Require strict contiguity for source-dir candle data

Source-dir data bypasses CandlestickManager gap filling, so any
non-contiguous candles would crash the downstream strict continuity
assertion. Replace the tolerance-based gap check with a strict
contiguity check (all intervals must be exactly 60_000ms); fall back
to CandlestickManager otherwise.

Adds test for small-gap fallback and CHANGELOG "Fixed" entry.

Credit: contiguity fix identified by Codex review of PR 559.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

Author: enarjord

CHANGELOG.md

@@ -9,6 +9,9 @@ All notable user-facing changes will be documented in this file.
 - **Total wallet exposure plot** - Backtests now output `total_wallet_exposure.png` showing long TWE (positive, blue) and short TWE (negative, red) over time.
 - **External OHLCV source dir** - New `backtest.ohlcv_source_dir` config option to load 1m candle data from a pre-populated directory tree before falling back to exchange archives. Supports both `.npy` and `.npz` file formats.
 
+### Fixed
+- **OHLCV source-dir fallback behavior** - Non-contiguous source-dir candle data now falls back to CandlestickManager instead of propagating gappy series into downstream strict continuity checks.
+
 ## v7.8.1 - 2026-02-07
 
 ### Fixed

src/hlcv_preparation.py

@@ -482,10 +482,10 @@ def _try_load_ohlcvs_from_source_dir(
         ts = df["timestamp"].astype(np.int64, copy=False).values
         if ts.size > 1:
             intervals = np.diff(ts)
-            greatest_gap_ms = int(intervals.max(initial=60_000))
-            if greatest_gap_ms > int(self.gap_tolerance_ohlcvs_minutes * 60_000):
+            if not np.all(intervals == 60_000):
+                greatest_gap_ms = int(intervals.max(initial=60_000))
                 logging.warning(
-                    "[%s] source dir gaps detected for %s; greatest gap %.1f minutes. Falling back.",
+                    "[%s] source dir non-contiguous data for %s; greatest gap %.1f minutes. Falling back.",
                     self.exchange,
                     coin,
                     greatest_gap_ms / 60_000.0,

tests/test_hlcv_preparation.py

@@ -830,6 +830,72 @@ async def test_source_dir_fallback_missing_file(self, tmp_path, mock_exchange):
             assert not df.empty
             assert len(df) == 1441  # end_ts is inclusive (00:00:00 on day 15 to 00:00:00 on day 16)
 
+    @pytest.mark.asyncio
+    async def test_source_dir_fallback_non_contiguous_small_gap(self, tmp_path, mock_exchange):
+        """Test fallback when source dir data has a small non-contiguous gap."""
+        from ohlcv_utils import dump_ohlcv_data
+        from utils import date_to_ts
+
+        source_dir = tmp_path / "ohlcv_source"
+        exchange_dir = source_dir / "binance" / "1m" / "BTC"
+        exchange_dir.mkdir(parents=True)
+
+        day = "2024-01-15"
+        day_ts = int(date_to_ts(day))
+
+        # Remove 5 candles to create a 6-minute gap (< default 120-minute tolerance).
+        timestamps_full = np.arange(day_ts, day_ts + 24 * 60 * 60 * 1000, 60_000)
+        timestamps = np.concatenate([timestamps_full[:100], timestamps_full[105:]])
+
+        data = np.column_stack([
+            timestamps,
+            np.full(len(timestamps), 50000.0),
+            np.full(len(timestamps), 50100.0),
+            np.full(len(timestamps), 49900.0),
+            np.full(len(timestamps), 50050.0),
+            np.full(len(timestamps), 100.0),
+        ])
+        dump_ohlcv_data(data, str(exchange_dir / f"{day}.npy"))
+
+        om = HLCVManager(
+            "binanceusdm",
+            start_date=day,
+            end_date="2024-01-16",
+            cc=mock_exchange,
+            ohlcv_source_dir=str(source_dir),
+            gap_tolerance_ohlcvs_minutes=120.0,
+        )
+
+        om.markets = {
+            "BTC/USDT:USDT": {
+                "symbol": "BTC/USDT:USDT",
+                "base": "BTC",
+                "quote": "USDT",
+                "maker": 0.0002,
+                "taker": 0.0004,
+                "contractSize": 1.0,
+                "limits": {"cost": {"min": 5.0}, "amount": {"min": 0.001}},
+                "precision": {"price": 0.01, "amount": 0.001},
+            }
+        }
+
+        with patch.object(CandlestickManager, 'get_candles') as mock_get_candles:
+            full_timestamps = np.arange(day_ts, day_ts + 24 * 60 * 60 * 1000, 60_000, dtype=np.int64)
+            mock_candles = np.zeros(len(full_timestamps), dtype=CANDLE_DTYPE)
+            mock_candles['ts'] = full_timestamps
+            mock_candles['o'] = 50000.0
+            mock_candles['h'] = 50100.0
+            mock_candles['l'] = 49900.0
+            mock_candles['c'] = 50050.0
+            mock_candles['bv'] = 100.0
+            mock_get_candles.return_value = mock_candles
+
+            df = await om.get_ohlcvs("BTC")
+
+            mock_get_candles.assert_called_once()
+            assert not df.empty
+            assert len(df) == 1441  # end_ts is inclusive (00:00:00 on day 15 to 00:00:00 on day 16)
+
     @pytest.mark.asyncio
     async def test_source_dir_fallback_excessive_gaps(self, tmp_path, mock_exchange):
         """Test fallback when gaps exceed tolerance."""
@@ -1011,18 +1077,19 @@ async def test_prepare_hlcvs_combined_basic_structure(self, tmp_path, sample_con
    - Fetch from exchange
    - Cache loading
 
-✅ OHLCV Source Dir (5 tests):
+✅ OHLCV Source Dir (6 tests):
    - Load from .npy files
    - Load from .npz files
    - Fallback on missing files
+   - Fallback on non-contiguous small gaps
    - Fallback on excessive gaps
    - Fallback on corrupt/malformed .npz
 
 ✅ Integration (2 tests):
    - prepare_hlcvs structure
    - prepare_hlcvs_combined structure
 
-Total: 22 tests covering critical functionality
+Total: 23 tests covering critical functionality
 
 Note: Full integration tests for prepare_hlcvs and prepare_hlcvs_combined
 would require extensive mocking of CandlestickManager, async operations,