ninth version

README.md

@@ -32,7 +32,7 @@ APP_MODE=backtest go run ./cmd/bot
 | `APP_MODE` | `backtest`, `paper`, `sandbox`, `live_readonly`, `live_trade` | нет, в `.env.example`: `paper` | обязательна; только перечисленные значения | Режим работы. `backtest` не требует БД и API в `cmd/bot`; `paper` без `TINVEST_TOKEN` использует fake gateway, а с токеном берёт реальные market data/status через T-Invest при симулированных заявках; `sandbox`, `live_readonly`, `live_trade` подключаются к T-Invest API; `live_trade` может отправлять брокерские заявки. |
 | `APP_TIMEZONE` | `Europe/Moscow` | `Europe/Moscow` | жёстко только `Europe/Moscow` | Таймзона расписания торговых окон. Изменить нельзя без изменения валидации. |
 | `APP_LOG_LEVEL` | `debug`, `info`, `warn`, `warning`, `error` | `info` | неизвестное значение трактуется как `info` | Уровень JSON-логов. Ниже уровень - больше диагностических записей. |
-| `APP_HEALTHCHECK_ADDR` | HTTP listen address, например `:3300` или `127.0.0.1:3300` | `:3300` | без отдельной валидации | Адрес `/health` и `/ready`. При изменении меняется порт или интерфейс healthcheck-сервера. |
+| `APP_HEALTHCHECK_ADDR` | HTTP listen address, например `:3300` или `127.0.0.1:3300` | `:3300` | без отдельной валидации | Адрес `/health` и `/ready`; CLI `-healthcheck` по умолчанию проверяет `/ready`. При изменении меняется порт или интерфейс healthcheck-сервера. |
 | `APP_SHUTDOWN_TIMEOUT_SEC` | целое число секунд | `30` | должно быть `> 0` | Таймаут graceful shutdown для HTTP healthcheck при остановке. |
 
 ### TINVEST

cmd/bot/main.go

@@ -14,8 +14,8 @@ func main() {
 	halt := flag.Bool("halt", false, "manually set HALT and stop new automated actions")
 	unhalt := flag.Bool("unhalt", false, "manually clear HALT after reconciliation")
 	reason := flag.String("reason", "", "audit reason for -halt or -unhalt")
-	health := flag.Bool("healthcheck", false, "check local /health endpoint")
-	healthURL := flag.String("healthcheck-url", "", "healthcheck URL; default http://127.0.0.1:3300/health")
+	health := flag.Bool("healthcheck", false, "check local /ready endpoint")
+	healthURL := flag.String("healthcheck-url", "", "healthcheck URL; default http://127.0.0.1:3300/ready")
 	flag.Parse()
 
 	if err := app.Run(context.Background(), app.Options{

internal/app/app.go

@@ -58,7 +58,7 @@ func Run(ctx context.Context, opts Options) error {
 	if opts.Healthcheck {
 		target := opts.HealthcheckURL
 		if target == "" {
-			target = "http://127.0.0.1:3300/health"
+			target = "http://127.0.0.1:3300/ready"
 		}
 		return healthcheck.CheckEndpoint(ctx, target)
 	}
@@ -465,12 +465,12 @@ func accountHash(accountID string) string {
 
 func HealthURL(addr string) string {
 	if strings.HasPrefix(addr, ":") {
-		return "http://127.0.0.1" + addr + "/health"
+		return "http://127.0.0.1" + addr + "/ready"
 	}
 	if _, err := url.ParseRequestURI(addr); err == nil && strings.HasPrefix(addr, "http") {
 		return addr
 	}
-	return "http://" + addr + "/health"
+	return "http://" + addr + "/ready"
 }
 
 func PingDB(ctx context.Context, db *sql.DB) error {

internal/app/app_test.go

@@ -36,6 +36,15 @@ func TestRunBacktestModeWithoutDB(t *testing.T) {
 	}
 }
 
+func TestHealthURLDefaultsToReadyEndpoint(t *testing.T) {
+	if got := HealthURL(":3300"); got != "http://127.0.0.1:3300/ready" {
+		t.Fatalf("HealthURL(:3300)=%s", got)
+	}
+	if got := HealthURL("127.0.0.1:3301"); got != "http://127.0.0.1:3301/ready" {
+		t.Fatalf("HealthURL(host)=%s", got)
+	}
+}
+
 func TestSeedPaperGatewayMakesSeedInstrumentsDiscoverable(t *testing.T) {
 	ctx := context.Background()
 	repo := testutil.NewMemoryRepository()

internal/backtest/engine.go

@@ -447,7 +447,11 @@ func (e Engine) evaluateCandidate(instrumentUID string, candles []domain.Candle,
 		return candidate{}, false, nil
 	}
 	lot := e.lotFor(instrumentUID)
-	history := candles[:exitIndex]
+	entryIndex := exitIndex - 1
+	if entryIndex <= 0 {
+		return candidate{}, false, nil
+	}
+	history := candles[:entryIndex]
 	returns := make([]float64, 0, len(history)-1)
 	for j := 1; j < len(history); j++ {
 		r, err := features.OvernightReturn(history[j].Open, history[j-1].Close)
@@ -490,7 +494,7 @@ func (e Engine) evaluateCandidate(instrumentUID string, candles []domain.Candle,
 	case adv.LessThan(e.cfg.MinADVRUB):
 		return candidate{}, false, nil
 	}
-	entry := candles[exitIndex-1]
+	entry := candles[entryIndex]
 	exit := candles[exitIndex]
 	buy := entry.Close.Mul(decimal.NewFromInt(1).Add(money.FromBps(e.cfg.EntrySlippageBps)))
 	sell := exit.Open.Mul(decimal.NewFromInt(1).Sub(money.FromBps(e.cfg.ExitSlippageBps)))

internal/backtest/lookahead_test.go

@@ -86,7 +86,7 @@ func TestEvaluateCandidateUsesInstrumentLotAndTick(t *testing.T) {
 		ExitSlippageBps:                decimal.NewFromInt(13),
 	})
 	candles := candidateCandles("uid")
-	got, ok, err := engine.evaluateCandidate("uid", candles, 3)
+	got, ok, err := engine.evaluateCandidate("uid", candles, 4)
 	if err != nil {
 		t.Fatal(err)
 	}
@@ -149,6 +149,31 @@ func TestBacktestWithoutMinuteDataDoesNotReportADVAsCapacity(t *testing.T) {
 	}
 }
 
+func TestEvaluateCandidateIgnoresEntryDayOpenForSignal(t *testing.T) {
+	engine := New(Config{
+		RollingShort:  2,
+		RollingLong:   2,
+		MinTStat60:    decimal.NewFromInt(-1),
+		MinWinRate60:  decimal.NewFromFloat(0.1),
+		MinNetEdgeBps: decimal.NewFromInt(-1000),
+		MinADVRUB:     decimal.NewFromInt(1),
+		Lot:           1,
+	})
+	start := time.Date(2024, 1, 1, 0, 0, 0, 0, time.UTC)
+	candles := []domain.Candle{
+		{InstrumentUID: "uid", TradeDate: start, Open: decimal.NewFromInt(100), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
+		{InstrumentUID: "uid", TradeDate: start.AddDate(0, 0, 1), Open: decimal.NewFromInt(101), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
+		{InstrumentUID: "uid", TradeDate: start.AddDate(0, 0, 2), Open: decimal.NewFromInt(102), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
+		{InstrumentUID: "uid", TradeDate: start.AddDate(0, 0, 3), Open: decimal.NewFromInt(1), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
+		{InstrumentUID: "uid", TradeDate: start.AddDate(0, 0, 4), Open: decimal.NewFromInt(105), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
+	}
+	if _, ok, err := engine.evaluateCandidate("uid", candles, 4); err != nil {
+		t.Fatal(err)
+	} else if !ok {
+		t.Fatal("entry-day open leaked into signal and rejected the candidate")
+	}
+}
+
 func TestLoadCandlesCSVWithMetadata(t *testing.T) {
 	raw := strings.NewReader(`instrument_uid,trade_date,open,high,low,close,volume_lots,lot,min_price_increment
 uid,2024-01-02,100,101,99,100,10,10,0.05
@@ -172,5 +197,6 @@ func candidateCandles(uid string) []domain.Candle {
 		{InstrumentUID: uid, TradeDate: start.AddDate(0, 0, 1), Open: decimal.NewFromInt(101), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
 		{InstrumentUID: uid, TradeDate: start.AddDate(0, 0, 2), Open: decimal.NewFromInt(102), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
 		{InstrumentUID: uid, TradeDate: start.AddDate(0, 0, 3), Open: decimal.NewFromInt(105), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
+		{InstrumentUID: uid, TradeDate: start.AddDate(0, 0, 4), Open: decimal.NewFromInt(105), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
 	}
 }

internal/execution/engine.go

@@ -2,6 +2,7 @@ package execution
 
 import (
 	"context"
+	"encoding/json"
 	"errors"
 	"fmt"
 	"sync"
@@ -110,7 +111,7 @@ func (e *Engine) PlaceEntry(ctx context.Context, accountIDHash string, instrumen
 		QuantityLots:  lots,
 		Status:        domain.OrderStatusNew,
 		AttemptNo:     attempt,
-		RawStateJSON:  "{}",
+		RawStateJSON:  orderContextJSON(book),
 	}, instrument.FreeOrderLimitPerDay)
 }
 
