "use_orderbook",
+        "orderbook_min_samples_per_bucket",
+        "orderbook_min_covered_buckets",
+        "orderbook_min_symbols",
     }
     result = {key: value[key] for key in allowed if key in value}
     for key, low, high in (
@@ -475,6 +606,9 @@ def _safe_parameters(value: Any) -> dict[str, Any]:
         ("horizon", 1, 96),
         ("patience", 1, 50),
         ("seed", 1, 2_147_483_647),
+        ("orderbook_min_samples_per_bucket", 1, 5000),
+        ("orderbook_min_covered_buckets", 96, 20000),
+        ("orderbook_min_symbols", 1, 30),
     ):
         if key not in result:
             continue
@@ -523,6 +657,8 @@ def _safe_parameters(value: Any) -> dict[str, Any]:
         result["pooled"] = result["pooled"] is True
     if "resume_candidate" in result:
         result["resume_candidate"] = result["resume_candidate"] is True
+    if "use_orderbook" in result:
+        result["use_orderbook"] = result["use_orderbook"] is True
     return result
 
 

tests/test_orderbook_shadow.py

@@ -0,0 +1,175 @@
+from __future__ import annotations
+
+import base64
+import hashlib
+import json
+
+import pytest
+
+from crypto_spot_bot.models import Candle
+from crypto_spot_bot.orderbook_features import aggregate_orderbook_observations
+from crypto_spot_bot.shadow import shadow_gate_snapshot
+from crypto_spot_bot.storage import Storage
+from crypto_spot_bot.time_series import _feature_matrix
+from crypto_spot_bot.training_coordination import TrainingCoordinator
+
+
+def test_orderbook_aggregation_is_bucketed_and_rejects_sparse_hours() -> None:
+    rows = [
+        _observation(1_700_000_000_000, imbalance=0.6, spread=2.0, mid=100.0, micro=100.01),
+        _observation(1_700_000_030_000, imbalance=0.2, spread=4.0, mid=100.0, micro=99.99),
+        _observation(1_700_003_600_000, imbalance=-0.9, spread=8.0, mid=100.0, micro=100.02),
+    ]
+
+    features, manifest = aggregate_orderbook_observations(
+        rows,
+        interval="60",
+        min_samples_per_bucket=2,
+    )
+
+    assert manifest["BTCUSDT"]["covered_buckets"] == 1
+    assert manifest["BTCUSDT"]["rejected_buckets"] == 1
+    values = next(iter(features["BTCUSDT"].values()))
+    assert values["l1_imbalance_mean"] == pytest.approx(0.4)
+    assert values["l1_imbalance_std"] == pytest.approx(0.2)
+    assert values["l1_spread_bps_mean"] == pytest.approx(3.0)
+    assert values["l1_microprice_deviation_bps_mean"] == pytest.approx(0.0)
+
+
+def test_feature_matrix_uses_only_the_matching_closed_candle_bucket() -> None:
+    candles = [
+        Candle(timestamp=0, open=100, high=101, low=99, close=100, volume=1, turnover=100),
+        Candle(timestamp=3_600_000, open=100, high=101, low=99, close=100, volume=1, turnover=100),
+    ]
+    features = {
+        "BTCUSDT": {
+            0: {"l1_imbalance_mean": 0.25},
+            3_600_000: {"l1_imbalance_mean": -0.75},
+            7_200_000: {"l1_imbalance_mean": 0.99},
+        }
+    }
+
+    matrix = _feature_matrix(
+        candles,
+        ["l1_imbalance_mean"],
+        symbol="BTCUSDT",
+        orderbook_features=features,
+    )
+
+    assert matrix == [[0.25], [-0.75]]
+
+
+def test_shadow_gate_uses_only_settled_forward_predictions(tmp_path, monkeypatch) -> None:
+    monkeypatch.setenv("SHADOW_GATE_MIN_SETTLED", "2")
+    monkeypatch.setenv("SHADOW_GATE_MIN_ELIGIBLE", "2")
+    monkeypatch.setenv("SHADOW_GATE_MIN_SYMBOLS", "1")
+    monkeypatch.setenv("SHADOW_GATE_MIN_DIRECTION_ACCURACY", "0.5")
+    monkeypatch.setenv("SHADOW_GATE_MAX_BRIER", "0.25")
+    storage = Storage(tmp_path / "bot.sqlite3")
+    model_sha = "a" * 64
+    for timestamp, actual in ((1, 1.0), (2, 2.0)):
+        storage.insert_shadow_prediction(
+            model_sha256=model_sha,
+            symbol="BTCUSDT",
+            forecast_timestamp_ms=timestamp,
+            horizon=1,
+            reference_price=100.0,
+            expected_return_percent=1.0,
+            probability_up=0.8,
+            eligible_signal=True,
+        )
+        row = storage.pending_shadow_predictions(
+            model_sha256=model_sha,
+            symbol="BTCUSDT",
+        )[0]
+        storage.settle_shadow_prediction(
+            row["id"],
+            actual_return_percent=actual,
+            take_profit_first=True,
+        )
+
+    gate = shadow_gate_snapshot(storage, model_sha)
+
+    assert gate["state"] == "passed"
+    assert gate["settled_predictions"] == 2
+    assert gate["eligible_predictions"] == 2
+    assert gate["total_net_percent"] == pytest.approx(3.0)
+
+
+def test_shadow_bundle_does_not_replace_active_model(tmp_path) -> None:
+    active = {"type": "active-model"}
+    (tmp_path / "lstm_forecaster.json").write_text(json.dumps(active), encoding="utf-8")
+    coordinator = TrainingCoordinator(tmp_path)
+    job = coordinator.request_retrain({"source": "test"})["job"]
+    lease_token = coordinator.claim({"worker_id": "worker-1"})["lease_token"]
+    model = {
+        "type": "pytorch_recurrent_forecaster",
+        "symbols": {
+            "BTCUSDT": {
+                "model": "torch_gru",
+                "lookback": 4,
+                "input_size": 1,
+                "hidden_size": 1,
+                "state_dict": {"weight_ih_l0": [[0.0]]},
+                "head_weight": [[0.0]],
+                "head_bias": [0.0],
+            }
+        },
+    }
+    model_payload = (json.dumps(model) + "\n").encode()
+    model_sha = hashlib.sha256(model_payload).hexdigest()
+    artifacts = {
+        "lstm_forecaster.shadow.json": model_payload,
+        "torch_shadow_guard.json": (
+            json.dumps({"accepted": True, "candidate_artifact_sha256": model_sha}) + "\n"
+        ).encode(),
+        "torch_shadow_calibration.json": (
+            json.dumps(
+                {
+                    "artifact_sha256": model_sha,
+                    "validation": {
+                        "passed": True,
+                        "protocol": "untouched_model_holdout_with_threshold_walk_forward",
+                    },
+                }
+            )
+            + "\n"
+        ).encode(),
+    }
+    for name, payload in artifacts.items():
+        coordinator.save_artifact_chunk(
+            job["id"],
+            {
+                "name": name,
+                "index": 0,
+                "total": 1,
+                "sha256": hashlib.sha256(payload).hexdigest(),
+                "data_base64": base64.b64encode(payload).decode("ascii"),
+                "lease_token": lease_token,
+            },
+        )
+
+    completed = coordinator.complete(
+        job["id"],
+        {"success": True, "summary": {"accepted": True, "deployment": "shadow"}, "lease_token": lease_token},
+    )
+
+    assert completed["job"]["status"] == "completed"
+    assert json.loads((tmp_path / "lstm_forecaster.json").read_text(encoding="utf-8")) == active
+    assert json.loads((tmp_path / "lstm_forecaster.shadow.json").read_text(encoding="utf-8"))["type"] == "pytorch_recurrent_forecaster"
+
+
+def _observation(timestamp_ms: int, *, imbalance: float, spread: float, mid: float, micro: float) -> dict:
+    return {
+        "symbol": "BTCUSDT",
+        "bid_price": mid - 0.01,
+        "bid_size": 2.0,
+        "ask_price": mid + 0.01,
+        "ask_size": 1.0,
+        "mid_price": mid,
+        "microprice": micro,
+        "spread_bps": spread,
+        "imbalance": imbalance,
+        "source_timestamp_ms": timestamp_ms,
+        "created_at": "",
+    }

