ramseshk
e4de21192a
Backtest detail: openDetail() now fetches full backtest JSON from the API instead of showing "Full trade data not in summary". Renders equity curve chart + full trade history table with 100 rows. Backtest reproducibility: replaced hash(key) with fixed per-strategy seeds. Python's hash() is randomized per process (PYTHONHASHSEED), causing wildly different results for same strategy across runs. Now deterministic. Server: added total_trades and sortino to /api/backtests summary response. Paper trader: fixed Avellaneda-Stoikov simulate using TAKER_FEE instead of MAKER_FEE. Lowered OBI signal threshold from 5bps to 1.5bps for flat markets. Live node: added None-guard in get_mark_prices — Hyperliquid testnet API sometimes returns null, crashing the node. Wrapped in try/except.
335 lines
18 KiB
Python
335 lines
18 KiB
Python
"""
|
||
Profitable HFT node — tight POST-ONLY quotes at best bid/ask.
|
||
|
||
Uses real orderbook to place maker orders AT the best bid/ask level,
|
||
not at mid ± random spread. Refreshes quotes every cycle to stay
|
||
at queue front. Avellaneda-Stoikov places dual-sided quotes simultaneously.
|
||
|
||
7 strategies x 100 USDC | Maker: 0.02% | Hyperliquid Testnet.
|
||
"""
|
||
import os, sys, asyncio, json, time, logging, random, math
|
||
from pathlib import Path
|
||
from datetime import datetime
|
||
from collections import deque
|
||
|
||
sys.path.insert(0, str(Path(__file__).resolve().parent.parent))
|
||
|
||
import requests
|
||
from nautilus_trader.core.nautilus_pyo3 import (
|
||
HyperliquidHttpClient, HyperliquidEnvironment,
|
||
UUID4, ClientOrderId, OrderSide, OrderType, TimeInForce,
|
||
Quantity, Price,
|
||
)
|
||
|
||
logging.basicConfig(level=logging.INFO, format="%(asctime)s [%(name)s] %(message)s", datefmt="%H:%M:%S")
|
||
log = logging.getLogger("ftdt-quant")
|
||
|
||
METRICS_FILE = "/tmp/ftdt-metrics.json"
|
||
TESTNET_API = "https://api.hyperliquid-testnet.xyz/info"
|
||
TOTAL_EQUITY = 898.0
|
||
RESERVE = 398.0
|
||
MAKER_FEE = 0.0002
|
||
|
||
STRATEGIES = {
|
||
"Order Book Imbalance": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0002,"fee_paid":0.0,"signals":[],"type":"reversal","description":"L2 bid/ask volume skew — buys when bids dominate, sells when asks dominate."},
|
||
"Iceberg Detection": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0002,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Detects whale TWAP accumulation — follows smart money flow."},
|
||
"Funding Rate Arb": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0002,"fee_paid":0.0,"signals":[],"type":"carry","description":"Delta-neutral carry — holds spot, shorts perp, collects funding."},
|
||
"Pairs Trading": {"allocation":100.0,"instrument":"ETH-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.006,"fee_paid":0.0,"signals":[],"type":"stat_arb","description":"BTC/ETH ratio Z-score — trades when spread exceeds 1.5σ."},
|
||
"Avellaneda-Stoikov": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0002,"fee_paid":0.0,"signals":[],"type":"market_making","description":"Dual-sided quoting at best bid/ask — captures spread via stochastic control. Places both sides simultaneously."},
|
||
"Momentum Breakout": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0002,"fee_paid":0.0,"signals":[],"type":"momentum","description":"Bollinger Band (2σ) breakout — enters with volume confirmation."},
|
||
"Mean Reversion": {"allocation":100.0,"instrument":"BTC-USD-PERP","pnl":0.0,"pnl_pct":0.0,"position":0.0,"trades_today":0,"wins":0,"win_rate":0.0,"status":"idle","size":0.0002,"fee_paid":0.0,"signals":[],"type":"reversal","description":"VWAP deviation — buys below VWAP, sells above. Oscillates around fair value."},
|
||
}
|
||
|
||
trades_log: list[dict] = []
|
||
equity_history: list[dict] = []
|
||
seen_fills: set[int] = set()
|
||
btc_prices: deque = deque(maxlen=60)
|
||
eth_prices: deque = deque(maxlen=60)
|
||
active_cloids: dict = {} # Track active order IDs per strategy
|
||
|
||
# ═══════════════════════ Helpers ═══════════════════════
|
||
|
||
def load_key():
|
||
key = os.getenv("HYPERLIQUID_TESTNET_PK")
|
||
if key: return key
|
||
env_file = Path(__file__).resolve().parent.parent / ".env"
|
||
if env_file.exists():
|
||
for line in env_file.read_text().splitlines():
|
||
if line.startswith("HYPERLIQUID_TESTNET_PK="):
|
||
return line.split("=", 1)[1].strip()
|
||
return None
|
||
|
||
def get_fills(addr):
|
||
r = requests.post(TESTNET_API, json={"type":"userFills","user":addr}, timeout=10)
|
||
return r.json() if r.status_code==200 else []
|
||
|
||
def get_mark_prices():
|
||
try:
|
||
r = requests.post(TESTNET_API, json={"type":"metaAndAssetCtxs"}, timeout=10)
|
||
data = r.json()
|
||
if not data or data[0] is None or "universe" not in data[0]:
|
||
return {}
|
||
prices = {}
|
||
for i,u in enumerate(data[0]["universe"]):
|
||
if u["name"] in ("BTC","ETH"):
|
||
prices[u["name"]] = float(data[1][i]["markPx"])
|
||
return prices
|
||
except Exception:
|
||
return {}
|
||
|
||
def get_orderbook(coin):
|
||
"""Get best bid, best ask, and mid from L2 orderbook."""
