feat: Phase 4 — controlled strategy deployment module + 38 tests
New live/ sub-modules for production-ready market making:
live/filters/toxicity.py (ToxicityFilter):
VPIN-based pre-trade filter. Accumulates buy/sell volume, computes
VPIN via microstructure module, produces quoting decision:
- allow_quoting: bool
- size_multiplier: 0.0–1.0 (graduated reduction approaching alarm)
- granular thresholds (threshold vs alarm) with smooth reduction
live/treasury.py (Treasury):
Central capital/risk management — single source of truth:
- Position tracking per coin (opening, closing, average entry)
- Realized + unrealized PnL computation
- Pre-trade constraint checks (inventory limits, fee estimates)
- Circuit breaker (drawdown, trade count, toxic fill rate, API errors)
- Liquidation distance monitoring
- Automatic cooldown reset after trip expiry
live/makers/hl_btc_eth.py:
HlMaker — per-coin market maker integrating:
- AvellanedaStoikovMaker (Phase 3) for optimal quotes
- ToxicityFilter for pre-trade gating
- Treasury for position/risk checks
HlMakerPool — manages multiple HlMaker instances with shared treasury
and coordinated observe_all()/quote_all()
live/monitors/cross_venue.py (CrossVenueMonitor):
Cross-exchange lead-lag detection via cross-correlation at multiple
lags. Spot premium (basis proxy) computation. Multi-venue summary.
live/monitors/funding_basis.py (FundingBasisMonitor):
Funding regime classification, momentum detection, carry PnL
estimation, basis spread analysis. Uses microstructure/funding.py.
live/monitors/liq_risk.py (LiquidationRiskOverlay):
Per-position liquidation distance monitoring with tiered warnings
(safe/warning/danger/critical). Recommended position reduction.
38 tests across 4 files (all pass):
test_live_filters.py (5)
test_live_maker.py (9)
test_live_monitors.py (11)
test_live_treasury.py (13)
Total test suite: 172 tests, all passing.
ramseshk
4f66ef36a9