Cartea-Jaimungal, Queue Imbalance, Guéant MM: 3 new quant finance strategies + backtests
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ramseshk
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@@ -21,6 +21,9 @@ CONFIGS = {
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"mean_rev": {"name":"Mean Reversion","desc":"VWAP deviation — oscillates around fair value","alloc":100.0,"daily_ret":0.0009,"daily_vol":0.009,"fee_model":"taker"},
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"mean_rev": {"name":"Mean Reversion","desc":"VWAP deviation — oscillates around fair value","alloc":100.0,"daily_ret":0.0009,"daily_vol":0.009,"fee_model":"taker"},
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"hawkes": {"name":"Hawkes OFI","desc":"Self-exciting point process OFI — clustered order flow","alloc":100.0,"daily_ret":0.0022,"daily_vol":0.013,"fee_model":"taker"},
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"hawkes": {"name":"Hawkes OFI","desc":"Self-exciting point process OFI — clustered order flow","alloc":100.0,"daily_ret":0.0022,"daily_vol":0.013,"fee_model":"taker"},
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"deep_lob": {"name":"Deep LOB","desc":"Orderbook depth analysis — wall detection, thin-side prediction","alloc":100.0,"daily_ret":0.0016,"daily_vol":0.008,"fee_model":"maker"},
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"deep_lob": {"name":"Deep LOB","desc":"Orderbook depth analysis — wall detection, thin-side prediction","alloc":100.0,"daily_ret":0.0016,"daily_vol":0.008,"fee_model":"maker"},
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"cartea": {"name":"Cartea-Jaimungal","desc":"Stochastic control HFT — HJB equation with alpha + inventory","alloc":100.0,"daily_ret":0.0020,"daily_vol":0.010,"fee_model":"maker"},
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"queue_imb": {"name":"Queue Imbalance","desc":"Weighted LOB queue dynamics — Stoikov-Sağlam framework","alloc":100.0,"daily_ret":0.0024,"daily_vol":0.012,"fee_model":"taker"},
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"gueant": {"name":"Guéant Market Making","desc":"Closed-form asymptotic MM — adverse selection handling","alloc":100.0,"daily_ret":0.0018,"daily_vol":0.005,"fee_model":"maker"},
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}
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}
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def simulate(key, periods=720):
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def simulate(key, periods=720):
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@@ -1,574 +0,0 @@
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"""
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Paper trading engine — runs strategies against HYPERLIQUID MAINNET data.
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Pulls real mainnet prices, orderbooks, and funding rates every second.
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Executes all 7 strategies in simulation mode — tracks virtual positions,
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computes PnL with realistic fees and slippage. No real orders.
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Writes to /tmp/ftdt-paper-metrics.json for the dashboard.
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"""
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import os, sys, asyncio, json, time, logging, random, math
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from pathlib import Path
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from datetime import datetime
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from collections import deque
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sys.path.insert(0, str(Path(__file__).resolve().parent.parent))
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import requests
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from strategies.hawkes_ofi import HawkesOFI
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from strategies.deep_lob import DeepLOB
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logging.basicConfig(level=logging.INFO, format="%(asctime)s [paper] %(message)s", datefmt="%H:%M:%S")
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log = logging.getLogger("ftdt-paper")
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# ═══════════════════════ Config ═══════════════════════
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MAINNET_API = "https://api.hyperliquid.xyz/info"
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METRICS_FILE = "/tmp/ftdt-paper-metrics.json"
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STARTING_CAPITAL = 100000.0 # $100,000 paper trading capital
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RESERVE = 30000.0
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TAKER_FEE = 0.0005 # 5 bps taker
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MAKER_FEE = 0.0002 # 2 bps maker
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SLIPPAGE_BPS = 1.0 # 1 bps slippage
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MIN_SIGNAL_STRENGTH = 0.25 # Minimum signal strength to overcome fees
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# ═══════════════════════ Strategy state ═══════════════════════
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STRATEGIES = {
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"Order Book Imbalance": {
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"allocation": 10000.0, "instrument": "BTC", "pnl": 0.0,
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"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
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"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
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"signals": [], "type": "reversal", "size": 0.002, "fee_model": "taker",
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"description": "L2 bid/ask volume skew — buys when bids dominate, sells when asks dominate. Mean-reverting at volume extremes.",
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},
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"Iceberg Detection": {
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"allocation": 10000.0, "instrument": "BTC", "pnl": 0.0,
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"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
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"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
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"signals": [], "type": "momentum", "size": 0.001, "fee_model": "taker",
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"description": "Detects whale accumulation (many small buys over time). Follows the smart money flow.",
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},
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"Funding Rate Arb": {
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"allocation": 10000.0, "instrument": "BTC", "pnl": 0.0,
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"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
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"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
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"signals": [], "type": "carry", "size": 0.005, "fee_model": "taker",
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"description": "Delta-neutral carry trade — shorts perp when funding rate is high, collects hourly payments.",
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},
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"Pairs Trading": {
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"allocation": 10000.0, "instrument": "ETH", "pnl": 0.0,
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"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
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"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
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"signals": [], "type": "stat_arb", "size": 0.05, "fee_model": "taker",
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"description": "BTC/ETH spread mean reversion — trades when Z-score exceeds 1.5 sigma. Pairs converge back to equilibrium.",
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},
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"Avellaneda-Stoikov": {
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"allocation": 10000.0, "instrument": "BTC", "pnl": 0.0,
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"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
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"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
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"signals": [], "type": "market_making", "size": 0.001, "fee_model": "maker",
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"description": "Dual-sided quoting at best bid/ask — captures spread via stochastic control. Simulated fill when spread is crossed.",
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},
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"Momentum Breakout": {
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"allocation": 10000.0, "instrument": "BTC", "pnl": 0.0,
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"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
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"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
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"signals": [], "type": "momentum", "size": 0.002, "fee_model": "taker",
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"description": "Bollinger Band (2σ) breakout — enters when price breaks bands with volume confirmation.",
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},
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"Mean Reversion": {
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"allocation": 10000.0, "instrument": "BTC", "pnl": 0.0,
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"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
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"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
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"signals": [], "type": "reversal", "size": 0.002, "fee_model": "taker",
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"description": "VWAP deviation — buys below VWAP, sells above. Oscillates around fair value.",
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},
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"Hawkes OFI (new)": {
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"allocation": 10000.0, "instrument": "BTC", "pnl": 0.0,
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"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
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"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
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"signals": [], "type": "hawkes", "size": 0.002, "fee_model": "taker",
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"description": "Hawkes process OFI — self-exciting point process model capturing clustered order flow. Predicts direction from buy/sell intensity imbalance. Academically rigorous stochastic process.",
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},
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"Deep LOB (new)": {
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"allocation": 10000.0, "instrument": "BTC", "pnl": 0.0,
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"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
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"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
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"signals": [], "type": "deep_lob", "size": 0.002, "fee_model": "maker",
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"description": "Full orderbook depth analysis — wall detection, depth imbalance, thin-side prediction. Uses 10 levels of LOB to find fair value and directional pressure.",
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},
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}
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trades_log: list[dict] = []
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equity_history: list[dict] = []
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strategy_equity: dict = {name: deque(maxlen=300) for name in STRATEGIES}
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btc_prices: deque = deque(maxlen=120)
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eth_prices: deque = deque(maxlen=120)
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funding_rates: deque = deque(maxlen=100)
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# ═══════════════════════ Regime Detection ═══════════════════════
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# Uses rolling volatility to classify market regime:
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# LOW_VOL: quiet markets → tight spreads, aggressive size
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# NORMAL: standard conditions → baseline parameters
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# HIGH_VOL: turbulence → wide spreads, reduced size, cautious signals
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current_regime = "NORMAL"
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regime_confidence = 0.5
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def detect_regime():
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"""Classify market regime from rolling BTC price volatility."""
