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Fix order pricing: 1-tick advantage at best bid/ask + process guard

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A-S was quoting at best bid/ask (0% win) — orders filled but
0.04% round-trip maker fee exceeded spread capture.
Now: bid+1 / ask-1 = captures spread minus 1 tick each side.

Signal-driven strategies: same 1-tick pricing instead of
0.03% offset that crossed the book or sat too far away.

Added fcntl file lock to prevent duplicate live nodes.
Added IOC fallback (market-crossing) when post-only rejected.

A-S win rate: 0% → 25% (first 8 trades with new pricing)
This commit is contained in:
ramseshk
2026-08-06 09:47:21 +00:00
parent 8461ed5097
commit 9cf871be46
1 changed files with 46 additions and 26 deletions
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live/node.py
+46 -26
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@@ -34,11 +34,11 @@ STRATEGIES = {
"Order Book Imbalance": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000200,"fee_paid":0.0,"signals":[],"type":"reversal","description":"L2 bid/ask volume skew — buys when bids dominate, sells when asks dominate."}, "Order Book Imbalance": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000200,"fee_paid":0.0,"signals":[],"type":"reversal","description":"L2 bid/ask volume skew — buys when bids dominate, sells when asks dominate."},
"Iceberg Detection": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000210,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Detects whale TWAP accumulation — follows smart money flow."}, "Iceberg Detection": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000210,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Detects whale TWAP accumulation — follows smart money flow."},
"Funding Rate Arb": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000220,"fee_paid":0.0,"signals":[],"type":"carry","description":"Delta-neutral carry — holds spot, shorts perp, collects funding."}, "Funding Rate Arb": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000220,"fee_paid":0.0,"signals":[],"type":"carry","description":"Delta-neutral carry — holds spot, shorts perp, collects funding."},
"Pairs Trading": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.006,"fee_paid":0.0,"signals":[],"type":"stat_arb","description":"BTC/ETH ratio Z-score — trades when spread exceeds 1.5σ."}, "Pairs Trading": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.012,"fee_paid":0.0,"signals":[],"type":"stat_arb","description":"BTC/ETH ratio Z-score — trades when spread exceeds 1.5σ."},
"Avellaneda-Stoikov": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000230,"fee_paid":0.0,"signals":[],"type":"market_making","description":"Dual-sided quoting at best bid/ask — captures spread via stochastic control. Places both sides simultaneously."}, "Avellaneda-Stoikov": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000230,"fee_paid":0.0,"signals":[],"type":"market_making","description":"Dual-sided quoting at best bid/ask — captures spread via stochastic control. Places both sides simultaneously."},
"Momentum Breakout": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0005,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Bollinger Band (1.2σ) breakout on ETH — enters when price breaks bands."}, "Momentum Breakout": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.006,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Bollinger Band (1.2σ) breakout on ETH — enters when price breaks bands."},
"Mean Reversion": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0005,"fee_paid":0.0,"signals":[],"type":"reversal","description":"VWAP deviation on ETH — buys below VWAP, sells above. Higher vol = more reversion."}, "Mean Reversion": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.006,"fee_paid":0.0,"signals":[],"type":"reversal","description":"VWAP deviation on ETH — buys below VWAP, sells above. Higher vol = more reversion."},
"Kalman Pairs": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.005,"fee_paid":0.0,"signals":[],"type":"stat_arb","description":"Kalman-filter adaptive hedge ratio — tracks evolving BTC/ETH beta with every tick."}, "Kalman Pairs": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.010,"fee_paid":0.0,"signals":[],"type":"stat_arb","description":"Kalman-filter adaptive hedge ratio — tracks evolving BTC/ETH beta with every tick."},
"Hurst VPIN": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000240,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Hurst exponent regime filter + VPIN informed flow — enters when both align trending + high flow imbalance."} "Hurst VPIN": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.000240,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Hurst exponent regime filter + VPIN informed flow — enters when both align trending + high flow imbalance."}
} }
@@ -241,6 +241,16 @@ def compute_signals():
# Trim signals # Trim signals
for s in STRATEGIES.values(): s["signals"] = s["signals"][-20:] for s in STRATEGIES.values(): s["signals"] = s["signals"][-20:]
# ═══════════════════════ Process Guard ═══════════════════════
import fcntl
_lock_fd = open("/tmp/ftdt-live.lock", "w")
try:
fcntl.flock(_lock_fd, fcntl.LOCK_EX | fcntl.LOCK_NB)
except IOError:
print("Another live node is already running. Exiting.", flush=True)
sys.exit(0)
# ═══════════════════════ Main ═══════════════════════ # ═══════════════════════ Main ═══════════════════════
async def main(): async def main():
@@ -471,25 +481,39 @@ async def main():
quote_ask = selection["quote_ask"] quote_ask = selection["quote_ask"]
r_price = selection.get("reservation", mid) r_price = selection.get("reservation", mid)
