Track replay position state across cycles

2026-06-26 22:17:48 +08:00
parent 4e5f49d6fe
commit dad6b831b4
9 changed files with 295 additions and 30 deletions
@@ -17,6 +17,6 @@ public class TraderReplayController {

    @PostMapping("/api/trader/replay/cycles")
    public TraderCycleResult runOneCycle(@RequestBody ReplayMarketEvent event) {
-        return runner.runFlatCycle(event);
+        return runner.runCycle(event);
    }
 }
@@ -47,6 +47,12 @@ public record TraderAction(
            pricePlanConfigHash = requiredText(pricePlanConfigHash, "pricePlanConfigHash");
            positionRatio = positive(positionRatio, "positionRatio");
        }
+        if (actionType == TraderActionType.REDUCE_LONG || actionType == TraderActionType.REDUCE_SHORT) {
+            positionRatio = positive(positionRatio, "positionRatio");
+            if (positionRatio.compareTo(ONE) > 0) {
+                throw new IllegalArgumentException("positionRatio must be <= 1 for reduce action");
+            }
+        }
        if (actionType.reducesExposure() && !reduceOnly) {
            throw new IllegalArgumentException("reduce/close action must be reduceOnly");
        }
@@ -4,6 +4,7 @@ import com.quantai.trader.enums.PositionSide;
 import com.quantai.trader.enums.TraderActionType;
 import org.springframework.stereotype.Component;

+import java.math.BigDecimal;
 import java.util.Map;

@Component
@@ -23,7 +24,7 @@ public class TraderActionFactory {
                side,
                finalAction.increasesExposure() ? pmDecision.pricePlanId() : null,
                finalAction.increasesExposure() ? pmDecision.pricePlanConfigHash() : null,
-                finalAction == TraderActionType.OPEN_LONG || finalAction == TraderActionType.OPEN_SHORT ? pmDecision.targetPositionRatio() : pmDecision.addRatio(),
+                ratioFor(finalAction, pmDecision),
                null,
                pmDecision.stopPrice(),
                pmDecision.targetPrice(),
@@ -33,6 +34,15 @@ public class TraderActionFactory {
                Map.of("riskAllowed", riskDecision.allowAction()));
    }

+    private BigDecimal ratioFor(TraderActionType action, TraderPositionManagerDecision pmDecision) {
+        return switch (action) {
+            case OPEN_LONG, OPEN_SHORT -> pmDecision.targetPositionRatio();
+            case ADD_LONG, ADD_SHORT -> pmDecision.addRatio();
+            case REDUCE_LONG, REDUCE_SHORT -> pmDecision.reduceRatio();
+            case WAIT, HOLD, CLOSE_LONG, CLOSE_SHORT, MOVE_STOP, CANCEL -> null;
+        };
+    }
+
    private PositionSide sideFor(TraderActionType action, PositionSide pmSide) {
        return switch (action) {
            case OPEN_LONG, ADD_LONG, REDUCE_LONG, CLOSE_LONG -> PositionSide.LONG;
@@ -11,6 +11,8 @@ import com.quantai.trader.outbox.TraderOutboxRepository;
 import com.quantai.trader.outbox.TraderOutboxEvent;
 import com.quantai.trader.persistence.TraderDecisionTraceWriter;
 import com.quantai.trader.position.TraderPositionManager;
+import com.quantai.trader.replay.state.TraderReplayState;
+import com.quantai.trader.replay.state.TraderReplayStateStore;
 import com.quantai.trader.risk.RiskGateInput;
 import com.quantai.trader.risk.RiskLimits;
 import com.quantai.trader.risk.TraderRiskGate;
@@ -35,6 +37,7 @@ public class TraderP0CycleRunner {
    private final EvidenceAppender evidenceAppender;
    private final TraderDecisionTraceWriter traceWriter;
    private final TraderOutboxRepository outboxRepository;
+    private final TraderReplayStateStore stateStore;

