Fix order pricing: 1-tick advantage at best bid/ask + process guard
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
+42
-22
@@ -34,11 +34,11 @@ STRATEGIES = {
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"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."},
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"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."},
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"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."},
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"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."},
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"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."},
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"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."},
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"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."},
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"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."},
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"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."},
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"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."},
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"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."},
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"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."},
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"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."}
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}
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@@ -241,6 +241,16 @@ def compute_signals():
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# Trim signals
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for s in STRATEGIES.values(): s["signals"] = s["signals"][-20:]
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# ═══════════════════════ Process Guard ═══════════════════════
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import fcntl
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_lock_fd = open("/tmp/ftdt-live.lock", "w")
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try:
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fcntl.flock(_lock_fd, fcntl.LOCK_EX | fcntl.LOCK_NB)
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except IOError:
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print("Another live node is already running. Exiting.", flush=True)
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sys.exit(0)
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# ═══════════════════════ Main ═══════════════════════
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async def main():
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@@ -471,23 +481,37 @@ async def main():
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quote_ask = selection["quote_ask"]
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r_price = selection.get("reservation", mid)
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# Quote selected sides at best bid/ask
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# Quote at best bid/ask with 1-tick advantage to capture spread
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# BUY at best bid + 1 tick = maker that likely fills
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# SELL at best ask - 1 tick = maker that likely fills
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# Spread captured per round-trip: spread - 2 ticks - 0.04% fees
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if quote_bid:
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bid_px = int(bid) + 1 # 1 tick above best bid
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cid_bid = ClientOrderId(str(UUID4()))
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try:
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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)
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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)
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active_cloids[name + "_bid"] = str(cid_bid)
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active_cloids_times[name + "_bid"] = tick
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active_cloids_px[name + "_bid"] = bid
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active_cloids_px[name + "_bid"] = bid_px
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except Exception as e:
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if "cross" in str(e).lower() or "matched" in str(e):
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# Fallback: aggressive market-crossing IOC
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try:
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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)
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except Exception:
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pass
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if quote_ask:
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ask_px = int(ask) - 1 # 1 tick below best ask
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cid_ask = ClientOrderId(str(UUID4()))
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try:
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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)
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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)
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active_cloids[name + "_ask"] = str(cid_ask)
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active_cloids_times[name + "_ask"] = tick
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active_cloids_px[name + "_ask"] = ask
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active_cloids_px[name + "_ask"] = ask_px
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except Exception as e:
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if "cross" in str(e).lower() or "matched" in str(e):
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try:
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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)
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except Exception:
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pass
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@@ -508,12 +532,11 @@ async def main():
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pass
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continue
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# For signal-driven strategies: use aggressive offset
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# For signal-driven strategies: quote at best bid/ask with 1-tick edge
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if signal:
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side = OrderSide.SELL if "SELL" in str(signal).upper() else OrderSide.BUY
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# Aggressive: 0.03% inside the spread for higher fill probability
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offset = int(mid * 0.0003)
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px_level = ask - offset if side == OrderSide.SELL else bid + offset
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# BUY at best bid + 1 tick (maker), SELL at best ask - 1 tick (maker)
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px_level = (int(bid) + 1) if side == OrderSide.BUY else (int(ask) - 1)
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px_level = max(px_level, 1)
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else:
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# No signal/default: skip (don't random-trade)
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@@ -524,22 +547,19 @@ async def main():
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cid = ClientOrderId(str(UUID4()))
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try:
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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)
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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)
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if tick % 60 == 0:
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side_str = "BUY" if side == OrderSide.BUY else "SELL"
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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))})")
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log.info(f"[{name[:4]:4s}] {side_str} {cfg['size']} @ ${px_level:,} (best bid {int(bid)} ask {int(ask)})")
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active_cloids[name] = str(cid)
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active_cloids_times[name] = tick
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active_cloids_px[name] = px_level
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except Exception as e:
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err = str(e)
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if "would have immediately matched" in err or "cross" in err.lower():
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cid2 = ClientOrderId(str(UUID4()))
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if "cross" in str(e).lower() or "matched" in str(e):
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# Fallback: aggressive IOC at market-crossing price for guaranteed fill
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market_px = int(ask) if side == OrderSide.BUY else int(bid)
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try:
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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)
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active_cloids[name] = str(cid2)
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active_cloids_times[name] = tick
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active_cloids_px[name] = px_level
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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)
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except Exception:
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pass
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