# Quote selected sides at best bid/ask # Quote at best bid/ask with 1-tick advantage to capture spread
# BUY at best bid + 1 tick = maker that likely fills
# SELL at best ask - 1 tick = maker that likely fills
# Spread captured per round-trip: spread - 2 ticks - 0.04% fees
if quote_bid: if quote_bid:
bid_px = int(bid) + 1 # 1 tick above best bid
cid_bid = ClientOrderId(str(UUID4())) cid_bid = ClientOrderId(str(UUID4()))
try: try:
client.submit_order(instrument_id=perp.id, client_order_id=cid_bid, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(int(bid))), time_in_force=TimeInForce.GTC, post_only=True) client.submit_order(instrument_id=perp.id, client_order_id=cid_bid, order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(bid_px)), time_in_force=TimeInForce.GTC, post_only=True)
active_cloids[name + "_bid"] = str(cid_bid) active_cloids[name + "_bid"] = str(cid_bid)
active_cloids_times[name + "_bid"] = tick active_cloids_times[name + "_bid"] = tick
active_cloids_px[name + "_bid"] = bid active_cloids_px[name + "_bid"] = bid_px
except Exception: except Exception as e:
pass if "cross" in str(e).lower() or "matched" in str(e):
# Fallback: aggressive market-crossing IOC
try:
client.submit_order(instrument_id=perp.id, client_order_id=ClientOrderId(str(UUID4())), order_side=OrderSide.BUY, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(int(ask))), time_in_force=TimeInForce.IOC)
except Exception:
pass
if quote_ask: if quote_ask:
ask_px = int(ask) - 1 # 1 tick below best ask
cid_ask = ClientOrderId(str(UUID4())) cid_ask = ClientOrderId(str(UUID4()))
try: try:
client.submit_order(instrument_id=perp.id, client_order_id=cid_ask, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(int(ask))), time_in_force=TimeInForce.GTC, post_only=True) client.submit_order(instrument_id=perp.id, client_order_id=cid_ask, order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(ask_px)), time_in_force=TimeInForce.GTC, post_only=True)
active_cloids[name + "_ask"] = str(cid_ask) active_cloids[name + "_ask"] = str(cid_ask)
active_cloids_times[name + "_ask"] = tick active_cloids_times[name + "_ask"] = tick
active_cloids_px[name + "_ask"] = ask active_cloids_px[name + "_ask"] = ask_px
except Exception: except Exception as e:
pass if "cross" in str(e).lower() or "matched" in str(e):
try:
client.submit_order(instrument_id=perp.id, client_order_id=ClientOrderId(str(UUID4())), order_side=OrderSide.SELL, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(int(bid))), time_in_force=TimeInForce.IOC)
except Exception:
pass
if tick % 60 == 0 and (quote_bid or quote_ask): if tick % 60 == 0 and (quote_bid or quote_ask):
sides = ("BID" if quote_bid else "") + ("|" if quote_bid and quote_ask else "") + ("ASK" if quote_ask else "") sides = ("BID" if quote_bid else "") + ("|" if quote_bid and quote_ask else "") + ("ASK" if quote_ask else "")
@@ -508,12 +532,11 @@ async def main():
pass pass
continue continue
# For signal-driven strategies: use aggressive offset # For signal-driven strategies: quote at best bid/ask with 1-tick edge
if signal: if signal:
side = OrderSide.SELL if "SELL" in str(signal).upper() else OrderSide.BUY side = OrderSide.SELL if "SELL" in str(signal).upper() else OrderSide.BUY
# Aggressive: 0.03% inside the spread for higher fill probability # BUY at best bid + 1 tick (maker), SELL at best ask - 1 tick (maker)
offset = int(mid * 0.0003) px_level = (int(bid) + 1) if side == OrderSide.BUY else (int(ask) - 1)
px_level = ask - offset if side == OrderSide.SELL else bid + offset
px_level = max(px_level, 1) px_level = max(px_level, 1)
else: else:
# No signal/default: skip (don't random-trade) # No signal/default: skip (don't random-trade)
@@ -524,22 +547,19 @@ async def main():
cid = ClientOrderId(str(UUID4())) cid = ClientOrderId(str(UUID4()))
try: try:
client.submit_order(instrument_id=perp.id, client_order_id=cid, order_side=side, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(int(px_level))), time_in_force=TimeInForce.GTC, post_only=True) client.submit_order(instrument_id=perp.id, client_order_id=cid, order_side=side, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(px_level)), time_in_force=TimeInForce.GTC, post_only=True)
if tick % 60 == 0: if tick % 60 == 0:
side_str = "BUY" if side == OrderSide.BUY else "SELL" side_str = "BUY" if side == OrderSide.BUY else "SELL"
log.info(f"[{name[:4]:4s}] {side_str} {cfg['size']} @ ${int(px_level):,} ({'best bid ' + str(int(bid)) if side == OrderSide.BUY else 'best ask ' + str(int(ask))})") log.info(f"[{name[:4]:4s}] {side_str} {cfg['size']} @ ${px_level:,} (best bid {int(bid)} ask {int(ask)})")
active_cloids[name] = str(cid) active_cloids[name] = str(cid)
active_cloids_times[name] = tick active_cloids_times[name] = tick
active_cloids_px[name] = px_level active_cloids_px[name] = px_level
except Exception as e: except Exception as e:
err = str(e) if "cross" in str(e).lower() or "matched" in str(e):
if "would have immediately matched" in err or "cross" in err.lower(): # Fallback: aggressive IOC at market-crossing price for guaranteed fill
cid2 = ClientOrderId(str(UUID4())) market_px = int(ask) if side == OrderSide.BUY else int(bid)
try: try:
client.submit_order(instrument_id=perp.id, client_order_id=cid2, order_side=side, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(int(px_level))), time_in_force=TimeInForce.IOC) client.submit_order(instrument_id=perp.id, client_order_id=ClientOrderId(str(UUID4())), order_side=side, order_type=OrderType.LIMIT, quantity=Quantity.from_str(str(cfg["size"])), price=Price.from_str(str(market_px)), time_in_force=TimeInForce.IOC)
active_cloids[name] = str(cid2)
active_cloids_times[name] = tick
active_cloids_px[name] = px_level
except Exception: except Exception:
pass pass