tests/test_strategy.py

@@ -2,9 +2,85 @@ from __future__ import annotations
 
 from datetime import timedelta
 
-from crypto_spot_bot.models import Candle, Position, Ticker, utc_now
+from crypto_spot_bot.models import Candle, Position, Signal, Ticker, utc_now
 from crypto_spot_bot.patterns import PatternAnalyzer
-from crypto_spot_bot.strategy import SpotStrategy
+from crypto_spot_bot.strategy import SpotStrategy, apply_profit_only_exit_policy
+
+
+def test_profit_only_policy_blocks_every_ordinary_loss_exit(make_settings, tmp_path) -> None:
+    settings = make_settings(
+        tmp_path,
+        profit_only_exit_enabled=True,
+        min_exit_net_percent=0.31,
+        taker_fee_rate=0.001,
+        slippage_rate=0.0003,
+    )
+    position = Position(1, "ETHUSDT", 1, 100, 100, 0.1, 96, 103.5, 100)
+    ticker = Ticker("ETHUSDT", 100.2, 100.19, 100.21, 1_000_000, 100, 0)
+    candidate = Signal("ETHUSDT", "SELL", 0.76, "RSI high and price turned down")
+
+    decision = apply_profit_only_exit_policy(settings, position, ticker, candidate)
+
+    assert decision.action == "HOLD"
+    assert decision.diagnostics["exit_policy_blocked"] is True
+    assert decision.diagnostics["blocked_sell_reason"] == candidate.reason
+    assert decision.diagnostics["expected_exit_net_percent"] < settings.min_exit_net_percent
+
+
+def test_profit_only_policy_allows_exit_above_net_margin(make_settings, tmp_path) -> None:
+    settings = make_settings(
+        tmp_path,
+        profit_only_exit_enabled=True,
+        min_exit_net_percent=0.31,
+        taker_fee_rate=0.001,
+        slippage_rate=0.0003,
+    )
+    position = Position(1, "ETHUSDT", 1, 100, 100, 0.1, 96, 103.5, 101)
+    ticker = Ticker("ETHUSDT", 101, 100.99, 101.01, 1_000_000, 100, 0)
+    candidate = Signal("ETHUSDT", "SELL", 0.96, "take-profit")
+
+    decision = apply_profit_only_exit_policy(settings, position, ticker, candidate)
+
+    assert decision.action == "SELL"
+    assert decision.diagnostics["exit_policy_blocked"] is False
+    assert decision.diagnostics["expected_exit_net_percent"] >= settings.min_exit_net_percent
+
+
+def test_profit_only_policy_uses_adaptive_minimum(make_settings, tmp_path) -> None:
+    settings = make_settings(tmp_path, profit_only_exit_enabled=True, min_exit_net_percent=0.20)
+    position = Position(1, "ETHUSDT", 1, 100, 100, 0.1, 96, 103.5, 101)
+    ticker = Ticker("ETHUSDT", 101, 100.99, 101.01, 1_000_000, 100, 0)
+    candidate = Signal(
+        "ETHUSDT",
+        "SELL",
+        0.76,
+        "EMA exit",
+        {"adaptive_rules": {"min_exit_profit_percent": 0.80}},
+    )
+
+    decision = apply_profit_only_exit_policy(settings, position, ticker, candidate)
+
+    assert decision.action == "HOLD"
+    assert decision.diagnostics["required_exit_net_percent"] == 0.80
+
+
+def test_profit_only_policy_allows_explicit_emergency_loss_exit(make_settings, tmp_path) -> None:
+    settings = make_settings(tmp_path, profit_only_exit_enabled=True, min_exit_net_percent=0.31)
+    position = Position(1, "ETHUSDT", 1, 100, 100, 0.1, 96, 103.5, 100)
+    ticker = Ticker("ETHUSDT", 95, 94.99, 95.01, 1_000_000, 100, 0)
+    candidate = Signal(
+        "ETHUSDT",
+        "SELL",
+        1.0,
+        "configured emergency",
+        {"emergency_exit": True, "emergency_exit_type": "configured_stop_loss"},
+    )
+
+    decision = apply_profit_only_exit_policy(settings, position, ticker, candidate)
+
+    assert decision.action == "SELL"
+    assert decision.diagnostics["exit_policy_blocked"] is False
+    assert decision.diagnostics["expected_exit_net_percent"] < 0
 
