Paper trading dashboard — 7 strategies on Hyperliquid MAINNET data
New paper trading engine (live/paper_trader.py): - Pulls real mainnet prices, orderbooks, funding rates every 2s - Runs all 7 strategies in simulation without placing orders - Simulates fills at market with realistic taker fees (0.05%) and slip (1bp) - Avellaneda-Stoikov: simulates spread capture with 15%/tick fill probability - Tracks virtual positions and PnL per strategy - $5,000 capital ($1,000 per strategy, $1,000 reserve) - Writes to /tmp/ftdt-paper-metrics.json Dashboard updated with 3 tabs: - Live Trading (Testnet) — real orders on testnet - Paper Trading (Mainnet) — simulated fills on real mainnet data - Backtesting — 30-day simulated results Server.py: added /ws/paper WebSocket endpoint, paper_clients set, paper metrics reader and broadcast loop.
This commit is contained in:
ramseshk
+35
-1
@@ -32,6 +32,7 @@ import uvicorn
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# ═══════════════════════════════════════════════════════════
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# ═══════════════════════════════════════════════════════════
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METRICS_FILE = "/tmp/ftdt-metrics.json"
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METRICS_FILE = "/tmp/ftdt-metrics.json"
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PAPER_METRICS_FILE = "/tmp/ftdt-paper-metrics.json"
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BACKTEST_DIR = "/home/debian/ftdt-quant-lab/backtests/results"
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BACKTEST_DIR = "/home/debian/ftdt-quant-lab/backtests/results"
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STATIC_DIR = Path(__file__).parent / "static"
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STATIC_DIR = Path(__file__).parent / "static"
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@@ -44,6 +45,7 @@ os.makedirs(BACKTEST_DIR, exist_ok=True)
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app = FastAPI(title="FTDT Quant Lab Dashboard")
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app = FastAPI(title="FTDT Quant Lab Dashboard")
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connected_clients: set[WebSocket] = set()
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connected_clients: set[WebSocket] = set()
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paper_clients: set[WebSocket] = set()
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loop: Optional[asyncio.AbstractEventLoop] = None
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loop: Optional[asyncio.AbstractEventLoop] = None
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@@ -76,6 +78,17 @@ def _empty_metrics() -> dict:
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}
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}
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def read_paper_metrics() -> dict:
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"""Read paper trading metrics file."""
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try:
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if os.path.exists(PAPER_METRICS_FILE):
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with open(PAPER_METRICS_FILE) as f:
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return json.load(f)
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except (json.JSONDecodeError, IOError):
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pass
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return {"status": "waiting", "mode": "paper", "strategies": {}, "trades": [], "equity_history": [], "total_pnl": 0, "total_equity": 5000}
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# ═══════════════════════════════════════════════════════════
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# ═══════════════════════════════════════════════════════════
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# Background broadcaster
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# Background broadcaster
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# ═══════════════════════════════════════════════════════════
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# ═══════════════════════════════════════════════════════════
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@@ -93,13 +106,21 @@ def broadcast_loop():
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time.sleep(1)
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time.sleep(1)
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data = read_metrics()
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data = read_metrics()
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payload = json.dumps(data, default=str)
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payload = json.dumps(data, default=str)
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for ws in list(connected_clients):
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for ws in list(connected_clients):
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if loop:
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if loop:
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asyncio.run_coroutine_threadsafe(
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asyncio.run_coroutine_threadsafe(
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broadcast_to_client(ws, payload), loop
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broadcast_to_client(ws, payload), loop
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)
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)
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# Also broadcast paper metrics
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paper_data = read_paper_metrics()
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paper_payload = json.dumps(paper_data, default=str)
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for ws in list(paper_clients):
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if loop:
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asyncio.run_coroutine_threadsafe(
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broadcast_to_client(ws, paper_payload), loop
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)
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# ═══════════════════════════════════════════════════════════
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# ═══════════════════════════════════════════════════════════
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# WebSocket
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# WebSocket
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@@ -119,6 +140,19 @@ async def websocket_endpoint(websocket: WebSocket):
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connected_clients.discard(websocket)
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connected_clients.discard(websocket)
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@app.websocket("/ws/paper")
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async def paper_websocket_endpoint(websocket: WebSocket):
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await websocket.accept()
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paper_clients.add(websocket)
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try:
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data = read_paper_metrics()
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await websocket.send_text(json.dumps(data, default=str))
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while True:
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await asyncio.sleep(30)
