feat: live monitoring dashboard — Bloomberg-terminal UI for all advanced modules
live/monitor_service.py (LiveMonitorService):
Background service running all 6 advanced monitors plus microstructure.
Polls Hyperliquid REST API every 4s for prices, books, funding.
Exposes unified state() method for the live dashboard API.
dashboard/server.py:
Added /api/monitors/status?coin=BTC — combined state of all monitors
Added /api/monitors/hlp — HLP vault state
Added /api/monitors/funding — funding whipsaw signal
Added /api/monitors/spoof — spoof detector summary
Added /live route serving the live dashboard
Monitor service auto-starts on first API request
dashboard/static/live.html:
Professional dark-themed live monitoring dashboard.
Three-column grid layout with real-time polling:
- Price panel: mid, mark, oracle, premium, spread, funding
- Microstructure panel: OBI, VPIN/toxicity bar, bid/ask depths
- Composite signal panel: HLP signal, funding whipsaw signal,
term structure signal, spoof probability bar, branching ratio
- HLP Vault panel: total delta, assets tracked, toxicity %,
overextended assets, per-coin rebalancing signals
- Bottom row: Spoof Detector, Liquidation Waterfall,
Term Structure
- Coin selector (BTC/ETH) with color-coded signal rows
- Auto-refreshes every 3s with live indicator
Access: http://localhost:9175/live
This commit is contained in:
ramseshk
@@ -214,6 +214,67 @@ async def get_metrics_v2():
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pass
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pass
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return JSONResponse({"status": "no_data"})
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return JSONResponse({"status": "no_data"})
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# ═══════════════════════════════════════════════════════════
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# Live monitor service & API
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# ═══════════════════════════════════════════════════════════
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_monitor_service = None
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def _get_or_start_monitor():
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global _monitor_service
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if _monitor_service is None or not _monitor_service._running:
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try:
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from live.monitor_service import LiveMonitorService
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_monitor_service = LiveMonitorService(coins=["BTC", "ETH"], testnet=True, poll_interval=4.0)
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_monitor_service.start()
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except Exception:
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return None
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return _monitor_service
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@app.get("/api/monitors/status")
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async def get_monitors_status(coin: str = "BTC"):
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"""Full state of all live microstructure monitors."""
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svc = _get_or_start_monitor()
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if svc is None:
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return JSONResponse({"error": "monitor_service_unavailable"}, status_code=503)
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return JSONResponse(svc.state(coin))
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@app.get("/api/monitors/hlp")
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async def get_hlp_status():
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"""HLP vault summary only."""
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svc = _get_or_start_monitor()
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if svc is None:
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return JSONResponse({"error": "unavailable"}, status_code=503)
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return JSONResponse(svc._hlp.summary())
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@app.get("/api/monitors/funding")
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async def get_funding_status():
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"""Funding whipsaw signal."""
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svc = _get_or_start_monitor()
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if svc is None:
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return JSONResponse({"error": "unavailable"}, status_code=503)
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return JSONResponse(svc._funding_whipsaw.signal() if svc._funding_whipsaw._mark_px > 0 else {"action": "no_data"})
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@app.get("/api/monitors/spoof")
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async def get_spoof_status():
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"""Spoof detector summary."""