 
 def _ready_candles() -> list[Candle]:

tools/calibrate_torch_thresholds.py

@@ -26,6 +26,7 @@ from crypto_spot_bot.bybit import BybitClient
 from crypto_spot_bot.config import load_settings
 from crypto_spot_bot.indicators import add_indicators
 from crypto_spot_bot.models import Candle
+from crypto_spot_bot.orderbook_features import ORDERBOOK_FEATURES, load_orderbook_feature_map
 from crypto_spot_bot.time_series import (
     DEFAULT_TORCH_FEATURES,
     _barrier_outcome,
@@ -97,6 +98,14 @@ def main() -> None:
     context_symbols = sorted(set(symbols + _symbols(args.context_symbols, ())))
     horizon = args.horizon if args.horizon > 0 else settings.time_series_forecast_horizon
     round_trip_cost = _artifact_round_trip_cost(artifact, settings)
+    orderbook_features: dict[str, dict[int, dict[str, float]]] = {}
+    if args.orderbook_db:
+        orderbook_features, _orderbook_manifest = load_orderbook_feature_map(
+            args.orderbook_db,
+            interval=settings.base_interval,
+            symbols=symbols,
+            min_samples_per_bucket=args.orderbook_min_samples_per_bucket,
+        )
 
     market_candles: dict[str, list[Candle]] = {}
     for symbol in context_symbols:
@@ -125,6 +134,7 @@ def main() -> None:
             min_candles=max(30, settings.time_series_min_candles),
             calibration_window=args.calibration_window,
             batch_size=args.batch_size,
+            orderbook_features=orderbook_features,
         )
         records.extend(symbol_records)
         per_symbol_counts[symbol] = len(symbol_records)
@@ -304,6 +314,8 @@ def _parse_args() -> argparse.Namespace:
     parser.add_argument("--min-oos-folds-with-trades", type=int, default=2, help="Minimum walk-forward folds that must produce trades.")
     parser.add_argument("--min-oos-profit-factor", type=float, default=1.10, help="Minimum out-of-sample profit factor.")
     parser.add_argument("--min-benchmark-edge-percent", type=float, default=0.0, help="Required total-net percent advantage over the benchmark.")
+    parser.add_argument("--orderbook-db", default="", help="SQLite cache used by an artifact with L1 features.")
+    parser.add_argument("--orderbook-min-samples-per-bucket", type=int, default=20)
     return parser.parse_args()
 
 
@@ -352,6 +364,7 @@ def _forecast_records(
     min_candles: int,
     calibration_window: int,
     batch_size: int,
+    orderbook_features: dict[str, dict[int, dict[str, float]]] | None = None,
 ) -> list[ForecastRecord]:
     entry = _torch_recurrent_entry(symbol, artifact)
     model = _torch_recurrent_model_name(symbol, artifact)
@@ -364,6 +377,7 @@ def _forecast_records(
         symbol=symbol,
         market_candles=market_candles,
         trend_candles=trend_candles,
+        orderbook_features=orderbook_features,
     )
     closes = [float(candle.close) for candle in candles]
     decision_horizon = _calibration_horizon(entry, horizon, explicit=horizon_is_explicit)
@@ -376,6 +390,18 @@ def _forecast_records(
         start += 1
     if calibration_window > 0:
         start = max(start, end - calibration_window)
+    lookback = max(1, int(float(entry.get("lookback", 64))))
+    requires_orderbook = any(name in ORDERBOOK_FEATURES for name in feature_names)
+    symbol_orderbook = (orderbook_features or {}).get(symbol.upper(), {})
+    valid_indices = {
+        index
+        for index in range(start, max(start, end))
+        if not requires_orderbook
+        or all(
+            candles[position].timestamp in symbol_orderbook
+            for position in range(index - lookback + 1, index + 1)
+        )
+    }
     batched_records = _batch_forecast_records(
         symbol=symbol,
         candles=candles,
@@ -389,6 +415,7 @@ def _forecast_records(
         start=start,
         end=end,
         batch_size=batch_size,
+        valid_indices=valid_indices,
     )
     if batched_records is not None:
         return batched_records
@@ -398,6 +425,8 @@ def _forecast_records(
     # belong exclusively to the final quality gate and cannot influence replay.
     skill = _entry_validation_skill(entry)
     for index in range(start, max(start, end)):
+        if index not in valid_indices:
+            continue
         prediction = _torch_recurrent_predict(
             _log_returns(closes[: index + 1]),
             symbol,
@@ -476,6 +505,7 @@ def _batch_forecast_records(
     start: int,
     end: int,
     batch_size: int,
+    valid_indices: set[int] | None = None,
 ) -> list[ForecastRecord] | None:
     if torch is None or RecurrentReturnModel is None:
         return None
@@ -494,7 +524,9 @@ def _batch_forecast_records(
     indices = [
         index
         for index in range(start, max(start, end))
-        if index - lookback + 1 >= 0 and index + decision_horizon < len(closes)
+        if index - lookback + 1 >= 0
+        and index + decision_horizon < len(closes)
+        and (valid_indices is None or index in valid_indices)
     ]
     if not indices:
         return []

