435 lines
24 KiB
Markdown
435 lines
24 KiB
Markdown
|
# P3-S.5 ORDER BLOCK FORMAL SPECIFICATION & CODE-CONFORMANCE REPORT
|
||
|
|
|
||
|
|
```text
|
||
|
|
Date : 2026-08-22
|
||
|
|
Session : P3-S.5 — Formal SMC Specification + Code-Conformance Audit (Order Block)
|
||
|
|
Scope : Order Block (OB) — Engine 2 agents C/E (AF_FindOrderBlock),
|
||
|
|
Engine 3 display (AF_CollectOBs), legacy v4.3/v4.4/v4.5
|
||
|
|
(ProcessStructure RecordOB + v4.5 MTF RecordOB_mtf),
|
||
|
|
legacy entry gate (InpEntryOnFVGorOB / FindEntryOB /
|
||
|
|
Sweep->CHoCH->OB chain).
|
||
|
|
Principle : SPECIFICATION FIRST, CODE AUDIT SECOND
|
||
|
|
Status : NO CODE CHANGES (Phase D) — all findings DOCUMENTED
|
||
|
|
Artifacts : docs/SMC_ORDER_BLOCK_SPEC_v1.md (specification)
|
||
|
|
ml/p3/smc_semantic/spec_tests_order_block.py (+ .json) (tests)
|
||
|
|
ml/p3/smc_semantic/output/spec_tests_order_block_report.json
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## 0. CHECKPOINT & PROVENANCE (session-start verification)
|
||
|
|
|
||
|
|
```text
|
||
|
|
Forge HEAD : 176880f8f3f17afb7e922a48ed953daa22c1515f (P3-S.4) VERIFIED
|
||
|
|
Branch / remote : main == origin/main (176880f) VERIFIED
|
||
|
|
Working tree : CLEAN at start VERIFIED
|
||
|
|
P3-S.4 artifacts : spec/conformance/tests/report/handover INTACT VERIFIED
|
||
|
|
P3-S.3 / P3-S.2 / P3-S.0 / P3-S.1 / P2 checkpoints : in history, intact VERIFIED
|
||
|
|
P2.6 model (SHA-256): 06df8452... (verified by file hash in P3-S.4) VERIFIED
|
||
|
|
HUMAN VERIFICATION : CANCELLED VERIFIED
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## A. SOURCE MATERIAL (Phase A — inventory & reconciliation)
|
||
|
|
|
||
|
|
| # | Source | Location | Role |
|
||
|
|
|---|--------|----------|------|
|
||
|
|
| 1 | DESIGN.md (Algo Forge) | docs/DESIGN.md:132-133, 206 | Intent: C agent "OB (opposite bar before a strong move)"; E agent "OB/FVG zones; ZONE + CONFIRMATION = setup"; display "Order Block | AFDispZone (AF_CollectOBs) | MIT filter + dedupe + size >= 0.15xATR" |
|
||
|
|
| 2 | Engine 2 detector | Include\AlgoForge\AF_Engine2_Agents.mqh:293-322 (AF_FindOrderBlock) | opposite-color bar before strong move (body >= 1.5 x avg); zone = full range; NO min size; NO mitigation; returns NEWEST +-1/0; avgN = AF_E2_LOOKBACK_AVG (20) |
|
||
|
|
| 3 | AF_AvgBody | AF_Engine2_Agents.mqh:120-127 | mean |Close-Open| over the last n closed bars |
|
||
|
|
| 4 | Engine 2 C agent | AF_Engine2_Agents.mqh:492-575 | ob = AF_FindOrderBlock(20); mInOb = trap(close, zone +- 0.3 ATR); weight 0.30 |
|
||
|
|
| 5 | Engine 2 E agent | AF_Engine2_Agents.mqh:583-663 | ob = AF_FindOrderBlock(20); mZone (OB/FVG); ZONE + CONFIRMATION setup rule |
|
||
|
|
| 6 | Engine 3 display collector | Include\AlgoForge\AF_Engine2_Display.mqh:199-250 (AF_CollectOBs) | same formation; doji excluded; min 0.15 x ATR; mitigation close-through; dedupe 0.5 x ATR; newest N (default 5) |
|
||
|
|
| 7 | AF_Defines.mqh | Include\AlgoForge\AF_Defines.mqh:57,59,60 | AF_E3_OB_DEFAULT=5; AF_E3_OB_MIN_ATR=0.15; AF_E3_MOVE_BODY=1.5 |
|
||
|
|
| 8 | Engine 3 render/indicator | AF_Engine3_Render.mqh; AF_Engine3_Display.mq5 | OB boxes; inputs (InpShowOB, InpOBCount=5) |
|
||
|
|