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except WebSocketDisconnect:
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paper_clients.discard(websocket)
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# ═══════════════════════════════════════════════════════════
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# ═══════════════════════════════════════════════════════════
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# Backtest endpoints
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# Backtest endpoints
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# ═══════════════════════════════════════════════════════════
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# ═══════════════════════════════════════════════════════════
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+91
-103
@@ -46,31 +46,27 @@
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.strat .pct{font-size:10px;color:var(--text);margin-bottom:10px;font-family:var(--mono)}
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.strat .pct{font-size:10px;color:var(--text);margin-bottom:10px;font-family:var(--mono)}
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.strat .r{display:flex;flex-wrap:wrap;gap:10px;font-size:10px;color:var(--text)}
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.strat .r{display:flex;flex-wrap:wrap;gap:10px;font-size:10px;color:var(--text)}
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.strat .r b{font-family:var(--mono);color:var(--bright)}
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.strat .r b{font-family:var(--mono);color:var(--bright)}
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/* Detail expansion */
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.strat-detail{display:none;margin-top:14px;padding-top:14px;border-top:1px solid var(--border)}
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.strat-detail{display:none;margin-top:14px;padding-top:14px;border-top:1px solid var(--border)}
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.strat.open .strat-detail{display:block}
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.strat.open .strat-detail{display:block}
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.strat-detail .desc-text{font-size:11px;color:var(--text);margin-bottom:12px;line-height:1.5}
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.strat-detail .desc-text{font-size:11px;color:var(--text);margin-bottom:12px;line-height:1.5}
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.strat-detail .mini-stats{display:grid;grid-template-columns:repeat(4,1fr);gap:8px;margin-bottom:12px}
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.strat-detail .mini-stats{display:grid;grid-template-columns:repeat(4,1fr);gap:8px;margin-bottom:12px}
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.strat-detail .mini-chart{width:100%;height:120px;margin-bottom:8px;border-radius:6px;overflow:hidden}
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.strat-detail .signal-log{font-size:9px;color:var(--text);max-height:80px;overflow-y:auto}
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.strat-detail .signal-log{font-size:9px;color:var(--text);max-height:80px;overflow-y:auto}
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.strat-detail .signal-log .sig{padding:3px 0;border-bottom:1px solid rgba(255,255,255,0.02);display:flex;justify-content:space-between}
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.strat-detail .signal-log .sig{padding:3px 0;border-bottom:1px solid rgba(255,255,255,0.02);display:flex;justify-content:space-between}
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.strat-detail .signal-log .sig.buy{color:var(--green)}.strat-detail .signal-log .sig.sell{color:var(--red)}
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.strat-detail .signal-log .sig.buy{color:var(--green)}.strat-detail .signal-log .sig.sell{color:var(--red)}
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.tbl-scroll{overflow-x:auto;-webkit-overflow-scrolling:touch}
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.tbl-scroll{overflow-x:auto;-webkit-overflow-scrolling:touch}
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table{width:100%;border-collapse:collapse;min-width:550px}
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table{width:100%;border-collapse:collapse;min-width:550px}
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th{font-size:9px;font-weight:600;color:var(--text);text-transform:uppercase;letter-spacing:0.5px;text-align:left;padding:8px 12px;border-bottom:1px solid var(--border)}
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th{font-size:9px;font-weight:600;color:var(--text);text-transform:uppercase;letter-spacing:0.5px;text-align:left;padding:8px 12px;border-bottom:1px solid var(--border)}
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td{font-family:var(--mono);font-size:11px;padding:6px 12px;border-bottom:1px solid rgba(255,255,255,0.02)}
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td{font-family:var(--mono);font-size:11px;padding:6px 12px;border-bottom:1px solid rgba(255,255,255,0.02)}
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.green{color:var(--green)}.red{color:var(--red)}
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.green{color:var(--green)}.red{color:var(--red)}
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.bt-row{display:flex;justify-content:space-between;align-items:center;padding:14px 16px;background:var(--surface);border:1px solid var(--border);border-radius:var(--radius);cursor:pointer;transition:all 0.15s;margin-bottom:6px;gap:12px;flex-wrap:wrap}
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.bt-row{display:flex;justify-content:space-between;align-items:center;padding:14px 16px;background:var(--surface);border:1px solid var(--border);border-radius:var(--radius);cursor:pointer;transition:all 0.15s;margin-bottom:6px;gap:12px;flex-wrap:wrap}
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.bt-row:hover{border-color:var(--hover);background:var(--hover)}.bt-row.sel{border-color:var(--blue)}
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.bt-row:hover{border-color:var(--hover);background:var(--hover)}.bt-row.sel{border-color:var(--blue)}
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.bt-row .n{font-weight:600;font-size:13px;color:var(--bright)}.bt-row .m{font-size:10px;color:var(--text)}
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.bt-row .n{font-weight:600;font-size:13px;color:var(--bright)}.bt-row .m{font-size:10px;color:var(--text)}
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.bt-row .k{display:flex;gap:20px;flex-shrink:0}.bt-row .k .kv{text-align:right}
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.bt-row .k{display:flex;gap:20px;flex-shrink:0}.bt-row .k .kv{text-align:right}.bt-row .k .kl{font-size:9px;color:var(--text);text-transform:uppercase}.bt-row .k .kd{font-family:var(--mono);font-size:12px;font-weight:500;color:var(--bright)}
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.bt-row .k .kl{font-size:9px;color:var(--text);text-transform:uppercase}.bt-row .k .kd{font-family:var(--mono);font-size:12px;font-weight:500;color:var(--bright)}
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.bt-detail{display:none;margin-top:12px}.bt-detail.on{display:block}
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.bt-detail{display:none;margin-top:12px}.bt-detail.on{display:block}
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.data-badge{display:inline-block;font-size:9px;padding:3px 8px;border-radius:4px;font-weight:500;margin-left:8px}
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.data-badge.mainnet{background:rgba(168,85,247,0.15);color:var(--purple)}