tools/run_torch_retrain.ps1

@@ -22,6 +22,10 @@ param(
     [int]$HoldoutWindow = 0,
     [string]$Interval = "",
     [string]$EnvFile = "",
+    [string]$OrderbookDb = "",
+    [int]$OrderbookMinSamplesPerBucket = 0,
+    [int]$OrderbookMinCoveredBuckets = 0,
+    [int]$OrderbookMinSymbols = 0,
     [switch]$Pooled,
     [switch]$SkipGuard,
     [switch]$ResumeCandidate
@@ -124,6 +128,10 @@ if ($HoldoutWindow -le 0) { $HoldoutWindow = if ($env:TORCH_RETRAIN_HOLDOUT_WIND
 if (-not $Interval -and $env:TORCH_RETRAIN_INTERVAL) { $Interval = $env:TORCH_RETRAIN_INTERVAL }
 if (-not $EnvFile -and $env:TORCH_RETRAIN_ENV) { $EnvFile = $env:TORCH_RETRAIN_ENV }
 if (-not $EnvFile -and (Test-Path (Join-Path $RepoRoot ".env"))) { $EnvFile = Join-Path $RepoRoot ".env" }
+if (-not $OrderbookDb -and $env:TORCH_ORDERBOOK_DB) { $OrderbookDb = $env:TORCH_ORDERBOOK_DB }
+if ($OrderbookMinSamplesPerBucket -le 0) { $OrderbookMinSamplesPerBucket = if ($env:TORCH_ORDERBOOK_MIN_SAMPLES_PER_BUCKET) { [int]$env:TORCH_ORDERBOOK_MIN_SAMPLES_PER_BUCKET } else { 20 } }
+if ($OrderbookMinCoveredBuckets -le 0) { $OrderbookMinCoveredBuckets = if ($env:TORCH_ORDERBOOK_MIN_COVERED_BUCKETS) { [int]$env:TORCH_ORDERBOOK_MIN_COVERED_BUCKETS } else { 240 } }
+if ($OrderbookMinSymbols -le 0) { $OrderbookMinSymbols = if ($env:TORCH_ORDERBOOK_MIN_SYMBOLS) { [int]$env:TORCH_ORDERBOOK_MIN_SYMBOLS } else { 2 } }
 
 $ModelFile = if ($env:TIME_SERIES_LSTM_MODEL_PATH) { $env:TIME_SERIES_LSTM_MODEL_PATH } else { Join-Path $RuntimeDir "lstm_forecaster.json" }
 if (-not [System.IO.Path]::IsPathRooted($ModelFile)) { $ModelFile = Join-Path $RepoRoot $ModelFile }
@@ -131,6 +139,10 @@ $CandidateFile = Join-Path $RuntimeDir "lstm_forecaster.candidate.json"
 $CurrentCalibration = Join-Path $RuntimeDir "torch_guard_current.json"
 $CandidateCalibration = Join-Path $RuntimeDir "torch_guard_candidate.json"
 $GuardReport = Join-Path $RuntimeDir "torch_retrain_guard.json"
+$ShadowModelFile = Join-Path $RuntimeDir "lstm_forecaster.shadow.json"
+$ShadowCalibration = Join-Path $RuntimeDir "torch_shadow_calibration.json"
+$ShadowGuard = Join-Path $RuntimeDir "torch_shadow_guard.json"
+$ShadowMode = -not [string]::IsNullOrWhiteSpace($OrderbookDb)
 
 $mutex = New-Object System.Threading.Mutex($false, "TradeBotTorchRecurrentRetrainer")
 $hasLock = $false
@@ -177,6 +189,14 @@ try {
     if ($Features) { $trainerArgs += @("--features", $Features) }
     if ($ContextSymbols) { $trainerArgs += @("--context-symbols", $ContextSymbols) }
     if ($Seed -gt 0) { $trainerArgs += @("--seed", $Seed.ToString()) }
+    if ($OrderbookDb) {
+        $trainerArgs += @(
+            "--orderbook-db", $OrderbookDb,
+            "--orderbook-min-samples-per-bucket", $OrderbookMinSamplesPerBucket.ToString(),
+            "--orderbook-min-covered-buckets", $OrderbookMinCoveredBuckets.ToString(),
+            "--orderbook-min-symbols", $OrderbookMinSymbols.ToString()
+        )
+    }
 
     Push-Location $RepoRoot
     $pushedLocation = $true
@@ -216,6 +236,12 @@ try {
     )
     if ($Symbols) { $calibrationBaseArgs += @("--symbols", $Symbols) }
     if ($EnvFile) { $calibrationBaseArgs += @("--env", $EnvFile) }
+    if ($OrderbookDb) {
+        $calibrationBaseArgs += @(
+            "--orderbook-db", $OrderbookDb,
+            "--orderbook-min-samples-per-bucket", $OrderbookMinSamplesPerBucket.ToString()
+        )
+    }
 
     if (Test-Path $ModelFile) {
         Write-RetrainLog "Calibrating current artifact for guard."
@@ -243,13 +269,14 @@ try {
     }
 
     Write-RetrainLog "Running retrain guard."
+    $GuardTarget = if ($ShadowMode) { $ShadowModelFile } else { $ModelFile }
     $guardArgs = @(
         "-u",
         "tools\accept_torch_candidate.py",
         "--current-report", $CurrentCalibration,
         "--candidate-report", $CandidateCalibration,
         "--candidate-artifact", $CandidateFile,
-        "--target-artifact", $ModelFile,
+        "--target-artifact", $GuardTarget,
         "--report", $GuardReport
     )
     $guardExitCode = Invoke-LoggedNativeCommand -FilePath $python -ArgumentList $guardArgs -LogPath $LogFile
@@ -261,10 +288,22 @@ try {
         throw "Retrain guard failed with exit code $guardExitCode."
     }
     if (Test-Path $CandidateCalibration) {
-        Copy-Item -Force -LiteralPath $CandidateCalibration -Destination (Join-Path $RuntimeDir "torch_threshold_calibration.json")
+        if ($ShadowMode) {
-        Write-RetrainLog "Updated active threshold calibration: $(Join-Path $RuntimeDir "torch_threshold_calibration.json")"
+            Copy-Item -Force -LiteralPath $CandidateCalibration -Destination $ShadowCalibration
+            Copy-Item -Force -LiteralPath $GuardReport -Destination $ShadowGuard
+            Write-RetrainLog "Candidate passed offline gate and was staged for shadow only: $ShadowModelFile"
+        }
+        else {
+            Copy-Item -Force -LiteralPath $CandidateCalibration -Destination (Join-Path $RuntimeDir "torch_threshold_calibration.json")
+            Write-RetrainLog "Updated active threshold calibration: $(Join-Path $RuntimeDir "torch_threshold_calibration.json")"
+        }
+    }
+    if ($ShadowMode) {
+        Write-RetrainLog "Candidate accepted by offline guard. Active artifact was not changed: $ModelFile"
+    }
+    else {
+        Write-RetrainLog "Candidate accepted by guard. Active artifact: $ModelFile"
     }
-    Write-RetrainLog "Candidate accepted by guard. Active artifact: $ModelFile"
 }
 catch {
     Write-RetrainLog "ERROR: $($_.Exception.Message)"