| 9 | v4.3/v4.4 indicator | Indicators\Downloads\SniperGold_SMC_ProPlus_v4_3/4_4.mq5 | LEGACY structure-break OB: RecordOB on BOS/CHoCH break (ProcessStructure:400-435); orig = last opposite pivot; scan breakBar->orig for last/highest-volume opposite candle (RecordOB:536-556); full range; min 0.15 x ATR; close-through mitigation (FilterAndDrawOBs:559-567); internal + swing OBs; entry FindEntryOB:976-987 + tap +-1 ATR; +15; Sweep->CHoCH->OB chain |
|
||
|
|
| 10 | v4.5 indicator | SniperGold_SMC_ProPlus_v4_5.mq5 | chart OB identical to v4.4; + MTF OB per-TF (D1/H4/H1) via cache (RecordOB_mtf:385-407; structure-break, InpOBStyle last/volume, 0.15 ATR, close-through mit) |
|
||
|
|
| 11 | FEATURE_CONTRACT | docs/FEATURE_CONTRACT.md | NO OB feature (1 hit = "prOB" in SGMLProb — false positive) |
|
||
|
|
| 12 | EA runtime | Experts\AlgoForge_Backtest_Baseline.mq5 | NO OB computation (hits = OrderSend + comment "tanpa draw/OB/alert") |
|
||
|
|
| 13 | Python training | ml/**/*.py | NO OB (0 hits) |
|
||
|
|
| 14 | P3 docs | docs/P3_2_2_..., docs/P3_2_LABEL_FORENSIC | "breaker" mentioned ONLY as a future concept, outside this session's mandate |
|
||
|
|
| 15 | External references | Indicators\Downloads\SMC Order Block Detector.mq5; XAUUSD_MTF_Liquidity_OB_Reversal (2).mq5 | external indicators, NOT part of the project (no wiring) |
|
||
|
|
|
||
|
|
**Layer separation:**
|
||
|
|
|
||
|
|
```text
|
||
|
|
Intended semantics : OB = opposite bar before a strong move (DESIGN.md);
|
||
|
|
C agent context zone; E agent entry zone (ZONE +
|
||
|
|
CONFIRMATION = setup); display zones with MIT filter +
|
||
|
|
dedupe + min size 0.15xATR.
|
||
|
|
Legacy semantics : v4.3/v4.4/v4.5: OB = opposite candle BEFORE A STRUCTURE
|
||
|
|
BREAK (BOS/CHoCH on swing len=50 / internal len=5);
|
||
|
|
last or highest-volume opposite candle; full range;
|
||
|
|
min 0.15xATR; close-through mitigation; internal + swing
|
||
|
|
OBs; entry chain Sweep->CHoCH->OB within InpSeqWindow.
|
||
|
|
Current semantics : Algo Forge: opposite bar before strong move (1.5 x avg
|
||
|
|
body); zone = full range; Engine 2 = newest-only, NO min
|
||
|
|
size, NO mitigation; display = newest N unmitigated,
|
||
|
|
0.15xATR min, close-through mit, 0.5xATR dedupe.
|
||
|
|
Training semantics : N/A — OB is not a training feature (no parity target).
|
||
|
|
Display-only : Engine 3 OB boxes; v4.4/v4.5 OB drawing; v4.5 MTF OB.
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## B. PROJECT SEMANTIC SPECIFICATION (Phase B)
|
||
|
|
|
||
|
|
Full document: **docs/SMC_ORDER_BLOCK_SPEC_v1.md** (PROJECT SEMANTIC SPECIFICATION — not "universal SMC ground truth").
|
||
|
|
|
||
|
|
Spec decision summary:
|
||
|
|
|
||
|
|
```text
|
||
|
|
S-1 Formation : opposite-color candle B immediately before strong-move
|
||
|
|
candle M (|body(M)| >= 1.5 x avg body). Canonical current.
|
||
|
|
S-2 Candle selection: B = full opposite candle (Close vs Open); doji excluded;
|
||
|
|
zone = FULL RANGE [Low(B), High(B)].
|
||
|
|
S-3 Zone boundaries: top = High(B), bot = Low(B); no padding; min size none in
|
||
|
|
definition (0.15 ATR consumer filters, A-1).
|
||
|
|
S-4 Direction : +1 bullish (bearish B + bullish M), -1 bearish, 0 none;
|
||
|
|
direction = move direction.
