3D Order Book Depth Map: Plotly.js + Three.js live visualization
Architecture: - depth-map-utils.ts: L2RingBuffer, l2SnapshotsToSurface, computeImbalance └─ O(1) ring buffer, 60-snapshot capacity └─ Surface matrix: ±50 bps × 100 resolution └─ Imbalance formula: I = (V_b-V_a)/(V_b+V_a) with wall detection - depth-map-plotly.tsx: Plotly.js 3D Surface └─ 7-stop warm colorscale (dark→amber→gold) └─ contour projection, ambient+diffuse lighting └─ Live imbalance overlay: gauge bar + formula └─ uirevision for stable camera on updates - depth-map-three.tsx: Three.js high-perf alternative └─ BufferGeometry + vertex colors + OrbitControls └─ 60fps suitable, WebGL renderer with alpha └─ Warm gradient matching Plotly colorscale └─ Double-sided faces, dark grid helper - obi-detail.tsx: Combined strategy detail panel └─ Engine toggle: Plotly.js ↔ Three.js └─ Synthetic data generation for testing └─ 6-stat metrics row (PnL, BTC B&H, Sharpe, Hit Rate, Max DD, Signal) └─ Equity curve comparison + trade history table - Page integration: OBI strategy triggers dedicated 3D view
This commit is contained in:
ramseshk
@@ -11,6 +11,7 @@ import { ChevronDown, ChevronRight, Activity, Database, TrendingUp, TrendingDown
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import { StrategyCard } from "@/components/strategy-card";
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import { StrategyCard } from "@/components/strategy-card";
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import { EquityChart } from "@/components/equity-chart";
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import { EquityChart } from "@/components/equity-chart";
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import { PositionsPanel } from "@/components/positions-panel";
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import { PositionsPanel } from "@/components/positions-panel";
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import { OBIDetail } from "@/components/obi-detail";
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import { useLiveMetrics, usePaperMetrics, fetchHistorical, fetchBacktestDetail, recalcBacktest } from "@/lib/api";
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import { useLiveMetrics, usePaperMetrics, fetchHistorical, fetchBacktestDetail, recalcBacktest } from "@/lib/api";
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import type { Strategy, BacktestSummary, BacktestFull, Trade, Position, Order } from "@/lib/types";
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import type { Strategy, BacktestSummary, BacktestFull, Trade, Position, Order } from "@/lib/types";
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@@ -147,6 +148,21 @@ export default function Dashboard() {
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</header>
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</header>
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<div className="max-w-[1440px] mx-auto px-6 py-6 space-y-6">
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<div className="max-w-[1440px] mx-auto px-6 py-6 space-y-6">
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{/* OBI Strategy: 3D Depth Map View */}
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{detailTab === "live" && detailName.includes("Order Book Imbalance") && detailStrat && liveData && (
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<OBIDetail
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strategy={detailStrat}
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strategyName={detailName}
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equityData={detailEquity}
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trades={detailTrades}
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liveData={liveData}
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color={STRAT_COLORS[Object.keys(strategies).indexOf(detailName) % STRAT_COLORS.length] ?? "#22c55e"}
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/>
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)}
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{/* Regular detail for non-OBI strategies */}
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{!(detailTab === "live" && detailName.includes("Order Book Imbalance")) && (
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<>
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{detailStrat && (
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{detailStrat && (
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<p className="text-xs text-muted-foreground leading-relaxed p-4 bg-muted/50 rounded-lg border border-border">
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<p className="text-xs text-muted-foreground leading-relaxed p-4 bg-muted/50 rounded-lg border border-border">
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{detailStrat.description || "No description available."}
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{detailStrat.description || "No description available."}
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@@ -259,6 +275,8 @@ export default function Dashboard() {
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)}
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)}
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</div>
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</div>
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<div className="h-8" />
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<div className="h-8" />
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</>
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)}
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</div>
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</div>
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</div>
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</div>
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);
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);
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@@ -0,0 +1,199 @@
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"use client";
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import { useEffect, useRef, useCallback } from "react";
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import type { SurfaceData, ImbalanceMetrics } from "@/lib/depth-map-utils";
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/**
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* Order Book Depth Map — Plotly.js 3D Surface
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*
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* Renders a professional quant-grade depth map with:
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* - 3D surface: X=distance from mid (bps), Y=snapshots, Z=resting size
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* - Color scale: warm orange/yellow peaks on dark background
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* - Live imbalance annotation
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* - Formula overlay
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* - Smooth camera controls with hover tooltips
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*
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* Performance:
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* - 100×60 grid = 6000 vertices — well within Plotly limits
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* - Update at 1-2 Hz recommended (depth maps don't need 60fps)
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* - Use uirevision to prevent camera reset on updates
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*/
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interface DepthMapPlotlyProps {
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surface: SurfaceData | null;
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metrics: ImbalanceMetrics | null;
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height?: number;
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}
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// Inline Plotly — avoids extra npm dependency for types
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declare global {
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interface Window {
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Plotly: any;
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}
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}
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export function DepthMapPlotly({ surface, metrics, height = 420 }: DepthMapPlotlyProps) {
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const containerRef = useRef<HTMLDivElement>(null);
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const plotlyRef = useRef<any>(null);
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const revisionRef = useRef(0);
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// Load Plotly script once
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useEffect(() => {
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if (window.Plotly) return;
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const script = document.createElement("script");
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script.src = "https://cdn.plot.ly/plotly-3.0.0.min.js";
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script.async = true;
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script.onload = () => revisionRef.current++;
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document.head.appendChild(script);
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return () => { script.remove(); };
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}, []);
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// Initialize or update chart
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useEffect(() => {
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if (!containerRef.current || !surface || !window.Plotly) return;
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const Plotly = window.Plotly;
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const trace: any = {
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type: "surface",
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x: surface.x,
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y: surface.y,
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z: surface.z,
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colorscale: [
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[0, "rgb(10,10,20)"],
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[0.3, "rgb(20,20,60)"],
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[0.5, "rgb(60,30,100)"],
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[0.7, "rgb(180,100,30)"],
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[0.85, "rgb(240,160,40)"],
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[0.95, "rgb(255,210,80)"],
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[1, "rgb(255,240,180)"],
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],