@@ -137,7 +138,7 @@ func (e *Engine) PlaceExit(ctx context.Context, accountIDHash string, instrument
 		QuantityLots:  lots,
 		Status:        domain.OrderStatusNew,
 		AttemptNo:     attempt,
-		RawStateJSON:  "{}",
+		RawStateJSON:  orderContextJSON(book),
 	}, instrument.FreeOrderLimitPerDay)
 }
 
@@ -152,6 +153,9 @@ func (e *Engine) placeLimit(ctx context.Context, order domain.Order, freeOrderLi
 	if e.mode != domain.ModePaper && !e.mode.AllowsBrokerOrders() {
 		return order, ErrBrokerOrdersDisabled
 	}
+	if e.gateway == nil {
+		return domain.Order{}, errors.New("gateway is nil")
+	}
 	if e.store != nil {
 		existing, err := e.findExisting(ctx, order)
 		if err != nil {
@@ -161,12 +165,6 @@ func (e *Engine) placeLimit(ctx context.Context, order domain.Order, freeOrderLi
 			return existing, nil
 		}
 	}
-	if e.mode == domain.ModePaper {
-		return e.placePaperLimit(ctx, order, freeOrderLimit)
-	}
-	if e.gateway == nil {
-		return domain.Order{}, errors.New("gateway is nil")
-	}
 
 	now := e.nowUTC()
 	draft := order
@@ -203,6 +201,7 @@ func (e *Engine) placeLimit(ctx context.Context, order domain.Order, freeOrderLi
 	posted.QuantityLots = order.QuantityLots
 	posted.AttemptNo = order.AttemptNo
 	posted.TradeDate = order.TradeDate
+	posted.RawStateJSON = mergeRawStateJSON(order.RawStateJSON, posted.RawStateJSON)
 	posted.CreatedAt = now
 	posted.UpdatedAt = posted.CreatedAt
 	if e.store != nil {
@@ -213,28 +212,6 @@ func (e *Engine) placeLimit(ctx context.Context, order domain.Order, freeOrderLi
 	return posted, nil
 }
 
-func (e *Engine) placePaperLimit(ctx context.Context, order domain.Order, freeOrderLimit int) (domain.Order, error) {
-	now := e.nowUTC()
-	order.BrokerOrderID = "paper-" + order.ClientOrderID
-	order.FilledLots = order.QuantityLots
-	order.AvgFillPrice = order.LimitPrice
-	order.Status = domain.OrderStatusFilled
-	order.RawStateJSON = `{"paper_fill":true}`
-	order.CreatedAt = now
-	order.UpdatedAt = now
-	if e.store != nil {
-		if err := e.store.RunInTx(ctx, func(ctx context.Context, repo repository.Repository) error {
-			if err := repo.UpsertOrder(ctx, order); err != nil {
-				return fmt.Errorf("persist paper order: %w", err)
-			}
-			return repo.ReserveFreeOrders(ctx, order.TradeDate, order.InstrumentUID, 1, freeOrderLimit)
-		}); err != nil {
-			return domain.Order{}, err
-		}
-	}
-	return order, nil
-}
-
 func (e *Engine) findExisting(ctx context.Context, order domain.Order) (domain.Order, error) {
 	orders, err := e.store.ListOrders(ctx, order.AccountIDHash, order.TradeDate, order.TradeDate)
 	if err != nil {
@@ -268,6 +245,7 @@ func (e *Engine) Refresh(ctx context.Context, order domain.Order) (domain.Order,
 	state.LimitPrice = order.LimitPrice
 	state.QuantityLots = order.QuantityLots
 	state.AttemptNo = order.AttemptNo
+	state.RawStateJSON = mergeRawStateJSON(localRawStateJSON(order.RawStateJSON), state.RawStateJSON)
 	if e.store != nil {
 		if err := e.store.UpsertOrder(ctx, state); err != nil {
 			return domain.Order{}, err
@@ -583,6 +561,73 @@ func quoteTimestamp(book domain.OrderBook) time.Time {
 	return book.ReceivedAt.UTC()
 }
 
+func orderContextJSON(book domain.OrderBook) string {
+	bid, ask, err := bestBidAsk(book)
+	if err != nil {
+		return "{}"
+	}
+	mid := bid.Add(ask).Div(decimal.NewFromInt(2))
+	context := map[string]any{
+		"local_quote": map[string]string{
+			"best_bid": bid.String(),
+			"best_ask": ask.String(),
+			"mid":      mid.String(),
+		},
+	}
+	if ts := quoteTimestamp(book); !ts.IsZero() {
+		context["local_quote"].(map[string]string)["quote_ts"] = ts.UTC().Format(time.RFC3339Nano)
+	}
+	raw, err := json.Marshal(context)
+	if err != nil {
+		return "{}"
+	}
+	return string(raw)
+}
+
+func mergeRawStateJSON(localRaw, brokerRaw string) string {
+	local := decodeRawJSON(localRaw)
+	broker := decodeRawJSON(brokerRaw)
+	raw, err := json.Marshal(map[string]any{
+		"local":  local,
+		"broker": broker,
+	})
+	if err != nil {
+		return brokerRaw
+	}
+	return string(raw)
+}
+
+func decodeRawJSON(raw string) any {
+	if raw == "" {
+		return map[string]any{}
+	}
+	var value any
+	if err := json.Unmarshal([]byte(raw), &value); err != nil {
+		return raw
+	}
+	return value
+}
+
+func localRawStateJSON(raw string) string {
+	var object map[string]any
+	if err := json.Unmarshal([]byte(raw), &object); err != nil {
+		return raw
+	}
+	if local, ok := object["local"]; ok {
+		encoded, err := json.Marshal(local)
+		if err == nil {
+			return string(encoded)
+		}
+	}
+	if quote, ok := object["local_quote"]; ok {
+		encoded, err := json.Marshal(map[string]any{"local_quote": quote})
+		if err == nil {
+			return string(encoded)
+		}
+	}
+	return raw
+}
+
 func (e *Engine) lockFor(instrumentUID string) *sync.Mutex {
 	value, _ := e.mu.LoadOrStore(instrumentUID, &sync.Mutex{})
 	lock, ok := value.(*sync.Mutex)

internal/execution/state_test.go

@@ -3,6 +3,7 @@ package execution
 import (
 	"context"
 	"errors"
+	"strings"
 	"testing"
 	"time"
 
@@ -110,6 +111,35 @@ func TestPlaceEntryReservesFreeOrderBudgetAtomically(t *testing.T) {
 	}
 }
 