    public TraderP0CycleRunner(TraderProperties properties,
                               TraderArtifactLoader artifactLoader,
@@ -44,7 +47,8 @@ public class TraderP0CycleRunner {
                               TraderActionFactory actionFactory,
                               EvidenceAppender evidenceAppender,
                               TraderDecisionTraceWriter traceWriter,
-                               TraderOutboxRepository outboxRepository) {
+                               TraderOutboxRepository outboxRepository,
+                               TraderReplayStateStore stateStore) {
        this.properties = properties;
        this.artifactLoader = artifactLoader;
        this.modelService = modelService;
@@ -54,19 +58,21 @@ public class TraderP0CycleRunner {
        this.evidenceAppender = evidenceAppender;
        this.traceWriter = traceWriter;
        this.outboxRepository = outboxRepository;
+        this.stateStore = stateStore;
    }

-    public TraderCycleResult runFlatCycle(ReplayMarketEvent event) {
+    public TraderCycleResult runCycle(ReplayMarketEvent event) {
        String cycleId = "cycle_" + event.runId() + "_" + event.eventTime().toEpochMilli();
        TraderArtifactBundle bundle = artifactLoader.loadActiveBundle();
        TraderDecisionCycle cycle = new TraderDecisionCycle(event.runId(), cycleId, event.symbol(), event.eventTime(),
                properties.runMode(), bundle.modelBundleVersion(), bundle.calibrationBundleVersion(), bundle.pmConfigVersion());
        TraderMarketSnapshot snapshot = snapshot(event, cycleId);
+        TraderReplayState state = stateStore.load(cycle, snapshot);
        evidenceAppender.append(cycle.runId(), cycle.cycleId(), "MARKET_SNAPSHOT", snapshot.dataReady(), "SNAPSHOT_BUILT", null, Map.of());
        TraderModelOutput modelOutput = modelService.evaluate(snapshot, bundle);
        evidenceAppender.append(cycle.runId(), cycle.cycleId(), "MODEL_OUTPUT", true, "MODEL_EVALUATED", null, Map.of("modelOutputId", modelOutput.modelOutputId()));
        PositionManagerInput pmInput = new PositionManagerInput(cycle, snapshot, modelOutput,
-                flatPosition(cycle, snapshot), account(cycle), execution(cycle), bundle.pmConfig());
+                state.positionState(), state.accountState(), state.executionState(), bundle.pmConfig());
        TraderPositionManagerDecision pmDecision = positionManager.decide(pmInput);
        evidenceAppender.append(cycle.runId(), cycle.cycleId(), "PM_DECISION", true, pmDecision.reason(), null, Map.of("action", pmDecision.candidateAction().name()));
        TraderRiskDecision riskDecision = riskGate.evaluate(new RiskGateInput(pmDecision, pmInput.positionState(), pmInput.accountState(),
@@ -77,6 +83,7 @@ public class TraderP0CycleRunner {
        outboxRepository.insert(new TraderOutboxEvent("outbox_" + action.actionId(), action.runId(), action.cycleId(),
                "TRADER_ACTION", action.actionId(), "ACTION_CREATED", properties.runMode().name() + "_RECORDER",
                Map.of("actionType", action.actionType().name()), action.idempotencyKey(), "PENDING", Instant.now()));
+        stateStore.advance(state, action, snapshot);
        log.info("event=trader.cycle.completed runId={} cycleId={} action={} outbox=PENDING", action.runId(), action.cycleId(), action.actionType());
        return new TraderCycleResult(cycle.runId(), cycle.cycleId(), pmDecision, riskDecision, action);
    }
@@ -88,23 +95,6 @@ public class TraderP0CycleRunner {
                event.depthNotional5Bps().compareTo(BigDecimal.ZERO) > 0, Map.of(), Map.of());
    }

