Files
ftdt-quant-lab/cli.py
T
ramseshk 3073415d33 feat: funding arb strategy, queue-aware paper fills, WQI live integration
- strategies/funding_arb_strategy.py: full backtestable funding rate carry module
  with entry/exit thresholds, position tracking, funding payment accounting,
  basis stop-loss, max-hold timeout. Includes backtest_funding_arb() and
  run_funding_discovery() for threshold optimization
- live/node_v2.py: replaced naive random fills with QueueAwareFillModel (sim/fills.py)
  with queue-priority simulation; integrated WQI predictor and funding arb strategies;
  per-coin WQI signal generation every 3 ticks; funding arb metrics in dashboard
- cli.py: added 'funding' command for funding rate distribution analysis and
  threshold backtesting
- tests/test_funding_arb.py: 20 tests covering entry/exit logic, fee accounting,
  signal generation, backtesting, and node integration

321 tests passing (20 new).
2026-08-11 11:15:25 +08:00

661 lines
25 KiB
Python

"""
FTDT Quant Lab — unified CLI.
Subcommands:
collect — Run data collector (streams to Parquet)
analyze — Run analytics on stored data (Phase 2)
simulate — Run market-making simulator on stored data (Phase 3)
run — Start production trading node (Phase 4)
backtest — Run VectorBT backtest (existing)
Usage:
python -m cli collect --coins BTC,ETH --data-dir data/raw
python -m cli analyze --data-dir data/raw --start 2026-08-01 --end 2026-08-07
python -m cli simulate --data-dir data/raw --coin BTC --hours 24
python -m cli run --coins BTC,ETH --mode paper
python -m cli backtest --strategy pairs --interval 1h
"""
from __future__ import annotations
import asyncio
import logging
import os
import sys
from pathlib import Path
sys.path.insert(0, str(Path(__file__).resolve().parent))
def cmd_collect(args):
"""Run the Hyperliquid data collector."""
from data.collectors.hyperliquid import HyperliquidCollector
from data.store import RawMessageStore
store = RawMessageStore(
data_dir=args.data_dir,
flush_interval_sec=args.flush_interval,
)
collector = HyperliquidCollector(
store=store,
coins=args.coins,
testnet=not args.mainnet,
poll_interval_sec=args.poll_interval,
)
asyncio.run(collector.run())
def cmd_analyze(args):
"""Run microstructure analytics on stored data."""
from data.store import read_range
print(f"Reading {args.channel}/{args.coin} from {args.start_date} to {args.end_date}...")
messages = read_range(
args.data_dir,
channel=args.channel,
coin=args.coin.upper(),
start_date=args.start_date,
end_date=args.end_date,
)
print(f"Loaded {len(messages)} messages")
if args.channel == "l2book":
from microstructure.book import batch_book_stats
snapshots = []
for msg in messages:
payload = msg["payload"]
levels = payload.get("levels", [])
if levels and isinstance(levels, list) and len(levels) >= 2:
bids = {}
asks = {}
for bid in levels[0]:
if float(bid.get("sz", 0)) > 0:
bids[float(bid["px"])] = float(bid["sz"])
for ask in levels[1]:
if float(ask.get("sz", 0)) > 0:
asks[float(ask["px"])] = float(ask["sz"])
snapshots.append({"bids": bids, "asks": asks})
stats = batch_book_stats(snapshots)
print(json.dumps(stats, indent=2, default=str))
elif args.channel == "trades":
from microstructure.trades import classify_bulk_lee_ready, trade_arrival_rate, trade_volume_profile
trades = [msg["payload"] for msg in messages]
mids = [float(msg["payload"].get("px", 0)) for msg in messages]