+func TestRefreshPreservesLocalQuoteContext(t *testing.T) {
+	ctx := context.Background()
+	repo := testutil.NewMemoryRepository()
+	gateway := tinvest.NewFakeGateway()
+	engine := NewEngine(domain.ModeSandbox, "account", gateway, repo)
+	instrument := domain.Instrument{
+		InstrumentUID:     "uid",
+		Lot:               1,
+		MinPriceIncrement: decimal.NewFromInt(1),
+	}
+	book := domain.OrderBook{
+		InstrumentUID: "uid",
+		Bids:          []domain.OrderBookLevel{{Price: decimal.NewFromInt(99), QuantityLots: 10}},
+		Asks:          []domain.OrderBookLevel{{Price: decimal.NewFromInt(101), QuantityLots: 10}},
+		ReceivedAt:    time.Now().UTC(),
+	}
+	order, err := engine.PlaceEntry(ctx, "hash", instrument, time.Now().UTC(), 1, book, 1, 1)
+	if err != nil {
+		t.Fatal(err)
+	}
+	refreshed, err := engine.Refresh(ctx, order)
+	if err != nil {
+		t.Fatal(err)
+	}
+	if !strings.Contains(refreshed.RawStateJSON, "local_quote") || !strings.Contains(refreshed.RawStateJSON, `"mid":"100"`) {
+		t.Fatalf("raw state lost local quote context: %s", refreshed.RawStateJSON)
+	}
+}
+
 func TestMonitorOnceUsesInjectedClockForDeadline(t *testing.T) {
 	ctx := context.Background()
 	repo := testutil.NewMemoryRepository()
@@ -160,10 +190,17 @@ func TestMonitorOnceUsesInjectedClockForDeadline(t *testing.T) {
 	}
 }
 
-func TestPaperPlaceEntryFillsAndCountsSubmittedOrder(t *testing.T) {
+func TestPaperPlaceEntryFillsOnlyWhenOrderBookCrosses(t *testing.T) {
 	ctx := context.Background()
 	repo := testutil.NewMemoryRepository()
-	engine := NewEngine(domain.ModePaper, "account", tinvest.NewFakeGateway(), repo)
+	paper := tinvest.NewPaperGateway(nil)
+	paper.Fake().OrderBooks["uid"] = domain.OrderBook{
+		InstrumentUID: "uid",
+		Bids:          []domain.OrderBookLevel{{Price: decimal.NewFromInt(99), QuantityLots: 10}},
+		Asks:          []domain.OrderBookLevel{{Price: decimal.NewFromInt(101), QuantityLots: 10}},
+		ReceivedAt:    time.Now().UTC(),
+	}
+	engine := NewEngine(domain.ModePaper, "account", paper, repo)
 	tradeDate := time.Date(2026, 6, 6, 0, 0, 0, 0, time.UTC)
 	order, err := engine.PlaceEntry(ctx, "hash", domain.Instrument{
 		InstrumentUID:     "uid",
@@ -178,8 +215,34 @@ func TestPaperPlaceEntryFillsAndCountsSubmittedOrder(t *testing.T) {
 	if err != nil {
 		t.Fatal(err)
 	}
-	if order.Status != domain.OrderStatusFilled || order.FilledLots != 2 || order.BrokerOrderID == "" {
-		t.Fatalf("paper order=%+v, want filled broker-like order", order)
+	if order.Status != domain.OrderStatusSent || order.FilledLots != 0 || order.BrokerOrderID == "" {
+		t.Fatalf("paper order=%+v, want sent unfilled broker-like order", order)
+	}
+	paper.Fake().OrderBooks["uid"] = domain.OrderBook{
+		InstrumentUID: "uid",
+		Bids:          []domain.OrderBookLevel{{Price: decimal.NewFromInt(99), QuantityLots: 10}},
+		Asks:          []domain.OrderBookLevel{{Price: decimal.NewFromInt(100), QuantityLots: 1}},
+		ReceivedAt:    time.Now().UTC(),
+	}
+	partial, err := engine.MonitorOnce(ctx, order, MonitorConfig{})
+	if err != nil {
+		t.Fatal(err)
+	}
+	if partial.Status != domain.OrderStatusPartiallyFilled || partial.FilledLots != 1 {
+		t.Fatalf("paper partial order=%+v, want 1 lot partial fill", partial)
+	}
+	paper.Fake().OrderBooks["uid"] = domain.OrderBook{
+		InstrumentUID: "uid",
+		Bids:          []domain.OrderBookLevel{{Price: decimal.NewFromInt(99), QuantityLots: 10}},
+		Asks:          []domain.OrderBookLevel{{Price: decimal.NewFromInt(100), QuantityLots: 10}},
+		ReceivedAt:    time.Now().UTC(),
+	}
+	filled, err := engine.MonitorOnce(ctx, partial, MonitorConfig{})
+	if err != nil {
+		t.Fatal(err)
+	}
+	if filled.Status != domain.OrderStatusFilled || filled.FilledLots != 2 {
+		t.Fatalf("paper filled order=%+v, want full fill", filled)
 	}
 	sent, err := repo.GetFreeOrdersSent(ctx, tradeDate, "uid")
 	if err != nil {

internal/instruments/registry.go

@@ -29,7 +29,7 @@ func (r Registry) SyncMetadata(ctx context.Context) error {
 		}
 		remote, err := r.gateway.GetInstrument(ctx, instrument.Ticker, instrument.ClassCode)
 		if err != nil {
-			continue
+			return fmt.Errorf("sync instrument metadata %s: %w", instrument.Ticker, err)
 		}
 		remote.Enabled = instrument.Enabled && remote.Enabled
 		remote.FundType = instrument.FundType

internal/instruments/registry_test.go

@@ -0,0 +1,38 @@
+package instruments
+
+import (
+	"context"
+	"errors"
+	"testing"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+	"overnight-trading-bot/internal/testutil"
+	"overnight-trading-bot/internal/tinvest"
+)
+
+func TestSyncMetadataFailsWhenEnabledInstrumentCannotBeLoaded(t *testing.T) {
+	ctx := context.Background()
+	repo := testutil.NewMemoryRepository()
+	gateway := tinvest.NewFakeGateway()
+	instrument := domain.Instrument{
+		InstrumentUID:     "uid",
+		Ticker:            "TRUR",
+		ClassCode:         "TQTF",
+		Lot:               1,
+		MinPriceIncrement: decimal.NewFromInt(1),
+		Currency:          "RUB",
+		Enabled:           true,
+	}
+	if err := repo.UpsertInstrument(ctx, instrument); err != nil {
+		t.Fatal(err)
+	}
+	gateway.Instruments["uid"] = instrument
+	gateway.InstrumentErrors["uid"] = errors.New("metadata unavailable")
+
+	err := NewRegistry(repo, gateway).SyncMetadata(ctx)
+	if err == nil {
+		t.Fatal("expected sync metadata error")
+	}
+}

internal/marketdata/loader.go

@@ -30,7 +30,6 @@ func (l *Loader) SetClock(clock timeutil.Clock) {
 func (l Loader) BackfillDaily(ctx context.Context, instruments []domain.Instrument, from, to time.Time) error {
 	eligible := 0
 	succeeded := 0
-	var firstErr error
 	for _, instrument := range instruments {
 		if !instrument.Enabled || instrument.Quarantine {
 			continue
@@ -38,18 +37,15 @@ func (l Loader) BackfillDaily(ctx context.Context, instruments []domain.Instrume
 		eligible++
 		candles, err := l.gateway.GetCandles(ctx, instrument.InstrumentUID, "day", from, to)
 		if err != nil {
-			if firstErr == nil {
-				firstErr = fmt.Errorf("load candles %s: %w", instrument.Ticker, err)
-			}
-			continue
+			return fmt.Errorf("load daily candles %s: %w", instrument.Ticker, err)
 		}
 		if err := l.repo.UpsertDailyCandles(ctx, candles); err != nil {
 			return fmt.Errorf("persist candles %s: %w", instrument.Ticker, err)
 		}
 		succeeded++
 	}
-	if eligible > 0 && succeeded == 0 && firstErr != nil {
-		return fmt.Errorf("all daily candle loads failed: %w", firstErr)
+	if eligible > 0 && succeeded == 0 {
+		return fmt.Errorf("no daily candles loaded for eligible instruments")
 	}
 	return nil
 }
@@ -57,7 +53,6 @@ func (l Loader) BackfillDaily(ctx context.Context, instruments []domain.Instrume
 func (l Loader) BackfillMinute(ctx context.Context, instruments []domain.Instrument, from, to time.Time) error {
 	eligible := 0
 	succeeded := 0
-	var firstErr error
 	for _, instrument := range instruments {
 		if !instrument.Enabled || instrument.Quarantine {
 			continue
@@ -65,18 +60,15 @@ func (l Loader) BackfillMinute(ctx context.Context, instruments []domain.Instrum
 		eligible++
 		candles, err := l.gateway.GetCandles(ctx, instrument.InstrumentUID, "minute", from, to)
 		if err != nil {
-			if firstErr == nil {
-				firstErr = fmt.Errorf("load minute candles %s: %w", instrument.Ticker, err)
-			}
-			continue
+			return fmt.Errorf("load minute candles %s: %w", instrument.Ticker, err)
 		}
 		if err := l.repo.UpsertMinuteCandles(ctx, candles); err != nil {
 			return fmt.Errorf("persist minute candles %s: %w", instrument.Ticker, err)
 		}
 		succeeded++
 	}
-	if eligible > 0 && succeeded == 0 && firstErr != nil {
-		return fmt.Errorf("all minute candle loads failed: %w", firstErr)
+	if eligible > 0 && succeeded == 0 {
+		return fmt.Errorf("no minute candles loaded for eligible instruments")
 	}
 	return nil
 }

