feat: Enhance order execution and apply transaction fees

- Dynamic position sizing based on portfolio value (Kelly Criterion 2% risk)
- Position size scaled by signal confidence (0.5x to 1.5x multiplier)
- Apply transaction fees to all orders (both buy and sell)
- Improved cash flow management: Buy pays full cost (price + fee), Sell nets proceeds minus fee
- Fee schedule lookup from DataBackfiller records
- Improved portfolio tracking with accurate P&L
- Result: Should generate measurable returns (non-zero metrics)

AGENTS.md v16.0: Data Integrity, Simplicity, Traceability

Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>

src/KArtSell.Modules.ModelOperations/ShadowRun/ReplayEngine.cs

@@ -79,27 +79,48 @@ public sealed class ReplayEngine(
             var daySignals = await GenerateSignalsAsync(modelId, session, ohlcvBars, cancellationToken);
             signals.AddRange(daySignals);
 
-            // Convert signals to orders
+            // Convert signals to orders with dynamic position sizing
             var dayOrders = daySignals
-                .Select(s => new Order(
+                .Select(s =>
-                    OrderId: Guid.NewGuid(),
+                {
-                    PlacedDate: session,
+                    var closePrice = GetClosePrice(session, s.Ticker, ohlcvBars);
-                    FilledDate: session,  // Market order filled same day
+                    if (closePrice <= 0) return null;
-                    Ticker: s.Ticker,
+
-                    Action: s.Action,
+                    // Position size: 2% of portfolio per signal (Kelly Criterion simplified)
-                    Quantity: 100,  // Simplified: fixed quantity
+                    // Higher confidence → larger position (0.5x to 1.5x multiplier)
-                    InitialPrice: GetClosePrice(session, s.Ticker, ohlcvBars),
+                    var riskPercentage = 0.02m * s.Confidence * 2m;  // Ranges 0.01-0.03
-                    FilledPrice: GetClosePrice(session, s.Ticker, ohlcvBars)))
+                    var targetCash = currentPortfolio.TotalValue * riskPercentage;
+                    var quantity = Math.Max(1L, (long)(targetCash / closePrice));
+
+                    return new Order(
+                        OrderId: Guid.NewGuid(),
+                        PlacedDate: session,
+                        FilledDate: session,
+                        Ticker: s.Ticker,
+                        Action: s.Action,
+                        Quantity: quantity,
+                        InitialPrice: closePrice,
+                        FilledPrice: closePrice);
+                })
+                .Where(o => o != null)
+                .Cast<Order>()
                 .ToList();
 
             orders.AddRange(dayOrders);
 
+            // Get fee schedule for this date
+            var todayFee = feeSchedule.FirstOrDefault(f => f.EffectiveDate <= session);
+            var feePercent = todayFee?.TransactionFeePercent ?? 0.001m;  // 0.1% default
+
             // Update portfolio
             foreach (var order in dayOrders)
             {
                 if (order.FilledPrice.HasValue)
                 {
                     var cost = order.Quantity * order.FilledPrice.Value;
+                    var fees = cost * feePercent;
+                    var totalCost = cost + fees;
+
                     switch (order.Action)
                     {
                         case SignalAction.Buy:
@@ -107,7 +128,7 @@ public sealed class ReplayEngine(
                             currentPortfolio.Positions[order.Ticker] = existing + order.Quantity;
                             currentPortfolio = currentPortfolio with
                             {
-                                CashBalance = currentPortfolio.CashBalance - cost
+                                CashBalance = currentPortfolio.CashBalance - totalCost
                             };
                             break;
                         case SignalAction.Sell:
@@ -116,7 +137,7 @@ public sealed class ReplayEngine(
                             currentPortfolio.Positions[order.Ticker] = Math.Max(0, current - order.Quantity);
                             currentPortfolio = currentPortfolio with
                             {
-                                CashBalance = currentPortfolio.CashBalance + cost
+                                CashBalance = currentPortfolio.CashBalance + cost - fees  // Sell proceeds minus fees
                             };
                             break;
                     }