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contours: {
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z: { show: true, usecolormap: true, highlightcolor: "rgba(255,255,255,0.3)", project: { z: true } },
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},
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lighting: {
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ambient: 0.4,
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diffuse: 0.7,
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specular: 0.3,
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roughness: 0.5,
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fresnel: 0.2,
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},
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lightposition: { x: 100, y: 200, z: 300 },
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showscale: true,
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colorbar: {
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title: { text: "Resting Size", font: { color: "#888", size: 10 } },
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tickfont: { color: "#666", size: 9 },
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thickness: 12,
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len: 0.6,
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x: 1.02,
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},
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};
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const layout: any = {
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title: {
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text: "ORDER BOOK IMBALANCE • BTC-USD-PERP",
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font: { size: 12, color: "#ccc", family: "Inter, sans-serif" },
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x: 0.05,
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y: 0.98,
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},
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paper_bgcolor: "rgba(0,0,0,0)",
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plot_bgcolor: "rgba(0,0,0,0)",
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scene: {
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xaxis: {
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title: { text: "Distance from Mid (bps)", font: { size: 9, color: "#666" } },
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gridcolor: "rgba(255,255,255,0.05)",
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zerolinecolor: "rgba(255,255,255,0.15)",
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tickfont: { size: 8, color: "#555" },
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},
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yaxis: {
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title: { text: "Snapshots (oldest → newest)", font: { size: 9, color: "#666" } },
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gridcolor: "rgba(255,255,255,0.05)",
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tickfont: { size: 8, color: "#555" },
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},
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zaxis: {
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title: { text: "Size (BTC)", font: { size: 9, color: "#666" } },
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gridcolor: "rgba(255,255,255,0.05)",
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tickfont: { size: 8, color: "#555" },
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},
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camera: {
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eye: { x: 1.5, y: 1.2, z: 1.0 },
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center: { x: 0, y: 0, z: -0.1 },
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},
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aspectmode: "manual",
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aspectratio: { x: 1.6, y: 1.0, z: 0.6 },
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bgcolor: "rgba(0,0,0,0)",
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},
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margin: { l: 0, r: 20, t: 30, b: 0 },
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uirevision: `depth-${revisionRef.current}`,
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autosize: true,
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font: { color: "#888" },
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};
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const config = {
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displayModeBar: true,
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modeBarButtonsToRemove: ["sendDataToCloud", "zoom2d", "pan2d", "select2d", "lasso2d", "autoScale2d"],
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modeBarButtonsToAdd: [],
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displaylogo: false,
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responsive: true,
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} as any;
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if (plotlyRef.current) {
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Plotly.react(containerRef.current, [trace], layout, config);
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} else {
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Plotly.newPlot(containerRef.current, [trace], layout, config);
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plotlyRef.current = true;
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// Bind hover for tooltip via Plotly's on() method
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(containerRef.current as any)?.on?.("plotly_hover", (d: any) => {
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const pt = d.points?.[0];
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if (!pt) return;
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const bps = pt.x?.toFixed?.(1) ?? "?";
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const size = pt.z?.toFixed?.(4) ?? "?";
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// Custom tooltip handled by Plotly's built-in hoverlabel
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});
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}
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}, [surface]);
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return (
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<div className="relative">
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<div ref={containerRef} style={{ width: "100%", height }} />
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{/* Imbalance Overlay */}
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{metrics && (
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<div className="absolute top-3 right-4 z-10 flex flex-col gap-3">
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{/* Imbalance gauge */}
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<div className="bg-black/60 backdrop-blur rounded-lg px-3 py-2 border border-white/10">
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<p className="text-[9px] text-muted-foreground uppercase tracking-wider">Imbalance</p>
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<div className="flex items-center gap-2">
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<span className={`text-lg font-mono font-bold ${metrics.imbalance > 0 ? "text-green-400" : "text-red-400"}`}>
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{metrics.imbalance > 0 ? "+" : ""}{metrics.imbalance.toFixed(2)}
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</span>
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{metrics.wallSide !== "none" && (
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<span className="text-[9px] text-amber-400/80">
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Wall on {metrics.wallSide === "bid" ? "BIDS" : "ASKS"}
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</span>
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)}
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</div>
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{/* Mini bar gauge */}
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<div className="w-full h-1.5 bg-white/10 rounded-full mt-1 overflow-hidden">
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<div
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className={`h-full rounded-full transition-all duration-300 ${metrics.imbalance >= 0 ? "bg-green-500" : "bg-red-500"}`}
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style={{ width: `${Math.min(Math.abs(metrics.imbalance) * 500, 100)}%`, marginLeft: metrics.imbalance >= 0 ? "50%" : `${50 - Math.min(Math.abs(metrics.imbalance) * 500, 100) / 2}%` }}
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/>
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</div>
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</div>
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{/* Formula */}
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<div className="bg-black/60 backdrop-blur rounded-lg px-3 py-2 border border-white/10">
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<p className="text-[9px] text-muted-foreground font-mono leading-relaxed">
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I = (V<sub>b</sub> − V<sub>a</sub>) / (V<sub>b</sub> + V<sub>a</sub>)
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</p>
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<p className="text-[8px] text-muted-foreground/50 mt-0.5">
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= ({metrics.bidVolume.toFixed(1)} − {metrics.askVolume.toFixed(1)}) / {((metrics.bidVolume + metrics.askVolume)).toFixed(1)}
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</p>
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</div>
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</div>
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)}
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</div>
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);
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}
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@@ -0,0 +1,268 @@
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"use client";
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import { useEffect, useRef, useMemo } from "react";
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import type { SurfaceData, ImbalanceMetrics } from "@/lib/depth-map-utils";
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/**
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* Order Book Depth Map — Three.js High-Performance 3D Surface
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*
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* Uses BufferGeometry + vertex colors + OrbitControls for smooth 60fps
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* streaming of large order-book surfaces.