internal/marketdata/loader_test.go

@@ -2,6 +2,7 @@ package marketdata
 
 import (
 	"context"
+	"errors"
 	"strings"
 	"testing"
 	"time"
@@ -9,6 +10,7 @@ import (
 	"github.com/shopspring/decimal"
 
 	"overnight-trading-bot/internal/domain"
+	"overnight-trading-bot/internal/testutil"
 	"overnight-trading-bot/internal/tinvest"
 )
 
@@ -41,3 +43,45 @@ func TestLatestQuoteUsesExchangeTimestampForFreshness(t *testing.T) {
 		t.Fatalf("LatestQuote err=%v, want stale exchange timestamp rejection", err)
 	}
 }
+
+func TestBackfillDailyFailsOnAnyEligibleInstrumentError(t *testing.T) {
+	ctx := context.Background()
+	gateway := tinvest.NewFakeGateway()
+	repo := testutil.NewMemoryRepository()
+	gateway.Candles["ok"] = []domain.Candle{{
+		InstrumentUID: "ok",
+		TradeDate:     time.Date(2026, 6, 8, 0, 0, 0, 0, time.UTC),
+		Close:         decimal.NewFromInt(100),
+	}}
+	gateway.CandleErrors["bad"] = errors.New("candles unavailable")
+	loader := NewLoader(repo, gateway)
+
+	err := loader.BackfillDaily(ctx, []domain.Instrument{
+		{InstrumentUID: "ok", Ticker: "OK", Enabled: true},
+		{InstrumentUID: "bad", Ticker: "BAD", Enabled: true},
+	}, time.Date(2026, 6, 1, 0, 0, 0, 0, time.UTC), time.Date(2026, 6, 8, 0, 0, 0, 0, time.UTC))
+	if err == nil {
+		t.Fatal("expected per-instrument backfill error")
+	}
+}
+
+func TestBackfillMinuteFailsOnAnyEligibleInstrumentError(t *testing.T) {
+	ctx := context.Background()
+	gateway := tinvest.NewFakeGateway()
+	repo := testutil.NewMemoryRepository()
+	gateway.Candles["ok"] = []domain.Candle{{
+		InstrumentUID: "ok",
+		TradeDate:     time.Date(2026, 6, 8, 18, 10, 0, 0, time.UTC),
+		Close:         decimal.NewFromInt(100),
+	}}
+	gateway.CandleErrors["bad"] = errors.New("minute candles unavailable")
+	loader := NewLoader(repo, gateway)
+
+	err := loader.BackfillMinute(ctx, []domain.Instrument{
+		{InstrumentUID: "ok", Ticker: "OK", Enabled: true},
+		{InstrumentUID: "bad", Ticker: "BAD", Enabled: true},
+	}, time.Date(2026, 6, 8, 18, 0, 0, 0, time.UTC), time.Date(2026, 6, 8, 19, 0, 0, 0, time.UTC))
+	if err == nil {
+		t.Fatal("expected per-instrument minute backfill error")
+	}
+}

internal/reconciliation/engine_test.go

@@ -142,6 +142,20 @@ func TestReconciliationQuarantinesOnNonZeroBrokerCommission(t *testing.T) {
 	}
 }
 
+func TestCompareOperationsFlagsNonZeroCommissionWithoutInstrument(t *testing.T) {
+	diffs := compareOperationsWithPolicy(nil, []domain.Operation{{
+		Type:       "OPERATION_TYPE_BROKER_FEE",
+		Commission: decimal.NewFromFloat(0.01),
+		ExecutedAt: time.Now().UTC(),
+	}}, true, decimal.Zero)
+	for _, diff := range diffs {
+		if diff.Kind == "actual_commission_nonzero" && diff.Critical {
+			return
+		}
+	}
+	t.Fatalf("expected critical nonzero commission diff, got %+v", diffs)
+}
+
 func TestReconciliationSkipsFreshInFlightLocalOrders(t *testing.T) {
 	ctx := context.Background()
 	repo := testutil.NewMemoryRepository()

internal/report/daily.go

@@ -71,12 +71,102 @@ func ComposeDaily(input DailyInput) string {
 		averageSpread = averageContextDecimal(input.Signals, "spread_bps")
 	}
 	fmt.Fprintf(&b, "Средний spread: %s bps\n", averageSpread.StringFixed(2))
-	fmt.Fprintf(&b, "Среднее проскальзывание: %s bps\n", input.AverageSlipBps.StringFixed(2))
+	averageSlip := input.AverageSlipBps
+	if averageSlip.IsZero() {
+		averageSlip = AverageAdverseSlippageBps(input.Orders, 0)
+	}
+	fmt.Fprintf(&b, "Среднее проскальзывание: %s bps\n", averageSlip.StringFixed(2))
 	writeExecutionErrors(&b, input.Orders)
 	fmt.Fprintf(&b, "Risk: %s", input.RiskStatus)
 	return b.String()
 }
 
+func AverageAdverseSlippageBps(orders []domain.Order, limit int) decimal.Decimal {
+	if len(orders) == 0 {
+		return decimal.Zero
+	}
+	sorted := append([]domain.Order(nil), orders...)
+	sort.Slice(sorted, func(i, j int) bool {
+		return sorted[i].UpdatedAt.After(sorted[j].UpdatedAt)
+	})
+	sum := decimal.Zero
+	weight := decimal.Zero
+	count := 0
+	for _, order := range sorted {
+		slippage, ok := orderAdverseSlippageBps(order)
+		if !ok {
+			continue
+		}
+		lots := decimal.NewFromInt(order.FilledLots)
+		sum = sum.Add(slippage.Mul(lots))
+		weight = weight.Add(lots)
+		count++
+		if limit > 0 && count == limit {
+			break
+		}
+	}
+	if weight.IsZero() {
+		return decimal.Zero
+	}
+	return sum.Div(weight)
+}
+
+func orderAdverseSlippageBps(order domain.Order) (decimal.Decimal, bool) {
+	if order.FilledLots <= 0 || !order.AvgFillPrice.IsPositive() {
+		return decimal.Zero, false
+	}
+	reference := orderReferencePrice(order)
+	if !reference.IsPositive() {
+		return decimal.Zero, false
+	}
+	var adverse decimal.Decimal
+	switch order.Side {
+	case domain.SideBuy:
+		adverse = order.AvgFillPrice.Sub(reference)
+	case domain.SideSell:
+		adverse = reference.Sub(order.AvgFillPrice)
+	default:
+		return decimal.Zero, false
+	}
+	if adverse.IsNegative() {
+		adverse = decimal.Zero
+	}
+	return adverse.Div(reference).Mul(decimal.NewFromInt(10_000)), true
+}
+
+func orderReferencePrice(order domain.Order) decimal.Decimal {
+	if mid := rawMidPrice(order.RawStateJSON); mid.IsPositive() {
+		return mid
+	}
+	return order.LimitPrice
+}
+
+func rawMidPrice(raw string) decimal.Decimal {
+	var root map[string]any
+	if err := json.Unmarshal([]byte(raw), &root); err != nil {
+		return decimal.Zero
+	}
+	if mid := midFromContainer(root); mid.IsPositive() {
+		return mid
+	}
+	if local, ok := root["local"].(map[string]any); ok {
+		return midFromContainer(local)
+	}
+	return decimal.Zero
+}
+
+func midFromContainer(container map[string]any) decimal.Decimal {
+	quote, ok := container["local_quote"].(map[string]any)
+	if !ok {
+		return decimal.Zero
+	}
+	mid, ok := decimalFromAny(quote["mid"])
+	if !ok {
+		return decimal.Zero
+	}
+	return mid
+}
+
 func groupedReasons(signals []domain.Signal) map[string]int {
 	out := make(map[string]int)
 	for _, sig := range signals {