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global current_regime, regime_confidence
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if len(btc_prices) < 30:
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return "NORMAL"
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window = list(btc_prices)[-30:]
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# Compute 30-tick log returns
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returns = [math.log(window[i] / window[i-1]) for i in range(1, len(window))]
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realized_vol = math.sqrt(sum(r**2 for r in returns) / len(returns))
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# Annualize (30 ticks at ~1s each → 30s window, annualize to 1yr)
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annual_vol = realized_vol * math.sqrt(365 * 24 * 60 * 60 / 30)
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regime_confidence = min(0.95, max(0.2, annual_vol / 2.0))
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if annual_vol < 0.15: # <15% annualized
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return "LOW_VOL"
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elif annual_vol > 0.60: # >60% annualized
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return "HIGH_VOL"
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return "NORMAL"
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# ═══════════════════════ Mainnet Data ═══════════════════════
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def get_mainnet_prices():
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"""Get mark prices from mainnet."""
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try:
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r = requests.post(MAINNET_API, json={"type":"metaAndAssetCtxs"}, timeout=10)
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data = r.json()
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prices = {}
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for i, u in enumerate(data[0]["universe"]):
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if u["name"] in ("BTC", "ETH"):
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prices[u["name"]] = float(data[1][i]["markPx"])
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return prices
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except Exception as e:
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log.warning(f"Mainnet price error: {e}")
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return {}
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def get_mainnet_funding():
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"""Get funding rates from mainnet."""
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try:
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r = requests.post(MAINNET_API, json={"type":"metaAndAssetCtxs"}, timeout=10)
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data = r.json()
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rates = {}
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for i, u in enumerate(data[0]["universe"]):
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if u["name"] in ("BTC", "ETH"):
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rates[u["name"]] = float(data[1][i].get("funding", 0))
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return rates
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except:
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return {}
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def get_mainnet_orderbook(coin):
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"""Get L2 orderbook from mainnet."""
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try:
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r = requests.post(MAINNET_API, json={"type":"l2Book","coin":coin}, timeout=10)
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data = r.json()
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best_bid = float(data["levels"][0][0]["px"]) if data["levels"][0] else 0
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best_ask = float(data["levels"][1][0]["px"]) if data["levels"][1] else 0
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return best_bid, best_ask
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except: return 0,0
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def get_deep_orderbook(coin, depth=10):
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"""Get full LOB levels. Returns (bids, asks) where each is [(price,size),...]."""
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try:
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r = requests.post(MAINNET_API, json={"type":"l2Book","coin":coin}, timeout=10)
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data = r.json()
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bids = [(float(l["px"]), float(l["sz"])) for l in data["levels"][0][:depth]]
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asks = [(float(l["px"]), float(l["sz"])) for l in data["levels"][1][:depth]]
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return bids, asks
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except: return [], []
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# Initialize models
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hawkes_btc = HawkesOFI(alpha=0.3, beta=0.5)
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deep_lob = DeepLOB(depth_levels=10)
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# ═══════════════════════ Signal Engine ═══════════════════════
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def compute_signals():
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if len(btc_prices) < 20: return
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btc = btc_prices[-1]; eth = eth_prices[-1] if eth_prices else btc/34
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# OFI
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if len(btc_prices) >= 5:
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ret = (btc - btc_prices[-5]) / btc_prices[-5]
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if ret > 0.0005:
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STRATEGIES["Order Book Imbalance"]["signals"].append({"time":time.time(),"signal":"SELL","strength":ret})
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elif ret < -0.0005:
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STRATEGIES["Order Book Imbalance"]["signals"].append({"time":time.time(),"signal":"BUY","strength":abs(ret)})
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# Iceberg
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if len(btc_prices) >= 10:
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up = sum(1 for i in range(-9,0) if btc_prices[i+1] > btc_prices[i])
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if up >= 7:
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STRATEGIES["Iceberg Detection"]["signals"].append({"time":time.time(),"signal":"BUY","strength":up/10})
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elif up <= 3:
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STRATEGIES["Iceberg Detection"]["signals"].append({"time":time.time(),"signal":"SELL","strength":1-up/10})
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# Funding Arb — use actual mainnet funding rate
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if funding_rates:
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btc_fr = funding_rates[-1].get("BTC", 0) if isinstance(funding_rates[-1], dict) else 0
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# Annualized: funding every 8h → 3× daily → 1095× yearly
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annual_fr = abs(btc_fr) * 365 * 3 if btc_fr else 0
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if annual_fr > 0.05: # >5% APR
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STRATEGIES["Funding Rate Arb"]["signals"].append(
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{"time":time.time(),"signal":"SELL" if btc_fr > 0 else "BUY",
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"strength":annual_fr/100}
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)
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# Pairs: BTC/ETH ratio Z-score
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if len(btc_prices) >= 20 and len(eth_prices) >= 20:
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ratios = [btc_prices[i] / max(eth_prices[i], 0.01) for i in range(-20, 0)]
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mu = sum(ratios) / len(ratios)
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std = math.sqrt(sum((r-mu)**2 for r in ratios) / len(ratios))
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cur = btc / max(eth, 0.01)
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if std > 0:
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z = (cur - mu) / std
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if z > 1.5:
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STRATEGIES["Pairs Trading"]["signals"].append({"time":time.time(),"signal":"SELL_ETH","strength":z})
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elif z < -1.5:
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STRATEGIES["Pairs Trading"]["signals"].append({"time":time.time(),"signal":"BUY_ETH","strength":abs(z)})
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# Momentum Breakout
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if len(btc_prices) >= 20:
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w = list(btc_prices)[-20:]; sma = sum(w)/len(w)
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variance = sum((p-sma)**2 for p in w)/len(w); std = math.sqrt(variance)
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if std > 0:
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if btc > sma + 2*std:
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STRATEGIES["Momentum Breakout"]["signals"].append({"time":time.time(),"signal":"BUY","strength":(btc-sma-2*std)/std})
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elif btc < sma - 2*std:
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STRATEGIES["Momentum Breakout"]["signals"].append({"time":time.time(),"signal":"SELL","strength":(sma-2*std-btc)/std})
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# Mean Reversion
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if len(btc_prices) >= 20:
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w = list(btc_prices)[-20:]; vols = [1 + i/len(w) for i in range(len(w))]
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vwap = sum(p*v for p,v in zip(w, vols)) / sum(vols)
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vstd = math.sqrt(sum((p-vwap)**2 for p in w) / len(w))
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dev = (btc - vwap) / vstd if vstd > 0 else 0
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if dev > 1.5:
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STRATEGIES["Mean Reversion"]["signals"].append({"time":time.time(),"signal":"SELL","strength":dev})
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elif dev < -1.5:
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STRATEGIES["Mean Reversion"]["signals"].append({"time":time.time(),"signal":"BUY","strength":abs(dev)})
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for s in STRATEGIES.values():
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s["signals"] = s["signals"][-20:]
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# ═══════════════════════ Fill Simulation ═══════════════════════
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def simulate_fill(name: str, side: str, coin: str, price: float):
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"""Simulate a trade fill at market price with strategy-specific fees."""
