 ramseshk
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50d63e1ecc
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feat: HFT infrastructure — tick backtest runner, VPIN-gated A-S maker, WQI predictor, queue-aware fills
- backtests/tick_runner.py: TickBacktestRunner replays stored Parquet L2/trade events
through sim/engine.py with queue position modeling, producing PnL breakdowns,
equity curves, VPIN curves, and QuantVerdict significance reports
- VPINGatedASMaker: VPIN-toxicity-gated A-S market maker with inventory skew
and dynamic spread widening; blocks quoting when VPIN >= alarm threshold
- sim/engine.py: Added SimConfig.from_fee_tier() factory — constructs sim
config from Hyperliquid fee tier (VIP + staking)
- sim/fills.py: Added QueueAwareFillModel — realistic queue-priority fill
simulation replacing random fills in paper trading
- strategies/wqi_predictor.py: WQI z-score directional strategy with
adverse selection gating, timeout exit, stop-loss, and take-profit
- cli.py: Added 'tick', 'markout' analysis, and 'discover' signal-discovery
commands for end-to-end tick-level HFT research pipeline
301 tests passing (23 new).
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2026-08-11 10:43:51 +08:00 |
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ramseshk
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639dd4fb6d
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feat: Phase 3 — event-driven market-making simulator + 53 tests
New sim/ module — 7 files + init, replays stored L2/trade data
through a realistic market-making simulation:
sim/engine.py (SimulationEngine):
Event-driven core — processes L2 updates, trades, mark prices
sequentially. Orchestrates queue model, maker quotes, fill sim,
constraints, scenarios. Supports periodic re-quoting and
stale order cancellation.
sim/queue.py (QueueModel):
Price-time FIFO queue per price level. Tracks where maker orders
sit in queue. Simulates order eating by aggressor trades.
fill_probability() — Poisson thinning model for fill odds.
sim/maker.py:
AvellanedaStoikovMaker — stochastic control quoting with
aeta, k, tau parameters. Reservation price based on inventory.
quote() and quote_with_skew() with configurable inventory tilt.
GridMaker — evenly-spaced grid quoting at N levels.
sim/fills.py:
FillSimulator — partial fills, adverse selection probability,
cancel latency (gaussian RTT). FillEvent/CancelEvent tracking.
adverse_selection_intensity() — measures post-fill price moves.
sim/constraints.py:
InventoryConstraint — long/short/net/gross position limits.
FundingConstraint — hourly funding cost estimation.
FeeSchedule — maker/taker fee calculation.
LiquidationRisk — liquidation price and safety distance.
CircuitBreaker — PnL, trade count, toxic rate, slippage trips.
ConstraintManager — unified pre-trade constraint check.
sim/scenario.py:
ScenarioEngine — randomized exchange downtimes, latency spikes,
volatility bursts. State query per sim_time for spread/trade-rate.
sim/reporter.py:
PnLReporter — component-level PnL breakdown:
spread_capture, inventory_pnl, fees, funding, adverse_selection.
SimulationStats — trade counts, fill rates, drawdown, sharpe.
Equity curve tracking and max drawdown computation.
53 new tests across 4 files (all pass):
test_sim_queue.py (12) — order placement, FIFO, fills, cancels
test_sim_maker.py (9) — A-S quotes, inventory skew, grid maker
test_sim_constraints.py (14) — limits, funding, fees, liquidation, breakers
test_sim_reporter.py (12) — PnL components, equity curve, stats
test_sim_engine.py (6) — full engine integration
Total test suite: 134 tests, all passing.
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2026-08-07 14:39:59 +08:00 |
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