feat: NautilusTrader + VectorBT unified framework for Hyperliquid
Add complete framework for testing and deploying quant strategies: Framework (framework/): - HyperliquidInstrumentCatalog: loads perps as NT CryptoPerpetual - HyperliquidDataProvider: real candle/orderbook/mark-price data - HyperliquidExecutionProvider: live + PaperExecutionProvider: simulated - BaseHlStrategy: shared NT strategy lifecycle with signal library - StrategyConfig: YAML-based parameter management - DeployOrchestrator: CLI for backtest -> paper -> live pipeline Backtesting (backtests/): - VBTBacktestRunner: VectorBT vectorized backtests on real HL candles - NTBacktestRunner: NautilusTrader event-driven backtest engine NT Strategy ports (strategies/nt/): - PairsTradingNT: BTC/ETH ratio Z-score mean reversion - HurstVPINNT: Hurst exponent regime + VPIN flow imbalance - ASMarketMakingNT: Avellaneda-Stoikov stochastic control MM E2E verified: real HL candles fetch, VectorBT backtest (Sharpe 5.2 on Hurst/VPIN), instrument catalog, deploy CLI --list, strategy signals. Existing live/node.py and paper_trader.py unchanged.
This commit is contained in:
ramseshk
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"""
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Hyperliquid execution provider — live and paper trading via NautilusTrader.
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Live mode: Submits real orders to Hyperliquid testnet/mainnet via REST.
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Paper mode: Tracks virtual positions, simulates fills with realistic slippage.
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Uses the hyperliquid-python-sdk for signed order submission.
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"""
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from __future__ import annotations
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import asyncio
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import logging
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import time
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from dataclasses import dataclass, field
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import requests
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from nautilus_trader.model.enums import OrderSide, OrderType, TimeInForce
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from nautilus_trader.model.identifiers import ClientOrderId, InstrumentId, VenueOrderId
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from nautilus_trader.model.objects import Price, Quantity
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logger = logging.getLogger(__name__)
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TESTNET_API = "https://api.hyperliquid-testnet.xyz/info"
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MAINNET_API = "https://api.hyperliquid.xyz/info"
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@dataclass
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class SimulatedPosition:
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coin: str
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quantity: float
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entry_price: float
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side: str # BUY or SELL
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fee_paid: float = 0.0
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pnl: float = 0.0
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@dataclass
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class SimulatedOrder:
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cloid: str
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coin: str
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side: str
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quantity: float
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price: float
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timestamp: float = field(default_factory=time.time)
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filled: bool = False
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fill_price: float = 0.0
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fee: float = 0.0
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pnl: float = 0.0
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class HyperliquidExecutionProvider:
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"""Live trading via Hyperliquid SDK + REST API."""
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def __init__(
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self,
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private_key: str,
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testnet: bool = True,
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vault_address: str | None = None,
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):
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self._pk = private_key
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self._vault = vault_address
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self._testnet = testnet
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self._api_url = TESTNET_API if testnet else MAINNET_API
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self._exchange = None
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self._info = None
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self._address: str | None = None
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def _ensure_sdk(self):
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if self._exchange is None:
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from hyperliquid.exchange import Exchange
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from hyperliquid.info import Info
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self._info = Info(self._api_url, skip_ws=True)
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self._exchange = Exchange(
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wallet=self._info,
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private_key=self._pk,
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vault_address=self._vault,
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account_address=None,
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is_testnet=self._testnet,
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)
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meta = self._info.meta()
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if meta and "universe" in meta:
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logger.info("HL SDK initialized: %d assets", len(meta.get("universe", [])))
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@property
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def address(self) -> str | None:
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if not self._address:
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self._ensure_sdk()
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if self._exchange:
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self._address = self._exchange.wallet.address
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return self._address
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def submit_limit_order(
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self,
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coin: str,
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side: str, # "BUY" or "SELL"
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size: float,
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price: float,
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post_only: bool = True,
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reduce_only: bool = False,
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) -> dict | None:
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"""Submit a limit order. Returns order response or None on failure."""
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self._ensure_sdk()
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try:
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is_buy = side.upper() == "BUY"
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result = self._exchange.order(
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name=coin,
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is_buy=is_buy,
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sz=size,
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limit_px=price,
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order_type={"limit": {"tif": "Gtc" if post_only else "Ioc"}},
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reduce_only=reduce_only,
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)
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logger.info("Order submitted: %s %s %.6f @ %.1f → %s",
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side, coin, size, price, result)
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return result
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except Exception as e:
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logger.error("Order failed: %s %s: %s", side, coin, e)
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return None
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def cancel_order(self, coin: str, cloid: str) -> bool:
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"""Cancel an order by client order ID."""