|
||
|
|
S-5 Structural precondition: NONE (canonical); legacy = BOS/CHoCH (A-2).
|
||
|
|
S-6 Formation timing: observable at M close (B+1 <= t); newest pair (t-1, t);
|
||
|
|
NO 1-bar lag; timestamp = B open.
|
||
|
|
S-7 Closed-bar : all inputs <= t; no future visibility.
|
||
|
|
S-8 Lifecycle : ZONE + FORMATION EVENT; one zone per pair; no event stream.
|
||
|
|
S-9 Mitigation : close-through full fill (Close < Low(B) bull / > High(B)
|
||
|
|
bear); partial/wick NOT mitigation.
|
||
|
|
S-10 Invalidation : NOT MODELED.
|
||
|
|
S-11 Overlap : separate zones per pair; display dedupe 0.5 ATR (A-3).
|
||
|
|
S-12 Breaker : NOT IMPLEMENTED (no code).
|
||
|
|
S-13 Timeframe : Engine 2 per-TF independent; canonical = AMBIGUOUS (A-4).
|
||
|
|
S-14 Consumers : C/E zone membership (newest OB); legacy entry gate (all
|
||
|
|
unmitigated within tap); display; NO ML feature.
|
||
|
|
S-15 Parity : OB NOT an ML feature; PARITY = N/A BY ABSENCE.
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## C. FORMAL DEFINITIONS (Phase B — extract)
|
||
|
|
|
||
|
|
```text
|
||
|
|
avg_body(t) = mean over the newest min(20, t+1) closed bars of |Close-Open|.
|
||
|
|
|
||
|
|
OB_pair(bar b, prices) with b+1 <= t (both closed), move M = b+1:
|
||
|
|
|
||
|
|
Bullish OB (dir=+1): Close(M) > Open(M) AND |body(M)| >= 1.5*avg_body
|
||
|
|
AND Close(b) < Open(b) -> zone [Low(b), High(b)]
|
||
|
|
Bearish OB (dir=-1): Close(M) < Open(M) AND |body(M)| >= 1.5*avg_body
|
||
|
|
AND Close(b) > Open(b) -> zone [Low(b), High(b)]
|
||
|
|
|
||
|
|
One zone per qualifying pair (b, b+1). Zone state (S-9): MITIGATED iff exists
|
||
|
|
j > b with bull: Close(j) < Low(b) / bear: Close(j) > High(b).
|
||
|
|
Canonical consumer query (S-14): the NEWEST zone at decision t (Engine 2)
|
||
|
|
/ newest N unmitigated (display/legacy). No invalidation, no age expiry.
|
||
|
|
OB is not a Feature Contract feature (S-15).
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## D. CURRENT CODE BEHAVIOR (Phase C — code audit)
|
||
|
|
|
||
|
|
### D.1 Engine 2 — AF_FindOrderBlock (AF_Engine2_Agents.mqh:293-322)
|
||
|
|
|
||
|
|
```mql5
|
||
|
|
int AF_FindOrderBlock(const AFEngine1MTF &e1,int slot,int avgN,double &zoneHi,double &zoneLo)
|
||
|
|
{
|
||
|
|
zoneHi=0.0; zoneLo=0.0;
|
||
|
|
if(!e1.IsReady(slot)) return 0;
|
||
|
|
int cnt=e1.Count(slot);
|
||
|
|
if(cnt<avgN+2) return 0;
|
||
|
|
double avg=AF_AvgBody(e1,slot,avgN); // mean |Close-Open| last avgN bars
|
||
|
|
if(avg<=0.0) return 0;
|
||
|
|
for(int i=1;i<cnt-1;i++) // NEWEST pair first (i=1 -> move=idx0)
|
||
|
|
{
|
||
|
|
double bodyPrev=MathAbs(e1.Close(slot,i-1)-e1.Open(slot,i-1));
|
||
|
|
if(bodyPrev<1.5*avg) continue; // move body >= 1.5 x avg
|
||
|
|
bool upMove=e1.Close(slot,i-1)>e1.Open(slot,i-1);
|
||
|
|
if(upMove)
|
||
|
|
{
|
||
|
|
if(e1.Close(slot,i)<e1.Open(slot,i)) // OB candle (older) bearish
|
||
|
|
{ zoneHi=e1.High(slot,i); zoneLo=e1.Low(slot,i); return 1; }
|
||
|
|
}
|
||
|
|
else
|
||
|
|
{
|
||
|
|
if(e1.Close(slot,i)>e1.Open(slot,i)) // OB candle bullish
|
||
|
|
{ zoneHi=e1.High(slot,i); zoneLo=e1.Low(slot,i); return -1; }
|
||
|
|
}
|
||
|
|
}
|
||
|
|
return 0;
|
||
|
|
}
|
||
|
|
```
|
||
|
|
|
||
|
|
Observations:
|
||
|
|
- Formation = opposite-color candle + strong move (body >= 1.5 x avg) — matches S-1.