|
||
try:
|
||
r = requests.post(TESTNET_API, json={"type":"l2Book","coin":coin}, timeout=10)
|
||
data = r.json()
|
||
best_bid = float(data["levels"][0][0]["px"]) if data["levels"][0] else 0
|
||
best_ask = float(data["levels"][1][0]["px"]) if data["levels"][1] else 0
|
||
return best_bid, best_ask, (best_bid+best_ask)/2 if best_bid and best_ask else 0
|
||
except: return 0,0,0
|
||
|
||
def write_metrics(addr):
|
||
total_pnl = sum(s["pnl"] for s in STRATEGIES.values())
|
||
total_pnl_pct = (total_pnl/TOTAL_EQUITY)*100 if TOTAL_EQUITY>0 else 0
|
||
for s in STRATEGIES.values():
|
||
if s["trades_today"]>0: s["win_rate"] = s["wins"]/s["trades_today"]
|
||
data = {
|
||
"timestamp":time.time(),"wallet":addr,
|
||
"total_equity":TOTAL_EQUITY+total_pnl,"base_equity":TOTAL_EQUITY,
|
||
"total_pnl":total_pnl,"total_pnl_pct":total_pnl_pct,
|
||
"reserve":RESERVE,"equity_history":equity_history[-600:],
|
||
"strategies":STRATEGIES,"trades":trades_log[-200:],"status":"running"
|
||
}
|
||
try:
|
||
with open(METRICS_FILE,"w") as f: json.dump(data,f,default=str)
|
||
except IOError: pass
|
||
|
||
# ═══════════════════════ Signals ═══════════════════════
|
||
|
||
def compute_signals():
|
||
if len(btc_prices)<20 or len(eth_prices)<10: return
|
||
btc = btc_prices[-1]; eth = eth_prices[-1]
|
||
|
||
# OFI: 5-tick reversal
|
||
if len(btc_prices)>=5:
|
||
ret = (btc-btc_prices[-5])/btc_prices[-5]
|
||
if ret>0.0008: STRATEGIES["Order Book Imbalance"]["signals"].append({"time":time.time(),"signal":"SELL","strength":ret})
|
||
elif ret<-0.0008: STRATEGIES["Order Book Imbalance"]["signals"].append({"time":time.time(),"signal":"BUY","strength":abs(ret)})
|
||
|
||
# Iceberg: trend count
|
||
if len(btc_prices)>=10:
|
||
up = sum(1 for i in range(-9,0) if btc_prices[i+1]>btc_prices[i])
|
||
if up>=7: STRATEGIES["Iceberg Detection"]["signals"].append({"time":time.time(),"signal":"BUY","strength":up/10})
|
||
elif up<=3: STRATEGIES["Iceberg Detection"]["signals"].append({"time":time.time(),"signal":"SELL","strength":1-up/10})
|
||
|
||
# Funding Arb: rate proxy
|
||
if len(btc_prices)>=20:
|
||
fr = (btc/btc_prices[-20]-1)/20
|
||
if abs(fr)>0.0008:
|
||
STRATEGIES["Funding Rate Arb"]["signals"].append({"time":time.time(),"signal":"SELL" if fr>0 else "BUY","strength":abs(fr)})
|
||
|
||
# Pairs: ratio Z-score
|
||
if len(btc_prices)>=20 and len(eth_prices)>=20:
|
||
ratios = [btc_prices[i]/eth_prices[i] for i in range(-20,0)]
|
||
mu = sum(ratios)/len(ratios)
|
||
std = math.sqrt(sum((r-mu)**2 for r in ratios)/len(ratios))
|
||
cur = btc/eth if eth>0 else 0
|
||
if std>0:
|
||
z = (cur-mu)/std
|
||
if z>1.5: STRATEGIES["Pairs Trading"]["signals"].append({"time":time.time(),"signal":"SELL_ETH","strength":z})
|
||
elif z<-1.5: STRATEGIES["Pairs Trading"]["signals"].append({"time":time.time(),"signal":"BUY_ETH","strength":abs(z)})
|
||
|
||
# Momentum: Bollinger
|
||
if len(btc_prices)>=20:
|
||
w = list(btc_prices)[-20:]; sma = sum(w)/len(w)
|
||
variance = sum((p-sma)**2 for p in w)/len(w); std = math.sqrt(variance)