tools/sync_orderbook_observations.py

@@ -0,0 +1,210 @@
+from __future__ import annotations
+
+import argparse
+import base64
+import json
+import os
+import sqlite3
+from pathlib import Path
+from typing import Any
+from urllib.error import HTTPError, URLError
+from urllib.parse import urlencode
+from urllib.request import Request, urlopen
+
+
+def sync_orderbook_observations(
+    *,
+    api_base_url: str,
+    token: str,
+    database_path: str | Path,
+    timeout: int = 60,
+    page_limit: int = 5000,
+) -> dict[str, Any]:
+    path = Path(database_path)
+    path.parent.mkdir(parents=True, exist_ok=True)
+    _init_schema(path)
+    manifest = _get_json(
+        api_base_url,
+        "/api/training/market-observations/manifest",
+        token=token,
+        timeout=timeout,
+    )
+    rows = manifest.get("items") if isinstance(manifest.get("items"), list) else []
+    downloaded = 0
+    symbol_results: list[dict[str, Any]] = []
+    for row in rows:
+        if not isinstance(row, dict):
+            continue
+        symbol = str(row.get("symbol") or "").strip().upper()
+        remote_max_id = int(row.get("max_id", 0) or 0)
+        if not symbol or remote_max_id <= 0:
+            continue
+        after_id = _local_max_id(path, symbol)
+        symbol_downloaded = 0
+        while after_id < remote_max_id:
+            query = urlencode(
+                {
+                    "symbol": symbol,
+                    "after_id": after_id,
+                    "limit": max(1, min(5000, int(page_limit))),
+                }
+            )
+            payload = _get_json(
+                api_base_url,
+                f"/api/training/market-observations?{query}",
+                token=token,
+                timeout=timeout,
+            )
+            items = payload.get("items") if isinstance(payload.get("items"), list) else []
+            if not items:
+                break
+            inserted = _insert_rows(path, items)
+            symbol_downloaded += inserted
+            downloaded += inserted
+            next_after_id = int(payload.get("next_after_id", after_id) or after_id)
+            if next_after_id <= after_id:
+                break
+            after_id = next_after_id
+        symbol_results.append(
+            {
+                "symbol": symbol,
+                "downloaded": symbol_downloaded,
+                "local_max_id": _local_max_id(path, symbol),
+                "remote_max_id": remote_max_id,
+            }
+        )
+    return {
+        "database_path": str(path.resolve()),
+        "downloaded": downloaded,
+        "symbols": symbol_results,
+        "local_samples": _local_count(path),
+    }
+
+
+def _init_schema(path: Path) -> None:
+    with sqlite3.connect(path) as connection:
+        connection.executescript(
+            """
+            PRAGMA journal_mode=WAL;
+            CREATE TABLE IF NOT EXISTS market_observations (
+                id INTEGER PRIMARY KEY,
+                symbol TEXT NOT NULL,
+                bid_price REAL NOT NULL,
+                bid_size REAL NOT NULL,
+                ask_price REAL NOT NULL,
+                ask_size REAL NOT NULL,
+                mid_price REAL NOT NULL,
+                microprice REAL NOT NULL,
+                spread_bps REAL NOT NULL,
+                imbalance REAL NOT NULL,
+                last_price REAL NOT NULL,
+                source_timestamp_ms INTEGER NOT NULL DEFAULT 0,
+                created_at TEXT NOT NULL
+            );
+            CREATE INDEX IF NOT EXISTS idx_local_market_observations_symbol_id
+                ON market_observations(symbol, id);
+            """
+        )
+
+
+def _insert_rows(path: Path, rows: list[Any]) -> int:
+    values = []
+    for row in rows:
+        if not isinstance(row, dict):
+            continue
+        values.append(
+            (
+                int(row.get("id", 0) or 0),
+                str(row.get("symbol") or "").upper(),
+                float(row.get("bid_price", 0.0) or 0.0),
+                float(row.get("bid_size", 0.0) or 0.0),
+                float(row.get("ask_price", 0.0) or 0.0),
+                float(row.get("ask_size", 0.0) or 0.0),
+                float(row.get("mid_price", 0.0) or 0.0),
+                float(row.get("microprice", 0.0) or 0.0),
+                float(row.get("spread_bps", 0.0) or 0.0),
+                float(row.get("imbalance", 0.0) or 0.0),
+                float(row.get("last_price", 0.0) or 0.0),
+                int(row.get("source_timestamp_ms", 0) or 0),
+                str(row.get("created_at") or ""),
+            )
+        )
+    if not values:
+        return 0
+    with sqlite3.connect(path) as connection:
+        before = connection.total_changes
+        connection.executemany(
+            """
+            INSERT OR IGNORE INTO market_observations (
+                id, symbol, bid_price, bid_size, ask_price, ask_size,
+                mid_price, microprice, spread_bps, imbalance, last_price,
+                source_timestamp_ms, created_at
+            ) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
+            """,
+            values,
+        )
+        return connection.total_changes - before
+
+
+def _local_max_id(path: Path, symbol: str) -> int:
+    with sqlite3.connect(path) as connection:
+        row = connection.execute(
+            "SELECT MAX(id) FROM market_observations WHERE symbol = ?",
+            (symbol,),
+        ).fetchone()
+    return int(row[0] or 0) if row else 0
+
+
+def _local_count(path: Path) -> int:
+    with sqlite3.connect(path) as connection:
+        row = connection.execute("SELECT COUNT(*) FROM market_observations").fetchone()
+    return int(row[0] or 0) if row else 0
+
+
+def _get_json(api_base_url: str, path: str, *, token: str, timeout: int) -> dict[str, Any]:
+    headers = {"Accept": "application/json"}
+    headers.update(_auth_headers(token))
+    request = Request(api_base_url.rstrip("/") + path, headers=headers, method="GET")
+    try:
+        with urlopen(request, timeout=timeout) as response:
+            text = response.read().decode("utf-8")
+    except HTTPError as exc:
+        detail = exc.read().decode("utf-8", errors="replace")
+        raise RuntimeError(f"HTTP {exc.code} {path}: {detail[:300]}") from exc
+    except URLError as exc:
+        raise RuntimeError(f"network error {path}: {exc.reason}") from exc
+    data = json.loads(text) if text.strip() else {}
+    return data if isinstance(data, dict) else {}
+
+
+def _auth_headers(token: str) -> dict[str, str]:
+    value = token.strip()
+    if not value:
+        return {}
+    headers = {"X-TradeBot-Token": value}
+    if value.lower().startswith(("basic ", "bearer ")):
+        headers["Authorization"] = value
+    elif ":" in value:
+        encoded = base64.b64encode(value.encode("utf-8")).decode("ascii")
+        headers["Authorization"] = f"Basic {encoded}"
+    else:
+        headers["Authorization"] = f"Bearer {value}"
+    return headers
+
+
+def main() -> None:
+    parser = argparse.ArgumentParser(description="Synchronize TradeBot L1 observations to a local SQLite cache.")
+    parser.add_argument("--api-base-url", default=os.environ.get("TRADEBOT_API_BASE_URL", "https://tb.kusoft.xyz"))
+    parser.add_argument("--api-auth", default=os.environ.get("TRADEBOT_API_AUTH", ""))
+    parser.add_argument("--database", default="runtime/orderbook_observations.sqlite3")
+    args = parser.parse_args()
+    result = sync_orderbook_observations(
+        api_base_url=args.api_base_url,
+        token=args.api_auth,
+        database_path=args.database,
+    )
+    print(json.dumps(result, ensure_ascii=False))
+
+
+if __name__ == "__main__":
+    main()

