 ramseshk
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e0be9f4d40
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feat: advanced microstructure — sequencer latency, dealer GEX, tick regime, triangular arb
4 new modules with 20 tests:
#22 Sequencer Latency Detector (live/monitors/sequencer_latency.py):
Detects stale-state windows between WebSocket and REST API.
- WebSocket vs REST timestamp delta tracking
- Transport latency percentiles (p50, p99)
- Liquidation-triggered stale-state detection
- Stale asset identification for cross-margin arbitrage
#25 Dealer GEX (microstructure/dealer_gex.py):
Dealer Gamma Exposure estimation via Black-Scholes.
- Per-strike gamma × OI × spot² GEX computation
- Pin level detection (strikes where dealers are long gamma)
- Net GEX aggregation
- Signal: fade_breakout (long gamma pinning) vs ride_momentum
(short gamma amplification)
- nearest_pin() for distance-to-magnet calculation
#30 Tick-Size Regime Exploitation (microstructure/tick_regime.py):
Detects when asset price approaches tick-size boundaries.
- Hyperliquid tick schedule (BTC 0.1/0.5, ETH 0.01/0.05, SOL 0.001/0.005)
- Boundary approach detection with configurable threshold
- Linear trend estimation for expected bars-to-cross
- Signal: widen_quotes or tighten_quotes with urgency classification
- Per-coin state tracking
#33 Triangular Latency Arb (live/monitors/triangular_arb.py):
Cross-venue A→B→C triangular arbitrage detection.
- Internal triangular: BTC-USDT → ETH-BTC → ETH-USDT
- Cross-venue: price discrepancy across slow/fast venues
- Latency gap detection between venue pairs
- Implied cross-rate computation vs direct quote
- Minimum spread threshold gating
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2026-08-10 10:34:56 +08:00 |
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