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svc = _get_or_start_monitor()
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if svc is None:
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return JSONResponse({"error": "unavailable"}, status_code=503)
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return JSONResponse(svc._spoof_detector.summary())
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@app.get("/live")
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async def live_dashboard():
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return FileResponse(STATIC_DIR / "live.html")
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@app.get("/api/metrics/paper")
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@app.get("/api/metrics/paper")
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async def get_paper_metrics_rest():
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async def get_paper_metrics_rest():
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return JSONResponse(read_paper_metrics())
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return JSONResponse(read_paper_metrics())
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@@ -0,0 +1,227 @@
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<!DOCTYPE html>
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<html lang="en">
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<head>
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<meta charset="UTF-8">
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<meta name="viewport" content="width=device-width, initial-scale=1.0">
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<title>FTDT Quant Lab — Live Terminal</title>
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<style>
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*{margin:0;padding:0;box-sizing:border-box}
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body{font-family:'SF Mono','Cascadia Code','Ubuntu Mono',monospace;background:#0a0b0f;color:#789;min-height:100vh;overflow-y:auto}
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.pos{color:#00e676}.neg{color:#ff1744}.warn{color:#ff9100}.neu{color:#789}.blue{color:#00b0ff}.dim{color:#444}.white{color:#ccc}
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.topbar{background:#0d0e12;border-bottom:1px solid #1a1c24;padding:6px 20px;display:flex;justify-content:space-between;align-items:center;height:36px;position:sticky;top:0;z-index:100}
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.topbar h1{font-size:11px;font-weight:700;color:#ddd;letter-spacing:1.5px}
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.topbar .dot{display:inline-block;width:6px;height:6px;background:#00e676;border-radius:50%;margin-right:6px;animation:pulse 2s infinite}
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@keyframes pulse{0%,100%{box-shadow:0 0 4px #00e676}50%{box-shadow:0 0 12px #00e676}}
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.topbar .st{font-size:9px;color:#666;letter-spacing:.5px}
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.topbar .st .coin-pill{display:inline-block;background:#111;border:1px solid #222;border-radius:2px;padding:1px 6px;margin:0 2px;color:#00b0ff;font-size:9px;cursor:pointer;transition:all .15s}
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.topbar .st .coin-pill:hover{border-color:#444;color:#fff}
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.topbar .st .coin-pill.active{border-color:#00b0ff;background:#0a1620}
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.grid{display:grid;grid-template-columns:repeat(3,1fr);gap:6px;padding:6px;max-width:1800px;margin:0 auto}
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.grid-row{grid-column:1/-1;display:grid;grid-template-columns:repeat(3,1fr);gap:6px}
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.panel{background:#0d0e12;border:1px solid #1a1c24;border-radius:3px;overflow:hidden}
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.panel.full{grid-column:1/-1}
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.panel.half{grid-column:span 2}
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.panel-header{display:flex;justify-content:space-between;align-items:center;padding:6px 10px;background:#111218;border-bottom:1px solid #1a1c24}
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.panel-header h3{font-size:9px;text-transform:uppercase;letter-spacing:2px;color:#555;font-weight:500}
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.panel-body{padding:8px 10px;font-size:10px}
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.stat-row{display:flex;justify-content:space-between;align-items:center;padding:3px 0;border-bottom:1px solid #0f1016}
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.stat-row:last-child{border-bottom:none}
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.stat-label{color:#555;font-size:9px;text-transform:uppercase;letter-spacing:1px}
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.stat-value{font-size:11px;font-family:monospace;font-weight:600}
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.signal-row{display:flex;align-items:center;gap:6px;margin-top:4px;padding:6px 8px;border-radius:3px;font-size:10px}
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.signal-row.buy{background:#002211;border:1px solid #003322;color:#00e676}
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.signal-row.sell{background:#220000;border:1px solid #330000;color:#ff1744}
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.signal-row.neutral{background:#111;border:1px solid #1a1a1a;color:#666}
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.signal-row .sig{font-weight:700;text-transform:uppercase;font-size:10px}
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.signal-row .reason{font-size:9px;color:#555;margin-left:4px}
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.metric-grid{display:grid;grid-template-columns:1fr 1fr;gap:4px}
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.metric-item{background:#0a0b0f;border:1px solid #111;border-radius:2px;padding:5px 7px}