-    private TraderPositionState flatPosition(TraderDecisionCycle cycle, TraderMarketSnapshot snapshot) {
-        return new TraderPositionState("position_state_" + cycle.cycleId(), cycle.runId(), cycle.cycleId(), cycle.symbol(),
-                PositionSide.NONE, BigDecimal.ZERO, null, snapshot.markPrice(), BigDecimal.ZERO, new BigDecimal("1000"),
-                0, BigDecimal.ONE, null);
-    }
-
-    private TraderAccountState account(TraderDecisionCycle cycle) {
-        return new TraderAccountState("account_state_" + cycle.cycleId(), cycle.runId(), cycle.cycleId(),
-                BigDecimal.ZERO, BigDecimal.ZERO, BigDecimal.ONE, 0);
-    }
-
-    private TraderExecutionState execution(TraderDecisionCycle cycle) {
-        return new TraderExecutionState("execution_state_" + cycle.cycleId(), cycle.runId(), cycle.cycleId(), cycle.symbol(),
-                java.util.List.of(), new BigDecimal("1.5"), 10, 0, new BigDecimal("1"), new BigDecimal("4"),
-                new BigDecimal("5"), new BigDecimal("0.1"), new BigDecimal("0.001"), new BigDecimal("0.001"), BigDecimal.ONE);
-    }
-
    private RiskLimits riskLimits() {
        return new RiskLimits(properties.risk().maxDailyLossBps(), properties.risk().maxTotalExposureRatio(),
                properties.risk().minLiquidationBufferBps(), properties.execution().maxApiErrorCount(),
@@ -0,0 +1,166 @@
+package com.quantai.trader.replay.state;
+
+import com.quantai.trader.config.TraderProperties;
+import com.quantai.trader.domain.*;
+import com.quantai.trader.enums.PositionSide;
+import com.quantai.trader.enums.TraderActionType;
+import com.quantai.trader.util.TraderNumbers;
+import org.slf4j.Logger;
+import org.slf4j.LoggerFactory;
+import org.springframework.stereotype.Component;
+
+import java.math.BigDecimal;
+import java.math.MathContext;
+import java.time.Instant;
+import java.util.List;
+import java.util.concurrent.ConcurrentHashMap;
+
+/**
+ * Process-local state for ordered P0 replay/shadow cycles; each runId+symbol stream advances from the prior cycle.
+ */
+@Component
+public class P0ReplayStateStore implements TraderReplayStateStore {
+    private static final Logger log = LoggerFactory.getLogger(P0ReplayStateStore.class);
+
+    private final TraderProperties properties;
+    private final ConcurrentHashMap<String, TraderReplayState> states = new ConcurrentHashMap<>();
+
+    public P0ReplayStateStore(TraderProperties properties) {
+        this.properties = properties;
+    }
+
+    @Override
+    public TraderReplayState load(TraderDecisionCycle cycle, TraderMarketSnapshot snapshot) {
+        TraderReplayState state = states.computeIfAbsent(key(cycle.runId(), cycle.symbol()), ignored -> flatState(cycle, snapshot));
+        TraderReplayState refreshed = refreshForCycle(cycle, snapshot, state);
+        states.put(key(cycle.runId(), cycle.symbol()), refreshed);
+        log.info("event=trader.replay_state.loaded runId={} cycleId={} side={} ratio={}",
+                cycle.runId(), cycle.cycleId(), refreshed.positionState().side(), refreshed.positionState().positionRatio());
+        return refreshed;
+    }
+
+    @Override
+    public TraderReplayState advance(TraderReplayState current, TraderAction action, TraderMarketSnapshot snapshot) {
+        TraderPositionState nextPosition = switch (action.actionType()) {
+            case OPEN_LONG, OPEN_SHORT -> openPosition(current.positionState(), action, snapshot);
+            case ADD_LONG, ADD_SHORT -> addPosition(current.positionState(), action, snapshot);
+            case REDUCE_LONG, REDUCE_SHORT -> reducePosition(current.positionState(), action, snapshot);
+            case CLOSE_LONG, CLOSE_SHORT -> flatPosition(current.positionState(), action.cycleId(), snapshot);
+            case WAIT, HOLD, MOVE_STOP, CANCEL -> refreshPosition(current.positionState(), action.cycleId(), snapshot);
+        };
+        TraderReplayState next = new TraderReplayState(
+                nextPosition,
+                account(action, nextPosition),
+                execution(action));
+        states.put(key(action.runId(), action.symbol()), next);
+        log.info("event=trader.replay_state.advanced runId={} cycleId={} action={} side={} ratio={}",
+                action.runId(), action.cycleId(), action.actionType(), nextPosition.side(), nextPosition.positionRatio());
+        return next;
+    }
+
+    private TraderReplayState flatState(TraderDecisionCycle cycle, TraderMarketSnapshot snapshot) {
+        TraderPositionState position = new TraderPositionState("position_state_" + cycle.cycleId(), cycle.runId(), cycle.cycleId(), cycle.symbol(),
+                PositionSide.NONE, BigDecimal.ZERO, null, snapshot.markPrice(), BigDecimal.ZERO, new BigDecimal("1000"),
+                0, properties.positionManager().maxTotalPositionRatio(), null);
+        return new TraderReplayState(position, account(cycle, position), execution(cycle));
+    }
+
+    private TraderReplayState refreshForCycle(TraderDecisionCycle cycle, TraderMarketSnapshot snapshot, TraderReplayState state) {