|
||
|
|
- Zone = full range [Low(i), High(i)] — matches S-2/S-3.
|
||
|
|
- NEWEST pair: OB candle = index 1, move = index 0 (newest closed bar IS eligible
|
||
|
|
as the move) — NO 1-bar lag (S-6).
|
||
|
|
- NO minimum zone size (S-3/A-1), NO mitigation filter (S-9 — BUG-P3S5-001),
|
||
|
|
returns ONLY the newest OB (S-14/A-5).
|
||
|
|
- avgN = 20 (AF_E2_LOOKBACK_AVG) in both callers.
|
||
|
|
|
||
|
|
### D.2 Engine 3 display — AF_CollectOBs (AF_Engine2_Display.mqh:199-250)
|
||
|
|
|
||
|
|
```mql5
|
||
|
|
for(int i=0; i<maxIdx; i++) // i = move candle (0 = newest closed)
|
||
|
|
{
|
||
|
|
int obBar=i+1; // OB candle immediately before the move
|
||
|
|
double moveBody=MathAbs(Close(i)-Open(i));
|
||
|
|
if(moveBody<AF_E3_MOVE_BODY*avg) continue; // 1.5 x avg
|
||
|
|
bool moveUp=(Close(i)>Open(i));
|
||
|
|
bool prevBear=(Close(obBar)<Open(obBar));
|
||
|
|
bool prevBull=(Close(obBar)>Open(obBar));
|
||
|
|
if(!prevBear && !prevBull) continue; // doji excluded
|
||
|
|
if(moveUp && prevBear) bull=true;
|
||
|
|
else if(!moveUp && prevBull) bull=false;
|
||
|
|
else continue;
|
||
|
|
top=High(obBar); bot=Low(obBar);
|
||
|
|
if((top-bot)<AF_E3_OB_MIN_ATR*atr) continue; // min 0.15 x ATR
|
||
|
|
// mitigation: any subsequent CLOSE beyond the far boundary
|
||
|
|
for(int b=obBar-1; b>=0; b--) { bull? Close<bot : Close>top -> mit; }
|
||
|
|
if(mit) continue;
|
||
|
|
// dedupe: skip zone within 0.5 x ATR of an existing zone
|
||
|
|
...
|
||
|
|
}
|
||
|
|
```
|
||
|
|
Observations: same formation (S-1); adds doji exclusion (S-2 consistent), min
|
||
|
|
0.15 x ATR (A-1), close-through mitigation (S-9), 0.5 x ATR dedupe (A-3), newest
|
||
|
|
N unmitigated zones (S-14). Timestamp = Time(obBar) = OB candle (S-6).
|
||
|
|
|
||
|
|
### D.3 Legacy v4.3/v4.4 — structure-break OB (v4_4.mq5:400-435, 536-556)
|
||
|
|
|
||
|
|
```mql5
|
||
|
|
// in ProcessStructure, on a bullish break (close[i]>upTarget):
|
||
|
|
int orig=(lastLowBar>=0&&lastLowBar<i)?lastLowBar:upBar;
|
||
|
|
if(allow) RecordOB(true,internal,orig,i,open,high,low,close,vol);
|
||
|
|
// on a bearish break: orig=(lastHighBar...); RecordOB(false,...)
|
||
|
|
|
||
|
|
void RecordOB(bool bull,bool internal,int fromBar,int toBar,...)
|
||
|
|
{
|
||
|
|
for(int b=toBar;b>=fromBar;b--) { // break bar -> last pivot bar
|
||
|
|
bool oppo = bull ? (close[b]<open[b]) : (close[b]>open[b]);
|
||
|
|
if(!oppo) continue;
|
||
|
|
if(InpVolumeOB){ if(vol[b]>bestVol){bestVol=vol[b]; found=b;} } // highest volume
|
||
|
|
else { found=b; break; } // last opposite
|
||
|
|
}
|
||
|
|
if(found<0) return;
|
||
|
|
if((high[found]-low[found])<0.15*g_atr) return;
|
||
|
|
g_obs[n].top=high[found]; g_obs[n].bot=low[found]; ...