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.data-badge.testnet{background:rgba(245,158,11,0.15);color:var(--amber)}
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footer{text-align:center;padding:20px;font-size:10px;color:#3f3f46}footer a{color:#52525b;text-decoration:none}footer a:hover{color:var(--text)}
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footer{text-align:center;padding:20px;font-size:10px;color:#3f3f46}footer a{color:#52525b;text-decoration:none}footer a:hover{color:var(--text)}
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@media(max-width:640px){
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@media(max-width:640px){
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.wrap{padding:12px 8px}.top{flex-direction:column;align-items:flex-start}.totals{text-align:left;width:100%}
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.wrap{padding:12px 8px}.top{flex-direction:column;align-items:flex-start}.totals{text-align:left;width:100%}
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.totals .pnl{font-size:24px}.stats{grid-template-columns:repeat(3,1fr);gap:6px}.stat-box{padding:10px}.stat-box .val{font-size:14px}
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.totals .pnl{font-size:24px}.stats{grid-template-columns:repeat(3,1fr);gap:6px}.stat-box{padding:10px}.stat-box .val{font-size:14px}
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@@ -87,14 +83,26 @@
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<div class="logo"><h1>FTDT Quant Lab</h1><span><span class="dot live" id="sdot"></span> <span id="scnx">connecting…</span> · <span id="swlt">—</span></span></div>
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<div class="logo"><h1>FTDT Quant Lab</h1><span><span class="dot live" id="sdot"></span> <span id="scnx">connecting…</span> · <span id="swlt">—</span></span></div>
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<div class="totals"><div class="label" style="font-size:10px;color:var(--text);text-transform:uppercase;letter-spacing:0.5px">Portfolio PnL</div><div class="pnl" id="stpnl">$0.00</div><div class="sub" id="stpct">0.00%</div></div>
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<div class="totals"><div class="label" style="font-size:10px;color:var(--text);text-transform:uppercase;letter-spacing:0.5px">Portfolio PnL</div><div class="pnl" id="stpnl">$0.00</div><div class="sub" id="stpct">0.00%</div></div>
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</div>
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</div>
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<div class="tabs"><button class="tab on" id="tab-live" onclick="sw('live')">Live Trading</button><button class="tab" id="tab-bt" onclick="sw('backtest')">Backtesting</button></div>
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<div class="tabs">
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<button class="tab on" id="tab-live" onclick="sw('live')">Live Trading<span class="data-badge testnet">Testnet</span></button>
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<button class="tab" id="tab-paper" onclick="sw('paper')">Paper Trading<span class="data-badge mainnet">Mainnet</span></button>
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<button class="tab" id="tab-bt" onclick="sw('backtest')">Backtesting</button>
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</div>
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<!-- LIVE -->
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<!-- LIVE -->
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<div class="panel show" id="pnl-live">
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<div class="panel show" id="pnl-live">
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<div class="stats" id="live-stats"></div>
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<div class="stats" id="live-stats"></div>
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<div class="card"><h3>Equity Curve <span class="desc">real-time · all strategies</span></h3><div class="chart-wrap" id="eq-chart"></div></div>
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<div class="card"><h3>Equity Curve <span class="desc">real-time · Hyperliquid Testnet</span></h3><div class="chart-wrap" id="eq-chart"></div></div>
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<div class="grid" id="live-grid"></div>
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<div class="grid" id="live-grid"></div>
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<div class="card"><h3>Trade Log <span class="desc">most recent</span></h3><div class="tbl-scroll"><table><thead><tr><th>Time</th><th>Strategy</th><th>Side</th><th>Size</th><th>Price</th><th>Fee</th><th>PnL</th></tr></thead><tbody id="trade-tb"></tbody></table></div></div>
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<div class="card"><h3>Trade Log</h3><div class="tbl-scroll"><table><thead><tr><th>Time</th><th>Strategy</th><th>Side</th><th>Size</th><th>Price</th><th>Fee</th><th>PnL</th></tr></thead><tbody id="trade-tb"></tbody></table></div></div>
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</div>
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<!-- PAPER -->
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<div class="panel" id="pnl-paper">
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<div class="stats" id="paper-stats"></div>
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<div class="card"><h3>Equity Curve <span class="desc">real-time · Hyperliquid Mainnet (simulated fills)</span></h3><div class="chart-wrap" id="paper-chart"></div></div>
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<div class="grid" id="paper-grid"></div>
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<div class="card"><h3>Trade Log</h3><div class="tbl-scroll"><table><thead><tr><th>Time</th><th>Strategy</th><th>Side</th><th>Size</th><th>Price</th><th>Fee</th><th>PnL</th></tr></thead><tbody id="paper-tb"></tbody></table></div></div>
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||||||
</div>
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</div>
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<!-- BACKTEST -->
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<!-- BACKTEST -->
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@@ -102,122 +110,102 @@
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<div class="card" id="bt-detail" style="display:none"><h3 id="bt-title">—</h3><div class="stats" id="bt-stats"></div><div class="chart-wrap" id="bt-chart"></div></div>
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<div class="card" id="bt-detail" style="display:none"><h3 id="bt-title">—</h3><div class="stats" id="bt-stats"></div><div class="chart-wrap" id="bt-chart"></div></div>
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<div class="card"><h3>Saved Backtests <span class="desc">click to view</span></h3><div id="bt-list"></div></div>
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<div class="card"><h3>Saved Backtests <span class="desc">click to view</span></h3><div id="bt-list"></div></div>
|
||||||
</div>
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</div>
|
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<footer><a href="https://git.ftdt.io/rams/ftdt-quant-lab" target="_blank">rams/ftdt-quant-lab</a> · 7 strategies · 100 USDC each · POST-ONLY maker · Hyperliquid Testnet</footer>
|
<footer><a href="https://git.ftdt.io/rams/ftdt-quant-lab" target="_blank">rams/ftdt-quant-lab</a> · 7 strategies · $5,000 paper / $898 live · Hyperliquid</footer>
|
||||||
</div>
|
</div>
|
||||||
|
|
||||||
<script>
|
<script>
|
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var tab='live',lastData=null;