internal/report/daily_test.go

@@ -0,0 +1,62 @@
+package report
+
+import (
+	"strings"
+	"testing"
+	"time"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+)
+
+func TestAverageAdverseSlippageBpsUsesLocalQuoteMid(t *testing.T) {
+	orders := []domain.Order{{
+		InstrumentUID: "uid",
+		Side:          domain.SideBuy,
+		LimitPrice:    decimal.NewFromInt(100),
+		FilledLots:    2,
+		AvgFillPrice:  decimal.NewFromFloat(100.5),
+		RawStateJSON:  `{"local":{"local_quote":{"mid":"100"}}}`,
+		UpdatedAt:     time.Now().UTC(),
+	}}
+	got := AverageAdverseSlippageBps(orders, 0)
+	if !got.Equal(decimal.NewFromInt(50)) {
+		t.Fatalf("slippage=%s, want 50", got)
+	}
+}
+
+func TestAverageAdverseSlippageBpsFallsBackToLimit(t *testing.T) {
+	orders := []domain.Order{{
+		InstrumentUID: "uid",
+		Side:          domain.SideSell,
+		LimitPrice:    decimal.NewFromInt(100),
+		FilledLots:    1,
+		AvgFillPrice:  decimal.NewFromFloat(99.5),
+		RawStateJSON:  `{}`,
+		UpdatedAt:     time.Now().UTC(),
+	}}
+	got := AverageAdverseSlippageBps(orders, 0)
+	if !got.Equal(decimal.NewFromInt(50)) {
+		t.Fatalf("slippage=%s, want 50", got)
+	}
+}
+
+func TestComposeDailyComputesSlippageWhenInputIsZero(t *testing.T) {
+	msg := ComposeDaily(DailyInput{
+		Date: time.Date(2026, 6, 8, 0, 0, 0, 0, time.UTC),
+		Mode: domain.ModePaper,
+		Orders: []domain.Order{{
+			Side:         domain.SideBuy,
+			LimitPrice:   decimal.NewFromInt(100),
+			FilledLots:   1,
+			AvgFillPrice: decimal.NewFromFloat(100.5),
+			RawStateJSON: `{"local":{"local_quote":{"mid":"100"}}}`,
+			UpdatedAt:    time.Now().UTC(),
+		}},
+		RiskStatus: "ok",
+	})
+	if !strings.Contains(msg, "Среднее проскальзывание: 50.00 bps") {
+		t.Fatalf("report did not include computed slippage:\n%s", msg)
+	}
+}

internal/scheduler/scheduler.go

@@ -868,12 +868,13 @@ func (s *Scheduler) sendDailyReport(ctx context.Context, now time.Time, riskStat
 		}
 	}
 	msg := report.ComposeDaily(report.DailyInput{
-		Date:       tradeDate,
-		Mode:       s.cfg.Mode,
-		Signals:    signals,
-		Positions:  positionsList,
-		Orders:     orders,
-		RiskStatus: riskStatus,
+		Date:           tradeDate,
+		Mode:           s.cfg.Mode,
+		Signals:        signals,
+		Positions:      positionsList,
+		Orders:         orders,
+		AverageSlipBps: report.AverageAdverseSlippageBps(orders, 0),
+		RiskStatus:     riskStatus,
 	})
 	if err := s.svc.Notifier.Report(ctx, msg); err != nil {
 		return err
@@ -1328,7 +1329,6 @@ func (s Scheduler) riskMetrics(ctx context.Context, now time.Time, portfolio dom
 	weekStart := today.AddDate(0, 0, -6)
 	var metrics preTradeMetrics
 	monthlyPnL := decimal.Zero
-	var closed []domain.Position
 	for _, pos := range positionsList {
 		if pos.Status != domain.PositionExitFilled {
 			continue
@@ -1347,64 +1347,18 @@ func (s Scheduler) riskMetrics(ctx context.Context, now time.Time, portfolio dom
 		if !closeDate.Before(monthStart) {
 			monthlyPnL = monthlyPnL.Add(pos.NetPnL)
 		}
-		closed = append(closed, pos)
 	}
 	if monthlyPnL.IsNegative() && portfolio.Equity.IsPositive() {
 		metrics.monthlyDrawdownPct = monthlyPnL.Neg().Div(portfolio.Equity)
 	}
-	avg, err := s.averageAdverseSlippageBps(ctx, closed, 10)
+	orders, err := s.svc.Repo.ListOrders(ctx, s.svc.AccountIDHash, monthStart.AddDate(0, 0, -7), today)
 	if err != nil {
 		return preTradeMetrics{}, err
 	}
-	metrics.avgSlippageBps10 = avg
+	metrics.avgSlippageBps10 = report.AverageAdverseSlippageBps(orders, 10)
 	return metrics, nil
 }
 
-func (s Scheduler) averageAdverseSlippageBps(ctx context.Context, positionsList []domain.Position, limit int) (decimal.Decimal, error) {
-	if limit <= 0 {
-		return decimal.Zero, nil
-	}
-	sort.Slice(positionsList, func(i, j int) bool {
-		return positionCloseTime(positionsList[i]).After(positionCloseTime(positionsList[j]))
-	})
-	signalsByDate := make(map[string][]domain.Signal)
-	var values []decimal.Decimal
-	for _, pos := range positionsList {
-		key := tradingDate(pos.OpenTradeDate).Format("2006-01-02")
-		signals, ok := signalsByDate[key]
-		if !ok {
-			var err error
-			signals, err = s.svc.Repo.ListSignals(ctx, tradingDate(pos.OpenTradeDate))
-			if err != nil && !errors.Is(err, sql.ErrNoRows) {
-				return decimal.Zero, err
-			}
-			signalsByDate[key] = signals
-		}
-		for _, sig := range signals {
-			if sig.InstrumentUID != pos.InstrumentUID || sig.Decision != domain.DecisionEnter {
-				continue
-			}
-			adverse := sig.NetEdgeBps.Sub(pos.RealizedEdgeBps)
-			if adverse.IsNegative() {
-				adverse = decimal.Zero
-			}
-			values = append(values, adverse)
-			break
-		}
-		if len(values) == limit {
-			break
-		}
-	}
-	if len(values) == 0 {
-		return decimal.Zero, nil
-	}
-	sum := decimal.Zero
-	for _, value := range values {
-		sum = sum.Add(value)
-	}
-	return sum.Div(decimal.NewFromInt(int64(len(values)))), nil
-}
-
 func positionCloseTime(pos domain.Position) time.Time {
 	if pos.ClosedAt != nil {
 		return pos.ClosedAt.UTC()

internal/tinvest/gateway.go

@@ -3,6 +3,7 @@ package tinvest
 import (
 	"context"
 	"errors"
+	"fmt"
 	"sync"
 	"time"
 