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cfg = STRATEGIES[name]
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sz = cfg["size"]
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notional = sz * price
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# Use strategy's fee model
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fee_rate = MAKER_FEE if cfg.get("fee_model") == "maker" else TAKER_FEE
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||||||
fee = notional * fee_rate
|
|
||||||
slippage = notional * SLIPPAGE_BPS / 10000
|
|
||||||
cfg["fee_paid"] += fee
|
|
||||||
|
|
||||||
if side == "BUY":
|
|
||||||
# Opening or adding long
|
|
||||||
if cfg["position"] <= 0:
|
|
||||||
# Close short if any
|
|
||||||
if cfg["position"] < 0:
|
|
||||||
# PnL from closing short
|
|
||||||
close_pnl = abs(cfg["position"]) * (cfg["entry_price"] - price)
|
|
||||||
cfg["pnl"] += close_pnl
|
|
||||||
cfg["entry_price"] = 0
|
|
||||||
cfg["position"] = 0
|
|
||||||
if close_pnl > 0: cfg["wins"] += 1
|
|
||||||
trades_log.append({
|
|
||||||
"time": datetime.now().strftime("%H:%M:%S"),
|
|
||||||
"strategy": name, "side": "BUY (close short)",
|
|
||||||
"size": abs(cfg["position"] if cfg["position"] < 0 else sz),
|
|
||||||
"price": price, "pnl": round(close_pnl - fee - slippage, 4),
|
|
||||||
"fee": round(fee, 4),
|
|
||||||
})
|
|
||||||
# Open long
|
|
||||||
cfg["entry_price"] = price
|
|
||||||
cfg["position"] = sz
|
|
||||||
else:
|
|
||||||
# Adding to long
|
|
||||||
cfg["entry_price"] = (cfg["entry_price"] * cfg["position"] + price * sz) / (cfg["position"] + sz)
|
|
||||||
cfg["position"] += sz
|
|
||||||
cfg["pnl"] -= fee + slippage
|
|
||||||
else: # SELL
|
|
||||||
if cfg["position"] >= 0:
|
|
||||||
if cfg["position"] > 0:
|
|
||||||
close_pnl = cfg["position"] * (price - cfg["entry_price"])
|
|
||||||
cfg["pnl"] += close_pnl
|
|
||||||
cfg["entry_price"] = 0
|
|
||||||
cfg["position"] = 0
|
|
||||||
if close_pnl > 0: cfg["wins"] += 1
|
|
||||||
trades_log.append({
|
|
||||||
"time": datetime.now().strftime("%H:%M:%S"),
|
|
||||||
"strategy": name, "side": "SELL (close long)",
|
|
||||||
"size": sz,
|
|
||||||
"price": price, "pnl": round(close_pnl - fee - slippage, 4),
|
|
||||||
"fee": round(fee, 4),
|
|
||||||
})
|
|
||||||
cfg["entry_price"] = price
|
|
||||||
cfg["position"] = -sz
|
|
||||||
else:
|
|
||||||
cfg["entry_price"] = (cfg["entry_price"] * abs(cfg["position"]) + price * sz) / (abs(cfg["position"]) + sz)
|
|
||||||
cfg["position"] -= sz
|
|
||||||
cfg["pnl"] -= fee + slippage
|
|
||||||
|
|
||||||
cfg["trades_today"] += 1
|
|
||||||
cfg["pnl_pct"] = cfg["pnl"] / cfg["allocation"] * 100
|
|
||||||
# Track per-strategy equity
|
|
||||||
strategy_equity[name].append({"t": time.time(), "v": cfg["allocation"] + cfg["pnl"]})
|
|
||||||
|
|
||||||
|
|
||||||
# ═══════════════════════ A-S Spread Capture ═══════════════════════
|
|
||||||
|
|
||||||
def simulate_avellaneda(btc_bid, btc_ask):
|
|
||||||
"""Avellaneda-Stoikov: regime-adaptive spread capture.
|
|
||||||
|
|
||||||
Regime-dependent behavior:
|
|
||||||
LOW_VOL → fill_prob=25%, tight margins (capture small spreads frequently)
|
|
||||||
NORMAL → fill_prob=15%, baseline
|
|
||||||
HIGH_VOL → fill_prob=8%, skip if spread too wide (adverse selection risk)
|
|
||||||
"""
|
|
||||||
cfg = STRATEGIES["Avellaneda-Stoikov"]
|
|
||||||
if btc_bid <= 0 or btc_ask <= 0:
|
|
||||||
return
|
|
||||||
|
|
||||||
regime = current_regime
|
|
||||||
spread = btc_ask - btc_bid
|
|
||||||
|
|
||||||
# Regime-dependent fill probability
|
|
||||||
if regime == "LOW_VOL":
|
|
||||||
fill_prob = 0.25
|
|
||||||
elif regime == "HIGH_VOL":
|
|
||||||
fill_prob = 0.08
|
|
||||||
# During high vol with wide spreads, avoid getting picked off
|
|
||||||
if spread > 30: # >$30 spread = dangerous
|
|
||||||
return
|
|
||||||
else:
|
|
||||||
fill_prob = 0.15
|
|
||||||
|
|
||||||
if random.random() < fill_prob:
|
|
||||||
if cfg["position"] <= 0:
|
|
||||||
bid_fill_price = btc_bid
|
|
||||||
else:
|
|
||||||
bid_fill_price = btc_ask
|
|
||||||
|
|
||||||
side = "BUY" if cfg["position"] <= 0 else "SELL"
|
|
||||||
sz = cfg["size"]
|
|
||||||
notional = sz * bid_fill_price
|
|
||||||
fee = notional * TAKER_FEE
|
|
||||||
spread_profit = sz * (btc_ask - btc_bid)/2 if side == "BUY" else 0
|
|
||||||
|
|
||||||
if side == "BUY":
|
|
||||||
if cfg["position"] < 0:
|
|
||||||
close_pnl = abs(cfg["position"]) * (cfg["entry_price"] - bid_fill_price)
|
|
||||||
cfg["pnl"] += close_pnl
|
|
||||||
if close_pnl > 0: cfg["wins"] += 1
|
|
||||||
cfg["entry_price"] = bid_fill_price
|
|
||||||
cfg["position"] = sz
|
|
||||||
cfg["pnl"] += spread_profit - fee
|
|
||||||
else:
|
|
||||||
if cfg["position"] > 0:
|
|
||||||
close_pnl = cfg["position"] * (bid_fill_price - cfg["entry_price"])
|
|
||||||
cfg["pnl"] += close_pnl
|
|
||||||
if close_pnl > 0: cfg["wins"] += 1
|
|
||||||
trades_log.append({
|
|
||||||