|
var tab='live',lastData=null,lastPaper=null;
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||||||
|
function mkChart(el,w,h){var c=LightweightCharts.createChart(el,{layout:{background:{color:'transparent'},textColor:'#8b8b96'},grid:{vertLines:{color:'rgba(255,255,255,0.03)'},horzLines:{color:'rgba(255,255,255,0.03)'}},rightPriceScale:{borderColor:'rgba(255,255,255,0.06)'},timeScale:{borderColor:'rgba(255,255,255,0.06)',timeVisible:true},crosshair:{mode:0},width:w,height:h});return c}
|
||||||
|
var eqChart=mkChart(document.getElementById('eq-chart'),0,0);var eqSer=eqChart.addAreaSeries({lineColor:'#3b82f6',topColor:'rgba(59,130,246,0.15)',bottomColor:'rgba(59,130,246,0.02)',lineWidth:2});
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||||||
|
var paperChart=mkChart(document.getElementById('paper-chart'),0,0);var paperSer=paperChart.addAreaSeries({lineColor:'#a855f7',topColor:'rgba(168,85,247,0.12)',bottomColor:'rgba(168,85,247,0.02)',lineWidth:2});
|
||||||
|
var btChart=mkChart(document.getElementById('bt-chart'),0,0);var btSer=btChart.addAreaSeries({lineColor:'#a855f7',topColor:'rgba(168,85,247,0.12)',bottomColor:'rgba(168,85,247,0.02)',lineWidth:2});
|
||||||
|
|
||||||
var eqChart=LightweightCharts.createChart(document.getElementById('eq-chart'),{layout:{background:{color:'transparent'},textColor:'#8b8b96'},grid:{vertLines:{color:'rgba(255,255,255,0.03)'},horzLines:{color:'rgba(255,255,255,0.03)'}},rightPriceScale:{borderColor:'rgba(255,255,255,0.06)'},timeScale:{borderColor:'rgba(255,255,255,0.06)',timeVisible:true},crosshair:{mode:0},width:0,height:0});
|
function fitCharts(){
|
||||||
var eqSer=eqChart.addAreaSeries({lineColor:'#3b82f6',topColor:'rgba(59,130,246,0.15)',bottomColor:'rgba(59,130,246,0.02)',lineWidth:2});
|
eqChart.applyOptions({width:document.getElementById('eq-chart').offsetWidth,height:document.getElementById('eq-chart').offsetHeight});
|
||||||
var btChart=LightweightCharts.createChart(document.getElementById('bt-chart'),{layout:{background:{color:'transparent'},textColor:'#8b8b96'},grid:{vertLines:{color:'rgba(255,255,255,0.03)'},horzLines:{color:'rgba(255,255,255,0.03)'}},rightPriceScale:{borderColor:'rgba(255,255,255,0.06)'},timeScale:{borderColor:'rgba(255,255,255,0.06)'},crosshair:{mode:0},width:0,height:0});
|
paperChart.applyOptions({width:document.getElementById('paper-chart').offsetWidth,height:document.getElementById('paper-chart').offsetHeight});
|
||||||
var btSer=btChart.addAreaSeries({lineColor:'#a855f7',topColor:'rgba(168,85,247,0.12)',bottomColor:'rgba(168,85,247,0.02)',lineWidth:2});
|
btChart.applyOptions({width:document.getElementById('bt-chart').offsetWidth,height:document.getElementById('bt-chart').offsetHeight});
|
||||||
function fitCharts(){eqChart.applyOptions({width:document.getElementById('eq-chart').offsetWidth,height:document.getElementById('eq-chart').offsetHeight});btChart.applyOptions({width:document.getElementById('bt-chart').offsetWidth,height:document.getElementById('bt-chart').offsetHeight})}
|
}
|
||||||
window.addEventListener('resize',fitCharts);setTimeout(fitCharts,300);
|
window.addEventListener('resize',fitCharts);setTimeout(fitCharts,300);
|
||||||
|
|
||||||
function sw(t){
|
function sw(t){
|
||||||
tab=t;document.getElementById('tab-live').className=t==='live'?'tab on':'tab';document.getElementById('tab-bt').className=t==='backtest'?'tab on':'tab';
|
tab=t;
|
||||||
document.getElementById('pnl-live').className=t==='live'?'panel show':'panel';document.getElementById('pnl-bt').className=t==='backtest'?'panel show':'panel';
|
['live','paper','backtest'].forEach(function(x){document.getElementById('tab-'+x).className=t===x?'tab on':'tab'});
|
||||||
if(t==='live'&&lastData)renLive(lastData);if(t==='backtest'){setTimeout(fitCharts,200);loadBt()}
|
document.getElementById('pnl-live').className=t==='live'?'panel show':'panel';
|
||||||
|
document.getElementById('pnl-paper').className=t==='paper'?'panel show':'panel';
|
||||||
|
document.getElementById('pnl-bt').className=t==='backtest'?'panel show':'panel';
|
||||||
|
if(t==='live'&&lastData)renLive(lastData);
|
||||||
|
if(t==='paper'){if(lastPaper)renPaper(lastPaper);setTimeout(fitCharts,200)}
|
||||||
|
if(t==='backtest'){setTimeout(fitCharts,200);loadBt()}
|
||||||
}
|
}
|
||||||
|
|
||||||
var ws;function conn(){
|
// WebSocket
|
||||||
|
var ws,wsPaper;
|
||||||
|
function conn(){
|
||||||
if(ws)try{ws.close()}catch(e){}
|
if(ws)try{ws.close()}catch(e){}
|
||||||
ws=new WebSocket((location.protocol==='https:'?'wss:':'ws:')+'//'+location.host+'/cv/ws');
|
ws=new WebSocket((location.protocol==='https:'?'wss:':'ws:')+'//'+location.host+'/cv/ws');
|
||||||
ws.onopen=function(){document.getElementById('scnx').innerHTML='<span style=\"color:#22c55e\">live</span>';document.getElementById('sdot').className='dot live'};
|
ws.onopen=function(){document.getElementById('scnx').innerHTML='<span style=\"color:#22c55e\">live</span>';document.getElementById('sdot').className='dot live'};
|
||||||
ws.onclose=function(){document.getElementById('scnx').innerHTML='<span style=\"color:#f59e0b\">reconnecting…</span>';document.getElementById('sdot').className='dot dead';setTimeout(conn,2000)};
|
ws.onclose=function(){document.getElementById('sdot').className='dot dead';setTimeout(conn,3000)};
|
||||||
ws.onmessage=function(e){try{lastData=JSON.parse(e.data)}catch(ex){return};if(tab==='live')renLive(lastData)}
|
ws.onmessage=function(e){try{lastData=JSON.parse(e.data)}catch(ex){return};if(tab==='live')renLive(lastData)};
|
||||||
|
// Paper WS
|
||||||
|
if(wsPaper)try{wsPaper.close()}catch(e){}
|
||||||
|
wsPaper=new WebSocket((location.protocol==='https:'?'wss:':'ws:')+'//'+location.host+'/cv/ws/paper');
|
||||||
|
wsPaper.onmessage=function(e){try{lastPaper=JSON.parse(e.data)}catch(ex){return};if(tab==='paper')renPaper(lastPaper)};
|
||||||
}
|
}
|
||||||
|
|
||||||
// Store mini-charts for strategy details
|
// ═══════════ Render helpers ═══════════
|
||||||
var stratCharts={};
|
function renGrid(containerId, ss, baseEq, reserve, headerStatsId, tradesTbId, chartId, chartSer, hist, trades){
|
||||||
function getStratChart(name){
|
var keys=Object.keys(ss),tr=0,fe=0,fu=0;
|
||||||
if(stratCharts[name])return stratCharts[name];
|
for(var i=0;i<keys.length;i++){var s=ss[keys[i]];tr+=s.trades_today||0;fe+=s.fee_paid||0;if(s.status==='running')fu++};
|
||||||
var el=document.getElementById('mini-chart-'+name.replace(/\s/g,''));
|
var pnl=0;for(var j=0;j<keys.length;j++)pnl+=ss[keys[j]].pnl||0;
|
||||||
if(!el)return null;
|
document.getElementById(headerStatsId).innerHTML=
|
||||||
var c=LightweightCharts.createChart(el,{layout:{background:{color:'transparent'},textColor:'#8b8b96'},grid:{vertLines:{color:'rgba(255,255,255,0.03)'},horzLines:{color:'rgba(255,255,255,0.03)'}},rightPriceScale:{borderColor:'rgba(255,255,255,0.06)'},timeScale:{borderColor:'rgba(255,255,255,0.06)',visible:false},crosshair:{mode:0},width:0,height:120});
|
'<div class="stat-box"><div class="lbl">Equity</div><div class="val">$'+((baseEq||0)+pnl).toFixed(0)+'</div></div>'+
|
||||||
var s=c.addAreaSeries({lineColor:'#a855f7',topColor:'rgba(168,85,247,0.1)',bottomColor:'rgba(168,85,247,0.0)',lineWidth:1.5});
|
'<div class="stat-box"><div class="lbl">Reserve</div><div class="val">$'+(reserve||0)+'</div></div>'+
|
||||||
stratCharts[name]={chart:c,series:s};
|
'<div class="stat-box"><div class="lbl">Trades</div><div class="val">'+tr+'</div></div>'+
|
||||||
return stratCharts[name];
|
'<div class="stat-box"><div class="lbl">Fees</div><div class="val dn">$'+fe.toFixed(2)+'</div></div>'+
|
||||||
|
'<div class="stat-box"><div class="lbl">Active</div><div class="val">'+fu+' / '+keys.length+'</div></div>';
|
||||||
|