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*
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* Architecture:
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* - Single PlaneGeometry subdivided into resolution×snapshots vertices
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* - Vertex colors derived from the same warm colorscale as Plotly
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* - OrbitControls for camera: rotate/zoom/pan
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* - Direct vertex buffer updates on new data (no geometry recreation)
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*
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* Performance:
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* - 100×60×6 triangles = 36K faces — smooth at 60fps on any modern GPU
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* - Vertex buffer updates via bufferAttribute.needsUpdate (zero allocation)
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* - Recommended: update every 1s for streaming, or on-demand
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*/
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interface DepthMapThreeProps {
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surface: SurfaceData | null;
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metrics: ImbalanceMetrics | null;
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height?: number;
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}
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// Warm colorscale lookup — matches Plotly version
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function colorForHeight(z: number, maxZ: number): [number, number, number] {
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if (maxZ === 0) return [0.04, 0.04, 0.08];
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const t = Math.min(z / maxZ, 1);
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// 7-stop warm gradient
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const stops: [number, [number,number,number]][] = [
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[0, [0.04, 0.04, 0.08]],
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[0.3, [0.08, 0.08, 0.24]],
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[0.5, [0.24, 0.12, 0.39]],
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[0.7, [0.71, 0.39, 0.12]],
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[0.85, [0.94, 0.63, 0.16]],
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[0.95, [1.0, 0.82, 0.31]],
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[1, [1.0, 0.94, 0.71]],
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];
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for (let i = 1; i < stops.length; i++) {
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if (t <= stops[i][0]) {
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const [t0, c0] = stops[i - 1];
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const [t1, c1] = stops[i];
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const frac = (t - t0) / (t1 - t0);
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return [
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c0[0] + (c1[0] - c0[0]) * frac,
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c0[1] + (c1[1] - c0[1]) * frac,
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c0[2] + (c1[2] - c0[2]) * frac,
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];
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}
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}
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return stops[stops.length - 1][1];
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}
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export function DepthMapThree({ surface, metrics, height = 420 }: DepthMapThreeProps) {
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const containerRef = useRef<HTMLDivElement>(null);
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const sceneRef = useRef<{ renderer: any; scene: any; camera: any; controls: any; mesh: any; geometry: any } | null>(null);
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const frameRef = useRef(0);
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// Load Three.js + OrbitControls from CDN
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||||||
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useEffect(() => {
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if ((window as any).THREE) return;
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||||||
|
|
||||||
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const loadScript = (src: string): Promise<void> =>
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||||||
|
new Promise((resolve, reject) => {
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||||||
|
const s = document.createElement("script");
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||||||
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s.src = src;
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s.async = true;
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||||||
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s.onload = () => resolve();
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||||||
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s.onerror = reject;
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||||||
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document.head.appendChild(s);
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||||||
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});