|
||
|
|
}
|
||
|
|
// mitigation (FilterAndDrawOBs): close[b]<bot (bull) / close[b]>top (bear) -> mit
|
||
|
|
```
|
||
|
|
Observations: LEGACY definition — OB recorded ONLY at a STRUCTURE BREAK
|
||
|
|
(BOS/CHoCH), the OB candle = last (or highest-volume) opposite candle between the
|
||
|
|
last opposite pivot and the break bar; full range; min 0.15 x ATR; close-through
|
||
|
|
mitigation. This is the A-2 second definition. v4.5 MTF OB = same rule per-TF.
|
||
|
|
|
||
|
|
### D.4 Entry consumption (v4.4)
|
||
|
|
|
||
|
|
```mql5
|
||
|
|
int FindEntryOB(bool bull,double price) // unmitigated OB, mid within +-0.2 ATR of price
|
||
|
|
... if(bull && mid>price+0.2*g_atr) continue; ...
|
||
|
|
buyOBTap = (obB>=0 && price<=g_obs[obB].top+tap && price>=g_obs[obB].bot-tap); // tap=1 ATR
|
||
|
|
buy += 15 (OB tap); signal "Sweep->CHoCH->Bullish OB (discount)";
|
||
|
|
pending: "wait pullback to bullish OB" at zone top.
|
||
|
|
```
|
||
|
|
Observations: legacy entry consumes ALL unmitigated OBs within tap (S-14/A-5);
|
||
|
|
the Engine-2 C/E agents consume only the NEWEST OB without a mitigation check.
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## E. CONFORMANCE MATRIX (Phase C)
|
||
|
|
|
||
|
|
Verdicts: CONFORMING / PARTIALLY CONFORMING / NON-CONFORMING / UNVERIFIABLE /
|
||
|
|
SPECIFICATION AMBIGUOUS.
|
||
|
|
|
||
|
|
| # | Requirement | Specification | Code (Function/Line) | Actual Behavior | Verdict |
|
||
|
|
|---|-------------|--------------|----------------------|-----------------|---------|
|
||
|
|
| E-1 | Formation | opposite candle B before strong move M (body >= 1.5 x avg) (S-1) | AF_FindOrderBlock:309-318; AF_CollectOBs:210-220 | matches; legacy uses structure-break rule instead (A-2) | **CONFORMING** (current) / A-2 legacy divergence |
|
||
|
|
| E-2 | Candle selection | full opposite candle; doji excluded; FULL RANGE (S-2) | AF_FindOrderBlock:313,318; AF_CollectOBs:215-223; v4.4 RecordOB:544-555 | full range [Low,High]; doji excluded | **CONFORMING** |
|
||
|
|
| E-3 | Zone boundaries | top=High(B), bot=Low(B); no padding (S-3) | all: top/bot = High/Low of OB candle | exact boundaries; 0.15 ATR min filter differs by consumer (A-1) | **CONFORMING** (+ AMBIGUOUS A-1) |
|
||
|
|
| E-4 | Direction | +1 bullish / -1 bearish / 0 none (S-4) | AF_FindOrderBlock:313-318; AF_CollectOBs:218-220 | direction = move direction; symmetric | **CONFORMING** |
|
||
|
|
| E-5 | Structural precondition | NONE (canonical) (S-5) | AF_FindOrderBlock: no break/BOS/CHoCH check | current detector = opposite+strong-body only | **CONFORMING** (current); legacy = structure-break (A-2, PARTIALLY CONFORMING at project level) |
|
||
|
|
| E-6 | Formation timing | observable at M close; newest pair (t-1, t); NO 1-bar lag (S-6) | AF_FindOrderBlock: i=1 (move=idx0) | newest closed bar IS the move candle; OB candle = idx 1 | **CONFORMING** |
|
||
|
|
| E-7 | Closed-bar / no future | all inputs <= t (S-7) | Engine-1 lock; v4.4 tc=total-1 | no future visibility; deterministic | **CONFORMING** |
|
||
|
|
| E-8 | Lifecycle | ZONE + FORMATION EVENT; one zone per pair; no event stream (S-8) | zone arrays (g_obs / dd.ob); newest-query | one zone per pair; no duplication (OB-T09) | **CONFORMING** |
|
||
|
|
| E-9 | Mitigation | close-through full fill (S-9) | AF_CollectOBs:227-231; v4.4 FilterAndDrawOBs:563-566; AF_FindOrderBlock: NONE | display/legacy apply close-through mit; Engine-2 detector NONE | **NON-CONFORMING** (Engine 2, BUG-P3S5-001) |
|
||
|
|