var g='';
|
||||||
|
for(var k=0;k<keys.length;k++){
|
||||||
|
var name=keys[k],s=ss[name],sp=s.pnl||0,cls=sp>=0?'up':'dn',pStr=(sp>=0?'+':'')+'$'+Math.abs(sp).toFixed(2);
|
||||||
|
var signals=s.signals||[],sigHtml='';
|
||||||
|
if(signals.length>0){for(var si=Math.max(0,signals.length-5);si<signals.length;si++){var sg=signals[si];var sc=sg.signal&&sg.signal.indexOf('BUY')>=0?'buy':'sell';sigHtml+='<div class="sig '+sc+'"><span>'+new Date(sg.time*1000).toLocaleTimeString('en-US',{hour12:false})+'</span><span>'+sg.signal+'</span></div>'}}
|
||||||
|
g+='<div class="strat" id="strat-'+name.replace(/\s/g,'')+'" onclick="toggleStrat(\''+name.replace(/\s/g,'')+'\')">'+
|
||||||
|
'<div class="hdr"><div><div class="name">'+name+'</div><div class="alloc">'+(s.allocation||'?')+' USDC · '+(s.type||'')+'</div></div><span class="status '+(s.status==='running'?'run':'idle')+'">'+(s.status==='running'?'RUNNING':'IDLE')+'</span></div>'+
|
||||||
|
'<div class="big '+cls+'">'+pStr+'</div><div class="pct">'+(s.pnl_pct>=0?'+':'')+(s.pnl_pct||0).toFixed(2)+'% | Fee: $'+(s.fee_paid||0).toFixed(2)+'</div>'+
|
||||||
|
'<div class="r"><span>Trades: <b>'+(s.trades_today||0)+'</b></span><span>Win: <b>'+Math.round((s.win_rate||0)*100)+'%</b></span><span>Pos: <b>'+(s.position||0).toFixed(4)+'</b></span></div>'+
|
||||||
|
'<div class="strat-detail"><div class="desc-text">'+(s.description||'')+'</div>'+
|
||||||
|
'<div class="mini-stats"><div class="stat-box"><div class="lbl">PnL</div><div class="val '+(sp>=0?'up':'dn')+'">'+pStr+'</div></div><div class="stat-box"><div class="lbl">Fees</div><div class="val dn">$'+(s.fee_paid||0).toFixed(2)+'</div></div><div class="stat-box"><div class="lbl">Win Rate</div><div class="val">'+Math.round((s.win_rate||0)*100)+'%</div></div><div class="stat-box"><div class="lbl">Trades</div><div class="val">'+(s.trades_today||0)+'</div></div></div>'+
|
||||||
|
(signals.length>0?'<div class="signal-log" style="max-height:100px;overflow-y:auto"><div style="font-size:10px;color:var(--bright);margin-bottom:6px">Recent Signals</div>'+sigHtml+'</div>':'')+
|
||||||
|
'</div></div>';
|
||||||
|
}
|
||||||
|
document.getElementById(containerId).innerHTML=g;
|
||||||
|
// Chart
|
||||||
|
if(hist&&hist.length>0){var pts=[];for(var m=0;m<hist.length;m++)pts.push({time:hist[m].t,value:hist[m].v});chartSer.setData(pts);chartId.timeScale().fitContent()}
|
||||||
|
// Trades
|
||||||
|
var rows='',trs=(trades||[]).slice(-20).reverse();
|
||||||
|
for(var n=0;n<trs.length;n++){var t=trs[n];rows+='<tr><td>'+t.time+'</td><td>'+t.strategy+'</td><td class="'+(t.side.indexOf('BUY')>=0?'green':'red')+'">'+t.side+'</td><td>'+t.size+'</td><td>'+(t.price||'—')+'</td><td class="red">$'+(t.fee||0).toFixed(4)+'</td><td class="'+(t.pnl>=0?'green':'red')+'">'+(t.pnl>=0?'+':'')+'$'+Math.abs(t.pnl).toFixed(4)+'</td></tr>'}
|
||||||
|
document.getElementById(tradesTbId).innerHTML=rows;
|
||||||
}
|
}
|
||||||
|
|
||||||
function renLive(d){
|
function renLive(d){
|
||||||
if(!d)return;
|
if(!d)return;
|
||||||
var pnl=d.total_pnl||0,eqty=d.base_equity||898;
|
var pnl=d.total_pnl||0;document.getElementById('stpnl').textContent=(pnl>=0?'+':'')+'$'+Math.abs(pnl).toFixed(2);document.getElementById('stpnl').className='pnl '+(pnl>=0?'up':'dn');
|
||||||
document.getElementById('stpnl').textContent=(pnl>=0?'+':'')+'$'+Math.abs(pnl).toFixed(2);
|
document.getElementById('stpct').textContent='Testnet · Equity: $'+((d.base_equity||898)+pnl).toFixed(2);document.getElementById('swlt').textContent=(d.wallet||'').slice(0,10)+'…';
|
||||||
document.getElementById('stpnl').className='pnl '+(pnl>=0?'up':'dn');
|
renGrid('live-grid',d.strategies||{},d.base_equity||898,d.reserve||398,'live-stats','trade-tb',eqChart,eqSer,d.equity_history||[],d.trades||[]);
|
||||||
document.getElementById('stpct').textContent='Equity: $'+((eqty+pnl)).toFixed(2)+' · '+(d.total_pnl_pct||0).toFixed(3)+'%';
|
|
||||||
document.getElementById('swlt').textContent=(d.wallet||'').slice(0,10)+'…';
|
|
||||||
|
|
||||||
var ss=d.strategies||{},keys=Object.keys(ss);
|
|
||||||
var tr=0,fu=0,fees=0;
|
|
||||||
for(var i=0;i<keys.length;i++){var s=ss[keys[i]];tr+=s.trades_today||0;fees+=s.fee_paid||0;if(s.status==='running')fu++};
|
|
||||||
|
|
||||||
document.getElementById('live-stats').innerHTML=
|
|
||||||
'<div class="stat-box"><div class="lbl">Total Equity</div><div class="val">$'+(eqty+pnl).toFixed(0)+'</div></div>'+
|
|
||||||
'<div class="stat-box"><div class="lbl">Reserve</div><div class="val">$'+(d.reserve||398)+'</div></div>'+
|
|
||||||
'<div class="stat-box"><div class="lbl">Total Trades</div><div class="val">'+tr+'</div></div>'+
|
|
||||||
'<div class="stat-box"><div class="lbl">Total Fees</div><div class="val dn">$'+fees.toFixed(4)+'</div></div>'+
|
|
||||||
'<div class="stat-box"><div class="lbl">Active</div><div class="val">'+fu+' / '+keys.length+'</div></div>';
|
|
||||||
|
|
||||||
// Strategy cards with click-to-expand
|
|
||||||
var g='';
|
|
||||||
for(var j=0;j<keys.length;j++){
|
|
||||||
var name=keys[j],s=ss[name];
|
|
||||||
var sp=s.pnl||0,cls=sp>=0?'up':'dn',pStr=(sp>=0?'+':'')+'$'+Math.abs(sp).toFixed(2);
|
|
||||||
var sid=name.replace(/\s/g,'');
|
|
||||||
var signals=s.signals||[],sigHtml='';
|
|
||||||
if(signals.length>0){for(var si=Math.max(0,signals.length-5);si<signals.length;si++){var sg=signals[si];var sc=sg.signal&&sg.signal.indexOf('BUY')>=0?'buy':'sell';sigHtml+='<div class="sig '+sc+'"><span>'+new Date(sg.time*1000).toLocaleTimeString('en-US',{hour12:false})+'</span><span>'+sg.signal+' ('+sg.strength.toFixed(2)+')</span></div>'}}
|
|
||||||
|
|
||||||
g+='<div class="strat" id="strat-'+sid+'" onclick="toggleStrat(\''+sid+'\')">'+
|
|
||||||
'<div class="hdr"><div><div class="name">'+name+'</div><div class="alloc">Allocation: '+(s.allocation||100)+' USDC · '+(s.type||'strategy')+'</div></div><span class="status '+(s.status==='running'?'run':'idle')+'">'+(s.status==='running'?'RUNNING':'IDLE')+'</span></div>'+
|
|
||||||
'<div class="big '+cls+'">'+pStr+'</div>'+
|
|
||||||
'<div class="pct">'+(s.pnl_pct>=0?'+':'')+(s.pnl_pct||0).toFixed(3)+'% · Fees: $'+(s.fee_paid||0).toFixed(4)+'</div>'+
|
|
||||||
'<div class="r"><span>Trades: <b>'+(s.trades_today||0)+'</b></span><span>Win: <b>'+Math.round((s.win_rate||0)*100)+'%</b></span><span>Position: <b>'+(s.position||0).toFixed(4)+' BTC</b></span></div>'+
|
|
||||||
'<div class="strat-detail">'+
|
|
||||||
'<div class="desc-text">'+(s.description||'No description')+'</div>'+
|
|
||||||
'<div class="mini-stats">'+
|
|
||||||
'<div class="stat-box"><div class="lbl">PnL</div><div class="val '+(sp>=0?'up':'dn')+'">'+pStr+'</div></div>'+
|
|
||||||
'<div class="stat-box"><div class="lbl">Fees Paid</div><div class="val dn">$'+(s.fee_paid||0).toFixed(4)+'</div></div>'+
|
|
||||||
'<div class="stat-box"><div class="lbl">Win Rate</div><div class="val">'+Math.round((s.win_rate||0)*100)+'%</div></div>'+
|
|
||||||
'<div class="stat-box"><div class="lbl">Trades Today</div><div class="val">'+(s.trades_today||0)+'</div></div>'+
|
|
||||||
'</div>'+
|
|
||||||
(signals.length>0?'<div class="signal-log" style="max-height:100px;overflow-y:auto"><div style="font-size:10px;color:var(--bright);margin-bottom:6px">Recent Signals</div>'+sigHtml+'</div>':'<div style="font-size:10px;color:var(--text)">No signals yet — waiting for data</div>')+
|
|
||||||
'</div>'+
|
|
||||||
'</div>';
|
|
||||||
}
|
|
||||||
document.getElementById('live-grid').innerHTML=g;
|
|
||||||
|
|
||||||
// Restore open state
|
|
||||||
for(var k=0;k<keys.length;k++){
|
|
||||||
var sid=keys[k].replace(/\s/g,'');
|
|
||||||
if(document.getElementById('strat-'+sid)&&document.getElementById('strat-'+sid).classList.contains('open')){
|
|
||||||
// Stay open
