 ramseshk
|
5304534e38
|
feat: advanced microstructure modules — HLP, Hawkes, Whipsaw, Term Structure, Liq Waterfall, Spoof Detector
6 new modules with 46 new tests (230 total):
#21 HLP Vault Monitor (live/monitors/hlp_vault.py):
Tracks Hyperliquid's native protocol market maker at address
0xfefefe... Queries clearinghouseState + metaAndAssetCtxs.
- Delta exposure per asset (notional + PnL)
- Overextension detection (notional exceeds M threshold)
- Rebalancing signals: fade_short when HLP too short,
fade_long when HLP too long (front-run forced rebalancing)
- Toxicity score: HLP losing money = absorbing informed flow
- Historical delta tracking
#29 Hawkes Processes (microstructure/hawkes.py):
Multivariate Hawkes calibrator for limit order book dynamics.
- MLE calibration via SGD gradient descent on log-likelihood
- Branching ratio enforcement (alpha/beta < 0.99 for stationarity)
- Intensity computation λ_i(t) with cross-excitation
- Activity forecasting (expected event count in horizon)
- Synthetic event generator (Ogata thinning)
- Pure functions: hawkes_intensity, hawkes_log_likelihood,
generate_hawkes_events
#23 Funding Whipsaw Trader (live/strategies/funding_whipsaw.py):
Premium index decay trading in final 60s of funding epoch.
- Detects deterministic convergence of premium→0 at settlement
- Time-scaled position sizing (larger closer to settlement)
- Auto-close after funding epoch completes
- Confidence scoring based on premium magnitude
#32 Term Structure Monitor (live/monitors/term_structure.py):
Perp/quarterly/bi-quarterly futures basis curve trading.
- Quarterly-perp basis with z-score anomaly detection
- BiQ-quarterly curve steepness monitoring
- Fair quarterly price via interest rate parity + funding carry
- Calendar spread signals: buy_basis, sell_basis,
curve_steepener, curve_flattener
#24 Liquidation Waterfall (live/monitors/liq_waterfall.py):
Cross-margin liquidation order prediction.
- Margin ratio tracking (equity / maintenance margin)
- Danger/critical level classification
- Asset liquidation priority: maintenance / book_liquidity ratio
(least liquid asset relative to margin = dumped first)
- Strategy output: widen_spreads on target, tighten on rest
#31 Spoof Detector (microstructure/spoof_detector.py):
Adversarial ML-style spoofing pattern recognition.
- Rule 1: Large order far from mid, cancelled immediately
- Rule 2: Cancel right before trade approaches price level
- Rule 3: Oversized order with no fill within short lifetime
- Spoof probability (rolling window ratio)
- Cancel-to-fill ratio monitoring
|
2026-08-07 17:52:20 +08:00 |
|