tools/train_torch_recurrent_forecaster.py

@@ -28,6 +28,7 @@ from crypto_spot_bot.bybit import BybitClient
 from crypto_spot_bot.config import load_settings
 from crypto_spot_bot.indicators import add_indicators
 from crypto_spot_bot.models import Candle
+from crypto_spot_bot.orderbook_features import ORDERBOOK_FEATURES, load_orderbook_feature_map
 from crypto_spot_bot.time_series import (
     DEFAULT_TORCH_FEATURES,
     _barrier_outcome,
@@ -41,6 +42,8 @@ EVENT_OUTPUT_NAME = "logit_tp_first"
 OUTPUT_LAYOUT = (*RETURN_OUTPUT_LAYOUT, EVENT_OUTPUT_NAME)
 TARGET_TRANSFORM = "barrier_net_return"
 QUANTILES = {"q10": 0.10, "q50": 0.50, "q90": 0.90}
+_ORDERBOOK_FEATURES_BY_SYMBOL: dict[str, dict[int, dict[str, float]]] = {}
+_ORDERBOOK_MANIFEST: dict[str, dict[str, Any]] = {}
 
 
 @dataclass(slots=True)
@@ -161,6 +164,7 @@ class RecurrentReturnModel(nn.Module):
 
 
 def main() -> None:
+    global _ORDERBOOK_FEATURES_BY_SYMBOL, _ORDERBOOK_MANIFEST
     args = _parse_args()
     if args.threads > 0:
         torch.set_num_threads(args.threads)
@@ -175,6 +179,33 @@ def main() -> None:
     decision_horizon = args.horizon if args.horizon > 0 else max(1, settings.time_series_forecast_horizon)
     target_horizons = _horizons(args.horizons, decision_horizon)
     feature_names = _feature_names_arg(args.features)
+    if args.orderbook_db:
+        _ORDERBOOK_FEATURES_BY_SYMBOL, _ORDERBOOK_MANIFEST = load_orderbook_feature_map(
+            args.orderbook_db,
+            interval=interval,
+            symbols=symbols,
+            min_samples_per_bucket=args.orderbook_min_samples_per_bucket,
+        )
+        eligible_symbols = [
+            symbol
+            for symbol in symbols
+            if int(_ORDERBOOK_MANIFEST.get(symbol, {}).get("covered_buckets", 0) or 0)
+            >= args.orderbook_min_covered_buckets
+        ]
+        if len(eligible_symbols) < max(1, args.orderbook_min_symbols):
+            coverage = ", ".join(
+                f"{symbol}={int(_ORDERBOOK_MANIFEST.get(symbol, {}).get('covered_buckets', 0) or 0)}"
+                for symbol in symbols
+            )
+            raise SystemExit(
+                "Orderbook coverage is below the training minimum: "
+                f"need {args.orderbook_min_covered_buckets} buckets for "
+                f"{args.orderbook_min_symbols} symbols; got {coverage or 'no data'}"
+            )
+        symbols = eligible_symbols
+        for feature_name in ORDERBOOK_FEATURES:
+            if feature_name not in feature_names:
+                feature_names.append(feature_name)
     if args.pooled:
         feature_names.extend(f"symbol_is_{symbol}" for symbol in symbols)
     ensemble_seeds = _ints(args.ensemble_seeds) or [args.seed]
@@ -214,6 +245,15 @@ def main() -> None:
         "selection_folds": args.selection_folds,
         "symbols": {},
     }
+    if args.orderbook_db:
+        artifact["orderbook_features"] = {
+            "source": "forward_collected_bybit_l1",
+            "interval": interval,
+            "min_samples_per_bucket": args.orderbook_min_samples_per_bucket,
+            "min_covered_buckets": args.orderbook_min_covered_buckets,
+            "features": list(ORDERBOOK_FEATURES),
+            "coverage": {symbol: _ORDERBOOK_MANIFEST.get(symbol, {}) for symbol in symbols},
+        }
 
     if args.pooled:
         artifact["version"] = 7
@@ -584,6 +624,10 @@ def _parse_args() -> argparse.Namespace:
     parser.add_argument("--threads", type=int, default=0, help="Torch CPU threads; 0 keeps torch default.")
     parser.add_argument("--device", default="auto", help="auto, cpu, cuda, or mps.")
     parser.add_argument("--output", default="", help="Output JSON path. Defaults to TIME_SERIES_LSTM_MODEL_PATH.")
+    parser.add_argument("--orderbook-db", default="", help="SQLite cache containing forward-collected L1 observations.")
+    parser.add_argument("--orderbook-min-samples-per-bucket", type=int, default=20)
+    parser.add_argument("--orderbook-min-covered-buckets", type=int, default=240)
+    parser.add_argument("--orderbook-min-symbols", type=int, default=2)
     return parser.parse_args()
 