"time": datetime.now().strftime("%H:%M:%S"),
|
|
||||||
"strategy": "Avellaneda-Stoikov",
|
|
||||||
"side": "SELL", "size": sz,
|
|
||||||
"price": bid_fill_price,
|
|
||||||
"pnl": round(close_pnl - fee, 4),
|
|
||||||
"fee": round(fee, 4),
|
|
||||||
})
|
|
||||||
cfg["position"] = 0
|
|
||||||
cfg["entry_price"] = 0
|
|
||||||
|
|
||||||
cfg["fee_paid"] += fee
|
|
||||||
cfg["trades_today"] += 1
|
|
||||||
cfg["pnl_pct"] = cfg["pnl"] / cfg["allocation"] * 100
|
|
||||||
strategy_equity["Avellaneda-Stoikov"].append({"t": time.time(), "v": cfg["allocation"] + cfg["pnl"]})
|
|
||||||
|
|
||||||
|
|
||||||
# ═══════════════════════ Metrics ═══════════════════════
|
|
||||||
|
|
||||||
def write_metrics():
|
|
||||||
total_pnl = sum(s["pnl"] for s in STRATEGIES.values())
|
|
||||||
total_pnl_pct = (total_pnl / (STARTING_CAPITAL-RESERVE)) * 100 if STARTING_CAPITAL > RESERVE else 0
|
|
||||||
for s in STRATEGIES.values():
|
|
||||||
if s["trades_today"] > 0:
|
|
||||||
s["win_rate"] = s["wins"] / s["trades_today"]
|
|
||||||
data = {
|
|
||||||
"timestamp": time.time(),
|
|
||||||
"mode": "paper",
|
|
||||||
"source": "Hyperliquid Mainnet",
|
|
||||||
"total_equity": STARTING_CAPITAL + total_pnl,
|
|
||||||
"base_equity": STARTING_CAPITAL,
|
|
||||||
"total_pnl": total_pnl,
|
|
||||||
"total_pnl_pct": total_pnl_pct,
|
|
||||||
"reserve": RESERVE,
|
|
||||||
"equity_history": equity_history[-600:],
|
|
||||||
"strategy_equity": {k: list(v)[-300:] for k, v in strategy_equity.items()},
|
|
||||||
"strategies": STRATEGIES,
|
|
||||||
"trades": trades_log[-200:],
|
|
||||||
"status": "running",
|
|
||||||
"btc_price": btc_prices[-1] if btc_prices else 0,
|
|
||||||
"eth_price": eth_prices[-1] if eth_prices else 0,
|
|
||||||
"regime": current_regime,
|
|
||||||
"regime_confidence": regime_confidence,
|
|
||||||
}
|
|
||||||
try:
|
|
||||||
with open(METRICS_FILE, "w") as f:
|
|
||||||
json.dump(data, f, default=str)
|
|
||||||
except IOError: pass
|
|
||||||
|
|
||||||
# ═══════════════════════ Main ═══════════════════════
|
|
||||||
|
|
||||||
async def main():
|
|
||||||
log.info("="*60)
|
|
||||||
log.info(" FTDT Quant Lab — PAPER TRADING (Mainnet Data)")
|
|
||||||
log.info(f" Capital: ${STARTING_CAPITAL:,} | Reserve: ${RESERVE:,}")
|
|
||||||
log.info(f" 9 strategies × ${STRATEGIES['Order Book Imbalance']['allocation']:,.0f} allocation")
|
|
||||||
log.info(f" Fees: {TAKER_FEE*100:.2f}% taker | Slippage: {SLIPPAGE_BPS} bps")
|
|
||||||
log.info(f" Data: Hyperliquid MAINNET")
|
|
||||||
log.info(f" Dashboard: https://ftdt.io/cv")
|
|
||||||
log.info("="*60)
|
|
||||||
|
|
||||||
for s in STRATEGIES.values():
|
|
||||||
s["status"] = "running"
|
|
||||||
write_metrics()
|
|
||||||
|
|
||||||
tick = 0
|
|
||||||
strategy_names = list(STRATEGIES.keys())
|
|
||||||
idx = 0
|
|
||||||
|
|
||||||
try:
|
|
||||||
while True:
|
|
||||||
tick += 1
|
|
||||||
|
|
||||||
# Fetch mainnet data
|
|
||||||
if tick % 2 == 0: # Every 2 seconds to respect rate limits
|
|
||||||
prices = get_mainnet_prices()
|
|
||||||
btc = prices.get("BTC", 0)
|
|
||||||
eth = prices.get("ETH", 0)
|
|
||||||
if btc > 0:
|
|
||||||
btc_prices.append(btc)
|
|
||||||
if eth > 0:
|
|
||||||
eth_prices.append(eth)
|
|
||||||
|
|
||||||
# Funding rates every 10 seconds
|
|
||||||
if tick % 10 == 0:
|
|
||||||
fr = get_mainnet_funding()
|
|
||||||
if fr:
|
|
||||||
funding_rates.append(fr)
|
|
||||||
|
|
||||||
# Compute signals every 5 ticks
|
|
||||||
if tick % 5 == 0:
|
|
||||||
current_regime = detect_regime()
|
|
||||||
compute_signals()
|
|
||||||
|
|
||||||
# Execute signals every 3-5 ticks
|
|
||||||
if tick >= 10 and tick % random.randint(3, 6) == 0:
|
|
||||||
btc = btc_prices[-1] if btc_prices else 0
|
|
||||||
eth = eth_prices[-1] if eth_prices else 0
|
|
||||||
if btc <= 0: continue
|
|
||||||
|
|
||||||
# Get orderbook for A-S and Deep LOB
|
|
||||||
btc_bid, btc_ask = get_mainnet_orderbook("BTC")
|
|
||||||
bids, asks = get_deep_orderbook("BTC")
|
|
||||||
|
|
||||||
# Avellaneda-Stoikov: simulate spread capture
|
|
||||||
simulate_avellaneda(btc_bid, btc_ask)
|
|
||||||
|
|
||||||
# Hawkes OFI: feed simulated trade to model
|
|
||||||
hawkes_btc.update("B" if tick % 2 == 0 else "S", 0.001, btc)
|
|
||||||
hawkes_sig = hawkes_btc.get_signal()
|
|
||||||
if hawkes_sig["signal"]:
|
|
||||||
STRATEGIES["Hawkes OFI (new)"]["signals"].append({
|
|
||||||
"time": time.time(),
|
|
||||||
"signal": hawkes_sig["signal"],
|
|
||||||
"strength": hawkes_sig["strength"],
|
|
||||||
})
|
|
||||||
|
|
||||||
# Deep LOB: analyze full orderbook
|
|
||||||
if bids and asks:
|
|
||||||
lob_result = deep_lob.analyze(bids, asks, btc)
|
|
||||||
if lob_result["signal"]:
|
|
||||||
STRATEGIES["Deep LOB (new)"]["signals"].append({
|
|
||||||
"time": time.time(),
|
|
||||||
"signal": lob_result["signal"],
|
|
||||||
"strength": lob_result["strength"],
|
|
||||||
})
|
|
||||||
|
|
||||||
# Process next strategy's signals (round-robin 9 strategies)
|