+        TraderPositionState position = new TraderPositionState("position_state_" + cycle.cycleId(), cycle.runId(), cycle.cycleId(), cycle.symbol(),
+                state.positionState().side(), state.positionState().positionRatio(), state.positionState().averageEntryPrice(),
+                snapshot.markPrice(), pnlBps(state.positionState().side(), state.positionState().averageEntryPrice(), snapshot.markPrice()),
+                state.positionState().liquidationBufferBps(), state.positionState().addCount(),
+                remainingCapacity(state.positionState().positionRatio()), state.positionState().lastAddTime());
+        return new TraderReplayState(position, account(cycle, position), execution(cycle));
+    }
+
+    private TraderPositionState openPosition(TraderPositionState current, TraderAction action, TraderMarketSnapshot snapshot) {
+        PositionSide side = action.actionType() == TraderActionType.OPEN_LONG ? PositionSide.LONG : PositionSide.SHORT;
+        BigDecimal ratio = TraderNumbers.required(action.positionRatio(), "action.positionRatio");
+        return new TraderPositionState("position_state_" + action.cycleId(), action.runId(), action.cycleId(), action.symbol(),
+                side, ratio, snapshot.markPrice(), snapshot.markPrice(), BigDecimal.ZERO, current.liquidationBufferBps(),
+                0, remainingCapacity(ratio), null);
+    }
+
+    private TraderPositionState addPosition(TraderPositionState current, TraderAction action, TraderMarketSnapshot snapshot) {
+        BigDecimal addRatio = TraderNumbers.required(action.positionRatio(), "action.positionRatio");
+        BigDecimal newRatio = current.positionRatio().add(addRatio);
+        BigDecimal weightedEntry = weightedEntry(current.averageEntryPrice(), current.positionRatio(), snapshot.markPrice(), addRatio);
+        return new TraderPositionState("position_state_" + action.cycleId(), action.runId(), action.cycleId(), action.symbol(),
+                current.side(), newRatio, weightedEntry, snapshot.markPrice(), pnlBps(current.side(), weightedEntry, snapshot.markPrice()),
+                current.liquidationBufferBps(), current.addCount() + 1, remainingCapacity(newRatio), Instant.now());
+    }
+
+    private TraderPositionState reducePosition(TraderPositionState current, TraderAction action, TraderMarketSnapshot snapshot) {
+        BigDecimal reduceRatio = TraderNumbers.required(action.positionRatio(), "action.positionRatio");
+        BigDecimal newRatio = current.positionRatio().multiply(BigDecimal.ONE.subtract(reduceRatio), MathContext.DECIMAL64);
+        if (newRatio.compareTo(new BigDecimal("0.00000001")) <= 0) {
+            return flatPosition(current, action.cycleId(), snapshot);
+        }
+        return new TraderPositionState("position_state_" + action.cycleId(), action.runId(), action.cycleId(), action.symbol(),
+                current.side(), newRatio, current.averageEntryPrice(), snapshot.markPrice(),
+                pnlBps(current.side(), current.averageEntryPrice(), snapshot.markPrice()), current.liquidationBufferBps(),
+                current.addCount(), remainingCapacity(newRatio), current.lastAddTime());
+    }
+
+    private TraderPositionState refreshPosition(TraderPositionState current, String cycleId, TraderMarketSnapshot snapshot) {
+        if (current.isFlat()) {
+            return flatPosition(current, cycleId, snapshot);
+        }
+        return new TraderPositionState("position_state_" + cycleId, current.runId(), cycleId, current.symbol(),
+                current.side(), current.positionRatio(), current.averageEntryPrice(), snapshot.markPrice(),
+                pnlBps(current.side(), current.averageEntryPrice(), snapshot.markPrice()), current.liquidationBufferBps(),
+                current.addCount(), remainingCapacity(current.positionRatio()), current.lastAddTime());
+    }
+
+    private TraderPositionState flatPosition(TraderPositionState current, String cycleId, TraderMarketSnapshot snapshot) {
+        return new TraderPositionState("position_state_" + cycleId, current.runId(), cycleId, current.symbol(),
+                PositionSide.NONE, BigDecimal.ZERO, null, snapshot.markPrice(), BigDecimal.ZERO,
+                current.liquidationBufferBps(), 0, properties.positionManager().maxTotalPositionRatio(), null);
+    }
+
+    private TraderAccountState account(TraderDecisionCycle cycle, TraderPositionState position) {
+        return new TraderAccountState("account_state_" + cycle.cycleId(), cycle.runId(), cycle.cycleId(),
+                BigDecimal.ZERO, position.positionRatio(), remainingCapacity(position.positionRatio()), 0);
+    }
+
+    private TraderAccountState account(TraderAction action, TraderPositionState position) {
+        return new TraderAccountState("account_state_" + action.cycleId(), action.runId(), action.cycleId(),
+                BigDecimal.ZERO, position.positionRatio(), remainingCapacity(position.positionRatio()), 0);
+    }
+
+    private TraderExecutionState execution(TraderDecisionCycle cycle) {
+        return new TraderExecutionState("execution_state_" + cycle.cycleId(), cycle.runId(), cycle.cycleId(), cycle.symbol(),