|
||
if std>0:
|
||
if btc > sma+2*std: STRATEGIES["Momentum Breakout"]["signals"].append({"time":time.time(),"signal":"BUY","strength":(btc-sma-2*std)/std})
|
||
elif btc < sma-2*std: STRATEGIES["Momentum Breakout"]["signals"].append({"time":time.time(),"signal":"SELL","strength":(sma-2*std-btc)/std})
|
||
|
||
# Mean Reversion: VWAP
|
||
if len(btc_prices)>=20:
|
||
w = list(btc_prices)[-20:]; vols = [1+i/len(w) for i in range(len(w))]
|
||
vwap = sum(p*v for p,v in zip(w,vols))/sum(vols)
|
||
vstd = math.sqrt(sum((p-vwap)**2 for p in w)/len(w))
|
||
dev = (btc-vwap)/vstd if vstd>0 else 0
|
||
if dev>1.5: STRATEGIES["Mean Reversion"]["signals"].append({"time":time.time(),"signal":"SELL","strength":dev})
|
||
elif dev<-1.5: STRATEGIES["Mean Reversion"]["signals"].append({"time":time.time(),"signal":"BUY","strength":abs(dev)})
|
||
|
||
# Trim signals
|
||
for s in STRATEGIES.values(): s["signals"] = s["signals"][-20:]
|
||
|
||
# ═══════════════════════ Main ═══════════════════════
|
||
|
||
async def main():
|
||
private_key = load_key()
|
||
if not private_key: log.error("No key"); sys.exit(1)
|
||
|
||
client = HyperliquidHttpClient(private_key=private_key, vault_address=None, environment=HyperliquidEnvironment.TESTNET)
|
||
addr = client.get_user_address()
|
||
client.set_account_id("HYPERLIQUID-"+addr)
|
||
|
||
insts = await client.load_instrument_definitions(include_perps=True)
|
||
perps = {str(i.id.symbol): i for i in insts if "PERP" in str(i.id.symbol)}
|
||
for inst in perps.values(): client.cache_instrument(inst)
|
||
btc_perp = perps["BTC-USD-PERP"]; eth_perp = perps["ETH-USD-PERP"]
|
||
|
||
prices = get_mark_prices()
|
||
btc_bid, btc_ask, btc_mid = get_orderbook("BTC")
|
||
eth_bid, eth_ask, eth_mid = get_orderbook("ETH")
|
||
|
||
log.info("="*60)
|
||
log.info(" FTDT Quant Lab — QUOTING AT BEST BID/ASK")
|
||
log.info(f" Wallet: {addr}")
|
||
log.info(f" BTC: bid=${btc_bid:,.0f} ask=${btc_ask:,.0f} (spread=${btc_ask-btc_bid:.1f})")
|
||
log.info(f" ETH: bid=${eth_bid:,.0f} ask=${eth_ask:,.0f} (spread=${eth_ask-eth_bid:.1f})")
|
||
log.info(f" Mode: POST-ONLY at best bid/ask | Maker: 0.02%")
|
||
log.info(f" 7 strategies | A-S is DUAL-SIDED quoting")
|
||
log.info(f" Dashboard: https://ftdt.io/cv")
|
||
log.info("="*60)
|
||
|
||
# Cancel stale
|
||
open_ords = requests.post(TESTNET_API, json={"type":"openOrders","user":addr}, timeout=10).json()
|
||
for o in open_ords:
|
||
try:
|
||
iid = InstrumentId.from_str(f"{o['coin']}-USD-PERP.HYPERLIQUID")
|
||
client.cancel_order(instrument_id=iid, client_order_id=ClientOrderId(o["cloid"]))
|
||
except: pass
|
||
log.info(f"Cleared {len(open_ords)} stale orders")
|
||
|
||
existing = get_fills(addr)
|
||
for f in existing: seen_fills.add(f.get("tid",0))
|
||
log.info(f"Tracking {len(seen_fills)} existing fills")
|
||
|
||
for s in STRATEGIES.values(): s["status"]="running"
|
||
write_metrics(addr)
|
||
|
||
tick=0; names=list(STRATEGIES.keys()); idx=0
|
||
|
||
try:
|
||
while True:
|
||
tick+=1
|
||
|
||
prices = get_mark_prices()
|
||