| E-10 | Invalidation | NOT MODELED (S-10) | no invalidation code | none exists | **CONFORMING** |
|
||
|
|
| E-11 | Overlap / multiple | separate zones per pair; dedupe only in display (S-11/A-3) | AF_CollectOBs:234-239 dedupe 0.5 ATR; AF_FindOrderBlock newest-only; v4.4 keep-all | keep-all vs dedupe intent not adjudicated | **PARTIALLY CONFORMING** (A-3) |
|
||
|
|
| E-12 | Breaker | NOT IMPLEMENTED (S-12) | grep breaker = 0 project code matches | no Breaker/flipped-OB code | **CONFORMING** (no claim) |
|
||
|
|
| E-13 | Timeframe | Engine 2 per-TF; canonical AMBIGUOUS (S-13) | AF_FindOrderBlock per slot (H4/M30/M15/M3); v4.5 MTF cache | per-TF independent; HTF role not defined | **SPECIFICATION AMBIGUOUS** (A-4) |
|
||
|
|
| E-14 | Consumer behavior | C/E zone membership (newest OB); legacy entry all-unmitigated (S-14/A-5) | C:AF_Engine2_Agents:511-512,539-541; E:607-608,621-623; legacy FindEntryOB | Engine-2 consumes newest-ANY (no mit/age); legacy all-unmitigated within tap | **PARTIALLY CONFORMING** (BUG-P3S5-001, A-5) |
|
||
|
|
| E-15 | Runtime/training parity | OB NOT an ML feature; PARITY = N/A (S-15) | FEATURE_CONTRACT/EA/ml: no OB | no training-side OB; no parity target | **CONFORMING** (N/A by absence) |
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## F. CONFIRMED BUGS (Phase D — DOCUMENT ONLY, no code changes)
|
||
|
|
|
||
|
|
```text
|
||
|
|
BUG-P3S5-001
|
||
|
|
SEVERITY : MEDIUM
|
||
|
|
SOURCE : AF_FindOrderBlock — AF_Engine2_Agents.mqh:293-322 (Engine 2 C/E agents)
|
||
|
|
SPEC REQ : S-9 — mitigation is part of the OB zone lifecycle; the canonical
|
||
|
|
consumer query should use unmitigated zones (display/legacy do)
|
||
|
|
ACTUAL CODE : AF_FindOrderBlock returns the newest OB with NO mitigation check
|
||
|
|
and NO age/freshness bound; it returns ONLY the newest zone
|
||
|
|
(older unmitigated OBs invisible to the agents)
|
||
|
|
IMPACT : C agent "price in OB zone" (weight 0.30) and E agent "zone tap"
|
||
|
|
can fire on a FULLY-FILLED (mitigated) OB, and on an OB that may
|
||
|
|
be hundreds of bars old (no freshness). The legacy entry path
|
||
|
|
(FindEntryOB) filters mitigation; the current Engine-2 path does
|
||
|
|
not. Same bug class as BUG-P3S4-001 (FVG side).
|
||
|
|
NOT the f7/f9/f18 duplication class — OB is a zone, not an event
|
||
|
|
stream (verified OB-T09).
|
||
|
|
PROPOSED FIX : apply the close-through mitigation filter (S-9) to
|
||
|
|
AF_FindOrderBlock (or let the agents filter mitigated zones) and
|
||
|
|
add a zone-age bound if consumers require freshness; document the
|
||
|
|
zone-selection rule (newest vs newest-unmitigated).
|
||
|
|
|
||
|
|
BUG-P3S5-002
|
||
|
|
SEVERITY : LOW
|
||
|
|
SOURCE : two OB definitions in one project — AF_FindOrderBlock
|
||
|
|
(opposite + strong move) vs v4.3/v4.4/v4.5 RecordOB
|
||
|
|
(opposite before STRUCTURE BREAK)
|
||
|
|
SPEC REQ : S-5/A-2 — the canonical definition must be explicit
|
||
|
|
ACTUAL CODE : the current Algo Forge detector (DESIGN.md rule) and the legacy
|
||
|
|
indicator (BOS/CHoCH rule) can select DIFFERENT candles as "the
|
||
|
|
OB" for the same price sequence
|
||
|
|
IMPACT : runtime Engine-2 outputs are NOT directly comparable with the
|
||
|
|
legacy v4.4/v4.5 OB displays; the legacy volume-weighted mode
|
||
|
|
(InpVolumeOB / InpOBStyle=OB_HIGHEST_VOLUME) selects a different
|
||
|
|
candle again (A-6)
|
||
|
|
PROPOSED FIX : document the current rule as canonical and mark the legacy
|
||
|
|
structure-break/volume rule as historical (no code change to the
|
||
|
|
legacy indicators this session).
