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Live open orders/positions + A-S gamma fix + MR 60-tick window

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1. Live dashboard now shows real open orders (87) and positions (2)
   from Hyperliquid API, cached every 5s to avoid 429 rate limit.

2. A-S gamma scaling: gamma*500K gives ~0 skew at max inventory
   (was bash.003, functionally identical to naive dual-quote).

3. Mean Reversion: 60-tick window with 0.5σ threshold
   (20s of 1s ticks was noise, not mean-reverting).

4. Sizes reduced for margin safety (wallet 86, 9 concurrent orders).

5. Kalman win_rate bug fixed: added net_pnl/gross_pnl field support.
This commit is contained in:
ramseshk
2026-08-06 09:13:51 +00:00
parent 2429394cd8
commit 8461ed5097
1 changed files with 45 additions and 17 deletions
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live/node.py
+45 -17
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@@ -31,15 +31,15 @@ RESERVE = 398.0
MAKER_FEE = 0.0002 MAKER_FEE = 0.0002
STRATEGIES = { STRATEGIES = {
"Order Book Imbalance": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000800,"fee_paid":0.0,"signals":[],"type":"reversal","description":"L2 bid/ask volume skew — buys when bids dominate, sells when asks dominate."}, "Order Book Imbalance": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000200,"fee_paid":0.0,"signals":[],"type":"reversal","description":"L2 bid/ask volume skew — buys when bids dominate, sells when asks dominate."},
"Iceberg Detection": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000850,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Detects whale TWAP accumulation — follows smart money flow."}, "Iceberg Detection": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000210,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Detects whale TWAP accumulation — follows smart money flow."},
"Funding Rate Arb": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000900,"fee_paid":0.0,"signals":[],"type":"carry","description":"Delta-neutral carry — holds spot, shorts perp, collects funding."}, "Funding Rate Arb": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000220,"fee_paid":0.0,"signals":[],"type":"carry","description":"Delta-neutral carry — holds spot, shorts perp, collects funding."},
"Pairs Trading": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.027500,"fee_paid":0.0,"signals":[],"type":"stat_arb","description":"BTC/ETH ratio Z-score — trades when spread exceeds 1.5σ."}, "Pairs Trading": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.006,"fee_paid":0.0,"signals":[],"type":"stat_arb","description":"BTC/ETH ratio Z-score — trades when spread exceeds 1.5σ."},
"Avellaneda-Stoikov": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000950,"fee_paid":0.0,"signals":[],"type":"market_making","description":"Dual-sided quoting at best bid/ask — captures spread via stochastic control. Places both sides simultaneously."}, "Avellaneda-Stoikov": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000230,"fee_paid":0.0,"signals":[],"type":"market_making","description":"Dual-sided quoting at best bid/ask — captures spread via stochastic control. Places both sides simultaneously."},
"Momentum Breakout": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.020000,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Bollinger Band (1.2σ) breakout on ETH — enters when price breaks bands."}, "Momentum Breakout": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0005,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Bollinger Band (1.2σ) breakout on ETH — enters when price breaks bands."},
"Mean Reversion": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.022500,"fee_paid":0.0,"signals":[],"type":"reversal","description":"VWAP deviation on ETH — buys below VWAP, sells above. Higher vol = more reversion."}, "Mean Reversion": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0005,"fee_paid":0.0,"signals":[],"type":"reversal","description":"VWAP deviation on ETH — buys below VWAP, sells above. Higher vol = more reversion."},
"Kalman Pairs": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.025000,"fee_paid":0.0,"signals":[],"type":"stat_arb","description":"Kalman-filter adaptive hedge ratio — tracks evolving BTC/ETH beta with every tick."}, "Kalman Pairs": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.005,"fee_paid":0.0,"signals":[],"type":"stat_arb","description":"Kalman-filter adaptive hedge ratio — tracks evolving BTC/ETH beta with every tick."},
"Hurst VPIN": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.001000,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Hurst exponent regime filter + VPIN informed flow — enters when both align trending + high flow imbalance."} "Hurst VPIN": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000240,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Hurst exponent regime filter + VPIN informed flow — enters when both align trending + high flow imbalance."}
} }
trades_log: list[dict] = [] trades_log: list[dict] = []
@@ -92,11 +92,39 @@ def get_orderbook(coin):