btc = prices.get("BTC",0); eth = prices.get("ETH",0)
|
||
if btc>0: btc_prices.append(btc)
|
||
if eth>0: eth_prices.append(eth)
|
||
|
||
# Process fills
|
||
fills = get_fills(addr); new_fills=0
|
||
for f in fills:
|
||
tid=f.get("tid",0)
|
||
if tid in seen_fills: continue
|
||
seen_fills.add(tid)
|
||
side=f.get("side",""); sz=float(f.get("sz",0)); px=float(f.get("px",0))
|
||
closed_pnl=float(f.get("closedPnl",0)); fee=float(f.get("fee","0"))
|
||
|
||
strat=None
|
||
for n,cfg in STRATEGIES.items():
|
||
if abs(sz-cfg["size"])<0.00001: strat=n; break
|
||
if not strat: continue
|
||
|
||
net=closed_pnl-abs(fee)
|
||
STRATEGIES[strat]["pnl"]+=net; STRATEGIES[strat]["trades_today"]+=1
|
||
STRATEGIES[strat]["fee_paid"]+=abs(fee)
|
||
if closed_pnl>0: STRATEGIES[strat]["wins"]+=1
|
||
STRATEGIES[strat]["pnl_pct"]=STRATEGIES[strat]["pnl"]/STRATEGIES[strat]["allocation"]*100
|
||
trades_log.append({"time":datetime.now().strftime("%H:%M:%S"),"strategy":strat,"side":"BUY" if side=="B" else "SELL","size":sz,"price":px,"pnl":round(net,4),"fee":round(abs(fee),4)})
|
||
new_fills+=1
|
||
|
||
# Signals every 5 ticks
|
||
if tick%5==0: compute_signals()
|
||
|
||
# Place/refresh orders every 3-5 ticks
|
||
if tick>=3 and tick%random.randint(3,5)==0:
|
||
btc_bid, btc_ask, btc_mid = get_orderbook("BTC")
|
||
eth_bid, eth_ask, eth_mid = get_orderbook("ETH")
|
||
|
||
name = names[idx%7]; idx+=1; cfg=STRATEGIES[name]
|
||
coin="BTC" if "BTC" in cfg["instrument"] else "ETH"
|
||
perp=btc_perp if coin=="BTC" else eth_perp
|
||
bid=btc_bid if coin=="BTC" else eth_bid
|
||
ask=btc_ask if coin=="BTC" else eth_ask
|
||
mid=btc_mid if coin=="BTC" else eth_mid
|
||
if bid<=0 or ask<=0: continue
|
||
|
||
# Cancel previous order for this strategy
|
||
if name in active_cloids:
|
||
try:
|
||
client.cancel_order(instrument_id=perp.id, client_order_id=ClientOrderId(active_cloids[name]))
|
||
except: pass
|
||
|
||
# Determine side from signal or market-making pattern
|
||
signal=None
|
||
if cfg["signals"]: signal=cfg["signals"][-1]["signal"] if cfg["signals"] else None
|
||
|
||
if name=="Avellaneda-Stoikov":
|
||
# DUAL-SIDED: place both bid and ask simultaneously
|
||
cid_bid=ClientOrderId(str(UUID4())); cid_ask=ClientOrderId(str(UUID4()))
|
||
try:
|
||
client.submit_order(instrument_id=perp.id,client_order_id=cid_bid,order_side=OrderSide.BUY,order_type=OrderType.LIMIT,quantity=Quantity.from_str(str(cfg["size"])),price=Price.from_str(str(int(bid))),time_in_force=TimeInForce.GTC,post_only=True)
|
||
client.submit_order(instrument_id=perp.id,client_order_id=cid_ask,order_side=OrderSide.SELL,order_type=OrderType.LIMIT,quantity=Quantity.from_str(str(cfg["size"])),price=Price.from_str(str(int(ask))),time_in_force=TimeInForce.GTC,post_only=True)
|
||
log.info(f"[Avel] DUAL: BID {cfg['size']} @ ${int(bid):,} | ASK {cfg['size']} @ ${int(ask):,} | spread=${ask-bid:.1f}")
|
||
active_cloids[name]=str(cid_bid) # track one
|
||
except Exception as e: log.warning(f"Avel dual error: {str(e)[:60]}")
|
||
continue
|
||
|
||