|
||
|
|
|
||
|
|
BUG-P3S5-003
|
||
|
|
SEVERITY : INFO (specification ambiguity)
|
||
|
|
SOURCE : minimum zone size — AF_Defines.mqh:59 (0.15 ATR) vs
|
||
|
|
AF_FindOrderBlock (none) vs v4.4:549 (0.15 ATR)
|
||
|
|
SPEC REQ : S-3/A-1 — a canonical project minimum zone size
|
||
|
|
ACTUAL CODE : Engine-2 detector has no filter; display/legacy use 0.15 x ATR
|
||
|
|
IMPACT : the same candle can be "OB" in Engine 2 but filtered by
|
||
|
|
display/legacy
|
||
|
|
PROPOSED FIX : adjudicate a single threshold (NOT optimized here) or explicitly
|
||
|
|
scope the filters to their consumers.
|
||
|
|
|
||
|
|
BUG-P3S5-004
|
||
|
|
SEVERITY : INFO (documentation)
|
||
|
|
SOURCE : display dedupe — AF_Engine2_Display.mqh:234-239 (0.5 x ATR)
|
||
|
|
vs Engine-2 newest-only vs legacy keep-all
|
||
|
|
SPEC REQ : S-11/A-3 — overlap handling intent
|
||
|
|
ACTUAL CODE : three different zone-selection/overlap policies
|
||
|
|
IMPACT : display may hide an OB the Engine-2 agents still use
|
||
|
|
PROPOSED FIX : adjudicate keep-all vs dedupe (documented; not fixed here).
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## G. SEMANTIC AMBIGUITIES (Phase F — consistency)
|
||
|
|
|
||
|
|
```text
|
||
|
|
G-1 MINIMUM ZONE SIZE (A-1)
|
||
|
|
Engine 2 none / display 0.15 x ATR / legacy 0.15 x ATR. No canonical value.
|
||
|
|
G-2 TWO OB DEFINITIONS (A-2)
|
||
|
|
current = opposite candle before strong move (DESIGN.md, Algo Forge);
|
||
|
|
legacy = opposite candle before structure break (v4.3/v4.4/v4.5, BOS/CHoCH,
|
||
|
|
volume mode). Different candles can be selected.
|
||
|
|
G-3 OVERLAP / DEDUPE (A-3)
|
||
|
|
display dedupes zones within 0.5 x ATR; Engine 2 and legacy keep all.
|
||
|
|
G-4 CANONICAL TIMEFRAME (A-4)
|
||
|
|
Engine-2 M15 slot explicit; HTF OB as M15 context / M3 execution not defined.
|
||
|
|
Same class as CHoCH G-4 / sweep G-3 / FVG A-3.
|
||
|
|
G-5 CONSUMER ZONE SCOPE (A-5)
|
||
|
|
Engine 2 newest-ANY (no mit/age) vs legacy all-unmitigated within tap vs
|
||
|
|
display newest-N-unmitigated. BUG-P3S5-001.
|
||
|
|
G-6 VOLUME-WEIGHTED OB (A-6)
|
||
|
|
legacy-only (InpVolumeOB / OB_HIGHEST_VOLUME); current = last candle only.
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## H. SEMANTIC RELATIONSHIP WITH THE SMC CHAIN (Phase C)
|
||
|
|
|
||
|
|
```text
|
||
|
|
Detection : OB detection is independent (canonical current: opposite + strong
|
||
|
|
body; no sweep/CHoCH/FVG required) — CONFORMING S-1/S-5.
|
||
|
|
Legacy chain : Sweep -> CHoCH -> OB/FVG within InpSeqWindow (v4.4) — OB is the
|
||
|
|
final ENTRY ZONE of the chain; ordering/freshness handled by the
|
||
|
|
sweep/CHoCH gates (P3-S.2/P3-S.3 audits); the OB zone itself has no
|
||
|
|
age rule (mitigation is its only termination).
|
||
|
|
Engine 2 : C agent = OB as CONTEXT (price-in-zone, weight 0.30); E agent = OB as
|
||
|
|
ENTRY ZONE with ZONE + CONFIRMATION = setup (DESIGN.md). Consistent
|
||
|
|
with the design intent.
|
||
|
|
ML : OB ABSENT from f0-f18 — the chain is runtime/display only.
|
||
|
|
NO production dependency between OB and f7/f8/f9/f10/f11/FVG/CHoCH was changed.
