 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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