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
|
|
||||||
// Equity chart
|
function renPaper(d){
|
||||||
var hist=d.equity_history||[];
|
if(!d)return;
|
||||||
if(hist.length>0){var pts=[];for(var m=0;m<hist.length;m++)pts.push({time:hist[m].t,value:hist[m].v});eqSer.setData(pts);eqChart.timeScale().fitContent()}
|
var pnl=d.total_pnl||0;document.getElementById('stpnl').textContent=(pnl>=0?'+':'')+'$'+Math.abs(pnl).toFixed(2);document.getElementById('stpnl').className='pnl '+(pnl>=0?'up':'dn');
|
||||||
|
document.getElementById('stpct').textContent='Mainnet Paper · Equity: $'+((d.total_equity||5000)).toFixed(2)+' · BTC: $'+(d.btc_price||0).toLocaleString('en-US',{maximumFractionDigits:0});
|
||||||
// Trades
|
renGrid('paper-grid',d.strategies||{},d.base_equity||5000,d.reserve||1000,'paper-stats','paper-tb',paperChart,paperSer,d.equity_history||[],d.trades||[]);
|
||||||
var trades=(d.trades||[]).slice(-20).reverse(),rows='';
|
|
||||||
for(var n=0;n<trades.length;n++){var t=trades[n];rows+='<tr><td>'+t.time+'</td><td>'+t.strategy+'</td><td class="'+(t.side==='BUY'?'green':'red')+'">'+(t.side||'')+'</td><td>'+t.size+'</td><td>'+(t.price||'—')+'</td><td class="red">$'+(t.fee||0).toFixed(4)+'</td><td class="'+(t.pnl>=0?'green':'red')+'">'+(t.pnl>=0?'+':'')+'$'+Math.abs(t.pnl).toFixed(4)+'</td></tr>'}
|
|
||||||
document.getElementById('trade-tb').innerHTML=rows;
|
|
||||||
}
|
}
|
||||||
|
|
||||||
function toggleStrat(sid){
|
function toggleStrat(sid){var el=document.getElementById('strat-'+sid);if(!el)return;el.classList.toggle('open');setTimeout(fitCharts,200)}
|
||||||
var el=document.getElementById('strat-'+sid);
|
|
||||||
if(!el)return;
|
|
||||||
el.classList.toggle('open');
|
|
||||||
setTimeout(fitCharts,200);
|
|
||||||
}
|
|
||||||
|
|
||||||
// Backtests (unchanged)
|
// Backtests
|
||||||
function loadBt(){
|
function loadBt(){
|
||||||
fetch('/cv/api/backtests').then(function(r){return r.json()}).then(function(data){
|
fetch('/cv/api/backtests').then(function(r){return r.json()}).then(function(data){
|
||||||
var h='';
|
var h='';for(var i=0;i<data.length;i++){var b=data[i];h+='<div class="bt-row" onclick="viewBt(\''+b.name+'\')" id="btr-'+b.name+'"><div><div class="n">'+b.strategy+'</div><div class="m">30-day · '+b.name+'</div></div><div class="k"><div class="kv"><div class="kl">PnL</div><div class="kd '+(b.pnl_pct>=0?'green':'red')+'">'+(b.pnl_pct>=0?'+':'')+b.pnl_pct.toFixed(2)+'%</div></div><div class="kv"><div class="kl">Sharpe</div><div class="kd">'+b.sharpe.toFixed(2)+'</div></div><div class="kv"><div class="kl">DD</div><div class="kd red">'+b.max_dd.toFixed(2)+'%</div></div><div class="kv"><div class="kl">Win</div><div class="kd">'+(b.win_rate*100).toFixed(0)+'%</div></div></div></div>'}
|
||||||
for(var i=0;i<data.length;i++){var b=data[i];h+='<div class="bt-row" onclick="viewBt(\''+b.name+'\')" id="btr-'+b.name+'"><div><div class="n">'+b.strategy+'</div><div class="m">30-day sim · '+b.name+'</div></div><div class="k"><div class="kv"><div class="kl">PnL</div><div class="kd '+(b.pnl_pct>=0?'green':'red')+'">'+(b.pnl_pct>=0?'+':'')+b.pnl_pct.toFixed(2)+'%</div></div><div class="kv"><div class="kl">Sharpe</div><div class="kd">'+b.sharpe.toFixed(2)+'</div></div><div class="kv"><div class="kl">Max DD</div><div class="kd red">'+b.max_dd.toFixed(2)+'%</div></div><div class="kv"><div class="kl">Win</div><div class="kd">'+(b.win_rate*100).toFixed(0)+'%</div></div></div></div>'}
|
|
||||||
document.getElementById('bt-list').innerHTML=h||'<div style="padding:12px;color:var(--text);font-size:12px">No backtests yet.</div>';
|
document.getElementById('bt-list').innerHTML=h||'<div style="padding:12px;color:var(--text);font-size:12px">No backtests yet.</div>';
|
||||||
})
|
})
|
||||||
}
|
}
|
||||||
@@ -225,7 +213,7 @@ function viewBt(name){
|
|||||||
fetch('/cv/api/backtest/'+name).then(function(r){return r.json()}).then(function(b){
|
fetch('/cv/api/backtest/'+name).then(function(r){return r.json()}).then(function(b){
|
||||||
document.getElementById('bt-detail').style.display='block';document.getElementById('bt-title').innerHTML=b.strategy+' <span class="desc">'+b.description+'</span>';
|
document.getElementById('bt-detail').style.display='block';document.getElementById('bt-title').innerHTML=b.strategy+' <span class="desc">'+b.description+'</span>';
|
||||||
document.querySelectorAll('.bt-row').forEach(function(e){e.classList.remove('sel')});document.getElementById('btr-'+name).classList.add('sel');
|
document.querySelectorAll('.bt-row').forEach(function(e){e.classList.remove('sel')});document.getElementById('btr-'+name).classList.add('sel');
|
||||||
document.getElementById('bt-stats').innerHTML='<div class="stat-box"><div class="lbl">Return</div><div class="val '+(b.pnl>=0?'up':'dn')+'">'+(b.pnl>=0?'+':'')+b.pnl.toFixed(2)+'%</div></div><div class="stat-box"><div class="lbl">Annualized</div><div class="val '+(b.ann_return_pct>=0?'up':'dn')+'">'+(b.ann_return_pct>=0?'+':'')+b.ann_return_pct.toFixed(1)+'%</div></div><div class="stat-box"><div class="lbl">Sharpe</div><div class="val">'+b.sharpe.toFixed(2)+'</div></div><div class="stat-box"><div class="lbl">Sortino</div><div class="val">'+b.sortino.toFixed(2)+'</div></div><div class="stat-box"><div class="lbl">Max DD</div><div class="val dn">'+b.max_dd_pct.toFixed(2)+'%</div></div><div class="stat-box"><div class="lbl">Win Rate</div><div class="val">'+(b.win_rate*100).toFixed(0)+'%</div></div><div class="stat-box"><div class="lbl">Trades</div><div class="val">'+b.total_trades+'</div></div><div class="stat-box"><div class="lbl">Allocation</div><div class="val">$'+b.allocation+'</div></div><div class="stat-box"><div class="lbl">End Equity</div><div class="val">$'+b.end_equity.toFixed(2)+'</div></div><div class="stat-box"><div class="lbl">Period</div><div class="val">30 days</div></div>';
|
document.getElementById('bt-stats').innerHTML='<div class="stat-box"><div class="lbl">Return</div><div class="val '+(b.pnl>=0?'up':'dn')+'">'+(b.pnl>=0?'+':'')+b.pnl.toFixed(2)+'%</div></div><div class="stat-box"><div class="lbl">Ann.</div><div class="val '+(b.ann_return_pct>=0?'up':'dn')+'">'+(b.ann_return_pct>=0?'+':'')+b.ann_return_pct.toFixed(1)+'%</div></div><div class="stat-box"><div class="lbl">Sharpe</div><div class="val">'+b.sharpe.toFixed(2)+'</div></div><div class="stat-box"><div class="lbl">Sortino</div><div class="val">'+b.sortino.toFixed(2)+'</div></div><div class="stat-box"><div class="lbl">Max DD</div><div class="val dn">'+b.max_dd_pct.toFixed(2)+'%</div></div><div class="stat-box"><div class="lbl">Win</div><div class="val">'+(b.win_rate*100).toFixed(0)+'%</div></div><div class="stat-box"><div class="lbl">Trades</div><div class="val">'+b.total_trades+'</div></div><div class="stat-box"><div class="lbl">Alloc</div><div class="val">$'+b.allocation+'</div></div><div class="stat-box"><div class="lbl">End Eq</div><div class="val">$'+b.end_equity.toFixed(2)+'</div></div><div class="stat-box"><div class="lbl">Period</div><div class="val">30d</div></div>';
|
||||||
var pts=[],curve=b.equity_curve||[];for(var i=0;i<curve.length;i++)pts.push({time:(new Date(curve[i].t).getTime()/1000),value:curve[i].v});btSer.setData(pts);btChart.timeScale().fitContent();setTimeout(fitCharts,200);
|
var pts=[],curve=b.equity_curve||[];for(var i=0;i<curve.length;i++)pts.push({time:(new Date(curve[i].t).getTime()/1000),value:curve[i].v});btSer.setData(pts);btChart.timeScale().fitContent();setTimeout(fitCharts,200);
|
||||||
})
|
})
|
||||||
}
|
}
|
||||||
|
|||||||
@@ -0,0 +1,458 @@
|
|||||||
|
"""
|
||||||
|
Paper trading engine — runs strategies against HYPERLIQUID MAINNET data.
|
||||||
|
|
||||||
|
Pulls real mainnet prices, orderbooks, and funding rates every second.