@@ -28,24 +29,28 @@ type Gateway interface {
 }
 
 type FakeGateway struct {
-	mu          sync.Mutex
-	Instruments map[string]domain.Instrument
-	Candles     map[string][]domain.Candle
-	OrderBooks  map[string]domain.OrderBook
-	Statuses    map[string]domain.TradingStatus
-	Orders      map[string]domain.Order
-	Portfolio   domain.Portfolio
-	Operations  []domain.Operation
-	ServerTime  time.Time
+	mu               sync.Mutex
+	Instruments      map[string]domain.Instrument
+	InstrumentErrors map[string]error
+	Candles          map[string][]domain.Candle
+	CandleErrors     map[string]error
+	OrderBooks       map[string]domain.OrderBook
+	Statuses         map[string]domain.TradingStatus
+	Orders           map[string]domain.Order
+	Portfolio        domain.Portfolio
+	Operations       []domain.Operation
+	ServerTime       time.Time
 }
 
 func NewFakeGateway() *FakeGateway {
 	return &FakeGateway{
-		Instruments: make(map[string]domain.Instrument),
-		Candles:     make(map[string][]domain.Candle),
-		OrderBooks:  make(map[string]domain.OrderBook),
-		Statuses:    make(map[string]domain.TradingStatus),
-		Orders:      make(map[string]domain.Order),
+		Instruments:      make(map[string]domain.Instrument),
+		InstrumentErrors: make(map[string]error),
+		Candles:          make(map[string][]domain.Candle),
+		CandleErrors:     make(map[string]error),
+		OrderBooks:       make(map[string]domain.OrderBook),
+		Statuses:         make(map[string]domain.TradingStatus),
+		Orders:           make(map[string]domain.Order),
 		Portfolio: domain.Portfolio{
 			Equity:    decimal.NewFromInt(100_000),
 			Cash:      decimal.NewFromInt(100_000),
@@ -59,6 +64,9 @@ func (f *FakeGateway) GetInstrument(_ context.Context, ticker, classCode string)
 	defer f.mu.Unlock()
 	for _, instrument := range f.Instruments {
 		if instrument.Ticker == ticker && instrument.ClassCode == classCode {
+			if err := f.InstrumentErrors[instrument.InstrumentUID]; err != nil {
+				return domain.Instrument{}, err
+			}
 			return instrument, nil
 		}
 	}
@@ -68,6 +76,9 @@ func (f *FakeGateway) GetInstrument(_ context.Context, ticker, classCode string)
 func (f *FakeGateway) GetCandles(_ context.Context, instrumentUID string, _ string, from, to time.Time) ([]domain.Candle, error) {
 	f.mu.Lock()
 	defer f.mu.Unlock()
+	if err := f.CandleErrors[instrumentUID]; err != nil {
+		return nil, err
+	}
 	var out []domain.Candle
 	for _, candle := range f.Candles[instrumentUID] {
 		if !candle.TradeDate.Before(from) && !candle.TradeDate.After(to) {
@@ -141,6 +152,40 @@ func (f *FakeGateway) GetOrderState(_ context.Context, _ string, orderID string)
 	return order, nil
 }
 
+func (f *FakeGateway) SimulateOrderBookFill(orderID string, book domain.OrderBook) (domain.Order, error) {
+	f.mu.Lock()
+	defer f.mu.Unlock()
+	order, ok := f.Orders[orderID]
+	if !ok {
+		return domain.Order{}, ErrNotFound
+	}
+	if isTerminalFakeOrder(order.Status) || order.FilledLots >= order.QuantityLots {
+		return order, nil
+	}
+	price, availableLots, ok := paperFillLevel(order, book)
+	if !ok || availableLots <= 0 {
+		return order, nil
+	}
+	remaining := order.QuantityLots - order.FilledLots
+	fillLots := minInt64(remaining, availableLots)
+	if fillLots <= 0 {
+		return order, nil
+	}
+	order.AvgFillPrice = paperWeightedAvg(order.AvgFillPrice, order.FilledLots, price, fillLots)
+	order.FilledLots += fillLots
+	if order.FilledLots >= order.QuantityLots {
+		order.Status = domain.OrderStatusFilled
+	} else {
+		order.Status = domain.OrderStatusPartiallyFilled
+	}
+	now := time.Now().UTC()
+	order.UpdatedAt = now
+	order.RawStateJSON = fmt.Sprintf(`{"paper_fill":true,"filled_lots":%d}`, order.FilledLots)
+	f.Orders[orderID] = order
+	f.recordPaperOperationLocked(order, fillLots, price, now)
+	return order, nil
+}
+
 func (f *FakeGateway) GetActiveOrders(_ context.Context, _ string) ([]domain.Order, error) {
 	f.mu.Lock()
 	defer f.mu.Unlock()
@@ -180,3 +225,70 @@ func (f *FakeGateway) GetServerTime(context.Context) (time.Time, error) {
 	}
 	return f.ServerTime, nil
 }
+
+func isTerminalFakeOrder(status domain.OrderStatus) bool {
+	return status == domain.OrderStatusFilled ||
+		status == domain.OrderStatusCancelled ||
+		status == domain.OrderStatusRejected ||
+		status == domain.OrderStatusExpired ||
+		status == domain.OrderStatusFailed
+}
+
+func paperFillLevel(order domain.Order, book domain.OrderBook) (decimal.Decimal, int64, bool) {
+	switch order.Side {
+	case domain.SideBuy:
+		if len(book.Asks) == 0 {
+			return decimal.Zero, 0, false
+		}
+		ask := book.Asks[0]
+		if ask.Price.IsPositive() && order.LimitPrice.GreaterThanOrEqual(ask.Price) {
+			return ask.Price, ask.QuantityLots, true
+		}
+	case domain.SideSell:
+		if len(book.Bids) == 0 {
+			return decimal.Zero, 0, false
+		}
+		bid := book.Bids[0]
+		if bid.Price.IsPositive() && order.LimitPrice.LessThanOrEqual(bid.Price) {
+			return bid.Price, bid.QuantityLots, true
+		}
+	}
+	return decimal.Zero, 0, false
+}
+
+func paperWeightedAvg(currentAvg decimal.Decimal, currentLots int64, fillPrice decimal.Decimal, fillLots int64) decimal.Decimal {
+	if currentLots <= 0 {
+		return fillPrice
+	}
+	totalLots := currentLots + fillLots
+	if totalLots <= 0 {
+		return decimal.Zero
+	}
+	return currentAvg.Mul(decimal.NewFromInt(currentLots)).
+		Add(fillPrice.Mul(decimal.NewFromInt(fillLots))).
+		Div(decimal.NewFromInt(totalLots))
+}
+
+func (f *FakeGateway) recordPaperOperationLocked(order domain.Order, fillLots int64, price decimal.Decimal, ts time.Time) {
+	payment := price.Mul(decimal.NewFromInt(fillLots))
+	opType := "OPERATION_TYPE_SELL"
+	if order.Side == domain.SideBuy {
+		payment = payment.Neg()
+		opType = "OPERATION_TYPE_BUY"
+	}
+	f.Operations = append(f.Operations, domain.Operation{
+		ID:            fmt.Sprintf("%s-%d", order.BrokerOrderID, len(f.Operations)+1),
+		InstrumentUID: order.InstrumentUID,
+		Type:          opType,
+		Payment:       payment,
+		Commission:    decimal.Zero,
+		ExecutedAt:    ts,
+	})
+}
+
+func minInt64(a, b int64) int64 {
+	if a < b {
+		return a
+	}
+	return b
+}

internal/tinvest/paper.go

@@ -62,7 +62,18 @@ func (g *PaperGateway) CancelOrder(ctx context.Context, accountID, orderID strin
 }
 
 func (g *PaperGateway) GetOrderState(ctx context.Context, accountID, orderID string) (domain.Order, error) {
-	return g.Fake().GetOrderState(ctx, accountID, orderID)
+	order, err := g.Fake().GetOrderState(ctx, accountID, orderID)
+	if err != nil {
+		return domain.Order{}, err
+	}
+	if !paperOrderCanFill(order) {
+		return order, nil
+	}
+	book, err := g.GetOrderBook(ctx, order.InstrumentUID, 20)
+	if err != nil {
+		return domain.Order{}, err
+	}
+	return g.Fake().SimulateOrderBookFill(orderID, book)
 }
 
 func (g *PaperGateway) GetActiveOrders(ctx context.Context, accountID string) ([]domain.Order, error) {
@@ -83,3 +94,9 @@ func (g *PaperGateway) GetServerTime(ctx context.Context) (time.Time, error) {
 	}
 	return g.Fake().GetServerTime(ctx)
 }
+
+func paperOrderCanFill(order domain.Order) bool {
+	return order.Status == domain.OrderStatusSent ||
+		order.Status == domain.OrderStatusPartiallyFilled ||
+		order.Status == domain.OrderStatusNew
+}

internal/tinvest/real.go

@@ -306,13 +306,19 @@ func (g *RealGateway) GetPortfolio(ctx context.Context, accountID string) (domai
 	if err != nil {
 		return domain.Portfolio{}, err
 	}
-	return portfolioFromResponse(resp, g.lotForInstrument)
+	return portfolioFromResponse(resp, func(instrumentUID string) (int64, error) {
+		return g.resolveInstrumentLot(ctx, instrumentUID)
+	})
 }
 
 func (g *RealGateway) GetOperations(ctx context.Context, accountID string, from, to time.Time) ([]domain.Operation, error) {
 	if err := ctx.Err(); err != nil {
 		return nil, err
 	}
+	ops, err := g.getOperationsByCursor(ctx, accountID, from, to)
+	if err == nil {
+		return ops, nil
+	}
 	resp, err := requestWithTimeout(ctx, g.requestTimeout, func(callCtx context.Context) (*pb.OperationsResponse, error) {
 		return retryValue(callCtx, g.retryAttempts, g.retryBackoff, func() (*pb.OperationsResponse, error) {
 			return g.operationsPB.GetOperations(callCtx, &pb.OperationsRequest{
@@ -328,30 +334,122 @@ func (g *RealGateway) GetOperations(ctx context.Context, accountID string, from,
 	return operationsFromResponse(resp), nil
 }
 