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## I. RUNTIME/TRAINING PARITY (Phase C — diagnostic, not a retrain)
|
||
|
|
|
||
|
|
```text
|
||
|
|
OB is not a Feature Contract feature (f0-f18) and has no Python training
|
||
|
|
representation (verified: no OB in FEATURE_CONTRACT.md, EA runtime, ml/**/*.py).
|
||
|
|
-> PARITY = N/A BY ABSENCE (S-15). No mismatch exists; the absence itself is a
|
||
|
|
documented fact, not a defect.
|
||
|
|
If OB is later promoted to an ML feature, a Feature Contract entry and a parity
|
||
|
|
harness are required first (out of scope).
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## J. VERDICT
|
||
|
|
|
||
|
|
```text
|
||
|
|
PARTIALLY CONFORMING
|
||
|
|
|
||
|
|
Formation (E-1, E-2, E-4, E-6, E-7) : CONFORMING (current definition)
|
||
|
|
Zone boundaries (E-3) : CONFORMING (+ AMBIGUOUS A-1 min size)
|
||
|
|
Structural precondition (E-5) : CONFORMING (current = none);
|
||
|
|
legacy BOS/CHoCH rule = A-2
|
||
|
|
Lifecycle (E-8) : CONFORMING (zone; no event duplication)
|
||
|
|
Mitigation (E-9) : NON-CONFORMING (Engine 2, BUG-P3S5-001)
|
||
|
|
Invalidation (E-10) : CONFORMING (not modeled)
|
||
|
|
Overlap (E-11) : PARTIALLY CONFORMING (A-3)
|
||
|
|
Breaker (E-12) : NOT IMPLEMENTED (no claim)
|
||
|
|
Timeframe (E-13) : SPECIFICATION AMBIGUOUS (A-4)
|
||
|
|
Consumer semantics (E-14) : PARTIALLY CONFORMING (BUG-P3S5-001, A-5)
|
||
|
|
Runtime/training parity (E-15) : CONFORMING (N/A by absence)
|
||
|
|
|
||
|
|
Verdict = conformance to the PROJECT SEMANTIC SPECIFICATION, NOT profitability/edge.
|
||
|
|
The DETECTOR core (formation, candle selection, direction, closed-bar, zone
|
||
|
|
lifecycle) is conforming; the gaps are consumer-side (Engine-2 mitigation/age
|
||
|
|
filter missing, zone selection scope, canonical threshold/timeframe) plus the
|
||
|
|
legacy structure-break second definition.
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## K. NEXT GATE
|
||
|
|
|
||
|
|
```text
|
||
|
|
After the Order Block verdict (PARTIALLY CONFORMING):
|
||
|
|
Displacement -> MTF Alignment -> Candidate Setup.
|
||
|
|
DO NOT return to ML; DO NOT build a meta-label; DO NOT create new event labels;
|
||
|
|
DO NOT fix production bugs before the audit chain completes (BUG-P3S5-00x stay
|
||
|
|
documented until the semantic audit chain is finished).
|
||
|
|
```
|
||
|
|
|
||
|
|
---
|
||
|
|
|
||
|
|
## L. CHECKPOINT & PROVENANCE (P3-S.5)
|
||
|
|
|
||
|
|
```text
|
||
|
|
Forge HEAD (session start) : 176880f (P3-S.4) — VERIFIED
|
||
|
|
P3-S.4 spec (immutable) : docs/SMC_FVG_SPEC_v1.md
|
||
|
|
P3-S.3 spec (immutable) : docs/SMC_CHOCH_MSS_SPEC_v1.md
|
||
|
|
P3-S.2 spec (immutable) : docs/SMC_LIQUIDITY_SWEEP_SPEC_v1.md
|
||
|
|
FEATURE_CONTRACT : C44CC6F2... (P2-era) / 7b908b12... (committed)
|
||
|
|
symbol/tf : XAUUSD / M15 (2017-01-01 .. 2026-08-20)
|
||
|
|
Human verification : CANCELLED
|
||
|
|
No production change : AF_FindOrderBlock / AF_CollectOBs / v4.3/v4.4/v4.5 /
|
||
|
|
Engine 2 / Engine 3 / f7-f18 / FVG / CHoCH /
|
||
|
|
Displacement / ML : NOT touched
|
||
|
|
```
|