Files
ramseshk fcfc136384 feat: Phase 2 — microstructure analytics + 81 tests
New microstructure/ module with pure-function analytics:

microstructure/book.py:
  microprice() — depth-weighted mid price
  mid_price() — simple bid/ask midpoint
  order_book_imbalance() — ranged [-1, 1] volume skew
  depth_imbalance() — imbalance at fixed price distance
  spread_stats() — spread, spread_bps, mid, bid, ask
  depth_resiliency() — bid/ask volume within impact radius
  queue_depletion_prob() — Poisson fill probability at level
  batch_book_stats() — aggregate stats across snapshots

microstructure/trades.py:
  classify_lee_ready() — Lee-Ready aggressor classification
  classify_bulk_lee_ready() — batch classification with mids/bids/asks
  compute_markouts() — forward mid-price change at configurable horizons
  markout_summary() — mean/std/t-stat per side per horizon
  trade_volume_profile() — size bucket distribution
  trade_arrival_rate() — rolling trades/sec with burst detection

microstructure/toxicity.py:
  compute_vpin() — volume-synchronized informed trading probability
  compute_vpin_time_series() — rolling VPIN with alarm threshold
  fill_toxicity() — adverse price movement post-trade
  adverse_selection_ratio() — per-side adverse selection
  liquidation_clustering() — cluster detection in liquidation events

microstructure/funding.py:
  funding_regime() — classify regime (neutral/positive/negative/high)
  funding_predictability() — AR(1) autocorrelation analysis
  funding_carry_pnl() — cumulative carry PnL estimation
  basis_spread() — perp premium over spot (bps)
  basis_convergence_speed() — mean-reversion half-life via AR(1)

microstructure/signals.py:
  composite_signal() — weighted OBI + trade + VPIN + funding signal
  SignalPipeline — stateful pipeline accumulating book/trade updates
  detect_hft_regime() — regime classifier for HFT strategy selection

Bug fixes in Phase 1:
  - data/latency.py: proper linear-interpolation percentiles
  - data/normalizer.py: UTC timezone for naive datetimes
  - data/normalizer.py: detect_sequence_gap returns gap-1 (missing count)
  - microstructure/toxicity.py: consistent vpin_value key in compute_vpin

81 tests across 4 test files (store, normalizer, latency, microstructure)
2026-08-07 14:34:18 +08:00

99 lines
3.6 KiB
Python

"""
Exchange vs signal latency tracking.
Measures:
1. Exchange transport latency: exchange_ts → local receipt time
2. Signal computation latency: data receipt → signal generated
3. Order latency: signal → order accepted on exchange
4. Round-trip latency: signal → fill confirmation
Each metric is tracked as a rolling window with percentiles.
"""
from __future__ import annotations
import time
from collections import deque
from typing import Optional
class LatencyTracker:
"""Track exchange and signal latencies with rolling percentiles."""
def __init__(self, window_seconds: float = 300.0, max_samples: int = 10000):
self._window = window_seconds
self._transport: deque[tuple[float, float]] = deque(maxlen=max_samples) # (time, ms)
self._signal: deque[tuple[float, float]] = deque(maxlen=max_samples)
self._order: deque[tuple[float, float]] = deque(maxlen=max_samples)
self._roundtrip: deque[tuple[float, float]] = deque(maxlen=max_samples)
def record_transport(self, exchange_ts_ms: int, local_ts: float | None = None):
"""Exchange timestamp → local receipt (ms)."""
local = local_ts or time.time()
lat = (local * 1000) - exchange_ts_ms
if 0 <= lat < 300_000: # Ignore clock skew > 5 min
self._transport.append((time.time(), lat))
def record_signal(self, duration_ms: float):
"""Time from data receipt to signal generation (ms)."""
if duration_ms >= 0:
self._signal.append((time.time(), duration_ms))
def record_order(self, duration_ms: float):
"""Signal generation → order accepted on exchange (ms)."""
if duration_ms >= 0:
self._order.append((time.time(), duration_ms))
def record_roundtrip(self, duration_ms: float):
"""Signal generation → fill confirmed (ms)."""
if duration_ms >= 0:
self._roundtrip.append((time.time(), duration_ms))
# ── Stats ──────────────────────────────────────────────────
def stats(self) -> dict:
return {
"transport_ms": self._percentiles(self._transport),
"signal_ms": self._percentiles(self._signal),
"order_ms": self._percentiles(self._order),
"roundtrip_ms": self._percentiles(self._roundtrip),
}
def summary(self) -> dict:
"""Compact summary: just p50/p99 for each metric."""
s = self.stats()
out = {}
for key, pct in s.items():
out[key] = {"p50": pct.get("p50", 0), "p99": pct.get("p99", 0)}
return out
# ── Internals ──────────────────────────────────────────────
def _prune(self, buffer: deque):
cutoff = time.time() - self._window
while buffer and buffer[0][0] < cutoff:
buffer.popleft()
def _percentiles(self, buffer: deque) -> dict:
self._prune(buffer)
if not buffer:
return {"p50": 0, "p90": 0, "p95": 0, "p99": 0, "count": 0}
vals = sorted(v for _, v in buffer)
n = len(vals)
def _pct(p: float) -> float:
k = (n - 1) * p / 100
lo = int(k)
hi = min(lo + 1, n - 1)
frac = k - lo
return vals[lo] + frac * (vals[hi] - vals[lo])
return {
"p50": round(_pct(50), 2),
"p90": round(_pct(90), 2),
"p95": round(_pct(95), 2),
"p99": round(_pct(99), 2),
"max": round(vals[-1], 2),
"count": n,
}