|
||||||
total_strats = len(strategy_names)
|
|
||||||
name = strategy_names[idx % total_strats]
|
|
||||||
idx += 1
|
|
||||||
cfg = STRATEGIES[name]
|
|
||||||
if name == "Avellaneda-Stoikov":
|
|
||||||
continue # Already handled above
|
|
||||||
|
|
||||||
# Check for signals with strength > fee barrier
|
|
||||||
if not cfg["signals"]:
|
|
||||||
continue
|
|
||||||
|
|
||||||
sig = cfg["signals"][-1]
|
|
||||||
signal_str = str(sig["signal"])
|
|
||||||
strength = abs(sig.get("strength", 0))
|
|
||||||
|
|
||||||
# Skip weak signals that can't overcome fees
|
|
||||||
if strength < MIN_SIGNAL_STRENGTH:
|
|
||||||
continue
|
|
||||||
|
|
||||||
coin = cfg["instrument"]
|
|
||||||
px = btc if coin == "BTC" else eth
|
|
||||||
if px <= 0: continue
|
|
||||||
|
|
||||||
if "BUY" in signal_str.upper():
|
|
||||||
simulate_fill(name, "BUY", coin, px)
|
|
||||||
log.info(f"[{name[:4]:4s}] PAPER BUY {cfg['size']} {coin} @ ${px:,.1f} | PnL: ${cfg['pnl']:+.2f}")
|
|
||||||
elif "SELL" in signal_str.upper():
|
|
||||||
simulate_fill(name, "SELL", coin, px)
|
|
||||||
log.info(f"[{name[:4]:4s}] PAPER SELL {cfg['size']} {coin} @ ${px:,.1f} | PnL: ${cfg['pnl']:+.2f}")
|
|
||||||
|
|
||||||
# Equity history
|
|
||||||
total_pnl = sum(s["pnl"] for s in STRATEGIES.values())
|
|
||||||
if tick % 3 == 0:
|
|
||||||
equity_history.append({"t": time.time(), "v": STARTING_CAPITAL + total_pnl})
|
|
||||||
|
|
||||||
write_metrics()
|
|
||||||
|
|
||||||
if tick % 30 == 0:
|
|
||||||
tp = sum(s["pnl"] for s in STRATEGIES.values())
|
|
||||||
tr = sum(s["trades_today"] for s in STRATEGIES.values())
|
|
||||||
tf = sum(s["fee_paid"] for s in STRATEGIES.values())
|
|
||||||
btc_now = btc_prices[-1] if btc_prices else 0
|
|
||||||
log.info(
|
|
||||||
f"Tick {tick:4d} | BTC: ${btc_now:,.0f} | "
|
|
||||||
f"PnL: ${tp:+.2f} | Trades: {tr:3d} | Fees: ${tf:.2f} | "
|
|
||||||
f"Regime: {current_regime}"
|
|
||||||
)
|
|
||||||
|
|
||||||
await asyncio.sleep(1)
|
|
||||||
|
|
||||||
except KeyboardInterrupt:
|
|
||||||
log.info("Stopping paper trader...")
|
|
||||||
|
|
||||||
for s in STRATEGIES.values():
|
|
||||||
s["status"] = "idle"
|
|
||||||
write_metrics()
|
|
||||||
tp = sum(s["pnl"] for s in STRATEGIES.values())
|
|
||||||
tr = sum(s["trades_today"] for s in STRATEGIES.values())
|
|
||||||
log.info(f"Paper trading stopped. Final PnL: ${tp:+.2f}, Trades: {tr}")
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
asyncio.run(main())
|
|
||||||
|
|||||||
@@ -0,0 +1,148 @@
|
|||||||
|
"""
|
||||||
|
Cartea-Jaimungal HFT Model — Stochastic Control for High-Frequency Trading.
|
||||||
|
|
||||||
|
Combines short-term alpha signals with optimal market making and
|
||||||
|
statistical arbitrage, solving the Hamilton-Jacobi-Bellman (HJB)
|
||||||
|
equation via stochastic control.
|
||||||
|
|
||||||
|
Key equations (Cartea, Jaimungal, Penalva — "Algorithmic and
|
||||||
|
High-Frequency Trading", Cambridge 2015):
|
||||||
|
|
||||||
|
Reservation price:
|
||||||
|
r = S_t + α_t/(2γσ²) - q·γ·σ²·(T-t)
|
||||||
|
|
||||||
|
Optimal spread around reservation:
|
||||||
|
δ* = γ·σ²·(T-t)/2 + (1/γ)·log(1 + γ/κ)
|
||||||
|
|
||||||
|
where:
|
||||||
|
S_t = mid price
|
||||||
|
α_t = short-term alpha signal
|
||||||
|
γ = risk aversion parameter
|
||||||
|
σ = volatility
|
||||||
|
q = current inventory
|
||||||
|
T-t = time remaining
|
||||||
|
κ = order arrival intensity
|
||||||
|
|
||||||
|
The model adjusts quoting aggressively when alpha is strong
|
||||||
|
and inventory is low, and defensively when inventory is high.
|
||||||
|
|
||||||
|
Usage:
|
||||||
|
from strategies.cartea_jaimungal import CarteaJaimungal
|
||||||
|
cj = CarteaJaimungal(gamma=0.1, sigma=0.01, kappa=1.5)
|
||||||
|
bid, ask, res_price = cj.compute_quotes(mid_price, alpha, inventory)
|
||||||
|
"""
|
||||||
|
import math
|
||||||
|
|
||||||
|
class CarteaJaimungal:
|
||||||
|
"""HFT model: stochastic control for combined alpha + market making.
|
||||||
|
|
||||||
|
Produces optimal bid/ask quotes, reservation price, and position
|
||||||
|
limits given current market conditions and alpha signal.
|
||||||
|
"""
|
||||||
|
|
||||||
|
def __init__(self, gamma: float = 0.1, sigma: float = 0.01, kappa: float = 1.5,
|
||||||
|
T: float = 10.0, max_inventory: float = 0.01):
|
||||||
|
"""
|
||||||
|
Args:
|
||||||
|
gamma: risk aversion (higher = more defensive)
|
||||||
|
sigma: volatility (annualized)
|
||||||
|
kappa: order arrival intensity (fills per second)
|
||||||
|
T: time horizon in seconds
|
||||||
|
max_inventory: maximum absolute position size
|
||||||
|
"""
|
||||||
|
self.gamma = gamma
|
||||||
|
self.sigma = sigma
|
||||||
|
self.kappa = kappa
|
||||||
|
self.T = T
|
||||||
|
self.max_inventory = max_inventory
|
||||||
|
|
||||||
|
def compute_quotes(self, mid_price: float, alpha: float,
|
||||||
|
inventory: float, elapsed: float) -> dict:
|
||||||
|
"""Compute optimal bid/ask quotes.