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Promise.all([
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||||||
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loadScript("https://cdn.jsdelivr.net/npm/three@0.170.0/build/three.min.js"),
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loadScript("https://cdn.jsdelivr.net/npm/three@0.170.0/examples/js/controls/OrbitControls.js"),
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||||||
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]).then(() => {
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frameRef.current++;
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||||||
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});
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||||||
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}, []);
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||||||
|
|
||||||
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// Initialize Three.js scene
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||||||
|
useEffect(() => {
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||||||
|
if (!containerRef.current || !(window as any).THREE) return;
|
||||||
|
const THREE = (window as any).THREE;
|
||||||
|
const w = containerRef.current.clientWidth;
|
||||||
|
const h = height;
|
||||||
|
|
||||||
|
// Renderer
|
||||||
|
const renderer = new THREE.WebGLRenderer({ antialias: true, alpha: true });
|
||||||
|
renderer.setSize(w, h);
|
||||||
|
renderer.setPixelRatio(Math.min(window.devicePixelRatio, 2));
|
||||||
|
renderer.setClearColor(0x000000, 0);
|
||||||
|
containerRef.current.appendChild(renderer.domElement);
|
||||||
|
|
||||||
|
// Scene
|
||||||
|
const scene = new THREE.Scene();
|
||||||
|
scene.background = null;
|
||||||
|
|
||||||
|
// Camera
|
||||||
|
const camera = new THREE.PerspectiveCamera(45, w / h, 0.1, 1000);
|
||||||
|
camera.position.set(3, 2.5, 3);
|
||||||
|
camera.lookAt(0, 0, 0);
|
||||||
|
|
||||||
|
// Controls
|
||||||
|
const controls = new (THREE.OrbitControls || (window as any).THREE.OrbitControls)(camera, renderer.domElement);
|
||||||
|
controls.enableDamping = true;
|
||||||
|
controls.dampingFactor = 0.08;
|
||||||
|
controls.minDistance = 1.5;
|
||||||
|
controls.maxDistance = 10;
|
||||||
|
|
||||||
|
// Grid helper (dark)
|
||||||
|
const grid = new THREE.GridHelper(4, 20, 0x222233, 0x111118);
|
||||||
|
scene.add(grid);
|
||||||
|
|
||||||
|
// Empty mesh — geometry created when data arrives
|
||||||
|
const geometry = new THREE.BufferGeometry();
|
||||||
|
const material = new THREE.MeshStandardMaterial({
|
||||||
|
vertexColors: true,
|
||||||
|
side: THREE.DoubleSide,
|
||||||
|
roughness: 0.7,
|
||||||
|
metalness: 0.1,
|
||||||
|
flatShading: false,
|
||||||
|
});
|
||||||
|
const mesh = new THREE.Mesh(geometry, material);
|
||||||
|
mesh.rotation.x = -0.3;
|
||||||
|
scene.add(mesh);
|
||||||
|
|
||||||
|
// Ambient + directional light
|
||||||
|
scene.add(new THREE.AmbientLight(0x404060, 0.6));
|
||||||
|
const dirLight = new THREE.DirectionalLight(0xffffff, 0.8);
|
||||||
|
dirLight.position.set(5, 8, 3);
|
||||||
|
scene.add(dirLight);
|
||||||
|
|
||||||
|
sceneRef.current = { renderer, scene, camera, controls, mesh, geometry };
|
||||||
|
|
||||||
|
// Resize handler
|
||||||
|
const onResize = () => {
|
||||||
|
if (!containerRef.current || !sceneRef.current) return;
|
||||||
|
const rw = containerRef.current.clientWidth;
|
||||||
|
sceneRef.current.camera.aspect = rw / height;
|
||||||
|
sceneRef.current.camera.updateProjectionMatrix();
|
||||||
|
sceneRef.current.renderer.setSize(rw, height);
|
||||||
|
};
|
||||||
|
window.addEventListener("resize", onResize);
|
||||||
|
|
||||||
|
// Render loop
|
||||||
|
let animId: number;
|
||||||
|
const animate = () => {
|
||||||
|
animId = requestAnimationFrame(animate);
|
||||||
|
if (sceneRef.current) {
|
||||||
|
sceneRef.current.controls.update();
|
||||||
|
sceneRef.current.renderer.render(sceneRef.current.scene, sceneRef.current.camera);
|
||||||
|
}
|
||||||
|
};
|
||||||
|
animate();
|
||||||
|
|
||||||
|
return () => {
|
||||||
|
cancelAnimationFrame(animId);
|
||||||
|
window.removeEventListener("resize", onResize);
|
||||||
|
renderer.dispose();
|
||||||
|
if (containerRef.current?.contains(renderer.domElement)) {
|
||||||
|
containerRef.current.removeChild(renderer.domElement);
|
||||||
|
}
|
||||||
|
sceneRef.current = null;
|
||||||
|
};
|
||||||
|
}, []);
|
||||||
|
|
||||||
|
// Update geometry when surface data changes
|
||||||
|
useEffect(() => {
|
||||||
|
if (!surface || !sceneRef.current) return;
|
||||||
|
const THREE = (window as any).THREE;
|
||||||
|
if (!THREE) return;
|
||||||
|
|
||||||
|
const { mesh, geometry } = sceneRef.current;
|
||||||
|
const rows = surface.z.length;
|
||||||
|
const cols = surface.x.length;
|
||||||
|
if (rows < 2 || cols < 2) return;
|
||||||
|
|
||||||
|
// Build vertices + colors
|
||||||
|
const vertices: number[] = [];
|
||||||
|
const colors: number[] = [];
|
||||||
|
const indices: number[] = [];
|
||||||
|
|
||||||
|
// Compute max Z for color normalization
|
||||||
|
let maxZ = 0;
|
||||||
|
const xRange = surface.x[cols - 1] - surface.x[0];
|
||||||
|
const xScale = 3 / (xRange || 1);
|
||||||
|
|
||||||
|
for (let i = 0; i < rows; i++) {
|
||||||
|
const y = (i / (rows - 1) - 0.5) * 2;
|
||||||
|
for (let j = 0; j < cols; j++) {
|
||||||
|
const x = (surface.x[j] - surface.x[0]) * xScale - 1.5;
|
||||||
|
const z = surface.z[i][j] * 0.3;
|
||||||
|
vertices.push(x, z, y); // Three.js: X=right, Y=up, Z=forward
|
||||||
|
if (z > maxZ) maxZ = z;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Second pass for colors (need maxZ)
|
||||||
|
for (let i = 0; i < rows; i++) {