times = [msg["exchange_ts"] for msg in messages]
sides = classify_bulk_lee_ready(trades, mids)
buys = sum(1 for s in sides if s == "buy")
sells = sum(1 for s in sides if s == "sell")
arrival = trade_arrival_rate(times)
vol = trade_volume_profile(trades)
print(f"Trades: {len(trades)} total ({buys} buy, {sells} sell)")
print(f"Arrival rate: {json.dumps(arrival, indent=2, default=str)}")
print(f"Volume profile: {json.dumps(vol, indent=2, default=str)}")
elif args.channel == "funding":
from microstructure.funding import funding_regime, basis_spread
rates = [float(msg["payload"].get("funding", 0)) for msg in messages]
marks = [float(msg["payload"].get("mark_px", 0)) for msg in messages]
regime = funding_regime(rates, window_hours=24, n_samples_per_hour=1)
print(f"Funding regime: {json.dumps(regime, indent=2, default=str)}")
elif args.channel == "markouts":
from microstructure.trades import compute_markouts, markout_summary
l2_messages = read_range(
args.data_dir,
channel="l2book",
coin=args.coin.upper(),
start_date=args.start_date,
end_date=args.end_date,
)
trade_messages = read_range(
args.data_dir,
channel="trades",
coin=args.coin.upper(),
start_date=args.start_date,
end_date=args.end_date,
)
trades = []
mids = []
times = []
book_state = {}
for msg in sorted(l2_messages + trade_messages, key=lambda m: m.get("exchange_ts", 0) or 0):
ch = msg.get("channel", "")
payload = msg.get("payload", {})
ts = msg.get("exchange_ts", 0) or 0
if ch == "l2book":
levels = payload.get("levels", [])
if isinstance(levels, list) and len(levels) >= 2:
bids = [float(l["px"]) for l in levels[0] if float(l.get("sz", 0)) > 0]
asks = [float(l["px"]) for l in levels[1] if float(l.get("sz", 0)) > 0]
if bids and asks:
book_state["mid"] = (bids[0] + asks[0]) / 2
elif ch == "trades":
px = float(payload.get("px", 0))
if px > 0:
trades.append(payload)
mid = book_state.get("mid", px)
mids.append(mid)
times.append(ts)
if not trades:
print("No trade data with L2 context available for markout analysis.")
return
print(f"Analyzing {len(trades)} trades with L2 context...")
markouts = compute_markouts(trades, mids, times)
summary = markout_summary(markouts)
print(f"\n{'─' * 70}")
print(f"{'Horizon':>10s} {'Buy Mean':>10s} {'Buy T-Stat':>10s} {'Buy N':>7s} "
f"{'Sell Mean':>10s} {'Sell T-Stat':>10s} {'Sell N':>7s}")
print(f"{'─' * 70}")
horizons = [100, 500, 1000, 5000, 10000, 30000, 60000]
for h in horizons:
b = summary.get("buy", {}).get(h, {})
s = summary.get("sell", {}).get(h, {})
print(f"{f'{h}ms':>10s} "
f"{b.get('mean_bps', 0):>10.2f} {b.get('t_stat', 0):>10.3f} {b.get('count', 0):>7d} "
f"{s.get('mean_bps', 0):>10.2f} {s.get('t_stat', 0):>10.3f} {s.get('count', 0):>7d}")
print(f"\nBuy markout: + = price rises after buy (good for seller, bad for buyer)")
print(f"Sell markout: + = price falls after sell (good for buyer, bad for seller)")
print(f"t-stat > 2.0 = statistically significant predictive power")
else:
print(f"Channel '{args.channel}' — raw dump:")
for msg in messages[:5]:
print(json.dumps(msg, indent=2, default=str))
if len(messages) > 5:
print(f"... and {len(messages) - 5} more")
def cmd_simulate(args):
"""Run market-making simulator on stored data with L2 events."""
from data.store import read_range
from sim.engine import SimulationEngine, SimConfig
from sim.maker import MakerConfig
print(f"Loading L2 book data for {args.coin} from {args.start_date} to {args.end_date}...")