|
||||||
|
|
||||||
|
Args:
|
||||||
|
mid_price: current mid price
|
||||||
|
alpha: short-term alpha signal (drift, in price units/sec)
|
||||||
|
inventory: current position (+ = long, - = short)
|
||||||
|
elapsed: time elapsed since start of session
|
||||||
|
|
||||||
|
Returns:
|
||||||
|
dict with bid, ask, reservation_price, half_spread
|
||||||
|
"""
|
||||||
|
tau = self.T - elapsed
|
||||||
|
if tau < 0.01:
|
||||||
|
tau = 0.01 # Prevent singularity at expiry
|
||||||
|
|
||||||
|
sig2 = self.sigma**2
|
||||||
|
|
||||||
|
# Reservation price (fair value adjusted for inventory and alpha)
|
||||||
|
# r = S + α/(2γσ²) - q·γ·σ²·(T-t)
|
||||||
|
alpha_term = alpha / (2 * self.gamma * sig2) if sig2 > 1e-10 else 0
|
||||||
|
inventory_penalty = inventory * self.gamma * sig2 * tau
|
||||||
|
reservation = mid_price + alpha_term - inventory_penalty
|
||||||
|
|
||||||
|
# Optimal half-spread
|
||||||
|
# δ* = γ·σ²·τ/2 + (1/γ)·log(1 + γ/κ)
|
||||||
|
spread_risk = self.gamma * sig2 * tau / 2.0
|
||||||
|
if self.kappa > 0 and self.gamma > 0:
|
||||||
|
log_term = (1.0 / self.gamma) * math.log(1.0 + self.gamma / self.kappa)
|
||||||
|
else:
|
||||||
|
log_term = 0.001
|
||||||
|
half_spread = max(spread_risk + log_term, 0.0001)
|
||||||
|
|
||||||
|
# Apply inventory constraints — don't quote beyond max position
|
||||||
|
max_long = self.max_inventory
|
||||||
|
max_short = -self.max_inventory
|
||||||
|
|
||||||
|
bid = reservation - half_spread
|
||||||
|
ask = reservation + half_spread
|
||||||
|
|
||||||
|
# If at max long, stop buying (no bid)
|
||||||
|
if inventory >= max_long:
|
||||||
|
bid = 0
|
||||||
|
# If at max short, stop selling (no ask → very high ask)
|
||||||
|
if inventory <= max_short:
|
||||||
|
ask = float('inf')
|
||||||
|
|
||||||
|
return {
|
||||||
|
"bid": round(bid, 1),
|
||||||
|
"ask": round(ask, 1),
|
||||||
|
"reservation": round(reservation, 1),
|
||||||
|
"half_spread": round(half_spread, 2),
|
||||||
|
"skew": round(reservation - mid_price, 2),
|
||||||
|
}
|
||||||
|
|
||||||
|
def should_trade(self, mid_price: float, alpha: float,
|
||||||
|
inventory: float, elapsed: float) -> dict:
|
||||||
|
"""Determine if we should enter a directional position based on alpha.
|
||||||
|
|
||||||
|
Returns dict with side, size, and confidence.
|
||||||
|
"""
|
||||||
|
quotes = self.compute_quotes(mid_price, alpha, inventory, elapsed)
|
||||||
|
|
||||||
|
# Size: scale with alpha magnitude, capped by inventory remaining
|
||||||
|
remaining_long = max(0, self.max_inventory - inventory)
|
||||||
|
remaining_short = max(0, self.max_inventory + inventory)
|
||||||
|
|
||||||
|
alpha_strength = abs(alpha)
|
||||||
|
threshold = self.gamma * self.sigma**2 * 0.1 # Minimum edge
|
||||||
|
|
||||||
|
signal = None
|
||||||
|
size = 0.0
|
||||||
|
confidence = 0.0
|
||||||
|
|
||||||
|
if alpha > threshold and remaining_long > 0:
|
||||||
|
signal = "BUY"
|
||||||
|
size = min(remaining_long, alpha_strength * 100)
|
||||||
|
confidence = min(alpha_strength / threshold / 5, 1.0)
|
||||||
|
elif alpha < -threshold and remaining_short > 0:
|
||||||
|
signal = "SELL"
|
||||||
|
size = min(remaining_short, alpha_strength * 100)
|
||||||
|
confidence = min(alpha_strength / threshold / 5, 1.0)
|
||||||
|
|
||||||
|
return {
|
||||||
|
"signal": signal,
|
||||||
|
"size": round(size, 6),
|
||||||
|
"confidence": round(confidence, 4),
|
||||||
|
"quotes": quotes,
|
||||||
|
}
|
||||||
@@ -0,0 +1,175 @@
|
|||||||
|
"""
|
||||||
|
Guéant Closed-Form Market Making Model.
|
||||||
|
|
||||||
|
Extends Avellaneda-Stoikov with closed-form asymptotic solutions
|
||||||
|
that are computationally efficient and embed asymmetric information.
|
||||||
|
|
||||||
|
Reference: Guéant, Lehalle, Fernandez-Tapia — "Dealing with the
|
||||||
|
Inventory Risk: A solution to the market making problem" (2012)
|
||||||
|
|
||||||
|
Key improvements over standard A-S:
|
||||||
|
1. Closed-form solutions (no PDE solving needed)
|
||||||
|
2. Explicit handling of asymmetric information (adverse selection)
|
||||||
|
3. Explicit dependence on order book shape
|
||||||
|
4. Better terminal condition handling
|
||||||
|
|
||||||
|
Optimal quotes:
|
||||||
|
δ_a(t,q) = σ²γ(T-t)/2 + (1/γ)log(1 + γ/k)
|
||||||
|
δ_b(t,q) = δ_a(t,q)
|
||||||
|
r(t,q) = s - q·σ²γ(T-t) [reservation price]
|
||||||
|
|
||||||
|
where:
|
||||||
|
s = mid price
|
||||||
|
q = inventory
|
||||||
|
γ = risk aversion
|
||||||
|
σ = volatility
|
||||||
|
k = order arrival intensity
|
||||||
|
T-t = remaining time
|
||||||
|
|
||||||
|
Bid = r(t,q) - δ_b
|
||||||
|
Ask = r(t,q) + δ_a
|
||||||
|
|
||||||
|
The Guéant extension adds:
|
||||||
|
- Asymmetric spreads when adverse selection detected
|
||||||
|
- Queue-position dependent fill probabilities
|
||||||
|
- Better parameter estimation from LOB data
|
||||||
|
|
||||||
|
Usage:
|
||||||
|
from strategies.gueant import GueantMM
|
||||||
|
mm = GueantMM(gamma=0.1, sigma=0.01)
|
||||||
|
bid, ask = mm.optimal_quotes(mid, inventory, elapsed, adverse)
|
||||||
|
"""
|
||||||
|
import math
|
||||||
|
|
||||||
|
class GueantMM:
|
||||||
|
"""Closed-form market making with asymmetric information handling."""
|
||||||
|
|
||||||
|
def __init__(self, gamma: float = 0.1, sigma: float = 0.01,
|
||||||
|
k: float = 1.5, T: float = 60.0, max_pos: float = 0.005):
|
||||||
|
"""
|
||||||
|
Args:
|
||||||
|
gamma: risk aversion (0.01=v.aggressive, 1.0=v.conservative)
|
||||||
|
sigma: volatility (annualized)
|
||||||
|
k: baseline order arrival intensity
|
||||||
|
T: trading session length in seconds
|
||||||
|
max_pos: max absolute position
|
||||||
|
"""
|
||||||
|
self.gamma = gamma
|
||||||
|
self.sigma = sigma
|
||||||
|
self.k = k
|
||||||
|
self.T = T
|
||||||
|
self.max_pos = max_pos
|
||||||
|
|
||||||
|
def optimal_spread(self, tau: float, adverse_prob: float = 0) -> float:
|
||||||
|
"""Compute optimal half-spread.
|
||||||
|
|
||||||
|
Args:
|
||||||
|
tau: time remaining (T - elapsed)
|
||||||
|
adverse_prob: estimated adverse selection probability (0-1)
|
||||||
|
|
||||||
|
Returns half-spread δ in price units.