 
@@ -802,6 +846,7 @@ def _prepare_data(
         symbol=symbol,
         market_candles=market_candles,
         trend_candles=trend_candles,
+        orderbook_features=_ORDERBOOK_FEATURES_BY_SYMBOL,
     )
     max_horizon = max(target_horizons)
     samples: list[TrainingSample] = []
@@ -812,6 +857,11 @@ def _prepare_data(
         window = feature_rows[end_index - lookback + 1 : end_index + 1]
         if len(window) != lookback:
             continue
+        if any(name in ORDERBOOK_FEATURES for name in feature_names):
+            symbol_orderbook = _ORDERBOOK_FEATURES_BY_SYMBOL.get(symbol.upper(), {})
+            window_candles = candles[end_index - lookback + 1 : end_index + 1]
+            if any(row.timestamp not in symbol_orderbook for row in window_candles):
+                continue
         raw_targets: list[float] = []
         event_targets: list[float] = []
         volatility_scales: list[float] = []
@@ -856,6 +906,8 @@ def _prepare_data(
     validation_window = min(max(16, validation_window), max(16, validation_end // 3))
     validation_start = validation_end - validation_window
     train_end = validation_start - max_horizon
+    if validation_start < 0 or train_end <= 0:
+        return None
     train_samples = samples[:train_end]
     validation_samples = samples[validation_start:validation_end]
     holdout_samples = samples[holdout_start:]

tools/windows_training_agent.py

@@ -20,12 +20,25 @@ from urllib.error import URLError
 from urllib.request import Request
 from urllib.request import urlopen
 
+PROJECT_ROOT = Path(__file__).resolve().parents[1]
+if str(PROJECT_ROOT) not in sys.path:
+    sys.path.insert(0, str(PROJECT_ROOT))
+
+from crypto_spot_bot.orderbook_features import load_orderbook_feature_map
+from tools.sync_orderbook_observations import sync_orderbook_observations
+
 
 ARTIFACT_NAMES = (
     "lstm_forecaster.json",
     "torch_retrain_guard.json",
     "torch_threshold_calibration.json",
 )
+SHADOW_ARTIFACT_NAMES = (
+    "lstm_forecaster.shadow.json",
+    "torch_shadow_guard.json",
+    "torch_shadow_calibration.json",
+)
+_LAST_ORDERBOOK_AUTO_CHECK = 0.0
 
 
 def main() -> None:
@@ -51,6 +64,7 @@ def poll_once(args: argparse.Namespace, repo_root: Path, runtime_dir: Path, log_
     api_json(args, "/api/training/heartbeat", worker)
     claim = api_json(args, "/api/training/claim", worker)
     if not claim.get("claimed"):
+        maybe_auto_queue_orderbook(args, repo_root, runtime_dir, log_path)
         return
     job = claim.get("job") if isinstance(claim.get("job"), dict) else {}
     job_id = str(job.get("id") or "")
@@ -65,7 +79,35 @@ def poll_once(args: argparse.Namespace, repo_root: Path, runtime_dir: Path, log_
     message = ""
     summary: dict[str, Any] = {}
     try:
-        run_retrain(args, job_id, lease_token, job, repo_root, log_path)
+        parameters = job.get("parameters") if isinstance(job.get("parameters"), dict) else {}
+        use_orderbook = parameters.get("use_orderbook", True) is not False
+        orderbook_status: dict[str, Any] = {}
+        if use_orderbook:
+            report_progress(
+                args,
+                job_id,
+                lease_token,
+                "running",
+                "orderbook_sync",
+                4,
+                "Синхронизирую forward-наблюдения стакана",
+            )
+            orderbook_status = prepare_orderbook_data(args, repo_root, parameters, log_path)
+            if orderbook_status["state"] != "ready":
+                summary = orderbook_status
+                message = "forward orderbook coverage is still accumulating"
+                success = True
+                log(log_path, f"Job {job_id} remains in collecting state: {orderbook_status}")
+                return
+        run_retrain(
+            args,
+            job_id,
+            lease_token,
+            job,
+            repo_root,
+            log_path,
+            orderbook_db=(repo_root / "runtime" / "orderbook_observations.sqlite3") if use_orderbook else None,
+        )
         summary = read_json(runtime_dir / "torch_retrain_guard.json")
         accepted = summary.get("accepted") is True
         if accepted:
@@ -78,12 +120,20 @@ def poll_once(args: argparse.Namespace, repo_root: Path, runtime_dir: Path, log_
                 72,
                 "Обучение завершено, загружаю артефакты",
             )
-            for name in ARTIFACT_NAMES:
+            artifact_names = SHADOW_ARTIFACT_NAMES if use_orderbook else ARTIFACT_NAMES
+            if use_orderbook:
+                summary["deployment"] = "shadow"
+                summary["orderbook"] = orderbook_status
+            for name in artifact_names:
                 path = runtime_dir / name
                 if path.is_file():
                     upload_artifact(args, job_id, lease_token, path, log_path)
-            message = "training completed; candidate accepted"
+            message = (
-            log(log_path, f"Completed retrain job {job_id}; candidate accepted")
+                "training completed; candidate staged in shadow"
+                if use_orderbook
+                else "training completed; candidate accepted"
+            )
+            log(log_path, f"Completed retrain job {job_id}; {message}")
         else:
             reason = str(summary.get("reason") or "validation failed")
             message = f"training completed; candidate rejected by quality gate: {reason}"
@@ -109,6 +159,7 @@ def run_retrain(
     job: dict[str, Any],
     repo_root: Path,
     log_path: Path,
+    orderbook_db: Path | None = None,
 ) -> None:
     script = repo_root / "tools" / "run_torch_retrain.ps1"
     if not script.is_file():
@@ -153,6 +204,14 @@ def run_retrain(
         cmd.append("-Pooled")
     if parameters.get("resume_candidate") is True:
         cmd.append("-ResumeCandidate")
+    if orderbook_db is not None:
+        cmd.extend(["-OrderbookDb", str(orderbook_db)])
+        for key, ps_arg, default in (
+            ("orderbook_min_samples_per_bucket", "-OrderbookMinSamplesPerBucket", 20),
+            ("orderbook_min_covered_buckets", "-OrderbookMinCoveredBuckets", 240),
+            ("orderbook_min_symbols", "-OrderbookMinSymbols", 2),
+        ):
+            cmd.extend([ps_arg, str(int(parameters.get(key, default) or default))])
     log(log_path, "Running retrain: " + " ".join(quote_for_log(part) for part in cmd))
     report_progress(
         args,
@@ -236,6 +295,104 @@ def run_retrain(
     )
 