|
||||||
|
Executes all 7 strategies in simulation mode — tracks virtual positions,
|
||||||
|
computes PnL with realistic fees and slippage. No real orders.
|
||||||
|
|
||||||
|
Writes to /tmp/ftdt-paper-metrics.json for the dashboard.
|
||||||
|
"""
|
||||||
|
import os, sys, asyncio, json, time, logging, random, math
|
||||||
|
from pathlib import Path
|
||||||
|
from datetime import datetime
|
||||||
|
from collections import deque
|
||||||
|
|
||||||
|
sys.path.insert(0, str(Path(__file__).resolve().parent.parent))
|
||||||
|
import requests
|
||||||
|
|
||||||
|
logging.basicConfig(level=logging.INFO, format="%(asctime)s [paper] %(message)s", datefmt="%H:%M:%S")
|
||||||
|
log = logging.getLogger("ftdt-paper")
|
||||||
|
|
||||||
|
# ═══════════════════════ Config ═══════════════════════
|
||||||
|
|
||||||
|
MAINNET_API = "https://api.hyperliquid.xyz/info"
|
||||||
|
METRICS_FILE = "/tmp/ftdt-paper-metrics.json"
|
||||||
|
STARTING_CAPITAL = 5000.0 # 1000 USDC per strategy × 5 BTC, +500 for ETH
|
||||||
|
RESERVE = 1000.0
|
||||||
|
TAKER_FEE = 0.0005 # 5 bps taker (realistic for paper fills)
|
||||||
|
SLIPPAGE_BPS = 1.0 # 1 bps slippage
|
||||||
|
|
||||||
|
# ═══════════════════════ Strategy state ═══════════════════════
|
||||||
|
|
||||||
|
STRATEGIES = {
|
||||||
|
"Order Book Imbalance": {
|
||||||
|
"allocation": 1000.0, "instrument": "BTC", "pnl": 0.0,
|
||||||
|
"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
|
||||||
|
"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
|
||||||
|
"signals": [], "type": "reversal", "size": 0.002,
|
||||||
|
"description": "L2 bid/ask volume skew — buys when bids dominate, sells when asks dominate. Mean-reverting at volume extremes.",
|
||||||
|
},
|
||||||
|
"Iceberg Detection": {
|
||||||
|
"allocation": 1000.0, "instrument": "BTC", "pnl": 0.0,
|
||||||
|
"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
|
||||||
|
"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
|
||||||
|
"signals": [], "type": "momentum", "size": 0.001,
|
||||||
|
"description": "Detects whale accumulation (many small buys over time). Follows the smart money flow.",
|
||||||
|
},
|
||||||
|
"Funding Rate Arb": {
|
||||||
|
"allocation": 1000.0, "instrument": "BTC", "pnl": 0.0,
|
||||||
|
"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
|
||||||
|
"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
|
||||||
|
"signals": [], "type": "carry", "size": 0.005,
|
||||||
|
"description": "Delta-neutral carry trade — shorts perp when funding rate is high, collects hourly payments.",
|
||||||
|
},
|
||||||
|
"Pairs Trading": {
|
||||||
|
"allocation": 1000.0, "instrument": "ETH", "pnl": 0.0,
|
||||||
|
"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
|
||||||
|
"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
|
||||||
|
"signals": [], "type": "stat_arb", "size": 0.05,
|
||||||
|
"description": "BTC/ETH spread mean reversion — trades when Z-score exceeds 1.5 sigma. Pairs converge back to equilibrium.",
|
||||||
|
},
|
||||||
|
"Avellaneda-Stoikov": {
|
||||||
|
"allocation": 1000.0, "instrument": "BTC", "pnl": 0.0,
|
||||||
|
"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
|
||||||
|
"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
|
||||||
|
"signals": [], "type": "market_making", "size": 0.001,
|
||||||
|
"description": "Dual-sided quoting at best bid/ask — captures spread via stochastic control. Simulated fill when spread is crossed.",
|
||||||
|
},
|
||||||
|
"Momentum Breakout": {
|
||||||
|
"allocation": 1000.0, "instrument": "BTC", "pnl": 0.0,
|
||||||
|
"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
|
||||||
|
"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
|
||||||
|
"signals": [], "type": "momentum", "size": 0.002,
|
||||||
|
"description": "Bollinger Band (2σ) breakout — enters when price breaks bands with volume confirmation.",
|
||||||
|
},
|
||||||
|
"Mean Reversion": {
|
||||||
|
"allocation": 1000.0, "instrument": "BTC", "pnl": 0.0,
|
||||||
|
"trades_today": 0, "wins": 0, "win_rate": 0.0, "status": "idle",
|
||||||
|
"position": 0.0, "entry_price": 0.0, "fee_paid": 0.0,
|
||||||
|
"signals": [], "type": "reversal", "size": 0.002,
|
||||||
|
"description": "VWAP deviation — buys below VWAP, sells above. Oscillates around fair value.",
|
||||||
|
},
|
||||||
|
}
|
||||||
|
|
||||||
|
trades_log: list[dict] = []
|
||||||
|
equity_history: list[dict] = []
|
||||||
|
btc_prices: deque = deque(maxlen=120)
|
||||||
|
eth_prices: deque = deque(maxlen=120)
|
||||||
|
funding_rates: deque = deque(maxlen=100)
|
||||||
|
|
||||||
|
# ═══════════════════════ Mainnet Data ═══════════════════════
|
||||||
|
|
||||||
|
def get_mainnet_prices():
|
||||||
|
"""Get mark prices from mainnet."""
|
||||||
|
try:
|
||||||
|
r = requests.post(MAINNET_API, json={"type":"metaAndAssetCtxs"}, timeout=10)
|
||||||
|
data = r.json()
|
||||||
|
prices = {}
|
||||||
|
for i, u in enumerate(data[0]["universe"]):
|
||||||
|
if u["name"] in ("BTC", "ETH"):
|
||||||
|
prices[u["name"]] = float(data[1][i]["markPx"])
|
||||||
|
return prices
|
||||||
|
except Exception as e:
|
||||||
|
log.warning(f"Mainnet price error: {e}")
|
||||||
|
return {}
|
||||||
|
|
||||||
|
def get_mainnet_funding():
|
||||||
|
"""Get funding rates from mainnet."""
|
||||||
|
try:
|
||||||
|
r = requests.post(MAINNET_API, json={"type":"metaAndAssetCtxs"}, timeout=10)
|
||||||
|
data = r.json()
|
||||||
|
rates = {}
|
||||||
|
for i, u in enumerate(data[0]["universe"]):
|
||||||
|
if u["name"] in ("BTC", "ETH"):
|
||||||
|
rates[u["name"]] = float(data[1][i].get("funding", 0))
|
||||||
|
return rates
|
||||||
|
except:
|
||||||
|
return {}
|
||||||
|
|
||||||
|
def get_mainnet_orderbook(coin):
|
||||||
|
"""Get L2 orderbook from mainnet."""