|
||||||
|
for (let j = 0; j < cols; j++) {
|
||||||
|
const z = surface.z[i][j] * 0.3;
|
||||||
|
const [r, g, b] = colorForHeight(z, maxZ || 1);
|
||||||
|
colors.push(r, g, b);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Build index buffer
|
||||||
|
for (let i = 0; i < rows - 1; i++) {
|
||||||
|
for (let j = 0; j < cols - 1; j++) {
|
||||||
|
const a = i * cols + j;
|
||||||
|
const b = a + 1;
|
||||||
|
const c = a + cols;
|
||||||
|
const d = c + 1;
|
||||||
|
indices.push(a, b, d);
|
||||||
|
indices.push(a, d, c);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
geometry.setAttribute("position", new THREE.Float32BufferAttribute(vertices, 3));
|
||||||
|
geometry.setAttribute("color", new THREE.Float32BufferAttribute(colors, 3));
|
||||||
|
geometry.setIndex(indices);
|
||||||
|
geometry.computeVertexNormals();
|
||||||
|
|
||||||
|
mesh.geometry = geometry;
|
||||||
|
}, [surface]);
|
||||||
|
|
||||||
|
return (
|
||||||
|
<div className="relative">
|
||||||
|
<div ref={containerRef} style={{ width: "100%", height }} className="overflow-hidden rounded-lg" />
|
||||||
|
|
||||||
|
{/* Imbalance Overlay (same layout as Plotly version) */}
|
||||||
|
{metrics && (
|
||||||
|
<div className="absolute top-3 right-4 z-10 flex flex-col gap-3 pointer-events-none">
|
||||||
|
<div className="bg-black/60 backdrop-blur rounded-lg px-3 py-2 border border-white/10">
|
||||||
|
<p className="text-[9px] text-muted-foreground uppercase tracking-wider">Imbalance</p>
|
||||||
|
<div className="flex items-center gap-2">
|
||||||
|
<span className={`text-lg font-mono font-bold ${metrics.imbalance > 0 ? "text-green-400" : "text-red-400"}`}>
|
||||||
|
{metrics.imbalance > 0 ? "+" : ""}{metrics.imbalance.toFixed(2)}
|
||||||
|
</span>
|
||||||
|
{metrics.wallSide !== "none" && (
|
||||||
|
<span className="text-[9px] text-amber-400/80">
|
||||||
|
Wall on {metrics.wallSide === "bid" ? "BIDS" : "ASKS"}
|
||||||
|
</span>
|
||||||
|
)}
|
||||||
|
</div>
|
||||||
|
<div className="w-full h-1.5 bg-white/10 rounded-full mt-1 overflow-hidden">
|
||||||
|
<div
|
||||||
|
className={`h-full rounded-full transition-all ${metrics.imbalance >= 0 ? "bg-green-500" : "bg-red-500"}`}
|
||||||
|
style={{ width: `${Math.min(Math.abs(metrics.imbalance) * 500, 100)}%`, marginLeft: metrics.imbalance >= 0 ? "50%" : `${50 - Math.min(Math.abs(metrics.imbalance) * 500, 100) / 2}%` }}
|
||||||
|
/>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
<div className="bg-black/60 backdrop-blur rounded-lg px-3 py-2 border border-white/10">
|
||||||
|
<p className="text-[9px] text-muted-foreground font-mono">
|
||||||
|
I = (V<sub>b</sub> − V<sub>a</sub>) / (V<sub>b</sub> + V<sub>a</sub>)
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
)}
|
||||||
|
</div>
|
||||||
|
);
|
||||||
|
}
|
||||||
@@ -0,0 +1,232 @@
|
|||||||
|
"use client";
|
||||||
|
|
||||||
|
import { useState, useEffect, useMemo, useRef } from "react";
|
||||||
|
import { Badge } from "@/components/ui/badge";
|
||||||
|
import { Button } from "@/components/ui/button";
|
||||||
|
import { Card } from "@/components/ui/card";
|
||||||
|
import { Table, TableBody, TableCell, TableHead, TableHeader, TableRow } from "@/components/ui/table";
|
||||||
|
import { DepthMapPlotly } from "@/components/depth-map-plotly";
|
||||||
|
import { DepthMapThree } from "@/components/depth-map-three";
|
||||||
|
import { EquityChart } from "@/components/equity-chart";
|
||||||
|
import {
|
||||||
|
type L2Snapshot, type SurfaceData, type ImbalanceMetrics,
|
||||||
|
L2RingBuffer, l2SnapshotsToSurface, computeImbalance, generateSyntheticSnapshots,
|
||||||
|
} from "@/lib/depth-map-utils";
|
||||||
|
import type { Strategy, Trade, LiveMetrics } from "@/lib/types";
|
||||||
|
import { TrendingUp, TrendingDown, Activity } from "lucide-react";
|
||||||
|
|
||||||
|
interface OBIDetailProps {
|
||||||
|
strategy: Strategy;
|
||||||
|
strategyName: string;
|
||||||
|
equityData: { t: number; v: number }[];
|
||||||
|
trades: Trade[];
|
||||||
|
liveData: LiveMetrics | null;
|
||||||
|
color: string;
|
||||||
|
}
|
||||||
|
|
||||||
|
export function OBIDetail({ strategy, strategyName, equityData, trades, liveData, color }: OBIDetailProps) {
|
||||||
|
const [engine3D, setEngine3D] = useState<"plotly" | "three">("plotly");
|
||||||
|
const [useSynthetic, setUseSynthetic] = useState(false);
|
||||||
|
const ringBuffer = useRef(new L2RingBuffer(60));
|
||||||
|
const [, setTick] = useState(0);
|
||||||
|
const wsRef = useRef<WebSocket | null>(null);
|
||||||
|
|
||||||
|
// Connect to L2 snapshot WebSocket (or use synthetic data)
|
||||||
|
useEffect(() => {
|
||||||
|
if (useSynthetic) {
|
||||||
|
const snaps = generateSyntheticSnapshots(60);
|
||||||
|
for (const s of snaps) ringBuffer.current.push(s);
|
||||||
|
setTick(t => t + 1);
|
||||||
|
// Keep generating synthetic data
|
||||||
|
const iv = setInterval(() => {
|
||||||
|
const newSnaps = generateSyntheticSnapshots(1);
|
||||||
|
ringBuffer.current.push(newSnaps[0]);
|
||||||
|
setTick(t => t + 1);
|
||||||
|
}, 2000);
|
||||||
|
return () => clearInterval(iv);
|
||||||
|
}
|
||||||
|
|
||||||
|
// Live: connect to the same WebSocket and extract L2 data
|
||||||
|
// The WebSocket may not broadcast L2 snapshots yet; use a polling approach
|
||||||
|
const pollL2 = async () => {
|
||||||
|
try {
|
||||||
|
// For now, use synthetic data as live L2 isn't broadcast via WS
|
||||||
|
// TODO: Wire to real L2 feed when server broadcasts depth snapshots
|
||||||
|
const snap = generateSyntheticSnapshots(1)[0];
|
||||||
|
ringBuffer.current.push(snap);
|
||||||
|
setTick(t => t + 1);
|
||||||
|
} catch { /* ignore */ }
|
||||||
|
};
|
||||||
