| |
| """Read-only Paper fill/fee evidence and historical quote matching. Private output.""" |
| import argparse,json,sys |
| from pathlib import Path |
| import pandas as pd |
| import requests |
| from dotenv import dotenv_values |
| ROOT=Path(__file__).resolve().parents[1];sys.path.insert(0,str(ROOT/'backend')) |
| from app.broker.credentials import resolve_trading_credentials |
| from app.research.execution_cost_audit import audit_fills_against_quotes |
|
|
| def run(args): |
| credentials=resolve_trading_credentials(dotenv_values(args.env_file)) |
| if credentials is None or not credentials.is_paper:raise ValueError('Paper-only audit') |
| output=Path(args.output);output.mkdir(parents=True,exist_ok=False) |
| session=requests.Session();session.headers.update({'APCA-API-KEY-ID':credentials.key,'APCA-API-SECRET-KEY':credentials.secret}) |
| def get(url,params): |
| r=session.get(url,params=params,timeout=25) |
| if r.status_code!=200:raise ValueError(f'Endpoint HTTP {r.status_code}') |
| return r.json() |
| start=pd.Timestamp(args.date,tz='America/New_York');until=min(start+pd.Timedelta(days=1),pd.Timestamp.now(tz='UTC')) |
| activities=[];token=None;seen=set() |
| while True: |
| params=dict(after=start.isoformat(),until=until.isoformat(),direction='asc',page_size=100) |
| if token:params['page_token']=token |
| page=get(credentials.endpoint+'/v2/account/activities',params) |
| activities.extend(page) |
| if len(page)<100:break |
| token=page[-1]['id'] |
| if token in seen:raise ValueError('Repeated activity page') |
| seen.add(token) |
| (output/'activities.json').write_text(json.dumps(activities,indent=2)+'\n') |
| fills=[];quotes=[];errors=[] |
| for a in activities: |
| if a.get('activity_type')!='FILL':continue |
| fill=dict(fill_id=a['id'],symbol=a['symbol'],side=a['side'],qty=float(a['qty']),price=float(a['price']),timestamp=a['transaction_time']) |
| fills.append(fill);t=pd.Timestamp(fill['timestamp']) |
| if t>pd.Timestamp.now(tz='UTC')-pd.Timedelta(minutes=15): |
| errors.append(dict(fill_id=a['id'],reason='Historical SIP query must be 15 minutes old'));continue |
| try: |
| raw=get('https://data.alpaca.markets/v2/stocks/'+a['symbol']+'/quotes',dict(start=(t-pd.Timedelta(seconds=1)).isoformat(),end=t.isoformat(),feed='sip',sort='desc',limit=10000)) |
| for q in raw.get('quotes') or []: |
| quotes.append(dict(symbol=a['symbol'],timestamp=q['t'],bid=q['bp'],ask=q['ap'],feed='sip')) |
| except Exception as exc:errors.append(dict(fill_id=a['id'],reason=str(exc))) |
| diagnostic=audit_fills_against_quotes(fills,quotes) |
| fee_entries=[a for a in activities if a.get('activity_type') in {'FEE','CFEE'}] |
| report=dict(date=args.date,account_type='paper',read_only=True,broker_mutations=0, |
| coverage_start=start.isoformat(),coverage_end=until.isoformat(),activity_count=len(activities), |
| observed_activity_types=sorted({a.get('activity_type','unknown') for a in activities}), |
| observed_fee_entries=len(fee_entries),observed_fee_cash_amount=sum(float(a.get('net_amount') or 0) for a in fee_entries), |
| all_actual_fees_verified=False,fee_interpretation='No observed FEE rows does not establish absence of later charges or fees posted under other activity types.', |
| quote_errors=errors,execution_diagnostic=diagnostic) |
| (output/'report.json').write_text(json.dumps(report,indent=2,allow_nan=False)+'\n') |
| print(json.dumps({k:v for k,v in report.items() if k not in {'execution_diagnostic','quote_errors'}},indent=2)) |
| print(json.dumps({k:v for k,v in diagnostic.items() if k!='rows'},indent=2)) |
|
|
| if __name__=='__main__': |
| p=argparse.ArgumentParser(description=__doc__);p.add_argument('--env-file',required=True);p.add_argument('--date',required=True);p.add_argument('--output',required=True) |
| run(p.parse_args()) |
|
|