l2_messages = read_range(
args.data_dir,
channel="l2book",
coin=args.coin.upper(),
start_date=args.start_date,
end_date=args.end_date,
)
print(f"Loaded {len(l2_messages)} L2 updates")
trade_messages = read_range(
args.data_dir,
channel="trades",
coin=args.coin.upper(),
start_date=args.start_date,
end_date=args.end_date,
)
print(f"Loaded {len(trade_messages)} trades")
events = []
for msg in l2_messages:
payload = msg["payload"]
levels = payload.get("levels", [])
bids = {}
asks = {}
if levels and isinstance(levels, list) and len(levels) >= 2:
for bid in levels[0]:
if float(bid.get("sz", 0)) > 0:
bids[float(bid["px"])] = float(bid["sz"])
for ask in levels[1]:
if float(ask.get("sz", 0)) > 0:
asks[float(ask["px"])] = float(ask["sz"])
events.append({
"type": "l2",
"data": {"bids": bids, "asks": asks},
"time": msg["local_ts"],
"coin": args.coin.upper(),
})
for msg in trade_messages:
payload = msg["payload"]
events.append({
"type": "trade",
"data": payload,
"time": msg["local_ts"],
"coin": args.coin.upper(),
})
events.sort(key=lambda e: e["time"])
print(f"Total events: {len(events)}")
config = SimConfig(
maker=MakerConfig(
base_size=args.base_size,
max_inventory=args.max_inventory,
gamma=args.gamma,
),
max_inventory=args.max_inventory,
cancel_after_ms=args.cancel_after_ms,
quote_refresh_ms=args.quote_refresh_ms,
seed=args.seed,
)
engine = SimulationEngine(config=config, seed=args.seed)
engine.run(events)
stats = engine.stats()
breakdown = engine.breakdown()
print("\n=== Simulation Results ===")
print(f"Duration: {events[-1]['time'] - events[0]['time']:.0f}s" if events else "0s")
print(f"Trades: {stats.total_trades} ({stats.bid_fills} bid, {stats.ask_fills} ask)")
print(f"Toxic fills: {stats.toxic_fills} ({stats.adverse_rate:.1%})")
print(f"Cancels: {stats.cancels}")
print(f"Avg spread: {stats.avg_spread_bps} bps")
print(f"Max inventory: {stats.max_inventory}")
print(f"Max drawdown: {stats.max_drawdown}%")
print(f"Sharpe: {stats.sharpe} Sortino: {stats.sortino}")
print(f"Uptime: {stats.uptime_pct}%")
print(f"\nPnL Breakdown:")
print(f" Spread capture: ${breakdown.spread_capture:.4f}")
print(f" Inventory PnL: ${breakdown.inventory_pnl:.4f}")
print(f" Maker fees: ${breakdown.maker_fees:.4f}")
print(f" Taker fees: ${breakdown.taker_fees:.4f}")
print(f" Funding PnL: ${breakdown.funding_pnl:.4f}")
print(f" Adverse selection: ${breakdown.adverse_selection_cost:.4f}")
print(f" ─────────────────────────────")
print(f" Gross PnL: ${breakdown.gross_pnl:.4f}")
print(f" Net PnL: ${breakdown.net_pnl:.4f}")
def cmd_run(args):
"""Start the production trading node."""
import asyncio
from live.node_v2 import ProductionNode
coins = [c.strip().upper() for c in args.coins.split(",") if c.strip()]
node = ProductionNode(
coins=coins,
testnet=not args.mainnet,
mode=args.mode,
max_position_per_coin=args.max_position,
base_quote_size=args.base_size,
initial_equity=args.equity,
tick_interval_sec=args.tick_interval,
metrics_file=args.metrics_file,
)
asyncio.run(node.run())
def cmd_backtest(args):
"""Run a VBT backtest (existing functionality)."""
from backtests.vbt_runner import VBTBacktestRunner
runner = VBTBacktestRunner()
result = runner.run_strategy(strategy=args.strategy, interval=args.interval, limit=args.limit)
import json as _json
print(_json.dumps({k: v for k, v in (result or {}).items()
if k not in ("trades", "equity_curve")}, indent=2, default=str))
if result and result.get("trades"):
print(f"\n{len(result['trades'])} trades")
def cmd_discover(args):
"""Signal discovery — test microstructure signals against forward returns.
For each L2 snapshot, computes WQI, OBI, VPIN, depth imbalance, and microprice.
Then measures how well each signal predicts mid-price movement at multiple horizons.
"""
from data.store import read_range
from microstructure.book import (
mid_price, order_book_imbalance, depth_imbalance, microprice, spread_stats, depth_resiliency,
)
from microstructure.trades import classify_lee_ready
from microstructure.toxicity import compute_vpin
from strategies.queue_imbalance import QueueImbalance
import numpy as np
horizons = [int(h) for h in args.horizons.split(",")]
l2_msgs = read_range(
args.data_dir,
channel="l2book",
coin=args.coin.upper(),
start_date=args.start_date,
end_date=args.end_date,
)
trade_msgs = read_range(
args.data_dir,
channel="trades",
coin=args.coin.upper(),
start_date=args.start_date,
end_date=args.end_date,
)
if not l2_msgs or not trade_msgs:
print("No data available for signal discovery.")