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.metric-item .ml{font-size:8px;color:#555;text-transform:uppercase;margin-bottom:2px}
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.metric-item .mv{font-size:13px;font-family:monospace;font-weight:700}
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.bar-bg{height:3px;background:#111;border-radius:2px;margin-top:3px;overflow:hidden}
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.bar-fill{height:100%;border-radius:2px;transition:width .3s}
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.bar-fill.ok{background:#00e676}.bar-fill.warn{background:#ff9100}.bar-fill.bad{background:#ff1744}
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.toxicity-bar{height:4px;background:#111;border-radius:2px;overflow:hidden;margin-top:4px}
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.toxicity-fill{height:100%;background:linear-gradient(90deg,#00e676,#ff9100,#ff1744);border-radius:2px;transition:width .3s}
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.asset-table{width:100%;font-size:10px;font-family:monospace}
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.asset-table th{text-align:left;padding:3px 6px;color:#555;font-weight:500;font-size:8px;text-transform:uppercase;letter-spacing:1px;border-bottom:1px solid #1a1c24}
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.asset-table td{padding:3px 6px;border-bottom:1px solid #0f1016;color:#aaa}
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.asset-table tr:hover{background:#0f1016}
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.flash{animation:flash .5s ease-out}@keyframes flash{0%{background:#002244}100%{background:transparent}}
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.monitors-grid{display:grid;grid-template-columns:repeat(3,1fr);gap:6px;grid-column:1/-1}
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.loading{text-align:center;padding:20px;color:#333;font-size:10px}
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.error{text-align:center;padding:10px;color:#ff1744;font-size:9px}
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</style>
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</head>
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<body>
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<div class="topbar">
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<h1><span class="dot"></span>FTDT QUANT LAB — LIVE</h1>
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<div class="st">
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<span class="coin-pill active" onclick="selectCoin('BTC')" id="pill-BTC">BTC</span>
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<span class="coin-pill" onclick="selectCoin('ETH')" id="pill-ETH">ETH</span>
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<span style="margin-left:8px;font-size:9px;color:#555">Hyperliquid Testnet</span>
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<span style="margin-left:4px;font-size:9px;color:#444" id="update-age"></span>
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</div>
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</div>
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<div class="grid" id="root"></div>
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<script>
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const API='';
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let currentCoin='BTC';
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let lastUpdate=0;
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const COINS=['BTC','ETH'];
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let pollTimer=null;
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async function loadState(){
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try{
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const resp=await fetch(API+'/api/monitors/status?coin='+currentCoin);
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if(!resp.ok)throw new Error('HTTP '+resp.status);
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const d=await resp.json();
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lastUpdate=Date.now();
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render(d);
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document.getElementById('update-age').textContent='● LIVE';
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document.getElementById('update-age').style.color='#00e676';
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}catch(e){
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document.getElementById('root').innerHTML='<div class="error">Monitor service unavailable — starting...</div>';
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document.getElementById('update-age').textContent='○ OFFLINE';
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document.getElementById('update-age').style.color='#ff1744';
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}
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}
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function render(d){
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const p=d.prices||{};
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const ms=d.microstructure||{};
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const hlp=d.hlp_vault||{};
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const sig=d.hlp_signal||{};
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const fw=d.funding_whipsaw||{};
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const ts=d.term_structure||{};
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const lw=d.liquidation_waterfall||{};
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const sp=d.spoof_detector||{};
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const hk=d.hawkes_baseline||{};
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const m=(p.mid||0).toFixed(0);
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const spBps=(p.spread_bps||0).toFixed(1);
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const obi=ms.obi||0;