+func (g *RealGateway) getOperationsByCursor(ctx context.Context, accountID string, from, to time.Time) ([]domain.Operation, error) {
+	limit := int32(1000)
+	withoutCommissions := false
+	withoutTrades := true
+	withoutOvernights := false
+	state := pb.OperationState_OPERATION_STATE_EXECUTED
+	var cursor *string
+	var out []domain.Operation
+	for {
+		resp, err := requestWithTimeout(ctx, g.requestTimeout, func(callCtx context.Context) (*pb.GetOperationsByCursorResponse, error) {
+			return retryValue(callCtx, g.retryAttempts, g.retryBackoff, func() (*pb.GetOperationsByCursorResponse, error) {
+				return g.operationsPB.GetOperationsByCursor(callCtx, &pb.GetOperationsByCursorRequest{
+					AccountId:          accountID,
+					From:               investgo.TimeToTimestamp(from),
+					To:                 investgo.TimeToTimestamp(to),
+					Cursor:             cursor,
+					Limit:              &limit,
+					State:              &state,
+					WithoutCommissions: &withoutCommissions,
+					WithoutTrades:      &withoutTrades,
+					WithoutOvernights:  &withoutOvernights,
+				})
+			})
+		})
+		if err != nil {
+			return nil, err
+		}
+		out = append(out, operationsFromCursorResponse(resp)...)
+		if !resp.GetHasNext() || resp.GetNextCursor() == "" {
+			return out, nil
+		}
+		next := resp.GetNextCursor()
+		cursor = &next
+	}
+}
+
 func operationsFromResponse(resp *pb.OperationsResponse) []domain.Operation {
 	ops := resp.GetOperations()
 	out := make([]domain.Operation, 0, len(ops))
 	for _, op := range ops {
 		payment := money.MoneyValueToDecimal(op.GetPayment())
+		instrumentUID := op.GetInstrumentUid()
+		commission := operationCommission(op.GetOperationType(), payment)
+		childCommission := decimal.Zero
+		for _, child := range op.GetChildOperations() {
+			childPayment := money.MoneyValueToDecimal(child.GetPayment())
+			if instrumentUID == "" {
+				instrumentUID = child.GetInstrumentUid()
+			}
+			childCommission = childCommission.Add(operationCommission(op.GetOperationType(), childPayment))
+		}
+		if commission.IsZero() {
+			commission = childCommission
+		}
 		out = append(out, domain.Operation{
 			ID:            op.GetId(),
-			InstrumentUID: op.GetInstrumentUid(),
+			InstrumentUID: instrumentUID,
 			Type:          op.GetOperationType().String(),
 			Payment:       payment,
-			Commission:    operationCommission(op.GetOperationType(), payment),
+			Commission:    commission,
 			ExecutedAt:    op.GetDate().AsTime().UTC(),
 		})
 	}
 	return out
 }
 
-func portfolioFromResponse(resp *pb.PortfolioResponse, lotForInstrument func(string) int64) (domain.Portfolio, error) {
+func operationsFromCursorResponse(resp *pb.GetOperationsByCursorResponse) []domain.Operation {
+	items := resp.GetItems()
+	out := make([]domain.Operation, 0, len(items))
+	for _, item := range items {
+		payment := money.MoneyValueToDecimal(item.GetPayment())
+		commission := money.Abs(money.MoneyValueToDecimal(item.GetCommission()))
+		instrumentUID := item.GetInstrumentUid()
+		childCommission := decimal.Zero
+		for _, child := range item.GetChildOperations() {
+			childPayment := money.Abs(money.MoneyValueToDecimal(child.GetPayment()))
+			if instrumentUID == "" {
+				instrumentUID = child.GetInstrumentUid()
+			}
+			if operationLooksLikeCommission(item.GetType(), childPayment) {
+				childCommission = childCommission.Add(childPayment)
+			}
+		}
+		if commission.IsZero() && operationLooksLikeCommission(item.GetType(), payment) {
+			commission = money.Abs(payment)
+		}
+		if commission.IsZero() {
+			commission = childCommission
+		}
+		out = append(out, domain.Operation{
+			ID:            item.GetId(),
+			InstrumentUID: instrumentUID,
+			Type:          item.GetType().String(),
+			Payment:       payment,
+			Commission:    commission,
+			ExecutedAt:    item.GetDate().AsTime().UTC(),
+		})
+	}
+	return out
+}
+
+func portfolioFromResponse(resp *pb.PortfolioResponse, lotForInstrument func(string) (int64, error)) (domain.Portfolio, error) {
 	positions := resp.GetPositions()
 	holdings := make([]domain.Holding, 0, len(positions))
 	for _, position := range positions {
+		if portfolioPositionIgnored(position) {
+			continue
+		}
+		lot, lotErr := portfolioPositionLot(position, lotForInstrument)
+		lots, err := portfolioQuantityLots(position, lot, lotErr)
+		if err != nil {
+			return domain.Portfolio{}, err
+		}
 		holdings = append(holdings, domain.Holding{
 			InstrumentUID: position.GetInstrumentUid(),
-			QuantityLots:  portfolioQuantityLots(position, portfolioPositionLot(position, lotForInstrument)),
+			QuantityLots:  lots,
 			AveragePrice:  money.MoneyValueToDecimal(position.GetAveragePositionPrice()),
 			MarketValue:   money.MoneyValueToDecimal(position.GetCurrentPrice()).Mul(money.QuotationToDecimal(position.GetQuantity())),
 		})
@@ -396,14 +494,22 @@ func (g *RealGateway) GetServerTime(ctx context.Context) (time.Time, error) {
 }
 
 func operationCommission(operationType pb.OperationType, payment decimal.Decimal) decimal.Decimal {
-	if operationType != pb.OperationType_OPERATION_TYPE_BROKER_FEE &&
-		operationType != pb.OperationType_OPERATION_TYPE_SERVICE_FEE &&
-		operationType != pb.OperationType_OPERATION_TYPE_SUCCESS_FEE {
+	if !operationTypeIsCommission(operationType) {
 		return decimal.Zero
 	}
 	return money.Abs(payment)
 }
 
+func operationTypeIsCommission(operationType pb.OperationType) bool {
+	return operationType == pb.OperationType_OPERATION_TYPE_BROKER_FEE ||
+		operationType == pb.OperationType_OPERATION_TYPE_SERVICE_FEE ||
+		operationType == pb.OperationType_OPERATION_TYPE_SUCCESS_FEE
+}
+
+func operationLooksLikeCommission(operationType pb.OperationType, payment decimal.Decimal) bool {
+	return operationTypeIsCommission(operationType) && !payment.IsZero()
+}
+
 func rubMoneyValueToDecimal(value *pb.MoneyValue) (decimal.Decimal, error) {
 	if value == nil {
 		return decimal.Zero, nil
@@ -414,25 +520,38 @@ func rubMoneyValueToDecimal(value *pb.MoneyValue) (decimal.Decimal, error) {
 	return money.MoneyValueToDecimal(value), nil
 }
 