return
print(f"Loading {len(l2_msgs)} L2 messages and {len(trade_msgs)} trades for {args.coin}...")
book_state = {"bids": {}, "asks": {}, "mid": 0.0, "ts": 0.0}
buy_vol = []
sell_vol = []
prev_bids = {}
prev_asks = {}
qi = QueueImbalance(depth_levels=10)
prev_mid = 0.0
events = []
for msg in sorted(l2_msgs + trade_msgs, key=lambda m: m.get("exchange_ts", 0) or 0):
ch = msg.get("channel", "")
payload = msg.get("payload", {})
ts = float(msg.get("exchange_ts", 0) or 0) / 1000.0
events.append((ts, ch, payload))
events.sort(key=lambda e: e[0])
signals = []
mids_series = []
times_series = []
for ts, ch, payload in events:
if ch == "l2book":
bids = {}
asks = {}
levels = payload.get("levels", [])
if isinstance(levels, list) and len(levels) >= 2:
bid_list = [(float(l["px"]), float(l["sz"])) for l in levels[0] if float(l.get("sz", 0)) > 0]
ask_list = [(float(l["px"]), float(l["sz"])) for l in levels[1] if float(l.get("sz", 0)) > 0]
bids = dict(bid_list)
asks = dict(ask_list)
if bids and asks:
book_state["bids"] = bids
book_state["asks"] = asks
mid = mid_price(bids, asks)
book_state["mid"] = mid
book_state["ts"] = ts
obi = order_book_imbalance(bids, asks)
di = depth_imbalance(bids, asks)
mp = microprice(bids, asks)
ss = spread_stats(bids, asks)
dr = depth_resiliency(bids, asks)
wqi = qi.compute_wqi(bid_list, ask_list)
vpin_val = 0.0
if buy_vol and sell_vol:
v = compute_vpin(buy_vol, sell_vol, n_buckets=50)
vpin_val = v.get("vpin_value", 0.0)
bid_depth = sum(sz for _, sz in bid_list[:10])
ask_depth = sum(sz for _, sz in ask_list[:10])
total_depth = bid_depth + ask_depth
signals.append({
"ts": ts,
"mid": mid,
"obi": obi,
"wqi": wqi,
"vpin": vpin_val,
"depth_imbalance": di,
"microprice_ratio": mp / mid if mid > 0 else 1.0,
"spread_bps": ss["spread_bps"],
"bid_depth": bid_depth,
"ask_depth": ask_depth,
"depth_total": total_depth,
"resiliency": dr.get("resiliency", 0),
})
mids_series.append(mid)
times_series.append(ts)
prev_bids = bid_list
prev_asks = ask_list
elif ch == "trades":
px = float(payload.get("px", 0))
sz = float(payload.get("sz", 0))
if px > 0 and sz > 0:
side = classify_lee_ready(px, book_state["mid"])
if side == "buy":
buy_vol.append(sz)
else:
sell_vol.append(sz)
n = len(signals)
if n < 50:
print("Too few L2 snapshots for signal discovery. Need more data.")
return
print(f"Signal discovery on {n} L2 snapshots across {horizons}ms horizons...")