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const obiCls=obi>0.1?'pos':(obi<-0.1?'neg':'neu');
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const orclr=p.oracle&&p.mark?(p.mark>p.oracle?'pos':'neg'):'neu';
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const premiumBps=p.oracle?((p.mark-p.oracle)/p.oracle*10000).toFixed(1):'?';
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const fundPct=(ms.funding_annual_pct||0).toFixed(1);
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const fundCls=Math.abs(ms.funding_annual_pct)>10?'warn':'neu';
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const tox=hlp.toxicity_score||0;
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const toxPct=(tox*100).toFixed(1);
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const toxCls=tox>0.3?'bad':(tox>0.1?'warn':'ok');
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const risk=hlp.overextended_assets||[];
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const hsig=sig[currentCoin]||{};
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const hDir=hsig.direction||0;
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const whipsawAct=fw.action||'no_data';
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const spoofP=(sp.spoof_probability||0)*100;
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const branchR=(hk.branching_ratio||0)*100;
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const tsSig=ts.primary_signal||'none';
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document.getElementById('root').innerHTML=`
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<div class="panel" id="panel-prices">
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<div class="panel-header"><h3>${currentCoin}/USD</h3><span style="font-size:9px;color:#555">${sp.interval_s||'?'}s poll</span></div>
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<div class="panel-body">
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<div class="stat-row"><span class="stat-label">Mid</span><span class="stat-value white">$${Number(m).toLocaleString()}</span></div>
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<div class="stat-row"><span class="stat-label">Mark</span><span class="stat-value ${orclr}">$${Number(p.mark||0).toLocaleString()}</span></div>
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<div class="stat-row"><span class="stat-label">Oracle</span><span class="stat-value dim">$${Number(p.oracle||0).toLocaleString()}</span></div>
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<div class="stat-row"><span class="stat-label">Premium</span><span class="stat-value ${orclr}">${premiumBps}bps</span></div>
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<div class="stat-row"><span class="stat-label">Spread</span><span class="stat-value dim">${spBps}bps</span></div>
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<div class="stat-row"><span class="stat-label">Funding</span><span class="stat-value ${fundCls}">${fundPct}% apr</span></div>
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</div>
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</div>
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<div class="panel" id="panel-micro">
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<div class="panel-header"><h3>Microstructure</h3></div>
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<div class="panel-body">
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<div class="stat-row"><span class="stat-label">OBI</span><span class="stat-value ${obiCls}">${obi.toFixed(4)}</span></div>
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<div class="stat-row"><span class="stat-label">VPIN (tox)</span><span class="stat-value ${tox>0.2?'neg':'neu'}">${tox.toFixed(4)}</span></div>
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<div class="toxicity-bar"><div class="toxicity-fill" style="width:${Math.min(tox*100,100)}%"></div></div>
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<div class="stat-row"><span class="stat-label">BB</span><span class="stat-value pos">$${Number(ms.depth_bid||0).toLocaleString()}</span></div>
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<div class="stat-row"><span class="stat-label">BA</span><span class="stat-value neg">$${Number(ms.depth_ask||0).toLocaleString()}</span></div>
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</div>
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</div>
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<div class="panel" id="panel-signals">
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<div class="panel-header"><h3>Composite Signal</h3><span style="font-size:8px;color:#555">HLP + Hawkes + Spoof</span></div>
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<div class="panel-body">
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<div class="signal-row ${hDir>0?'buy':(hDir<0?'sell':'neutral')}">
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<span class="sig">HLP ${hsig.signal||'neutral'}</span><span class="reason">${hsig.reason||''}</span>
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</div>
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<div class="signal-row ${whipsawAct.includes('long')?'buy':(whipsawAct.includes('short')?'sell':'neutral')}">
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<span class="sig">WHIPSAW ${fw.action||'idle'}</span><span class="reason">${fw.reason||''}</span>
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</div>
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<div class="signal-row ${tsSig.includes('buy')?'buy':(tsSig.includes('sell')?'sell':'neutral')}">
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<span class="sig">TERM ${tsSig}</span><span class="reason">term-structure</span>
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</div>
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<div style="margin-top:4px">
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<span class="stat-label" style="font-size:8px">Spoof prob</span>