return best_bid, best_ask, (best_bid+best_ask)/2 if best_bid and best_ask else 0 return best_bid, best_ask, (best_bid+best_ask)/2 if best_bid and best_ask else 0
except: return 0,0,0 except: return 0,0,0
# Module-level cache for open orders/positions (avoid 429 rate limit)
_cached_orders = []
_cached_positions = []
_last_metrics_fetch = 0.0
def write_metrics(addr): def write_metrics(addr):
global _cached_orders, _cached_positions, _last_metrics_fetch
total_pnl = sum(s["pnl"] for s in STRATEGIES.values()) total_pnl = sum(s["pnl"] for s in STRATEGIES.values())
total_pnl_pct = (total_pnl/TOTAL_EQUITY)*100 if TOTAL_EQUITY>0 else 0 total_pnl_pct = (total_pnl/TOTAL_EQUITY)*100 if TOTAL_EQUITY>0 else 0
for s in STRATEGIES.values(): for s in STRATEGIES.values():
if s["trades_today"]>0: s["win_rate"] = s["wins"]/s["trades_today"] if s["trades_today"]>0: s["win_rate"] = s["wins"]/s["trades_today"]
# Get real open orders and positions from Hyperliquid (cached 5s to avoid 429)
if time.time() - _last_metrics_fetch > 5:
try:
_cached_orders = requests.post(TESTNET_API, json={"type":"openOrders","user":addr}, timeout=5).json() or []
_cached_positions = []
ch = requests.post(TESTNET_API, json={"type":"clearinghouseState","user":addr}, timeout=5).json()
if ch and "assetPositions" in ch:
for a in ch["assetPositions"]:
pos = a.get("position", {})
if pos and float(pos.get("szi", 0)) != 0:
_cached_positions.append({
"coin": pos.get("coin", "?"),
"size": float(pos.get("szi", 0)),
"entry_px": float(pos.get("entryPx", 0)),
"pnl": float(pos.get("unrealizedPnl", 0)),
})
_last_metrics_fetch = time.time()
except Exception:
pass
live_orders = _cached_orders
live_positions = _cached_positions
data = { data = {
"timestamp":time.time(),"wallet":addr, "timestamp":time.time(),"wallet":addr,
"total_equity":TOTAL_EQUITY+total_pnl,"base_equity":TOTAL_EQUITY, "total_equity":TOTAL_EQUITY+total_pnl,"base_equity":TOTAL_EQUITY,
@@ -104,7 +132,7 @@ def write_metrics(addr):
"reserve":RESERVE,"equity_history":equity_history[-600:], "reserve":RESERVE,"equity_history":equity_history[-600:],
"strategies":STRATEGIES,"trades":trades_log[-200:],"status":"running","testnet_up":True, "strategies":STRATEGIES,"trades":trades_log[-200:],"status":"running","testnet_up":True,
"strategy_equity":{k: v[-600:] for k,v in strategy_equity.items()}, "strategy_equity":{k: v[-600:] for k,v in strategy_equity.items()},
"open_positions":[],"open_orders":[] "open_positions":live_positions,"open_orders":live_orders
} }
try: try:
with open(METRICS_FILE,"w") as f: json.dump(data,f,default=str) with open(METRICS_FILE,"w") as f: json.dump(data,f,default=str)
@@ -184,15 +212,15 @@ def compute_signals():
elif eth_cur < sma-1.2*std: STRATEGIES["Momentum Breakout"]["signals"].append({"time":time.time(),"signal":"SELL","strength":(sma-1.2*std-eth_cur)/std}) elif eth_cur < sma-1.2*std: STRATEGIES["Momentum Breakout"]["signals"].append({"time":time.time(),"signal":"SELL","strength":(sma-1.2*std-eth_cur)/std})
# Mean Reversion: VWAP on ETH (exclude current price from VWAP) # Mean Reversion: VWAP on ETH (exclude current price from VWAP)
if len(eth_prices)>=60: if len(eth_prices)>=20:
w = list(eth_prices)[-60:]; eth_mr = eth_prices[-1] w = list(eth_prices)[-20:]; eth_mr = eth_prices[-1]
# SMA deviation on prior 59 prices (60s window captures real mean reversion) # VWAP on prior 19 prices, equal volume weights
prior = w[:-1] prior = w[:-1]
sma = sum(prior)/len(prior) sma = sum(prior)/len(prior)
vstd = math.sqrt(sum((p-sma)**2 for p in prior)/len(prior)) vstd = math.sqrt(sum((p-sma)**2 for p in prior)/len(prior))
dev = (eth_mr-sma)/vstd if vstd>0 else 0 dev = (eth_mr-sma)/vstd if vstd>0 else 0
if dev>0.5: STRATEGIES["Mean Reversion"]["signals"].append({"time":time.time(),"signal":"SELL","strength":dev}) if dev>1.0: STRATEGIES["Mean Reversion"]["signals"].append({"time":time.time(),"signal":"SELL","strength":dev})
elif dev<-0.5: STRATEGIES["Mean Reversion"]["signals"].append({"time":time.time(),"signal":"BUY","strength":abs(dev)}) elif dev<-1.0: STRATEGIES["Mean Reversion"]["signals"].append({"time":time.time(),"signal":"BUY","strength":abs(dev)})
# Hurst/VPIN: feed BTC price into dollar bars # Hurst/VPIN: feed BTC price into dollar bars
if len(btc_prices)>=3: if len(btc_prices)>=3:
@@ -284,7 +312,7 @@ async def main():
log.info("="*60) log.info("="*60)
# Cancel stale # Cancel stale
open_ords = requests.post(TESTNET_API, json={"type":"openOrders","user":addr}, timeout=10).json() open_ords = requests.post(TESTNET_API, json={"type":"openOrders","user":addr}, timeout=10).json() or []
for o in open_ords: for o in open_ords:
try: try:
iid = InstrumentId.from_str(f"{o['coin']}-USD-PERP.HYPERLIQUID") iid = InstrumentId.from_str(f"{o['coin']}-USD-PERP.HYPERLIQUID")
@@ -537,7 +565,7 @@ async def main():
log.info("Stopping...") log.info("Stopping...")
# Cancel all # Cancel all
open_ords = requests.post(TESTNET_API, json={"type":"openOrders","user":addr}, timeout=10).json() open_ords = requests.post(TESTNET_API, json={"type":"openOrders","user":addr}, timeout=10).json() or []
for o in open_ords: for o in open_ords:
try: try:
iid=InstrumentId.from_str(f"{o['coin']}-USD-PERP.HYPERLIQUID") iid=InstrumentId.from_str(f"{o['coin']}-USD-PERP.HYPERLIQUID")