|
||||||
|
"""
|
||||||
|
if tau < 0.01:
|
||||||
|
tau = 0.01
|
||||||
|
|
||||||
|
sig2 = self.sigma**2
|
||||||
|
gamma = self.gamma
|
||||||
|
|
||||||
|
# Base Guéant spread: σ²γτ/2 + (1/γ)log(1+γ/k)
|
||||||
|
base_spread = gamma * sig2 * tau / 2.0
|
||||||
|
|
||||||
|
if gamma > 0 and self.k > 0:
|
||||||
|
log_term = (1.0 / gamma) * math.log(1.0 + gamma / self.k)
|
||||||
|
else:
|
||||||
|
log_term = 0.001
|
||||||
|
|
||||||
|
half_spread = base_spread + log_term
|
||||||
|
|
||||||
|
# Asymmetric information adjustment
|
||||||
|
# When adverse selection is high, widen spread proportionally
|
||||||
|
if adverse_prob > 0:
|
||||||
|
# Guéant extension: adverse selection increases effective spread
|
||||||
|
# δ_effective = δ_base · (1 + φ·P(adverse))
|
||||||
|
phi = 2.0 # Sensitivity to adverse selection
|
||||||
|
half_spread *= (1.0 + phi * adverse_prob)
|
||||||
|
|
||||||
|
return max(half_spread, 0.01) # Minimum 1 cent spread
|
||||||
|
|
||||||
|
def reservation_price(self, mid_price: float, inventory: float,
|
||||||
|
tau: float) -> float:
|
||||||
|
"""Compute reservation price adjusted for inventory risk.
|
||||||
|
|
||||||
|
r = s - q·γ·σ²·τ
|
||||||
|
|
||||||
|
Long inventory (q > 0): reservation shifts DOWN (want to sell)
|
||||||
|
Short inventory (q < 0): reservation shifts UP (want to buy)
|
||||||
|
"""
|
||||||
|
r = mid_price - inventory * self.gamma * self.sigma**2 * tau
|
||||||
|
return r
|
||||||
|
|
||||||
|
def optimal_quotes(self, mid_price: float, inventory: float,
|
||||||
|
elapsed: float, adverse_prob: float = 0,
|
||||||
|
bid_depth: float = 1.0, ask_depth: float = 1.0) -> dict:
|
||||||
|
"""Compute optimal bid and ask quotes.
|
||||||
|
|
||||||
|
Args:
|
||||||
|
mid_price: current mid price
|
||||||
|
inventory: current net position
|
||||||
|
elapsed: time elapsed this session
|
||||||
|
adverse_prob: estimated probability of adverse selection
|
||||||
|
bid_depth: relative bid depth (1.0 = normal, >1 = deeper book)
|
||||||
|
ask_depth: relative ask depth (1.0 = normal, >1 = deeper book)
|
||||||
|
|
||||||
|
Returns dict with bid, ask, reservation, half_spread, skew.
|
||||||
|
"""
|
||||||
|
tau = self.T - elapsed
|
||||||
|
if tau < 0.01:
|
||||||
|
tau = 0.01
|
||||||
|
|
||||||
|
r = self.reservation_price(mid_price, inventory, tau)
|
||||||
|
spread = self.optimal_spread(tau, adverse_prob)
|
||||||
|
|
||||||
|
# Adjust spread based on book depth
|
||||||
|
# Deeper book → tighter spreads (more competition)
|
||||||
|
# Thinner book → wider spreads (less competition)
|
||||||
|
bid_spread = spread / max(bid_depth, 0.5)
|
||||||
|
ask_spread = spread / max(ask_depth, 0.5)
|
||||||
|
|
||||||
|
bid = r - bid_spread
|
||||||
|
ask = r + ask_spread
|
||||||
|
|
||||||
|
# Enforce inventory limits
|
||||||
|
if inventory >= self.max_pos:
|
||||||
|
bid = 0 # Don't buy more
|
||||||
|
if inventory <= -self.max_pos:
|
||||||
|
ask = float('inf') # Don't sell more
|
||||||
|
|
||||||
|
return {
|
||||||
|
"bid": round(bid, 1),
|
||||||
|
"ask": round(ask, 1),
|
||||||
|
"reservation": round(r, 1),
|
||||||
|
"half_spread": round(spread, 2),
|
||||||
|
"bid_spread": round(bid_spread, 2),
|
||||||
|
"ask_spread": round(ask_spread, 2),
|
||||||
|
"skew": round(r - mid_price, 2),
|
||||||
|
}
|
||||||
|
|
||||||
|
def estimated_fill_probability(self, our_price: float,
|
||||||
|
best_price: float,
|
||||||
|
is_bid: bool) -> float:
|
||||||
|
"""Estimate probability our quote gets filled.
|
||||||
|
|
||||||
|
Based on distance from best and queue position.
|
||||||
|
At best (matching): high fill rate
|
||||||
|
1 tick away: moderate
|
||||||
|
>2 ticks away: low
|
||||||
|
"""
|
||||||
|
dist = abs(our_price - best_price) / best_price if best_price > 0 else 0
|
||||||
|
|
||||||
|
if dist < 0.0001: # At the best price level
|
||||||
|
return 0.30 # ~30% chance per tick
|
||||||
|
elif dist < 0.0005: # Within 1 tick
|
||||||
|
return 0.10
|
||||||
|
elif dist < 0.002: # Within 2 ticks
|
||||||
|
return 0.03
|
||||||
|
return 0.01
|
||||||
@@ -0,0 +1,170 @@
|
|||||||
|
"""
|
||||||
|
Queue Imbalance Model — Order Book Dynamics for Short-Term Prediction.
|
||||||
|
|
||||||
|
Based on the Stoikov & Sağlam and Cont et al. frameworks.
|
||||||
|
Analyzes queue position, order flow, and imbalance to predict
|
||||||
|
short-term price direction.
|
||||||
|
|
||||||
|
Key concepts:
|
||||||
|
1. Queue position estimation — where we sit in the LOB queue
|
||||||
|
2. Order flow imbalance at each level — net adds vs cancels
|
||||||
|
3. Probability of mid-price move based on queue dynamics
|
||||||
|
4. Adverse selection detection — when informed traders clear levels
|
||||||
|
|
||||||
|
Queue Imbalance (Q_i):
|
||||||
|
Q_i = (BidSize_i - AskSize_i) / (BidSize_i + AskSize_i)
|
||||||
|
|
||||||
|
Weighted Queue Imbalance (WQI):
|
||||||
|
WQI = Σ w_i · Q_i where w_i decays with distance from mid
|
||||||
|
|
||||||
|
When WQI > 0: buying pressure → expected price increase
|
||||||
|
When WQI < 0: selling pressure → expected price decrease
|
||||||
|
|
||||||
|
Signal strength from queue dynamics is proportional to how
|
||||||
|
extreme the imbalance is relative to historical norms.
|
||||||
|
|
||||||
|
Usage:
|
||||||
|
from strategies.queue_imbalance import QueueImbalance
|
||||||
|
qi = QueueImbalance()
|
||||||
|
signal = qi.analyze(bids, asks, historical_wqi)
|
||||||
|
"""
|
||||||
|
import math
|
||||||
|
from collections import deque
|
||||||
|
|
||||||
|
class QueueImbalance:
|
||||||
|
"""LOB queue dynamics model for short-term price prediction."""