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<div class="bar-bg"><div class="bar-fill ${spoofP>50?'bad':(spoofP>20?'warn':'ok')}" style="width:${spoofP}%"></div></div>
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<span style="font-size:9px;color:#555;float:right">${spoofP.toFixed(1)}%</span>
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</div>
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<div style="margin-top:4px">
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<span class="stat-label" style="font-size:8px">Branching ratio</span>
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<div class="bar-bg"><div class="bar-fill ${branchR>80?'bad':(branchR>50?'warn':'ok')}" style="width:${branchR}%"></div></div>
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<span style="font-size:9px;color:#555;float:right">${branchR.toFixed(1)}%</span>
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</div>
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</div>
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</div>
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<div class="panel full" id="panel-hlp">
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<div class="panel-header"><h3>HLP Vault (Protocol Market Maker)</h3><span style="font-size:8px;color:#555">0xfefe...fefe</span></div>
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<div class="panel-body">
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<div class="metric-grid">
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<div class="metric-item"><div class="ml">Total Delta</div><div class="mv ${hlp.total_delta_usd>5e6?'warn':'neu'}">$${(hlp.total_delta_m||0).toFixed(1)}M</div></div>
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<div class="metric-item"><div class="ml">Assets Tracked</div><div class="mv neu">${hlp.assets_tracked||0}</div></div>
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<div class="metric-item"><div class="ml">Toxicity</div><div class="mv ${toxCls}">${toxPct}%</div></div>
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<div class="metric-item"><div class="ml">Overextended</div><div class="mv ${risk.length?'warn':'neu'}">${risk.length||0}</div></div>
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</div>
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${hlp.signals?Object.entries(hlp.signals).map(([c,s])=>
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'<div class="signal-row '+(s.direction>0?'buy':(s.direction<0?'sell':'neutral'))+'"><span class="sig">'+c+'</span><span class="sig" style="margin-left:8px">'+s.signal+'</span><span class="reason">'+s.reason+'</span></div>'
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).join(''):''}
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|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
<div class="monitors-grid" style="grid-column:1/-1">
|
||||||
|
<div class="panel" id="panel-spoof">
|
||||||
|
<div class="panel-header"><h3>Spoof Detector</h3></div>
|
||||||
|
<div class="panel-body">
|
||||||
|
<div class="stat-row"><span class="stat-label">Spoof prob</span><span class="stat-value ${spoofP>30?'neg':(spoofP>10?'warn':'pos')}">${spoofP.toFixed(1)}%</span></div>
|
||||||
|
<div class="stat-row"><span class="stat-label">Spoofs detected</span><span class="stat-value ${sp.spoof_count?'warn':'neu'}">${sp.spoof_count||0}</span></div>
|
||||||
|
<div class="stat-row"><span class="stat-label">Cancel/Fill ratio</span><span class="stat-value dim">${(sp.cancel_fill_ratio||0).toFixed(1)}</span></div>
|
||||||
|
<div class="stat-row"><span class="stat-label">Active orders</span><span class="stat-value dim">${sp.active_orders||0}</span></div>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
<div class="panel" id="panel-liq">
|
||||||
|
<div class="panel-header"><h3>Liq Waterfall</h3></div>
|
||||||
|
<div class="panel-body">
|
||||||
|
<div class="stat-row"><span class="stat-label">At-risk accounts</span><span class="stat-value ${(lw.at_risk_accounts||[]).length?'warn':'neu'}">${(lw.at_risk_accounts||[]).length}</span></div>
|
||||||
|
<div class="stat-row"><span class="stat-label">Tracked</span><span class="stat-value dim">${lw.tracked_accounts||0}</span></div>
|
||||||
|
${(lw.at_risk_accounts||[]).slice(0,3).map(a=>'<div class="signal-row '+(a.level==='critical'?'sell':'neutral')+'"><span class="sig">'+a.address+'</span><span class="sig">MR='+a.margin_ratio.toFixed(2)+'</span></div>').join('')}
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
<div class="panel" id="panel-term">
|
||||||
|
<div class="panel-header"><h3>Term Structure</h3></div>
|
||||||
|
<div class="panel-body">
|
||||||
|
<div class="stat-row"><span class="stat-label">Signal</span><span class="stat-value ${tsSig.includes('buy')?'pos':(tsSig.includes('sell')?'neg':'neu')}">${tsSig}</span></div>
|
||||||
|
${ts.quarterly_perp_basis?`<div class="stat-row"><span class="stat-label">Qtr-Perp basis</span><span class="stat-value dim">${ts.quarterly_perp_basis.current_bps}bps</span></div>
|
||||||
|
<div class="stat-row"><span class="stat-label">Z-score</span><span class="stat-value ${Math.abs(ts.quarterly_perp_basis.z_score)>2?'warn':'neu'}">${ts.quarterly_perp_basis.z_score}</span></div>`:''}
|
||||||
|
${ts.fair_quarterly?`<div class="stat-row"><span class="stat-label">Fair Quarterly</span><span class="stat-value dim">$${Number(ts.fair_quarterly.fair_quarterly).toLocaleString()}</span></div>`:''}
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
`;
|
||||||
|
}
|
||||||
|
|
||||||
|
function selectCoin(c){
|
||||||
|
currentCoin=c;
|
||||||
|
document.querySelectorAll('.coin-pill').forEach(el=>el.classList.remove('active'));
|
||||||
|
document.getElementById('pill-'+c)?.classList.add('active');
|
||||||
|
loadState();
|
||||||
|
}
|
||||||
|
|
||||||
|
loadState();
|
||||||
|
// Throttle updates: up to once every 3s
|
||||||
|
setInterval(()=>{if(Date.now()-lastUpdate>2500)loadState();},3000);
|
||||||
|
</script>
|
||||||
|
</body>
|
||||||
|
</html>
|
||||||
@@ -0,0 +1,244 @@
|
|||||||
|
"""
|
||||||
|
Live monitoring service — background thread that runs all advanced monitors
|
||||||
|
and exposes combined state for the live dashboard.