signal_names = ["obi", "wqi", "vpin", "depth_imbalance", "spread_bps", "resiliency"]
horizons = sorted(horizons)
print(f"\n{'─' * 80}")
print(f"{'Signal':>18s} ", end="")
for h in horizons:
print(f" {'t-{h}ms':>10s}", end="")
print(f" {'r²':>8s}")
print(f"{'─' * 80}")
for sig_name in signal_names:
sig_vals = [s.get(sig_name, 0) for s in signals]
print(f"{sig_name:>18s} ", end="")
for horizon in horizons:
t_stats = []
for i in range(n - 1):
future_idx = i
for j in range(i + 1, min(n, len(times_series))):
if times_series[j] - times_series[i] >= horizon / 1000.0:
future_idx = j
break
if future_idx > i and mids_series[i] > 0:
forward_return = (mids_series[future_idx] - mids_series[i]) / mids_series[i] * 10000
if abs(forward_return) < 500:
zipped = list(zip(sig_vals, [forward_return] * len(sig_vals)))
t_tuple = zipped[i] if i < len(zipped) else None
t_stats = []
for i in range(n - 1):
future_idx = i
for j in range(i + 1, n):
if times_series[j] - times_series[i] >= horizon / 1000.0:
future_idx = j
break
if future_idx > i and mids_series[i] > 0:
forward_return = (mids_series[future_idx] - mids_series[i]) / mids_series[i] * 10000
signal_val = sig_vals[i]
if abs(forward_return) < 500 and abs(signal_val) < 100:
t_stats.append((signal_val, forward_return))
if len(t_stats) >= 10:
xs = np.array([t[0] for t in t_stats])
ys = np.array([t[1] for t in t_stats])
r = np.corrcoef(xs, ys)[0, 1] if len(xs) > 1 else 0
t_stat = r * np.sqrt(len(t_stats) - 2) / np.sqrt(1 - r * r) if abs(r) < 1 else 0
print(f" {t_stat:>10.3f}", end="")
else:
print(f" {'N/A':>10s}", end="")
if len(t_stats) >= 10:
xs = np.array([t[0] for t in t_stats])
ys = np.array([t[1] for t in t_stats])
r_sq = np.corrcoef(xs, ys)[0, 1] ** 2 if len(xs) > 1 else 0
print(f" {r_sq:>8.4f}")
else:
print()
print(f"\nPipeline ready. Run 'python -m cli tick' to backtest strategies on this data.")
def cmd_funding(args):
"""Funding rate arb discovery — analyze historical funding rates and run backtests."""
from strategies.funding_arb_strategy import run_funding_discovery
import json as _json
result = run_funding_discovery(
data_dir=args.data_dir,
coin=args.coin,
start_date=args.start_date,
end_date=args.end_date,
)
if "error" in result:
print(f"Error: {result['error']}")
return
print(f"\n{'═' * 60}")
print(f" Funding Rate Analysis — {args.coin}")
print(f" {result['n_observations']:,} observations")
print(f"{'═' * 60}")
dist = result["rate_distribution"]
print(f"\n Rate Distribution (annualized):")
print(f" Mean: {dist['mean_apr_pct']:>8.2f}%")
print(f" Std: {dist['std_apr_pct']:>8.2f}%")
print(f" Max: {dist['max_apr_pct']:>8.2f}%")
print(f" Min: {dist['min_apr_pct']:>8.2f}%")
print(f"\n Absolute Rate Percentiles:")
for k, v in dist["abs_percentiles"].items():
print(f" {k}: {v:>8.2f}%")
print(f"\n{'─' * 60}")
print(f" Backtest Results by Threshold:")
print(f" {'Threshold':>12s} {'Trades':>7s} {'Win Rate':>9s} "
f"{'Net PnL':>10s} {'Avg PnL':>10s} {'Avg Hold':>9s}")
print(f" {'─' * 60}")
for label, bt in result.get("backtests", {}).items():
print(f" {label:>12s} {bt['total_trades']:>7d} "
f"{bt['win_rate']:>8.1%} "
f"${bt['total_net_pnl']:>9.4f} ${bt['avg_net_pnl']:>9.4f} "
f"{bt['avg_hold_hours']:>8.1f}h")
print(f"\n Run 'python -m cli collect --mainnet' to gather data.")
print(f" Then 'python -m cli funding --coin BTC' to re-run.")