+                List.of(), new BigDecimal("1.5"), 10, 0, new BigDecimal("1"), new BigDecimal("4"),
+                new BigDecimal("5"), new BigDecimal("0.1"), new BigDecimal("0.001"), new BigDecimal("0.001"), BigDecimal.ONE);
+    }
+
+    private TraderExecutionState execution(TraderAction action) {
+        return new TraderExecutionState("execution_state_" + action.cycleId(), action.runId(), action.cycleId(), action.symbol(),
+                List.of(), new BigDecimal("1.5"), 10, 0, new BigDecimal("1"), new BigDecimal("4"),
+                new BigDecimal("5"), new BigDecimal("0.1"), new BigDecimal("0.001"), new BigDecimal("0.001"), BigDecimal.ONE);
+    }
+
+    private BigDecimal weightedEntry(BigDecimal currentEntry, BigDecimal currentRatio, BigDecimal addPrice, BigDecimal addRatio) {
+        BigDecimal total = currentRatio.add(addRatio);
+        return currentEntry.multiply(currentRatio).add(addPrice.multiply(addRatio)).divide(total, MathContext.DECIMAL64);
+    }
+
+    private BigDecimal pnlBps(PositionSide side, BigDecimal averageEntryPrice, BigDecimal currentPrice) {
+        if (side == PositionSide.NONE || averageEntryPrice == null) {
+            return BigDecimal.ZERO;
+        }
+        BigDecimal priceMove = side.isLong()
+                ? currentPrice.subtract(averageEntryPrice)
+                : averageEntryPrice.subtract(currentPrice);
+        return priceMove.divide(averageEntryPrice, MathContext.DECIMAL64).multiply(new BigDecimal("10000"));
+    }
+
+    private BigDecimal remainingCapacity(BigDecimal positionRatio) {
+        return properties.positionManager().maxTotalPositionRatio().subtract(positionRatio).max(BigDecimal.ZERO);
+    }
+
+    private String key(String runId, String symbol) {
+        return runId + "::" + symbol;
+    }
+}
@@ -0,0 +1,12 @@
+package com.quantai.trader.replay.state;
+
+import com.quantai.trader.domain.TraderAccountState;
+import com.quantai.trader.domain.TraderExecutionState;
+import com.quantai.trader.domain.TraderPositionState;
+
+public record TraderReplayState(
+        TraderPositionState positionState,
+        TraderAccountState accountState,
+        TraderExecutionState executionState
+) {
+}
@@ -0,0 +1,11 @@
+package com.quantai.trader.replay.state;
+
+import com.quantai.trader.domain.TraderAction;
+import com.quantai.trader.domain.TraderDecisionCycle;
+import com.quantai.trader.domain.TraderMarketSnapshot;
+
+public interface TraderReplayStateStore {
+    TraderReplayState load(TraderDecisionCycle cycle, TraderMarketSnapshot snapshot);
+
+    TraderReplayState advance(TraderReplayState current, TraderAction action, TraderMarketSnapshot snapshot);
+}
@@ -0,0 +1,25 @@
+package com.quantai.trader.domain;
+
+import com.quantai.trader.enums.PositionSide;
+import com.quantai.trader.enums.TraderActionType;
+import org.junit.jupiter.api.Test;
+
+import static com.quantai.trader.TestFixtures.*;
+import static org.assertj.core.api.Assertions.assertThat;
+
+class TraderActionFactoryTest {
+    private final TraderActionFactory factory = new TraderActionFactory();
+
+    @Test
+    void mapsReduceDecisionRatioOntoActionPositionRatio() {
+        TraderRiskDecision riskDecision = new TraderRiskDecision(
+                "risk-1", "run-1", "cycle-1", "pm-cycle-1",
+                true, TraderActionType.REDUCE_LONG, TraderActionType.REDUCE_LONG, null, java.util.Map.of());
+
+        TraderAction action = factory.create(pmDecision(TraderActionType.REDUCE_LONG, PositionSide.LONG),
+                riskDecision, "BTC-USDT-PERP");
+
+        assertThat(action.positionRatio()).isEqualByComparingTo("0.50");
+        assertThat(action.reduceOnly()).isTrue();
+    }
+}
@@ -10,6 +10,7 @@ import com.quantai.trader.outbox.TraderOutboxEvent;
 import com.quantai.trader.outbox.TraderOutboxRepository;
 import com.quantai.trader.persistence.TraderDecisionTraceWriter;
 import com.quantai.trader.position.TraderPositionManager;
+import com.quantai.trader.replay.state.P0ReplayStateStore;
 import com.quantai.trader.risk.TraderRiskGate;
 import org.junit.jupiter.api.Test;
 import org.junit.jupiter.api.io.TempDir;
@@ -34,18 +35,20 @@ class TraderP0CycleRunnerTest {
        EvidenceAppender evidenceAppender = new EvidenceAppender(evidenceRepository);
        RecordingTraceWriter traceWriter = new RecordingTraceWriter();
        RecordingOutboxRepository outboxRepository = new RecordingOutboxRepository();
+        var properties = propertiesWithArtifactRoot(artifactRoot);
        TraderP0CycleRunner runner = new TraderP0CycleRunner(
-                propertiesWithArtifactRoot(artifactRoot),
-                new TraderArtifactLoader(propertiesWithArtifactRoot(artifactRoot), objectMapper()),
+                properties,
+                new TraderArtifactLoader(properties, objectMapper()),
                new ArtifactTraderModelService(),
                new TraderPositionManager(),
                new TraderRiskGate(),
                new TraderActionFactory(),
                evidenceAppender,
                traceWriter,
-                outboxRepository);
+                outboxRepository,
+                new P0ReplayStateStore(properties));