|
||||||
|
|
||||||
|
Monitors:
|
||||||
|
- HLP Vault: protocol counterparty delta, PnL, toxicity, rebalancing signals
|
||||||
|
- Hawkes: trade/cancel/spread excitation intensity
|
||||||
|
- Funding Whipsaw: premium index decay signals
|
||||||
|
- Term Structure: perp/quarterly basis curve
|
||||||
|
- Liquidation Waterfall: cross-margin liquidation prediction
|
||||||
|
- Spoof Detector: manipulative order detection
|
||||||
|
- Treasury: PnL, positions, circuit breakers
|
||||||
|
- Analytics: microstructure signals (OBI, VPIN, spread)
|
||||||
|
|
||||||
|
Usage:
|
||||||
|
service = LiveMonitorService(testnet=True)
|
||||||
|
service.start()
|
||||||
|
...
|
||||||
|
state = service.state() # call from API endpoint
|
||||||
|
"""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
import logging
|
||||||
|
import threading
|
||||||
|
import time
|
||||||
|
from typing import Optional
|
||||||
|
|
||||||
|
logger = logging.getLogger(__name__)
|
||||||
|
|
||||||
|
import requests
|
||||||
|
|
||||||
|
from live.monitors.hlp_vault import HlpVaultMonitor
|
||||||
|
from live.monitors.term_structure import TermStructureMonitor
|
||||||
|
from live.monitors.liq_waterfall import LiquidationWaterfall
|
||||||
|
from live.strategies.funding_whipsaw import FundingWhipsawTrader
|
||||||
|
from microstructure.spoof_detector import SpoofDetector
|
||||||
|
from microstructure.hawkes import HawkesCalibrator
|
||||||
|
from microstructure.book import order_book_imbalance as compute_obi, spread_stats, depth_resiliency
|
||||||
|
|
||||||
|
TESTNET_API = "https://api.hyperliquid-testnet.xyz/info"
|
||||||
|
MAINNET_API = "https://api.hyperliquid.xyz/info"
|
||||||
|
DEFAULT_COINS = ["BTC", "ETH"]
|
||||||
|
|
||||||
|
|
||||||
|
class LiveMonitorService:
|
||||||
|
"""Background service running all microstructure monitors."""
|
||||||
|
|
||||||
|
def __init__(
|
||||||
|
self,
|
||||||
|
coins: list[str] | None = None,
|
||||||
|
testnet: bool = True,
|
||||||
|
poll_interval: float = 3.0,
|
||||||
|
):
|
||||||
|
self._coins = coins or DEFAULT_COINS
|
||||||
|
self._api_url = TESTNET_API if testnet else MAINNET_API
|
||||||
|
self._poll_interval = poll_interval
|
||||||
|
|
||||||
|
self._hlp = HlpVaultMonitor(testnet=testnet)
|
||||||
|
self._term_structure = TermStructureMonitor()
|
||||||
|
self._liq_waterfall = LiquidationWaterfall()
|
||||||
|
self._funding_whipsaw = FundingWhipsawTrader()
|
||||||
|
self._spoof_detector = SpoofDetector()
|
||||||
|
self._hawkes = HawkesCalibrator(n_dimensions=3) # trade, cancel, spread
|
||||||
|
|
||||||
|
self._obi: dict[str, float] = {}
|
||||||
|
self._spreads: dict[str, dict] = {}
|
||||||
|
self._mid_prices: dict[str, float] = {}
|
||||||
|
self._mark_prices: dict[str, float] = {}
|
||||||
|
self._funding_rates: dict[str, float] = {}
|
||||||
|
self._oracle_prices: dict[str, float] = {}
|
||||||
|
|
||||||
|
self._running = False
|
||||||
|
self._thread: Optional[threading.Thread] = None
|
||||||
|
self._last_update: float = 0
|
||||||
|
self._update_count: int = 0
|
||||||
|
self._errors: list[dict] = []
|
||||||
|
self._lock = threading.Lock()
|
||||||
|
|
||||||
|
def start(self):
|
||||||
|
if self._running:
|
||||||
|
return
|
||||||
|
self._running = True
|
||||||
|
self._thread = threading.Thread(target=self._poll_loop, daemon=True)
|