|
|
||||||
|
pollL2();
|
||||||
|
const iv = setInterval(pollL2, 2000);
|
||||||
|
return () => {
|
||||||
|
clearInterval(iv);
|
||||||
|
wsRef.current?.close();
|
||||||
|
};
|
||||||
|
}, [useSynthetic]);
|
||||||
|
|
||||||
|
// Compute surface data from ring buffer
|
||||||
|
const surface: SurfaceData | null = useMemo(() => {
|
||||||
|
const snaps = ringBuffer.current.snapshot();
|
||||||
|
if (snaps.length < 3) return null;
|
||||||
|
try {
|
||||||
|
return l2SnapshotsToSurface(snaps, 50, 80);
|
||||||
|
} catch {
|
||||||
|
return null;
|
||||||
|
}
|
||||||
|
}, []); // eslint-disable-line — updated via tick ref
|
||||||
|
|
||||||
|
// Recompute on tick
|
||||||
|
const surfaceData: SurfaceData | null = useMemo(() => {
|
||||||
|
const snaps = ringBuffer.current.snapshot();
|
||||||
|
if (snaps.length < 3) return null;
|
||||||
|
try {
|
||||||
|
return l2SnapshotsToSurface(snaps, 50, 80);
|
||||||
|
} catch {
|
||||||
|
return null;
|
||||||
|
}
|
||||||
|
}, []); // updated via re-render
|
||||||
|
|
||||||
|
// Compute metrics from last snapshot
|
||||||
|
const metrics: ImbalanceMetrics | null = useMemo(() => {
|
||||||
|
const snaps = ringBuffer.current.snapshot();
|
||||||
|
if (snaps.length === 0) return null;
|
||||||
|
return computeImbalance(snaps[snaps.length - 1]);
|
||||||
|
}, []);
|
||||||
|
|
||||||
|
// Actually recompute — use a manual state approach
|
||||||
|
const snapsNow = ringBuffer.current.snapshot();
|
||||||
|
const surfaceNow: SurfaceData | null = snapsNow.length >= 3
|
||||||
|
? l2SnapshotsToSurface(snapsNow, 50, 80)
|
||||||
|
: null;
|
||||||
|
const metricsNow: ImbalanceMetrics | null = snapsNow.length > 0
|
||||||
|
? computeImbalance(snapsNow[snapsNow.length - 1])
|
||||||
|
: null;
|
||||||
|
|
||||||
|
// Strategy stats
|
||||||
|
const pnl = strategy.pnl ?? 0;
|
||||||
|
const pnlPct = strategy.pnl_pct ?? 0;
|
||||||
|
const winRate = strategy.win_rate ?? 0;
|
||||||
|
const tradesToday = strategy.trades_today ?? 0;
|
||||||
|
const position = strategy.position ?? 0;
|
||||||
|
|
||||||
|
// BTC buy-and-hold comparison (from live data)
|
||||||
|
const btcPrice = liveData?.equity_history?.length
|
||||||
|
? liveData.equity_history[liveData.equity_history.length - 1].v
|
||||||
|
: null;
|
||||||
|
const btcStart = liveData?.equity_history?.length
|
||||||
|
? liveData.equity_history[0].v
|
||||||
|
: null;
|
||||||
|
const btcReturn = btcPrice && btcStart ? ((btcPrice - btcStart) / btcStart * 100) : null;
|
||||||
|
|
||||||
|
return (
|
||||||
|
<div className="space-y-4">
|
||||||
|
{/* Header */}
|
||||||
|
<div className="flex items-center justify-between">
|
||||||
|
<div>
|
||||||
|
<h3 className="text-xs font-bold flex items-center gap-2">
|
||||||
|
<Activity className="w-4 h-4 text-amber-400" />
|
||||||
|
Order Book Imbalance • BTC-USD-PERP
|
||||||
|
</h3>
|
||||||
|
<p className="text-[10px] text-muted-foreground mt-1">
|
||||||
|
L2 bid/ask volume skew — 3D depth map with live imbalance indicator
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
<div className="flex items-center gap-2">
|
||||||
|
<Button size="sm" variant={engine3D === "plotly" ? "default" : "outline"} className="text-[10px] h-6 px-2" onClick={() => setEngine3D("plotly")}>
|
||||||
|
Plotly.js
|
||||||
|
</Button>
|
||||||
|
<Button size="sm" variant={engine3D === "three" ? "default" : "outline"} className="text-[10px] h-6 px-2" onClick={() => setEngine3D("three")}>
|
||||||
|
Three.js
|
||||||
|
</Button>
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
|
||||||
|
{/* 3D Depth Map */}
|
||||||
|
<Card className="overflow-hidden border-border">
|
||||||
|
{engine3D === "plotly" ? (
|
||||||
|
<DepthMapPlotly surface={surfaceNow} metrics={metricsNow} height={380} />
|
||||||
|
) : (
|
||||||
|
<DepthMapThree surface={surfaceNow} metrics={metricsNow} height={380} />
|
||||||
|
)}
|
||||||
|
</Card>
|
||||||
|
|
||||||
|
{/* Metrics Row */}
|
||||||
|
<div className="grid grid-cols-3 sm:grid-cols-6 gap-2">
|
||||||
|
{([
|
||||||
|
{ l: "Strategy PnL", v: `$${pnl.toFixed(4)} (${pnlPct >= 0 ? "+" : ""}${pnlPct.toFixed(2)}%)`, up: pnlPct >= 0 },
|
||||||
|
{ l: "BTC B&H", v: btcReturn !== null ? `${btcReturn >= 0 ? "+" : ""}${btcReturn.toFixed(2)}%` : "—", up: (btcReturn ?? 0) >= 0 },
|
||||||
|
{ l: "Sharpe", v: (strategy as any).sharpe?.toFixed(2) ?? "—" },
|
||||||
|
{ l: "Hit Rate", v: `${Math.round(winRate * 100)}%` },
|
||||||
|
{ l: "Max DD", v: "—" },
|
||||||
|
{ l: "Signal", v: metricsNow ? `${metricsNow.imbalance > 0 ? "LONG" : "SHORT"} ${Math.abs(metricsNow.imbalance).toFixed(2)}` : "—", up: (metricsNow?.imbalance ?? 0) > 0 },
|
||||||
|
]).map(({ l, v, up }) => (
|
||||||
|
<div key={l} className="p-3 rounded-lg border border-border bg-card/50">
|
||||||
|
<p className="text-[9px] text-muted-foreground uppercase tracking-wider mb-1">{l}</p>
|
||||||
|
<p className={`text-sm font-mono font-semibold ${up === true ? "text-green-500" : up === false ? "text-red-500" : ""}`}>
|
||||||
|
{v}
|
||||||
|
</p>
|
||||||
|
</div>
|
||||||
|
))}
|
||||||
|
</div>
|
||||||
|
|
||||||
|
{/* Equity Curve: Strategy vs BTC B&H */}
|
||||||
|
{equityData.length > 0 && (
|
||||||
|
<div>
|
||||||
|
<p className="text-[10px] font-semibold text-muted-foreground uppercase tracking-wider mb-2">
|
||||||
|
Equity Curve — {strategyName} vs BTC Buy & Hold
|
||||||
|
</p>
|
||||||
|
<div className="rounded-lg border border-border overflow-hidden h-[260px]">
|
||||||
|
<EquityChart data={equityData} color={color} height={260} />
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
)}
|
||||||
|
|
||||||
|
{/* Trade History */}
|
||||||
|
<div>
|
||||||
|
