feat: funding arb strategy, queue-aware paper fills, WQI live integration
- strategies/funding_arb_strategy.py: full backtestable funding rate carry module with entry/exit thresholds, position tracking, funding payment accounting, basis stop-loss, max-hold timeout. Includes backtest_funding_arb() and run_funding_discovery() for threshold optimization - live/node_v2.py: replaced naive random fills with QueueAwareFillModel (sim/fills.py) with queue-priority simulation; integrated WQI predictor and funding arb strategies; per-coin WQI signal generation every 3 ticks; funding arb metrics in dashboard - cli.py: added 'funding' command for funding rate distribution analysis and threshold backtesting - tests/test_funding_arb.py: 20 tests covering entry/exit logic, fee accounting, signal generation, backtesting, and node integration 321 tests passing (20 new).
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@@ -27,13 +27,16 @@ from typing import Optional
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sys.path.insert(0, str(Path(__file__).resolve().parent.parent))
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from live.treasury import Treasury
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from sim.maker import AvellanedaStoikovMaker, MakerConfig, Quote
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from sim.queue import QueueModel
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from live.filters.toxicity import ToxicityFilter
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from live.makers.hl_btc_eth import HlMakerPool
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from live.treasury import Treasury
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from live.integrator import AnalyticsPipeline
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from live.monitors.cross_venue import CrossVenueMonitor
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from live.monitors.funding_basis import FundingBasisMonitor
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from live.monitors.liq_risk import LiquidationRiskOverlay
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from sim.fills import QueueAwareFillModel
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from live.makers.hl_btc_eth import HlMakerPool
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logger = logging.getLogger("ftdt-node-v2")
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@@ -103,6 +106,25 @@ class ProductionNode:
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for coin in coins:
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self._maker_pool.add_maker(coin.upper(), max_inventory=max_position_per_coin)
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# Queue-aware fill model for realistic paper trading
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self._fill_model = QueueAwareFillModel()
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# WQI predictor — directional strategy from queue imbalance
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from strategies.wqi_predictor import WQIPredictor
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self._wqi_predictors = {
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coin: WQIPredictor(z_entry=2.0, max_hold_seconds=30,
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stop_loss_bps=5.0, take_profit_bps=10.0,
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size=base_quote_size, fee_model="taker")
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for coin in coins
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}
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# Funding arb strategy
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from strategies.funding_arb_strategy import FundingArb
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self._funding_arb = FundingArb(
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apr_threshold=0.30, apr_exit=0.10, size=base_quote_size * 5,
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max_hold_hours=48.0, taker_fee_pct=0.00045,
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)
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# Monitors
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self._cross_venue = CrossVenueMonitor()
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self._funding_monitor = FundingBasisMonitor()
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@@ -184,15 +206,17 @@ class ProductionNode:
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# 6. Generate quotes
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quotes = self._maker_pool.quote_all()
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# 7. Simulate fills (paper mode — mark-based)
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# 7. Simulate fills (paper mode — queue-aware)
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if self._mode == "paper":
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for coin in self._coins:
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q = quotes.get(coin)
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pipeline = self._pipelines[coin]
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if q:
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pipeline = self._pipelines[coin]
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self._simulate_paper_fills(coin, q, pipeline)
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if self._tick % 3 == 0:
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self._simulate_wqi_trades(coin, pipeline)
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# 8. Update funding monitor
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# 8. Update funding monitor and check funding arb
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for coin in self._coins:
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funding = await self._fetch_funding(coin)
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if funding is not None:
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@@ -270,19 +294,30 @@ class ProductionNode:
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# ── Paper trading ────────────────────────────────────────
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def _simulate_paper_fills(self, coin: str, quote, pipeline: AnalyticsPipeline):
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"""Naive paper fill: if our bid > mid or ask < mid after some random threshold,
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simulate a fill. In production this comes from exchange WebSocket."""