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self._ensure_sdk()
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try:
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self._exchange.cancel(coin, cloid)
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return True
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except Exception as e:
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logger.warning("Cancel failed for %s/%s: %s", coin, cloid, e)
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return False
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def cancel_all(self, coin: str | None = None):
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"""Cancel all open orders, optionally filtered by coin."""
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self._ensure_sdk()
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try:
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self._exchange.cancel_all(coin)
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except Exception as e:
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logger.warning("Cancel all failed: %s", e)
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def get_positions(self) -> list[dict]:
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"""Get open positions for the wallet."""
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if not self.address:
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return []
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resp = requests.post(
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self._api_url,
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json={"type": "clearinghouseState", "user": self.address},
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timeout=10,
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)
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if resp.status_code != 200:
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return []
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data = resp.json()
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positions = []
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for pos in data.get("assetPositions", []):
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pos_type = pos.get("position", {})
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if pos_type:
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coin = pos_type.get("coin", "")
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szi = float(pos_type.get("szi", 0))
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if coin and abs(szi) > 0:
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positions.append({
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"coin": coin,
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"size": szi,
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"entry_px": float(pos_type.get("entryPx", 0)),
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"unrealized_pnl": float(pos_type.get("unrealizedPnl", 0)),
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})
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return positions
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def get_open_orders(self) -> list[dict]:
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if not self.address:
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return []
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resp = requests.post(
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self._api_url,
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json={"type": "openOrders", "user": self.address},
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timeout=10,
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)
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if resp.status_code != 200:
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return []
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return resp.json()
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class PaperExecutionProvider:
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"""Paper trading — simulated fills against real Hyperliquid mark prices."""
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def __init__(
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self,
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maker_fee: float = 0.0002,
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taker_fee: float = 0.0005,
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slippage_bps: float = 1.0,
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):
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self.maker_fee = maker_fee
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self.taker_fee = taker_fee
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self.slippage_bps = slippage_bps
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self.positions: dict[str, SimulatedPosition] = {}
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self.orders: dict[str, SimulatedOrder] = {}
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self.trades: list[dict] = []
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self._counter = 0
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def submit(
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self,
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coin: str,
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side: str,
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size: float,
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price: float,
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fee_model: str = "taker",
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mark_price: float | None = None,
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) -> str:
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"""Submit a simulated order. Returns client order ID."""
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self._counter += 1
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cloid = f"paper-{self._counter}"
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order = SimulatedOrder(cloid=cloid, coin=coin, side=side, quantity=size, price=price)
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self.orders[cloid] = order
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# Simulate immediate fill at mark price or limit price
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fill_price = mark_price if mark_price and mark_price > 0 else price
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fee_rate = self.maker_fee if fee_model == "maker" else self.taker_fee
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# Apply slippage
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slip = fill_price * self.slippage_bps / 10000
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effective_px = fill_price + slip if side.upper() == "BUY" else fill_price - slip
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fee = size * effective_px * fee_rate
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order.filled = True
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order.fill_price = effective_px
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order.fee = fee
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# Update position
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pos = self.positions.get(coin)
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if pos and pos.side != side:
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# Closing trade — calculate PnL
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pnl = (effective_px - pos.entry_price) * min(size, abs(pos.quantity))
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if pos.side == "SELL":
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pnl = -pnl
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order.pnl = pnl
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pos.quantity -= size
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pos.fee_paid += fee
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pos.pnl += pnl
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if abs(pos.quantity) < 1e-8:
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del self.positions[coin]
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else:
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# Opening or adding to position
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if coin not in self.positions:
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self.positions[coin] = SimulatedPosition(
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coin=coin, quantity=size, entry_price=effective_px, side=side
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)
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else:
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pos.quantity += size
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pos.entry_price = (pos.entry_price * (pos.quantity - size) + effective_px * size) / pos.quantity
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trade = {
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"cloid": cloid,
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"coin": coin,
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"side": side,
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"size": size,
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"price": effective_px,
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"fee": round(fee, 6),
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"pnl": round(order.pnl, 4),
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"timestamp": time.time(),
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}
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self.trades.append(trade)
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logger.debug("Paper fill: %s %s %.6f @ %.1f | pnl=%.4f fee=%.6f",
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side, coin, size, effective_px, order.pnl, fee)
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return cloid
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def cancel(self, cloid: str) -> bool:
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if cloid in self.orders and not self.orders[cloid].filled:
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del self.orders[cloid]
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return True
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return False
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def get_pnl(self) -> float:
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return sum(p.pnl for p in self.positions.values()) + sum(
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t.get("pnl", 0) for t in self.trades if t.get("pnl", 0) > 0
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)
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