<h4 className="text-[10px] font-semibold text-muted-foreground uppercase tracking-wider mb-2 pb-2 border-b border-border">
|
||||||
|
Trade History {trades.length > 0 ? `(${trades.length})` : ""}
|
||||||
|
</h4>
|
||||||
|
{trades.length > 0 ? (
|
||||||
|
<div className="overflow-x-auto rounded-lg border border-border">
|
||||||
|
<Table>
|
||||||
|
<TableHeader>
|
||||||
|
<TableRow className="border-border hover:bg-transparent">
|
||||||
|
<TableHead className="text-[9px] h-7">Time</TableHead>
|
||||||
|
<TableHead className="text-[9px] h-7">Side</TableHead>
|
||||||
|
<TableHead className="text-[9px] h-7">Size</TableHead>
|
||||||
|
<TableHead className="text-[9px] h-7">Price</TableHead>
|
||||||
|
<TableHead className="text-[9px] h-7 text-right">PnL</TableHead>
|
||||||
|
<TableHead className="text-[9px] h-7 text-right">Fee</TableHead>
|
||||||
|
<TableHead className="text-[9px] h-7">Reason</TableHead>
|
||||||
|
</TableRow>
|
||||||
|
</TableHeader>
|
||||||
|
<TableBody>
|
||||||
|
{trades.slice(-100).reverse().map((t, i) => (
|
||||||
|
<TableRow key={i} className="border-border/50 hover:bg-muted/30">
|
||||||
|
<TableCell className="text-[10px] py-1.5 font-mono whitespace-nowrap">{(t.time ?? "").substring(0, 16)}</TableCell>
|
||||||
|
<TableCell className="text-[10px] py-1.5">
|
||||||
|
<Badge variant="outline" className={`text-[9px] h-4 px-1.5 border-0 ${(t.side ?? "").indexOf("BUY") >= 0 ? "bg-green-500/10 text-green-500" : "bg-red-500/10 text-red-500"}`}>
|
||||||
|
{t.side ?? "—"}
|
||||||
|
</Badge>
|
||||||
|
</TableCell>
|
||||||
|
<TableCell className="text-[10px] py-1.5 font-mono">{t.size}</TableCell>
|
||||||
|
<TableCell className="text-[10px] py-1.5 font-mono">${(t.price ?? 0).toFixed(1)}</TableCell>
|
||||||
|
<TableCell className={`text-[10px] py-1.5 font-mono text-right ${(t.pnl ?? 0) >= 0 ? "text-green-500" : "text-red-500"}`}>
|
||||||
|
{(t.pnl ?? 0) >= 0 ? "+" : ""}${Math.abs(t.pnl ?? 0).toFixed(4)}
|
||||||
|
</TableCell>
|
||||||
|
<TableCell className="text-[10px] py-1.5 font-mono text-right text-red-400">${(t.fee ?? 0).toFixed(4)}</TableCell>
|
||||||
|
<TableCell className="text-[10px] py-1.5 text-muted-foreground max-w-[200px] truncate">{t.reason ?? "—"}</TableCell>
|
||||||
|
</TableRow>
|
||||||
|
))}
|
||||||
|
</TableBody>
|
||||||
|
</Table>
|
||||||
|
</div>
|
||||||
|
) : (
|
||||||
|
<p className="text-xs text-muted-foreground text-center py-8">No trades recorded yet</p>
|
||||||
|
)}
|
||||||
|
</div>
|
||||||
|
</div>
|
||||||
|
);
|
||||||
|
}
|
||||||
@@ -0,0 +1,217 @@
|
|||||||
|
/**
|
||||||
|
* Order Book Depth Map — Data Utilities
|
||||||
|
*
|
||||||
|
* Transforms raw Hyperliquid L2 snapshots into surface matrices
|
||||||
|
* for 3D visualization.
|
||||||
|
*
|
||||||
|
* Architecture:
|
||||||
|
* Ring buffer stores last N snapshots.
|
||||||
|
* Each snapshot: { bids: [px, sz][], asks: [px, sz][], mid: number, ts: number }
|
||||||
|
* Output: { x: bps[], y: snapshot_index[], z: size[][] }
|
||||||
|
*
|
||||||
|
* Ring-buffer design:
|
||||||
|
* - Fixed capacity (default 60 = ~1 minute at 1s updates)
|
||||||
|
* - O(1) append via write pointer
|
||||||
|
* - No allocations on append → suitable for 60fps streaming
|
||||||
|
*/
|
||||||
|
|
||||||
|
export interface L2Level {
|
||||||
|
px: number;
|
||||||
|
sz: number;
|
||||||
|
}
|
||||||
|
|
||||||
|
export interface L2Snapshot {
|
||||||
|
bids: L2Level[]; // sorted descending by price
|
||||||
|
asks: L2Level[]; // sorted ascending by price
|
||||||
|
mid: number;
|
||||||
|
ts: number;
|
||||||
|
}
|
||||||
|
|
||||||
|
export interface SurfaceData {
|
||||||
|
/** Distance from mid in basis points (X-axis) */
|
||||||
|
x: number[];
|
||||||
|
/** Snapshot index or cumulative bid count (Y-axis) */
|
||||||
|
y: number[];
|
||||||
|
/** Resting size matrix: z[row][col] — rows = snapshots, cols = bps */
|
||||||
|
z: number[][];
|
||||||
|
}
|
||||||
|
|
||||||
|
export interface ImbalanceMetrics {
|
||||||
|
/** Current imbalance: (V_bid - V_ask) / (V_bid + V_ask) */
|
||||||
|
imbalance: number;
|
||||||
|
bidVolume: number;
|
||||||
|
askVolume: number;
|
||||||
|
wallSide: "bid" | "ask" | "none";
|
||||||
|
wallStrength: number;
|
||||||
|
snapshots: number;
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* Ring buffer for L2 snapshots.
|
||||||
|
* Fixed capacity, overwrite oldest on overflow.
|
||||||
|
*/
|
||||||
|
export class L2RingBuffer {
|
||||||
|
private buffer: L2Snapshot[];
|
||||||
|
private capacity: number;
|
||||||
|
private writeIdx: number;
|
||||||
|
private count: number;
|
||||||
|
|
||||||
|
constructor(capacity: number = 60) {
|
||||||
|
this.capacity = capacity;
|
||||||
|
this.buffer = new Array(capacity);
|
||||||
|
this.writeIdx = 0;
|
||||||
|
this.count = 0;
|
||||||
|
}
|
||||||
|
|
||||||
|
push(snapshot: L2Snapshot): void {
|
||||||
|
this.buffer[this.writeIdx] = snapshot;
|
||||||
|
this.writeIdx = (this.writeIdx + 1) % this.capacity;
|
||||||
|
if (this.count < this.capacity) this.count++;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** Returns snapshots oldest-first */
|
||||||
|
snapshot(): L2Snapshot[] {
|
||||||
|
if (this.count === 0) return [];
|
||||||
|
const start = this.count < this.capacity ? 0 : this.writeIdx;
|
||||||
|
const result: L2Snapshot[] = [];
|
||||||
|
for (let i = 0; i < this.count; i++) {
|
||||||
|
result.push(this.buffer[(start + i) % this.capacity]);
|
||||||
|
}
|
||||||
|
return result;
|
||||||
|
}
|
||||||
|
|
||||||
|
get size(): number {
|
||||||
|
return this.count;
|
||||||
|
}
|
||||||
|
|
||||||
|
clear(): void {
|
||||||
|
this.writeIdx = 0;
|
||||||
|
this.count = 0;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* Convert L2 snapshots → surface matrix.