-        TraderCycleResult result = runner.runFlatCycle(new ReplayMarketEvent(
+        TraderCycleResult result = runner.runCycle(new ReplayMarketEvent(
                "run-1", "BTC-USDT-PERP", T0, new BigDecimal("100"), new BigDecimal("99.5"),
                new BigDecimal("1.2"), new BigDecimal("1000")));

@@ -65,18 +68,20 @@ class TraderP0CycleRunnerTest {
        EvidenceAppender evidenceAppender = new EvidenceAppender(evidenceRepository);
        RecordingTraceWriter traceWriter = new RecordingTraceWriter();
        RecordingOutboxRepository outboxRepository = new RecordingOutboxRepository();
+        var properties = propertiesWithArtifactRoot(artifactRoot);
        TraderP0CycleRunner runner = new TraderP0CycleRunner(
-                propertiesWithArtifactRoot(artifactRoot),
-                new TraderArtifactLoader(propertiesWithArtifactRoot(artifactRoot), objectMapper()),
+                properties,
+                new TraderArtifactLoader(properties, objectMapper()),
                new ArtifactTraderModelService(),
                new TraderPositionManager(),
                new TraderRiskGate(),
                new TraderActionFactory(),
                evidenceAppender,
                traceWriter,
-                outboxRepository);
+                outboxRepository,
+                new P0ReplayStateStore(properties));

