feat(ECR-007): Wyckoff Live Structure with Confirmed/Live isolation
Add live.py lifecycle and event candidates; assemble confirmed vs live in engine; Summary partition; execution_signal source=confirmed only. Keep strategies untouched; do not lower Confirmed thresholds for Live. Co-authored-by: Cursor <cursoragent@cursor.com>
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# WYCKOFF-LIVE-STRUCTURE-001
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**Status:** FROZEN
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**Depends on:** WYCKOFF-MULTI-CYCLE-001
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**Scope:** Live / Developing 结构层（独立于 Confirmed Engine）
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## 核心原则
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| Layer | 定位 |
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|-------|------|
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| Confirmed Engine | 历史结构事实 |
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| Live Engine | 当前结构推演 |
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禁止：
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- 降低 Spring/SOS Confirmed 条件
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- 用 Live candidate 替代 Confirmed event
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- Execution 消费 Live / FORMING / Candidate / Prediction
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## 状态机
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```
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UNKNOWN → FORMING → CONFIRMED → COMPLETED
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```
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## 数据契约（Live 不进 events[]）
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```json
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{
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"cycles": [{
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"id": 0,
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"lifecycle": "FORMING",
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"confirmed": { "phases": [], "events": [] },
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"live": {
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"phase_candidate": "D",
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"event_candidates": [{ "type": "SOS", "confidence": 0.62, "confirmed": false }],
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"next_expected": "LPS",
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"confidence": { "cycle": 0.72, "phase": 0.68, "event": 0.55, "overall": 0.65 }
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}
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}],
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"live": { "...": "顶层镜像 cycles[0].live，便于 Summary" }
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}
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```
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兼容：顶层 `phases` / `events` 仍镜像 **Confirmed**（= ACTIVE cycle 的 confirmed 内容）。
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## Candidate v1（仅启发式）
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- Range Formation：横盘时长、波动收敛 → Potential Trading Range
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- Phase C candidate：测低 / 下影 / 缩量
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- Event candidates：Spring / SOS / LPS / UTAD only
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## Confidence
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可解释分层：`cycle` / `phase` / `event` / `overall`（structure+volume+event 加权），禁止黑盒 “AI probability”。
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## Execution
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```
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assert execution_signal.source == "confirmed"
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```
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## No Change
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- Confirmed 检测阈值、MULTI-CYCLE-001 排序、缠论 / strategies / chan_tv
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## Only Change
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- `chanlun/analysis/wyckoff/live.py`
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- engine 组装 `lifecycle` / `confirmed` / `live`
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- Summary 面板分区
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- 测例
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# WYCKOFF-LIVE-VALIDATION-001
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**Status:** DRAFT（待确认执行后 FROZEN）
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**Depends on:** WYCKOFF-LIVE-STRUCTURE-001（已 FROZEN）
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**Goal:** 验证 Live 是否有预测价值，而非继续加事件规则
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## 不做
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- 不新增 BC / AR / ST / UT / UTAD（v1 已够）
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- 不降低 Confirmed 门槛
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- 不让 Execution 消费 Live
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## 目标指标（先看演化，不看「准确率」口号）
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### 1) Candidate → Confirmed 转化率
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```
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candidate_to_confirmed_rate = confirmed_count / candidate_count
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```
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按 event type 分组：Spring / SOS / LPS / UTAD。
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### 2) 提前量（Lead）
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```
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lead_bars = confirmed_bar_index - first_candidate_bar_index
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lead_price = |price_at_confirmed - price_at_first_candidate|
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```
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例：Spring candidate @ 62000 → Confirmed @ 63500 → lead_price=1500。
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### 3) False Positive
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```
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false_candidate_rate = expired_unconfirmed / candidate_count
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```
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候选出现后，在窗口内未升格为 Confirmed，且价格无效化（如 Spring 后继续破位）。
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## 采集方式（建议）
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离线回放 / 批跑（非改 Live 规则）：
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```
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for each bar in timerange:
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run analyze_wyckoff(df[:bar])
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log: cycle_id, lifecycle, live.candidates[], confirmed.events[]
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```
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输出：`reports/wyckoff_live_validation_{symbol}_{tf}_{date}.json` + 简表 CSV。
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## Summary 文案（可选后续，本 ECR 可只做数据）
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交易终端语言示例（不阻塞指标采集）：
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```
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BTC 4H Wyckoff
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Lifecycle: CONFIRMED
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Confirmed: Accumulation → SOS → LPS
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Current: Phase D continuation
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Watching: New SOS extension
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Confidence: 0.60
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Risk: Below LPS invalidation
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```
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## 验收
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1. 能对 BTC 4h（及可选 1h）跑出至少一类 Spring/SOS 的转化率与提前量
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2. 报告可复现（固定 timerange + seed/数据快照说明）
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3. 不修改 Confirmed / Live 检测逻辑（只读 + 日志）
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## Only Change（确认执行后）
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- `scripts/` 或 `tests/` 下批跑采集脚本
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- `docs/notes` 或 `reports/` 输出样例
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- 可选：Summary 文案升级（独立小项）
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# WYCKOFF-MULTI-CYCLE-001
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**Status:** FROZEN
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**Scope:** Wyckoff Cycle Detection Layer
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## No Change
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- `chan.py` / 笔 / 段 / 中枢
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- `strategies/`
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- `/chan_tv`
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## Only Change
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- wyckoff range detection
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- wyckoff engine payload
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- API localization
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- chart rendering
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- tests
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## Frozen Rules
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1. 每个 TF 最大 8 个周期
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2. `cycles[0]` 永远为 ACTIVE；`cycles[1:]` 为 HISTORICAL
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3. **禁止**用 `cycles[-1]` 判断 active；唯一来源：`active_cycle = cycles[0]`
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4. 周期不可重叠；按时间倒序（近 → 远）
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5. 顶层字段只镜像 `cycles[0]`
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6. 历史 cycle 只用于展示/分析，不参与当前交易决策
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7. 多 TF 只同步 active cycle（`prefer_start_time` ← 主 TF `cycles[0]`）
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8. 每个 cycle 必须可追溯：`period` / `status` / `role` / `confidence`
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9. 嵌套箱：`overlap_ratio < 0.2` 才可并存；否则丢弃
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10. 验收重点：历史周期稳定复现 + active 不漂移
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## Layer Duties
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```
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range.py
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_detect_in_window() → TradingRange # 仅起止、高低、结构分
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detect_trading_ranges() → list[TR] # 倒序扫 + 过滤 + mask
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engine.py
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phases / events / VP / confidence aggregation → cycles[]
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```
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## Filter Order（不可改）
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```
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candidate window
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→ detect range
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→ quality filter
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→ trend contamination filter
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→ overlap filter (<0.2)
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→ accept cycle
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→ mask
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```
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禁止先 mask 再判断质量。
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## Display / Summary (2026-08-06)
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- 图面阶段标记：`{TF} C{id} Phase {X}`；事件：`{TF} C{id} {Event}`
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- Cycle Summary 面板：消费 `cycles[0]`，写入 `window.wyckoffCycleSummary`
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- 检测算法本轮不改；质量阈值 / 历史层折叠为后续项
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