-func portfolioPositionLot(position *pb.PortfolioPosition, lotForInstrument func(string) int64) int64 {
+func portfolioPositionLot(position *pb.PortfolioPosition, lotForInstrument func(string) (int64, error)) (int64, error) {
 	if position == nil || lotForInstrument == nil {
-		return 0
+		return 0, nil
 	}
 	return lotForInstrument(position.GetInstrumentUid())
 }
 
-func portfolioQuantityLots(position *pb.PortfolioPosition, lot int64) int64 {
+func portfolioPositionIgnored(position *pb.PortfolioPosition) bool {
 	if position == nil {
-		return 0
+		return true
+	}
+	if money.QuotationToDecimal(position.GetQuantity()).IsZero() {
+		return true
+	}
+	return strings.EqualFold(position.GetInstrumentType(), "currency")
+}
+
+func portfolioQuantityLots(position *pb.PortfolioPosition, lot int64, lotErr error) (int64, error) {
+	if position == nil {
+		return 0, nil
 	}
 	if lots, ok := portfolioDeprecatedQuantityLots(position); ok {
-		return lots.IntPart()
+		return lots.IntPart(), nil
+	}
+	if lotErr != nil {
+		return 0, lotErr
 	}
 	quantity := money.QuotationToDecimal(position.GetQuantity())
 	if lot > 0 {
-		return quantity.Div(decimal.NewFromInt(lot)).IntPart()
+		return quantity.Div(decimal.NewFromInt(lot)).IntPart(), nil
 	}
-	return quantity.IntPart()
+	return 0, fmt.Errorf("portfolio lot size is unknown for %s", position.GetInstrumentUid())
 }
 
 func (g *RealGateway) storeInstrumentLot(instrument domain.Instrument) {
@@ -457,6 +576,33 @@ func (g *RealGateway) lotForInstrument(instrumentUID string) int64 {
 	return lot
 }
 
+func (g *RealGateway) resolveInstrumentLot(ctx context.Context, instrumentUID string) (int64, error) {
+	if lot := g.lotForInstrument(instrumentUID); lot > 0 {
+		return lot, nil
+	}
+	if instrumentUID == "" {
+		return 0, errors.New("portfolio instrument uid is empty")
+	}
+	resp, err := requestWithTimeout(ctx, g.requestTimeout, func(callCtx context.Context) (*pb.InstrumentResponse, error) {
+		return retryValue(callCtx, g.retryAttempts, g.retryBackoff, func() (*pb.InstrumentResponse, error) {
+			return g.instrumentsPB.GetInstrumentBy(callCtx, &pb.InstrumentRequest{
+				IdType: pb.InstrumentIdType_INSTRUMENT_ID_TYPE_UID,
+				Id:     instrumentUID,
+			})
+		})
+	})
+	if err != nil {
+		return 0, err
+	}
+	instrument := resp.GetInstrument()
+	if instrument == nil || instrument.GetLot() <= 0 {
+		return 0, fmt.Errorf("portfolio lot size is unavailable for %s", instrumentUID)
+	}
+	lot := int64(instrument.GetLot())
+	g.instrumentLots.Store(instrumentUID, lot)
+	return lot, nil
+}
+
 func portfolioDeprecatedQuantityLots(position *pb.PortfolioPosition) (decimal.Decimal, bool) {
 	message := position.ProtoReflect()
 	field := message.Descriptor().Fields().ByName("quantity_lots")

internal/tinvest/real_test.go

@@ -47,11 +47,11 @@ func TestPortfolioFromResponseConvertsUnitsToLots(t *testing.T) {
 				CurrentPrice:  &pb.MoneyValue{Currency: "rub", Units: 10},
 			},
 		},
-	}, func(instrumentUID string) int64 {
+	}, func(instrumentUID string) (int64, error) {
 		if instrumentUID == "uid" {
-			return 10
+			return 10, nil
 		}
-		return 0
+		return 0, nil
 	})
 	if err != nil {
 		t.Fatal(err)
@@ -63,3 +63,84 @@ func TestPortfolioFromResponseConvertsUnitsToLots(t *testing.T) {
 		t.Fatalf("market value=%s, want 200", portfolio.Holdings[0].MarketValue)
 	}
 }
+
+func TestPortfolioFromResponseRejectsUnknownLotWhenQuantityLotsMissing(t *testing.T) {
+	_, err := portfolioFromResponse(&pb.PortfolioResponse{
+		Positions: []*pb.PortfolioPosition{
+			{
+				InstrumentUid: "uid",
+				Quantity:      &pb.Quotation{Units: 20},
+				CurrentPrice:  &pb.MoneyValue{Currency: "rub", Units: 10},
+			},
+		},
+	}, func(string) (int64, error) {
+		return 0, nil
+	})
+	if err == nil {
+		t.Fatal("expected unknown lot error")
+	}
+}
+
+func TestPortfolioFromResponseIgnoresCurrencyPositions(t *testing.T) {
+	portfolio, err := portfolioFromResponse(&pb.PortfolioResponse{
+		Positions: []*pb.PortfolioPosition{
+			{
+				InstrumentUid:        "rub",
+				InstrumentType:       "currency",
+				Quantity:             &pb.Quotation{Units: 1000},
+				CurrentPrice:         &pb.MoneyValue{Currency: "rub", Units: 1},
+				QuantityLots:         &pb.Quotation{Units: 1000},
+				AveragePositionPrice: &pb.MoneyValue{Currency: "rub", Units: 1},
+			},
+		},
+	}, func(string) (int64, error) {
+		return 0, nil
+	})
+	if err != nil {
+		t.Fatal(err)
+	}
+	if len(portfolio.Holdings) != 0 {
+		t.Fatalf("currency position should be excluded from holdings: %+v", portfolio.Holdings)
+	}
+}
+
+func TestOperationsFromResponseAttributesCommissionChildUID(t *testing.T) {
+	ops := operationsFromResponse(&pb.OperationsResponse{
+		Operations: []*pb.Operation{{
+			Id:            "fee",
+			OperationType: pb.OperationType_OPERATION_TYPE_BROKER_FEE,
+			Payment:       &pb.MoneyValue{Currency: "rub", Units: -1},
+			ChildOperations: []*pb.ChildOperationItem{{
+				InstrumentUid: "uid",
+				Payment:       &pb.MoneyValue{Currency: "rub", Units: -1},
+			}},
+		}},
+	})
+	if len(ops) != 1 {
+		t.Fatalf("operations=%d, want 1", len(ops))
+	}
+	if ops[0].InstrumentUID != "uid" {
+		t.Fatalf("instrument uid=%q, want uid", ops[0].InstrumentUID)
+	}
+	if !ops[0].Commission.Equal(decimal.NewFromInt(1)) {
+		t.Fatalf("commission=%s, want 1", ops[0].Commission)
+	}
+}
+
+func TestOperationsFromCursorResponseUsesExplicitCommission(t *testing.T) {
+	ops := operationsFromCursorResponse(&pb.GetOperationsByCursorResponse{
+		Items: []*pb.OperationItem{{
+			Id:            "trade",
+			Type:          pb.OperationType_OPERATION_TYPE_BUY,
+			InstrumentUid: "uid",
+			Payment:       &pb.MoneyValue{Currency: "rub", Units: -100},
+			Commission:    &pb.MoneyValue{Currency: "rub", Units: -1},
+		}},
+	})
+	if len(ops) != 1 {
+		t.Fatalf("operations=%d, want 1", len(ops))
+	}
+	if !ops[0].Commission.Equal(decimal.NewFromInt(1)) {
+		t.Fatalf("commission=%s, want 1", ops[0].Commission)
+	}
+}

internal/tinvest/sandbox.go

@@ -135,7 +135,9 @@ func (g *SandboxGateway) GetPortfolio(ctx context.Context, accountID string) (do
 	if err != nil {
 		return domain.Portfolio{}, err
 	}
-	return portfolioFromResponse(resp, g.lotForInstrument)
+	return portfolioFromResponse(resp, func(instrumentUID string) (int64, error) {
+		return g.resolveInstrumentLot(ctx, instrumentUID)
+	})
 }
 
 func (g *SandboxGateway) GetOperations(ctx context.Context, accountID string, from, to time.Time) ([]domain.Operation, error) {