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import random
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mid = pipeline.mid
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if mid <= 0:
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if mid <= 0 or quote is None:
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return
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if random.random() < 0.05:
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side = "bid" if random.random() < 0.5 else "ask"
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size = getattr(quote, f"{side}_size", 0.001)
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px = getattr(quote, side, mid)
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bid_fill = self._fill_model.check_fill(
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aggressor_side="sell",
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agg_size=pipeline._depth_ask or 0.1,
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agg_price=max(getattr(quote, "bid", mid) - 1, 1),
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our_price=getattr(quote, "bid", mid),
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our_size=getattr(quote, "bid_size", 0.0002),
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depth_ahead=self._fill_model.estimate_depth_ahead(
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our_price=getattr(quote, "bid", mid),
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our_side="bid",
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best_bid=pipeline._best_bid,
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best_ask=pipeline._best_ask,
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bid_depth=pipeline._depth_bid or 1.0,
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ask_depth=pipeline._depth_ask or 1.0,
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),
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)
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if bid_fill["filled"]:
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side = "buy"
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size = bid_fill["fill_size"]
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px = getattr(quote, "bid", mid)
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fee = size * px * 0.0002
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can = self._treasury.can_open(coin, side, size, px)
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if can["allowed"]:
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self._treasury.record_fill(coin, side, size, px, fee, pnl=0)
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@@ -290,6 +325,71 @@ class ProductionNode:
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if maker:
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maker.record_fill(side, size, px, fee)
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ask_fill = self._fill_model.check_fill(
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aggressor_side="buy",
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agg_size=pipeline._depth_bid or 0.1,
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agg_price=min(getattr(quote, "ask", mid) + 1, mid * 2),
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our_price=getattr(quote, "ask", mid),
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our_size=getattr(quote, "ask_size", 0.0002),
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depth_ahead=self._fill_model.estimate_depth_ahead(
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our_price=getattr(quote, "ask", mid),
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our_side="ask",
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best_bid=pipeline._best_bid,
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best_ask=pipeline._best_ask,
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bid_depth=pipeline._depth_bid or 1.0,
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ask_depth=pipeline._depth_ask or 1.0,
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),
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)
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if ask_fill["filled"]:
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side = "sell"
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size = ask_fill["fill_size"]
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px = getattr(quote, "ask", mid)
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fee = size * px * 0.0002
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can = self._treasury.can_open(coin, side, size, px)
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if can["allowed"]:
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self._treasury.record_fill(coin, side, size, px, fee, pnl=0)
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maker = self._maker_pool.get(coin)
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if maker:
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maker.record_fill(side, size, px, fee)
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def _simulate_wqi_trades(self, coin: str, pipeline: AnalyticsPipeline):
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mid = pipeline.mid
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if mid <= 0:
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return
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predictor = self._wqi_predictors.get(coin)
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if predictor is None:
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return
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bids_list = [(pipeline._best_bid, pipeline._depth_bid or 1.0)]
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asks_list = [(pipeline._best_ask, pipeline._depth_ask or 1.0)]
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signal = predictor.feed_signal(bids_list, asks_list, mid)
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if signal["action"] in ("BUY", "SELL"):
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side = signal["action"].lower()
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size = 0.0002
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px = mid
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fee = size * px * 0.0005
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can = self._treasury.can_open(coin, side, size, px)
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if can["allowed"]:
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self._treasury.record_fill(coin, side, size, px, fee, pnl=0)
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fee_paid = size * px * 0.0005
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self._treasury._fees_paid += fee_paid
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logger.info(f"[WQI-{coin}] {signal['action']} signal: "
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f"z={signal['z_score']:.2f} wqi={signal['wqi']:.3f} "
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f"reason={signal['reason']}")
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elif signal["action"] == "EXIT":
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pos = self._treasury.position(coin)
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if abs(pos) > 0:
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side = "sell" if pos > 0 else "buy"
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fee = abs(pos) * mid * 0.0005
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pnl = pos * (mid - predictor._entry_price) if predictor._entry_price > 0 else 0
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self._treasury.record_fill(coin, side, abs(pos), mid, fee, pnl)
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logger.info(f"[WQI-{coin}] EXIT: z={signal['z_score']:.2f} "
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f"pnl=${pnl:.4f} reason={signal['reason']}")
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# ── Dashboard ────────────────────────────────────────────
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def _write_metrics(self):
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@@ -305,6 +405,13 @@ class ProductionNode:
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"treasury": self._treasury.summary(),
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"analytics": {c: p.emit() for c, p in self._pipelines.items()},
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"maker": self._maker_pool.summary(),
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"wqi": {c: p.summary() for c, p in self._wqi_predictors.items()},
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"funding_arb": self._funding_arb.summary(),
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"fill_model": {
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"fill_rate": round(self._fill_model.fill_rate(), 4),
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"fills": self._fill_model.fill_count,
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"skips": self._fill_model.skip_count,
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},
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"funding": self._funding_monitor.summary(),
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"cross_venue": self._cross_venue.summary("BTC"),
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"equity_history": self._equity_history,
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