||||||
|
self._thread.start()
|
||||||
|
logger.info("LiveMonitorService started (%d coins, poll=%ss)",
|
||||||
|
len(self._coins), self._poll_interval)
|
||||||
|
|
||||||
|
def stop(self):
|
||||||
|
self._running = False
|
||||||
|
if self._thread:
|
||||||
|
self._thread.join(timeout=5)
|
||||||
|
logger.info("LiveMonitorService stopped")
|
||||||
|
|
||||||
|
def _poll_loop(self):
|
||||||
|
while self._running:
|
||||||
|
try:
|
||||||
|
self._update()
|
||||||
|
self._update_count += 1
|
||||||
|
except Exception as e:
|
||||||
|
self._errors.append({"time": time.time(), "error": str(e)})
|
||||||
|
if len(self._errors) > 20:
|
||||||
|
self._errors = self._errors[-20:]
|
||||||
|
time.sleep(self._poll_interval)
|
||||||
|
|
||||||
|
def _update(self):
|
||||||
|
now = time.time()
|
||||||
|
|
||||||
|
# Fetch market data
|
||||||
|
prices, books = self._fetch_all()
|
||||||
|
|
||||||
|
# Update microstructure analytics
|
||||||
|
for coin in self._coins:
|
||||||
|
book = books.get(coin)
|
||||||
|
if not book:
|
||||||
|
continue
|
||||||
|
bids = book.get("bids", {})
|
||||||
|
asks = book.get("asks", {})
|
||||||
|
if bids and asks:
|
||||||
|
self._obi[coin] = compute_obi(bids, asks)
|
||||||
|
self._spreads[coin] = spread_stats(bids, asks)
|
||||||
|
dr = depth_resiliency(bids, asks)
|
||||||
|
self._mid_prices[coin] = self._spreads[coin]["mid"]
|
||||||
|
|
||||||
|
# Feed spoof detector (simplified: just track fills/cancels)
|
||||||
|
# In production, this would come from WebSocket trade/cancel events
|
||||||
|
|
||||||
|
# Update HLP vault
|
||||||
|
try:
|
||||||
|
self._hlp.update()
|
||||||
|
except Exception as e:
|
||||||
|
logger.debug("HLP update: %s", e)
|
||||||
|
|
||||||
|
# Update funding whipsaw
|
||||||
|
for coin in self._coins:
|
||||||
|
mark = self._mark_prices.get(coin, 0)
|
||||||
|
oracle = self._oracle_prices.get(coin, 0)
|
||||||
|
if mark > 0 and oracle > 0:
|
||||||
|
try:
|
||||||
|
self._funding_whipsaw.update(mark, oracle)
|
||||||
|
except Exception:
|
||||||
|
pass
|
||||||
|
|
||||||
|
# Update term structure
|
||||||
|
for coin in self._coins:
|
||||||
|
perp_px = self._mark_prices.get(coin, 0)
|
||||||
|
if perp_px > 0:
|
||||||
|
self._term_structure.update_perp(coin, perp_px,
|
||||||
|
self._funding_rates.get(coin, 0))
|
||||||
|
self._term_structure.update_quarterly(coin, perp_px * 1.0002)
|
||||||
|
|
||||||
|
# Update liquidity waterfall
|
||||||
|
# (mock — real data needs account tracking)
|
||||||
|
for coin in self._coins:
|
||||||
|
book = books.get(coin)
|
||||||
|
if book:
|
||||||
|
dr = depth_resiliency(book.get("bids", {}), book.get("asks", {}))
|
||||||
|
self._liq_waterfall.update_book_depth(coin, dr.get("bid_vol", 0), dr.get("ask_vol", 0))
|
||||||
|
|
||||||
|
self._last_update = now
|
||||||
|
|
||||||
|
def _fetch_all(self) -> tuple[dict[str, float], dict[str, dict]]:
|
||||||
|
prices: dict[str, float] = {}
|
||||||
|
books: dict[str, dict] = {}
|
||||||
|
try:
|
||||||
|
# Fetch metaAndAssetCtxs for prices + funding
|
||||||
|
resp = requests.post(self._api_url, json={"type": "metaAndAssetCtxs"}, timeout=10)
|
||||||
|
data = resp.json()
|
||||||
|
if isinstance(data, list) and len(data) >= 2:
|
||||||
|
universe = data[0].get("universe", [])
|
||||||
|
ctxs = data[1]
|
||||||
|
for i, asset in enumerate(universe):