def main():
import argparse
p = argparse.ArgumentParser(description="FTDT Quant Lab CLI")
sp = p.add_subparsers(dest="command", required=True)
# collect
pc = sp.add_parser("collect", help="Run data collector")
pc.add_argument("--coins", nargs="+", default=["BTC", "ETH"])
pc.add_argument("--mainnet", action="store_true")
pc.add_argument("--data-dir", default="data/raw")
pc.add_argument("--poll-interval", type=float, default=60.0)
pc.add_argument("--flush-interval", type=float, default=5.0)
# analyze
pa = sp.add_parser("analyze", help="Run microstructure analytics")
pa.add_argument("--data-dir", default="data/raw")
pa.add_argument("--channel", default="l2book", choices=["l2book", "trades", "funding", "mark", "open_interest", "liquidation", "markouts"])
pa.add_argument("--coin", default="BTC")
pa.add_argument("--start-date", default="2026-08-01")
pa.add_argument("--end-date", default="2026-08-07")
# simulate
ps = sp.add_parser("simulate", help="Run market-making simulator")
ps.add_argument("--data-dir", default="data/raw")
ps.add_argument("--coin", default="BTC")
ps.add_argument("--start-date", default="2026-08-01")
ps.add_argument("--end-date", default="2026-08-07")
ps.add_argument("--gamma", type=float, default=0.1)
ps.add_argument("--base-size", type=float, default=0.001)
ps.add_argument("--max-inventory", type=float, default=0.005)
ps.add_argument("--cancel-after-ms", type=float, default=5000.0)
ps.add_argument("--quote-refresh-ms", type=float, default=2000.0)
ps.add_argument("--seed", type=int, default=42)
# run
pr = sp.add_parser("run", help="Start production node")
pr.add_argument("--coins", default="BTC,ETH", help="Comma-separated coin list")
pr.add_argument("--mainnet", action="store_true")
pr.add_argument("--mode", default="paper", choices=["paper", "live"])
pr.add_argument("--max-position", type=float, default=0.003)
pr.add_argument("--base-size", type=float, default=0.0002)
pr.add_argument("--equity", type=float, default=10000.0)
pr.add_argument("--tick-interval", type=float, default=2.0)
pr.add_argument("--metrics-file", default="/tmp/ftdt-metrics-v2.json")
# backtest
pb = sp.add_parser("backtest", help="Run VBT backtest")
pb.add_argument("--strategy", default="pairs")
pb.add_argument("--interval", default="1h")
pb.add_argument("--limit", type=int, default=500)
# tick
pt = sp.add_parser("tick", help="Tick-level backtest (Parquet L2+trade replay)")
pt.add_argument("--coin", default="BTC")
pt.add_argument("--data-dir", default="data/raw")
pt.add_argument("--start-date", default="2026-08-01")
pt.add_argument("--end-date", default="2026-08-07")
pt.add_argument("--maker", default="as_mm", choices=["as_mm", "vpin_as_mm"])
pt.add_argument("--gamma", type=float, default=0.1)
pt.add_argument("--base-size", type=float, default=0.001)
pt.add_argument("--max-inventory", type=float, default=0.005)
pt.add_argument("--skew-factor", type=float, default=0.5)
pt.add_argument("--vpin-threshold", type=float, default=0.30)
pt.add_argument("--vpin-alarm", type=float, default=0.50)
pt.add_argument("--maker-fee", type=float, default=0.02, help="Maker fee in %")
pt.add_argument("--taker-fee", type=float, default=0.05, help="Taker fee in %")
pt.add_argument("--adverse-prob", type=float, default=0.15)
pt.add_argument("--cancel-after-ms", type=float, default=5000.0)
pt.add_argument("--quote-refresh-ms", type=float, default=2000.0)
pt.add_argument("--seed", type=int, default=42)
# discover
pd = sp.add_parser("discover", help="Signal discovery — test microstructure signals against forward returns")
pd.add_argument("--data-dir", default="data/raw")
pd.add_argument("--coin", default="BTC")
pd.add_argument("--start-date", default="2026-08-01")
pd.add_argument("--end-date", default="2026-08-07")
pd.add_argument("--horizons", default="100,500,1000,5000,10000", help="Comma-separated ms horizons")
# funding
pf = sp.add_parser("funding", help="Funding rate arb discovery — analyze historical funding rates")
pf.add_argument("--data-dir", default="data/raw")
pf.add_argument("--coin", default="BTC")
pf.add_argument("--start-date", default="2026-01-01")
pf.add_argument("--end-date", default="2030-01-01")
args = p.parse_args()
import json as _json
import json
if args.command == "collect":
cmd_collect(args)
elif args.command == "analyze":
cmd_analyze(args)
elif args.command == "simulate":
cmd_simulate(args)
elif args.command == "run":
cmd_run(args)
elif args.command == "backtest":
cmd_backtest(args)
elif args.command == "tick":
from backtests.tick_runner import cmd_tick_backtest
cmd_tick_backtest(args)
elif args.command == "discover":
cmd_discover(args)
elif args.command == "funding":
cmd_funding(args)
if __name__ == "__main__":
logging.basicConfig(level=logging.INFO, format="%(asctime)s %(message)s", datefmt="%H:%M:%S")
main()