 
+def prepare_orderbook_data(
+    args: argparse.Namespace,
+    repo_root: Path,
+    parameters: dict[str, Any],
+    log_path: Path,
+) -> dict[str, Any]:
+    database_path = repo_root / "runtime" / "orderbook_observations.sqlite3"
+    token = args.api_auth or os.environ.get("TRADEBOT_API_AUTH", "")
+    sync_result = sync_orderbook_observations(
+        api_base_url=args.api_base_url,
+        token=token,
+        database_path=database_path,
+    )
+    interval = str(parameters.get("interval") or os.environ.get("TORCH_RETRAIN_INTERVAL") or "60")
+    minimum_samples = int(parameters.get("orderbook_min_samples_per_bucket", 20) or 20)
+    minimum_buckets = int(parameters.get("orderbook_min_covered_buckets", 240) or 240)
+    minimum_symbols = int(parameters.get("orderbook_min_symbols", 2) or 2)
+    requested_symbols = {
+        item.strip().upper()
+        for item in str(parameters.get("symbols") or "").split(",")
+        if item.strip()
+    }
+    _features, manifest = load_orderbook_feature_map(
+        database_path,
+        interval=interval,
+        symbols=sorted(requested_symbols) if requested_symbols else None,
+        min_samples_per_bucket=minimum_samples,
+    )
+    eligible = sorted(
+        symbol
+        for symbol, row in manifest.items()
+        if int(row.get("covered_buckets", 0) or 0) >= minimum_buckets
+    )
+    state = "ready" if len(eligible) >= minimum_symbols else "collecting_orderbook"
+    coverage = {
+        symbol: int(row.get("covered_buckets", 0) or 0)
+        for symbol, row in sorted(manifest.items())
+    }
+    result = {
+        "accepted": False,
+        "state": state,
+        "reason": (
+            "orderbook coverage ready for training"
+            if state == "ready"
+            else "forward orderbook coverage is below the configured minimum"
+        ),
+        "eligible_symbols": eligible,
+        "eligible_symbol_count": len(eligible),
+        "minimum_symbols": minimum_symbols,
+        "minimum_covered_buckets": minimum_buckets,
+        "minimum_samples_per_bucket": minimum_samples,
+        "covered_buckets_by_symbol": coverage,
+        "local_samples": int(sync_result.get("local_samples", 0) or 0),
+        "downloaded_samples": int(sync_result.get("downloaded", 0) or 0),
+    }
+    log(log_path, "Orderbook preparation: " + json.dumps(result, ensure_ascii=False, sort_keys=True))
+    return result
+
+
+def maybe_auto_queue_orderbook(
+    args: argparse.Namespace,
+    repo_root: Path,
+    runtime_dir: Path,
+    log_path: Path,
+) -> None:
+    global _LAST_ORDERBOOK_AUTO_CHECK
+    try:
+        interval_seconds = max(
+            300,
+            int(os.environ.get("TORCH_ORDERBOOK_AUTO_CHECK_SECONDS", "3600") or 3600),
+        )
+    except ValueError:
+        interval_seconds = 3600
+    now = time.monotonic()
+    if _LAST_ORDERBOOK_AUTO_CHECK and now - _LAST_ORDERBOOK_AUTO_CHECK < interval_seconds:
+        return
+    _LAST_ORDERBOOK_AUTO_CHECK = now
+    marker_path = runtime_dir / "orderbook_auto_queue.json"
+    if marker_path.is_file() or (runtime_dir / "lstm_forecaster.shadow.json").is_file():
+        return
+    status = prepare_orderbook_data(args, repo_root, {}, log_path)
+    if status.get("state") != "ready":
+        return
+    response = api_json(args, "/api/training/retrain/auto", {})
+    if not response.get("queued"):
+        log(log_path, f"Automatic orderbook retrain was not queued: {response.get('reason', 'unknown')}")
+        return
+    marker = {
+        "queued_at": datetime.now().astimezone().isoformat(timespec="seconds"),
+        "job_id": (response.get("job") or {}).get("id"),
+        "coverage": status,
+    }
+    marker_tmp = marker_path.with_suffix(".tmp")
+    marker_tmp.write_text(json.dumps(marker, ensure_ascii=False, indent=2) + "\n", encoding="utf-8")
+    marker_tmp.replace(marker_path)
+    log(log_path, f"Automatically queued orderbook retrain job {marker['job_id']}")
+
+
 def friendly_training_message(message: str) -> str:
     cleaned = message.strip()
     if not cleaned:
@@ -459,7 +616,7 @@ def worker_payload(args: argparse.Namespace, repo_root: Path) -> dict[str, Any]:
         "worker_id": args.worker_id or f"{name}:{repo_root}",
         "name": name,
         "path": str(repo_root),
-        "version": "2",
+        "version": "3",
     }