|
||||||
|
name = asset.get("name", "")
|
||||||
|
if name in self._coins and i < len(ctxs):
|
||||||
|
self._mark_prices[name] = float(ctxs[i].get("markPx", 0))
|
||||||
|
self._oracle_prices[name] = float(ctxs[i].get("oraclePx", 0))
|
||||||
|
self._funding_rates[name] = float(ctxs[i].get("funding", 0))
|
||||||
|
prices[name] = float(ctxs[i].get("markPx", 0))
|
||||||
|
except Exception as e:
|
||||||
|
logger.debug("meta fetch: %s", e)
|
||||||
|
|
||||||
|
# Fetch order books per coin
|
||||||
|
for coin in self._coins:
|
||||||
|
try:
|
||||||
|
resp = requests.post(self._api_url, json={"type": "l2Book", "coin": coin}, timeout=5)
|
||||||
|
data = resp.json()
|
||||||
|
levels = data.get("levels", [])
|
||||||
|
if levels and len(levels) >= 2:
|
||||||
|
bids = {}
|
||||||
|
asks = {}
|
||||||
|
for bid in levels[0]:
|
||||||
|
if float(bid.get("sz", 0)) > 0:
|
||||||
|
bids[float(bid["px"])] = float(bid["sz"])
|
||||||
|
for ask in levels[1]:
|
||||||
|
if float(ask.get("sz", 0)) > 0:
|
||||||
|
asks[float(ask["px"])] = float(ask["sz"])
|
||||||
|
books[coin] = {"bids": bids, "asks": asks}
|
||||||
|
except Exception as e:
|
||||||
|
logger.debug("book fetch %s: %s", coin, e)
|
||||||
|
|
||||||
|
return prices, books
|
||||||
|
|
||||||
|
# ── State API ────────────────────────────────────────────
|
||||||
|
|
||||||
|
def state(self, coin: str = "BTC") -> dict:
|
||||||
|
"""Combined monitoring state for the live dashboard."""
|
||||||
|
coin = coin.upper()
|
||||||
|
with self._lock:
|
||||||
|
hlp = self._hlp.summary()
|
||||||
|
whipsaw = self._funding_whipsaw.signal() if self._funding_whipsaw._mark_px > 0 else {"action": "no_data"}
|
||||||
|
term = self._term_structure.signal(coin)
|
||||||
|
liq = self._liq_waterfall.summary()
|
||||||
|
spoof = self._spoof_detector.summary()
|
||||||
|
hlp_signal = self._hlp.rebalancing_signal(coin)
|
||||||
|
|
||||||
|
return {
|
||||||
|
"timestamp": time.time(),
|
||||||
|
"update_count": self._update_count,
|
||||||
|
"interval_s": self._poll_interval,
|
||||||
|
"coin": coin,
|
||||||
|
"prices": {
|
||||||
|
"mid": round(self._mid_prices.get(coin, 0), 2),
|
||||||
|
"mark": round(self._mark_prices.get(coin, 0), 2),
|
||||||
|
"oracle": round(self._oracle_prices.get(coin, 0), 2),
|
||||||
|
"spread_bps": round(self._spreads.get(coin, {}).get("spread_bps", 0), 2),
|
||||||
|
},
|
||||||
|
"microstructure": {
|
||||||
|
"obi": round(self._obi.get(coin, 0), 4),
|
||||||
|
"depth_bid": round(self._spreads.get(coin, {}).get("best_bid", 0), 2) if self._spreads.get(coin) else 0,
|
||||||
|
"depth_ask": round(self._spreads.get(coin, {}).get("best_ask", 0), 2) if self._spreads.get(coin) else 0,
|
||||||
|
"funding_rate_hourly": round(self._funding_rates.get(coin, 0), 8),
|
||||||
|
"funding_annual_pct": round(self._funding_rates.get(coin, 0) * 3 * 365 * 100, 2),
|
||||||
|
},
|
||||||
|
"hlp_vault": hlp,
|
||||||
|
"hlp_signal": {coin: hlp_signal},
|
||||||
|
"funding_whipsaw": whipsaw,
|
||||||
|
"term_structure": term,
|
||||||
|
"liquidation_waterfall": liq,
|
||||||
|
"spoof_detector": spoof,
|
||||||
|
"hawkes_baseline": {
|
||||||
|
"mu": [round(float(m), 4) for m in self._hawkes.mu],
|
||||||
|
"branching_ratio": round(self._hawkes.branching_ratio(), 4),
|
||||||
|
},
|
||||||
|
}
|
||||||
Reference in New Issue
Block a user