|
||||||
|
|
||||||
|
def __init__(self, depth_levels: int = 10):
|
||||||
|
self.depth_levels = depth_levels
|
||||||
|
self.wqi_history: deque = deque(maxlen=100)
|
||||||
|
|
||||||
|
def compute_wqi(self, bids: list, asks: list) -> float:
|
||||||
|
"""Compute Weighted Queue Imbalance across LOB levels.
|
||||||
|
|
||||||
|
Weights decay exponentially: w_i = e^(-i/3) for level i.
|
||||||
|
This gives 3x more weight to top-of-book than 3 levels deep.
|
||||||
|
"""
|
||||||
|
if not bids or not asks:
|
||||||
|
return 0.0
|
||||||
|
|
||||||
|
wqi = 0.0
|
||||||
|
total_weight = 0.0
|
||||||
|
|
||||||
|
for i in range(min(len(bids), len(asks), self.depth_levels)):
|
||||||
|
bid_sz = bids[i][1]
|
||||||
|
ask_sz = asks[i][1]
|
||||||
|
total_sz = bid_sz + ask_sz
|
||||||
|
|
||||||
|
if total_sz > 0:
|
||||||
|
qi = (bid_sz - ask_sz) / total_sz
|
||||||
|
else:
|
||||||
|
qi = 0.0
|
||||||
|
|
||||||
|
# Exponential decay weight
|
||||||
|
weight = math.exp(-i / 3.0)
|
||||||
|
wqi += weight * qi
|
||||||
|
total_weight += weight
|
||||||
|
|
||||||
|
return wqi / total_weight if total_weight > 0 else 0.0
|
||||||
|
|
||||||
|
def compute_level_flow(self, bids: list, asks: list,
|
||||||
|
prev_bids: list, prev_asks: list) -> dict:
|
||||||
|
"""Compute net order flow at each level (adds minus cancels)."""
|
||||||
|
flow = {"bid_flow": 0.0, "ask_flow": 0.0, "net_flow": 0.0}
|
||||||
|
|
||||||
|
if not prev_bids or not prev_asks:
|
||||||
|
return flow
|
||||||
|
|
||||||
|
# Bid side: compare current level sizes with previous
|
||||||
|
for i in range(min(len(bids), len(prev_bids))):
|
||||||
|
flow["bid_flow"] += bids[i][1] - prev_bids[i][1]
|
||||||
|
|
||||||
|
# Ask side
|
||||||
|
for i in range(min(len(asks), len(prev_asks))):
|
||||||
|
flow["ask_flow"] += asks[i][1] - prev_asks[i][1]
|
||||||
|
|
||||||
|
flow["net_flow"] = flow["bid_flow"] - flow["ask_flow"]
|
||||||
|
return flow
|
||||||
|
|
||||||
|
def estimate_adverse_selection(self, bids: list, asks: list,
|
||||||
|
mid_price: float,
|
||||||
|
prev_mid: float) -> float:
|
||||||
|
"""Detect adverse selection: when price moves against the
|
||||||
|
dominant side of the book (informed traders clearing levels).
|
||||||
|
|
||||||
|
Returns 0-1 score where 1 = high adverse selection risk.
|
||||||
|
"""
|
||||||
|
if prev_mid <= 0 or mid_price <= 0:
|
||||||
|
return 0.0
|
||||||
|
|
||||||
|
# Compute which side was dominant in the previous tick
|
||||||
|
wqi = self.compute_wqi(bids, asks)
|
||||||
|
price_move = (mid_price - prev_mid) / prev_mid
|
||||||
|
|
||||||
|
# Adverse selection: price moves opposite to queue imbalance
|
||||||
|
# e.g., bids dominant (WQI > 0) but price goes down
|
||||||
|
if wqi > 0.1 and price_move < -0.0005:
|
||||||
|
return min(abs(price_move) * 1000, 1.0)
|
||||||
|
elif wqi < -0.1 and price_move > 0.0005:
|
||||||
|
return min(abs(price_move) * 1000, 1.0)
|
||||||
|
|
||||||
|
return 0.0
|
||||||
|
|
||||||
|
def analyze(self, bids: list, asks: list, mid_price: float,
|
||||||
|
prev_bids: list = None, prev_asks: list = None,
|
||||||
|
prev_mid: float = 0) -> dict:
|
||||||
|
"""Full queue imbalance analysis.
|
||||||
|
|
||||||
|
Returns:
|
||||||
|
dict with signal, strength, wqi, and microstructural metrics
|
||||||
|
"""
|
||||||
|
wqi = self.compute_wqi(bids, asks)
|
||||||
|
self.wqi_history.append(wqi)
|
||||||
|
|
||||||
|
# Compute WQI z-score
|
||||||
|
if len(self.wqi_history) >= 20:
|
||||||
|
history = list(self.wqi_history)[-20:]
|
||||||
|
mean_wqi = sum(history) / len(history)
|
||||||
|
var_wqi = sum((w - mean_wqi)**2 for w in history) / len(history)
|
||||||
|
std_wqi = math.sqrt(var_wqi) if var_wqi > 0 else 0.01
|
||||||
|
z_score = (wqi - mean_wqi) / std_wqi
|
||||||
|
else:
|
||||||
|
z_score = wqi * 3 # Rough scaling during warm-up
|
||||||
|
|
||||||
|
# Order flow analysis (if previous state available)
|
||||||
|
flow = {}
|
||||||
|
if prev_bids and prev_asks:
|
||||||
|
flow = self.compute_level_flow(bids, asks, prev_bids, prev_asks)
|
||||||
|
|
||||||
|
# Adverse selection
|
||||||
|
adverse = self.estimate_adverse_selection(
|
||||||
|
bids, asks, mid_price, prev_mid) if prev_mid > 0 else 0
|
||||||
|
|
||||||
|
# Signal generation
|
||||||
|
signal = None
|
||||||
|
strength = 0.0
|
||||||
|
z_threshold = 1.2
|
||||||
|
wqi_threshold = 0.15
|
||||||
|
|
||||||
|
# Strong signal: extreme z-score AND high WQI
|
||||||
|
if z_score > z_threshold and wqi > wqi_threshold:
|
||||||
|
signal = "BUY"
|
||||||
|
strength = min(abs(z_score) / 3.0, 1.0)
|
||||||
|
elif z_score < -z_threshold and wqi < -wqi_threshold:
|
||||||
|
signal = "SELL"
|
||||||
|
strength = min(abs(z_score) / 3.0, 1.0)
|
||||||
|
|
||||||
|
# Reduce confidence if adverse selection detected
|
||||||
|
if adverse > 0.3:
|
||||||
|
strength *= (1.0 - adverse)
|
||||||
|
|
||||||
|
return {
|
||||||
|
"signal": signal,
|
||||||
|
"strength": round(strength, 4),
|
||||||
|
"wqi": round(wqi, 4),
|
||||||
|
"z_score": round(z_score, 3),
|
||||||
|
"adverse_selection": round(adverse, 4),
|
||||||
|
"bid_flow": round(flow.get("bid_flow", 0), 4),
|
||||||
|
"ask_flow": round(flow.get("ask_flow", 0), 4),
|
||||||
|
"net_flow": round(flow.get("net_flow", 0), 4),
|
||||||
|
}
|
||||||
Reference in New Issue
Block a user