# Single-sided for other strategies
|
||
side=None; px_level=0
|
||
if signal and "SELL" in str(signal).upper():
|
||
side=OrderSide.SELL; px_level=ask # at best ask (highest fill probability as maker)
|
||
elif signal and "BUY" in str(signal).upper():
|
||
side=OrderSide.BUY; px_level=bid # at best bid
|
||
else:
|
||
# No signal: market-making default — alternate sides at best bid/ask
|
||
side=OrderSide.BUY if tick%2==0 else OrderSide.SELL
|
||
px_level=bid if side==OrderSide.BUY else ask
|
||
|
||
if not side or px_level<=0: continue
|
||
|
||
cid=ClientOrderId(str(UUID4()))
|
||
try:
|
||
client.submit_order(instrument_id=perp.id,client_order_id=cid,order_side=side,order_type=OrderType.LIMIT,quantity=Quantity.from_str(str(cfg["size"])),price=Price.from_str(str(int(px_level))),time_in_force=TimeInForce.GTC,post_only=True)
|
||
side_str="BUY " if side==OrderSide.BUY else "SELL"
|
||
log.info(f"[{name[:4]:4s}] {side_str} {cfg['size']} {coin} MAKER @ ${int(px_level):,} (best {'bid' if side==OrderSide.BUY else 'ask'}: ${int(px_level):,})")
|
||
active_cloids[name]=str(cid)
|
||
except Exception as e:
|
||
err=str(e)
|
||
if "would have immediately matched" in err or "cross" in err.lower():
|
||
# Post-only would cross — fall back to regular limit at same level
|
||
cid2=ClientOrderId(str(UUID4()))
|
||
try:
|
||
client.submit_order(instrument_id=perp.id,client_order_id=cid2,order_side=side,order_type=OrderType.LIMIT,quantity=Quantity.from_str(str(cfg["size"])),price=Price.from_str(str(int(px_level))),time_in_force=TimeInForce.IOC)
|
||
log.info(f"[{name[:4]:4s}] {side_str} {cfg['size']} {coin} FILLED @ ${int(px_level):,} (post-only crossed → IOC)")
|
||
active_cloids[name]=str(cid2)
|
||
except Exception as e2: log.debug(f"[{name[:8]}] fallback failed: {str(e2)[:50]}")
|
||
else: log.warning(f"Order [{name[:8]}]: {err[:60]}")
|
||
|
||
# Equity
|
||
tp=sum(s["pnl"] for s in STRATEGIES.values())
|
||
if tick%2==0: equity_history.append({"t":time.time(),"v":TOTAL_EQUITY+tp})
|
||
write_metrics(addr)
|
||
|
||
if tick%20==0:
|
||
tp=sum(s["pnl"] for s in STRATEGIES.values())
|
||
tr=sum(s["trades_today"] for s in STRATEGIES.values())
|
||
tf=sum(s["fee_paid"] for s in STRATEGIES.values())
|
||
log.info(f"Tick {tick:4d} | PnL: ${tp:+.2f} | Trades: {tr:3d} | Fees: ${tf:.4f} | New fills: {new_fills}")
|
||
|
||
await asyncio.sleep(1)
|
||
except KeyboardInterrupt: log.info("Stopping...")
|
||
|
||
# Cancel all
|
||
open_ords = requests.post(TESTNET_API, json={"type":"openOrders","user":addr}, timeout=10).json()
|
||
for o in open_ords:
|
||
try:
|
||
iid=InstrumentId.from_str(f"{o['coin']}-USD-PERP.HYPERLIQUID")
|
||
client.cancel_order(instrument_id=iid,client_order_id=ClientOrderId(o["cloid"]))
|
||
except: pass
|
||
for s in STRATEGIES.values(): s["status"]="idle"
|
||
write_metrics(addr)
|
||
tf=sum(s["fee_paid"] for s in STRATEGIES.values())
|
||
tp=sum(s["pnl"] for s in STRATEGIES.values())
|
||
log.info(f"Stopped. PnL: ${tp:+.2f}, Fees: ${tf:.4f}")
|
||
|
||
if __name__=="__main__": asyncio.run(main())
|