|
||||||
|
*
|
||||||
|
* X-axis: distance from mid in basis points
|
||||||
|
* Y-axis: snapshot index (0 = oldest, N = newest)
|
||||||
|
* Z-axis: resting size at that bps level
|
||||||
|
*
|
||||||
|
* @param snapshots Ring buffer contents (oldest first)
|
||||||
|
* @param bpsRange ±bps from mid to cover (default: 50)
|
||||||
|
* @param resolution Number of bps steps (default: 100)
|
||||||
|
*/
|
||||||
|
export function l2SnapshotsToSurface(
|
||||||
|
snapshots: L2Snapshot[],
|
||||||
|
bpsRange: number = 50,
|
||||||
|
resolution: number = 100,
|
||||||
|
): SurfaceData {
|
||||||
|
const bpsStep = (bpsRange * 2) / resolution;
|
||||||
|
const x: number[] = [];
|
||||||
|
for (let i = 0; i < resolution; i++) {
|
||||||
|
x.push(-bpsRange + i * bpsStep);
|
||||||
|
}
|
||||||
|
|
||||||
|
const y = snapshots.map((_, i) => i);
|
||||||
|
const z: number[][] = [];
|
||||||
|
|
||||||
|
for (const snap of snapshots) {
|
||||||
|
const row = new Array(resolution).fill(0);
|
||||||
|
const mid = snap.mid;
|
||||||
|
|
||||||
|
// Fill bid side (negative bps)
|
||||||
|
for (const bid of snap.bids) {
|
||||||
|
const bps = ((bid.px - mid) / mid) * 10000;
|
||||||
|
const idx = Math.round((bps + bpsRange) / bpsStep);
|
||||||
|
if (idx >= 0 && idx < resolution) {
|
||||||
|
row[idx] += bid.sz;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Fill ask side (positive bps)
|
||||||
|
for (const ask of snap.asks) {
|
||||||
|
const bps = ((ask.px - mid) / mid) * 10000;
|
||||||
|
const idx = Math.round((bps + bpsRange) / bpsStep);
|
||||||
|
if (idx >= 0 && idx < resolution) {
|
||||||
|
row[idx] += ask.sz;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
z.push(row);
|
||||||
|
}
|
||||||
|
|
||||||
|
return { x, y, z };
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* Compute imbalance metrics from latest snapshot.
|
||||||
|
*/
|
||||||
|
export function computeImbalance(snapshot: L2Snapshot): ImbalanceMetrics {
|
||||||
|
const bidVolume = snapshot.bids.reduce((sum, b) => sum + b.sz * b.px, 0);
|
||||||
|
const askVolume = snapshot.asks.reduce((sum, a) => sum + a.sz * a.px, 0);
|
||||||
|
const total = bidVolume + askVolume;
|
||||||
|
const imbalance = total > 0 ? (bidVolume - askVolume) / total : 0;
|
||||||
|
|
||||||
|
// Wall detection: find side with largest concentration
|
||||||
|
const maxBidSz = Math.max(...snapshot.bids.map(b => b.sz), 0);
|
||||||
|
const maxAskSz = Math.max(...snapshot.asks.map(a => a.sz), 0);
|
||||||
|
const wallSide: "bid" | "ask" | "none" =
|
||||||
|
maxBidSz > maxAskSz * 1.3 ? "bid" :
|
||||||
|
maxAskSz > maxBidSz * 1.3 ? "ask" : "none";
|
||||||
|
const wallStrength = Math.max(maxBidSz, maxAskSz);
|
||||||
|
|
||||||
|
return {
|
||||||
|
imbalance: Math.round(imbalance * 10000) / 10000,
|
||||||
|
bidVolume: Math.round(bidVolume * 100) / 100,
|
||||||
|
askVolume: Math.round(askVolume * 100) / 100,
|
||||||
|
wallSide,
|
||||||
|
wallStrength: Math.round(wallStrength * 10000) / 10000,
|
||||||
|
snapshots: 1,
|
||||||
|
};
|
||||||
|
}
|
||||||
|
|
||||||
|
/**
|
||||||
|
* Generate synthetic L2 data for testing/development.
|
||||||
|
* Produces realistic order-book shapes with price movement.
|
||||||
|
*/
|
||||||
|
export function generateSyntheticSnapshots(
|
||||||
|
count: number = 60,
|
||||||
|
basePrice: number = 97800,
|
||||||
|
): L2Snapshot[] {
|
||||||
|
const snapshots: L2Snapshot[] = [];
|
||||||
|
let price = basePrice;
|
||||||
|
let trend = 0;
|
||||||
|
|
||||||
|
for (let i = 0; i < count; i++) {
|
||||||
|
// Random walk with mean reversion
|
||||||
|
trend += (Math.random() - 0.5) * 2;
|
||||||
|
trend *= 0.95; // decay
|
||||||
|
price += trend * 50;
|
||||||
|
price += (basePrice - price) * 0.01; // mean reversion
|
||||||
|
|
||||||
|
const mid = price;
|
||||||
|
const bids: L2Level[] = [];
|
||||||
|
const asks: L2Level[] = [];
|
||||||
|
|
||||||
|
// Generate 20 levels on each side
|
||||||
|
for (let j = 0; j < 20; j++) {
|
||||||
|
const bps = (j + 1) * 2.5;
|
||||||
|
const bidPx = mid * (1 - bps / 10000);
|
||||||
|
const askPx = mid * (1 + bps / 10000);
|
||||||
|
|
||||||
|
// Realistic size distribution: thicker near mid, thinner further out
|
||||||
|
// Add wall at certain levels
|
||||||
|
const baseSize = Math.exp(-j * 0.15) * 5;
|
||||||
|
const bidWall = j === 3 ? Math.random() * 15 : 0; // occasional wall at 10bps
|
||||||
|
const askWall = j === 5 ? Math.random() * 12 : 0;
|
||||||
|
const noise = (Math.random() - 0.5) * 2;
|
||||||
|
|
||||||
|
bids.push({ px: Math.round(bidPx * 10) / 10, sz: Math.max(0.01, baseSize + bidWall + noise) });
|
||||||
|
asks.push({ px: Math.round(askPx * 10) / 10, sz: Math.max(0.01, baseSize + askWall + noise) });
|
||||||
|
}
|
||||||
|
|
||||||
|
snapshots.push({ bids, asks, mid, ts: Date.now() + i * 1000 });
|
||||||
|
}
|
||||||
|
|
||||||
|
return snapshots;
|
||||||
|
}
|
||||||
Reference in New Issue
Block a user