|
||||||
|
try:
|
||||||
|
r = requests.post(MAINNET_API, json={"type":"l2Book","coin":coin}, timeout=10)
|
||||||
|
data = r.json()
|
||||||
|
best_bid = float(data["levels"][0][0]["px"]) if data["levels"][0] else 0
|
||||||
|
best_ask = float(data["levels"][1][0]["px"]) if data["levels"][1] else 0
|
||||||
|
return best_bid, best_ask
|
||||||
|
except: return 0,0
|
||||||
|
|
||||||
|
# ═══════════════════════ Signal Engine ═══════════════════════
|
||||||
|
|
||||||
|
def compute_signals():
|
||||||
|
if len(btc_prices) < 20: return
|
||||||
|
btc = btc_prices[-1]; eth = eth_prices[-1] if eth_prices else btc/34
|
||||||
|
|
||||||
|
# OFI
|
||||||
|
if len(btc_prices) >= 5:
|
||||||
|
ret = (btc - btc_prices[-5]) / btc_prices[-5]
|
||||||
|
if ret > 0.0005:
|
||||||
|
STRATEGIES["Order Book Imbalance"]["signals"].append({"time":time.time(),"signal":"SELL","strength":ret})
|
||||||
|
elif ret < -0.0005:
|
||||||
|
STRATEGIES["Order Book Imbalance"]["signals"].append({"time":time.time(),"signal":"BUY","strength":abs(ret)})
|
||||||
|
|
||||||
|
# Iceberg
|
||||||
|
if len(btc_prices) >= 10:
|
||||||
|
up = sum(1 for i in range(-9,0) if btc_prices[i+1] > btc_prices[i])
|
||||||
|
if up >= 7:
|
||||||
|
STRATEGIES["Iceberg Detection"]["signals"].append({"time":time.time(),"signal":"BUY","strength":up/10})
|
||||||
|
elif up <= 3:
|
||||||
|
STRATEGIES["Iceberg Detection"]["signals"].append({"time":time.time(),"signal":"SELL","strength":1-up/10})
|
||||||
|
|
||||||
|
# Funding Arb — use actual mainnet funding rate
|
||||||
|
if funding_rates:
|
||||||
|
btc_fr = funding_rates[-1].get("BTC", 0) if isinstance(funding_rates[-1], dict) else 0
|
||||||
|
# Annualized: funding every 8h → 3× daily → 1095× yearly
|
||||||
|
annual_fr = abs(btc_fr) * 365 * 3 if btc_fr else 0
|
||||||
|
if annual_fr > 0.05: # >5% APR
|
||||||
|
STRATEGIES["Funding Rate Arb"]["signals"].append(
|
||||||
|
{"time":time.time(),"signal":"SELL" if btc_fr > 0 else "BUY",
|
||||||
|
"strength":annual_fr/100}
|
||||||
|
)
|
||||||
|
|
||||||
|
# Pairs: BTC/ETH ratio Z-score
|
||||||
|
if len(btc_prices) >= 20 and len(eth_prices) >= 20:
|
||||||
|
ratios = [btc_prices[i] / max(eth_prices[i], 0.01) for i in range(-20, 0)]
|
||||||
|
mu = sum(ratios) / len(ratios)
|
||||||
|
std = math.sqrt(sum((r-mu)**2 for r in ratios) / len(ratios))
|
||||||
|
cur = btc / max(eth, 0.01)
|
||||||
|
if std > 0:
|
||||||
|
z = (cur - mu) / std
|
||||||
|
if z > 1.5:
|
||||||
|
STRATEGIES["Pairs Trading"]["signals"].append({"time":time.time(),"signal":"SELL_ETH","strength":z})
|
||||||
|
elif z < -1.5:
|
||||||
|
STRATEGIES["Pairs Trading"]["signals"].append({"time":time.time(),"signal":"BUY_ETH","strength":abs(z)})
|
||||||
|
|
||||||
|
# Momentum Breakout
|
||||||
|
if len(btc_prices) >= 20:
|
||||||
|
w = list(btc_prices)[-20:]; sma = sum(w)/len(w)
|
||||||
|
variance = sum((p-sma)**2 for p in w)/len(w); std = math.sqrt(variance)
|
||||||
|
if std > 0:
|
||||||
|
if btc > sma + 2*std:
|
||||||
|
STRATEGIES["Momentum Breakout"]["signals"].append({"time":time.time(),"signal":"BUY","strength":(btc-sma-2*std)/std})
|
||||||
|
elif btc < sma - 2*std:
|
||||||
|
STRATEGIES["Momentum Breakout"]["signals"].append({"time":time.time(),"signal":"SELL","strength":(sma-2*std-btc)/std})
|
||||||
|
|
||||||
|
# Mean Reversion
|
||||||
|
if len(btc_prices) >= 20:
|
||||||
|
w = list(btc_prices)[-20:]; vols = [1 + i/len(w) for i in range(len(w))]
|
||||||
|
vwap = sum(p*v for p,v in zip(w, vols)) / sum(vols)
|
||||||
|
vstd = math.sqrt(sum((p-vwap)**2 for p in w) / len(w))
|
||||||
|
dev = (btc - vwap) / vstd if vstd > 0 else 0
|
||||||
|
if dev > 1.5:
|
||||||
|
STRATEGIES["Mean Reversion"]["signals"].append({"time":time.time(),"signal":"SELL","strength":dev})
|
||||||
|
elif dev < -1.5:
|
||||||
|
STRATEGIES["Mean Reversion"]["signals"].append({"time":time.time(),"signal":"BUY","strength":abs(dev)})
|
||||||
|
|
||||||
|
for s in STRATEGIES.values():
|
||||||
|
s["signals"] = s["signals"][-20:]
|
||||||
|
|
||||||
|
# ═══════════════════════ Fill Simulation ═══════════════════════
|
||||||
|
|
||||||
|
def simulate_fill(name: str, side: str, coin: str, price: float):
|
||||||
|
"""Simulate a trade fill at market price with fees."""
|
||||||
|
cfg = STRATEGIES[name]
|
||||||
|
sz = cfg["size"]
|
||||||
|
notional = sz * price
|
||||||
|
|
||||||
|
fee = notional * TAKER_FEE
|
||||||
|
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
|
||||||
|
|
||||||
|
|
||||||
|
# ═══════════════════════ A-S Spread Capture ═══════════════════════
|
||||||
|
|
||||||
|
def simulate_avellaneda(btc_bid, btc_ask):
|
||||||
|
"""Avellaneda-Stoikov: simulate spread capture when orders are at best bid/ask."""
|
||||||
|
cfg = STRATEGIES["Avellaneda-Stoikov"]
|
||||||
|
if btc_bid <= 0 or btc_ask <= 0:
|
||||||
|
return
|
||||||
|
|
||||||
|
# Each tick, there's a chance our quotes get hit
|
||||||
|
# On mainnet, this happens frequently. Simulate with probability.
|
||||||
|
if random.random() < 0.15: # 15% per tick = fill every ~7 seconds on average
|
||||||
|
# Our bid gets hit (we buy at bid, sell at ask later for profit)
|
||||||
|
if cfg["position"] <= 0:
|
||||||
|
# Buy at bid
|
||||||
|
bid_fill_price = btc_bid
|
||||||
|
else:
|
||||||
|
# Sell at ask (close position)
|
||||||
|
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
|
||||||
|
|
||||||
|
|
||||||
|
# ═══════════════════════ 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:],
|
||||||
|
"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,
|
||||||
|
}
|
||||||
|
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" 7 strategies × $1,000 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:
|
||||||
|
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
|
||||||
|
btc_bid, btc_ask = get_mainnet_orderbook("BTC")
|
||||||
|
|
||||||
|
# Avellaneda-Stoikov: simulate spread capture
|
||||||
|
simulate_avellaneda(btc_bid, btc_ask)
|
||||||
|
|
||||||
|
# Process next strategy's signals
|
||||||
|
name = strategy_names[idx % 7]
|
||||||
|
idx += 1
|
||||||
|
cfg = STRATEGIES[name]
|
||||||
|
if name == "Avellaneda-Stoikov":
|
||||||
|
continue # Already handled above
|
||||||
|
|
||||||
|
# Check for signals
|
||||||
|
if not cfg["signals"]:
|
||||||
|
continue
|
||||||
|
|
||||||
|
sig = cfg["signals"][-1]
|
||||||
|
signal_str = str(sig["signal"])
|
||||||
|
|
||||||
|
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}"
|
||||||
|
)
|
||||||
|
|
||||||
|
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())
|
||||||
Reference in New Issue
Block a user