Cover same-bar market pyramid adds per TV's open-tick fill priority#97
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When a pre-queued same-ID market add and its from_entry bracket exit both
fill on the same bar, TradingView covers the add (a dur-0 scratch) whenever
the add fills at-or-before the exit in the fill sequence; an exit that fills
first is sized to the pre-add position and the add survives to carry.
Probe-pinned rule (pf-probe-ki62-keepscratch-{gapped,intrabar}, 9,504/9,504
events; masayanfx reconstruction 4,190/4,190 including both exemplars):
- Intrabar exit fills (open inside the bracket) always cover the open-filled
add, scratching it at the bracket price.
- At the open tick, fill priority is buy market-like (market + triggered
stops), then sell market-like, then gapped-through limit orders. The only
keep cell is a short position whose open gaps at-or-through the buy stop.
Implementation:
- sort_orders_by_fill_phase: the blanket exit-before-same-dir-add tie-break
becomes the three-tier open-tick priority, scoped to a market add paired
with its own gapped from_entry bracket; all other pairs keep the old order.
- apply_exit_order_fill: after the frozen reserve drains pre-add slices,
any same-bar market-add slice of the same from_entry still open is
scratched dur-0 at the exit's fill price (cover_samebar_market_adds_on_exit;
PyramidEntry.market_pyramid_add flags the two market-add sites and is
propagated through fifo_drain). Prior-bar slices are never touched.
Gates: new suite 30/30 (21 RED on base); ctest 95/95; corpus 240/11/1;
masayanfx 10,105/10,105 (100% px, canonical P90s 0); keep/scratch probes
9,504/9,504 both; lukeborgerding, 3commas-bch-heikin, waranyutrkm pair,
ahtisham, ki65/coof probes and coof cohort byte-identical; full 412-slug
sweep 1 up / 0 down.
Known residuals (recorded, low/theoretical): comparator transitivity when a
third non-matching phase-0 exit shares the bar; ANY-mode percent-partial +
same-bar add coverage unverified vs TV; gapped-scratch pricing under nonzero
slippage untested (all pinned data ran slippage=0).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
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Summary
Implements the probe-pinned KI-62 keep/scratch rule: when a pre-queued same-ID market add and its
from_entrybracket exit both fill on the same bar, the exit covers the add (dur-0 scratch) iff the add fills at-or-before the exit in TV's fill sequence. Intrabar exit fills always cover; at the open tick the priority is buy market-like → sell market-like → gapped-through limits, so the only keep cell is a short position gapped at-or-through its buy stop.Rule pinned at 100% event-level on two dedicated TV probes (9,504/9,504 collision events) and reproduces the masayanfx exemplar's full collision census (4,190/4,190, incl. both hand-verified exemplars).
Changes
sort_orders_by_fill_phase(src/engine_fills.cpp): three-tier open-tick priority for a market add paired with its own gapped from_entry bracket; every other pair keeps the existing order.cover_samebar_market_adds_on_exit(src/engine_orders.cpp, called fromapply_exit_order_fill): scratches surviving same-bar market-add slices of the exiting ID at the exit's fill price after the frozen pre-add reserve drains; prior-bar slices untouched. NewPyramidEntry.market_pyramid_addflag, propagated throughfifo_drain.test_same_bar_add_exit_coverage(9 cells / 30 checks; 21 RED on base).Verification
Known low/theoretical residuals (recorded, non-blocking per review)
close_entries_rule="ANY"percent-partial + same-bar add coverage unverified vs TV.🤖 Generated with Claude Code