-        TraderCycleResult result = runner.runFlatCycle(new ReplayMarketEvent(
+        TraderCycleResult result = runner.runCycle(new ReplayMarketEvent(
                "run-1", "BTC-USDT-PERP", T0.plusSeconds(60), new BigDecimal("100"), new BigDecimal("99.5"),
                new BigDecimal("1.2"), BigDecimal.ZERO));

@@ -87,6 +92,40 @@ class TraderP0CycleRunnerTest {
        assertThat(evidenceRepository.items()).hasSize(4);
    }

+    @Test
+    void laterCycleUsesPositionStateFromEarlierOpen() throws IOException {
+        writeArtifactBundle(artifactRoot);
+        RecordingEvidenceRepository evidenceRepository = new RecordingEvidenceRepository();
+        EvidenceAppender evidenceAppender = new EvidenceAppender(evidenceRepository);
+        RecordingTraceWriter traceWriter = new RecordingTraceWriter();
+        RecordingOutboxRepository outboxRepository = new RecordingOutboxRepository();
+        var properties = propertiesWithArtifactRoot(artifactRoot);
+        TraderP0CycleRunner runner = new TraderP0CycleRunner(
+                properties,
+                new TraderArtifactLoader(properties, objectMapper()),
+                new ArtifactTraderModelService(),
+                new TraderPositionManager(),
+                new TraderRiskGate(),
+                new TraderActionFactory(),
+                evidenceAppender,
+                traceWriter,
+                outboxRepository,
+                new P0ReplayStateStore(properties));
+
+        TraderCycleResult first = runner.runCycle(new ReplayMarketEvent(
+                "run-state-1", "BTC-USDT-PERP", T0, new BigDecimal("100"), new BigDecimal("99.5"),
+                new BigDecimal("1.2"), new BigDecimal("1000")));
+        TraderCycleResult second = runner.runCycle(new ReplayMarketEvent(
+                "run-state-1", "BTC-USDT-PERP", T0.plusSeconds(60), new BigDecimal("101"), new BigDecimal("100.5"),
+                new BigDecimal("1.2"), new BigDecimal("1000")));
+
+        assertThat(first.action().actionType()).isEqualTo(TraderActionType.OPEN_LONG);
+        assertThat(second.action().actionType()).isEqualTo(TraderActionType.ADD_LONG);
+        assertThat(traceWriter.positionStates()).extracting("side").containsExactly(
+                com.quantai.trader.enums.PositionSide.NONE,
+                com.quantai.trader.enums.PositionSide.LONG);
+    }
+
    private static final class RecordingEvidenceRepository implements TraderEvidenceRepository {
        private final List<TraderEvidence> items = new ArrayList<>();

@@ -115,16 +154,22 @@ class TraderP0CycleRunnerTest {

    private static final class RecordingTraceWriter implements TraderDecisionTraceWriter {
        private final List<TraderAction> actions = new ArrayList<>();
+        private final List<TraderPositionState> positionStates = new ArrayList<>();

        @Override
        public void persistCycleTrace(TraderDecisionCycle cycle, TraderMarketSnapshot snapshot, TraderModelOutput modelOutput,
                                      TraderPositionState positionState, TraderPositionManagerDecision pmDecision,
                                      TraderRiskDecision riskDecision, TraderAction action) {
            actions.add(action);
+            positionStates.add(positionState);
        }

        List<TraderAction> actions() {
            return actions;
        }
+
+        List<TraderPositionState> positionStates() {
+            return positionStates;
+        }
    }
 }