ramseshk 50d63e1ecc feat: HFT infrastructure — tick backtest runner, VPIN-gated A-S maker, WQI predictor, queue-aware fills ...

- backtests/tick_runner.py: TickBacktestRunner replays stored Parquet L2/trade events
  through sim/engine.py with queue position modeling, producing PnL breakdowns,
  equity curves, VPIN curves, and QuantVerdict significance reports
- VPINGatedASMaker: VPIN-toxicity-gated A-S market maker with inventory skew
  and dynamic spread widening; blocks quoting when VPIN >= alarm threshold
- sim/engine.py: Added SimConfig.from_fee_tier() factory — constructs sim
  config from Hyperliquid fee tier (VIP + staking)
- sim/fills.py: Added QueueAwareFillModel — realistic queue-priority fill
  simulation replacing random fills in paper trading
- strategies/wqi_predictor.py: WQI z-score directional strategy with
  adverse selection gating, timeout exit, stop-loss, and take-profit
- cli.py: Added 'tick', 'markout' analysis, and 'discover' signal-discovery
  commands for end-to-end tick-level HFT research pipeline

301 tests passing (23 new).

2026-08-11 10:43:51 +08:00

..

__init__.py

feat: Phase 2 — microstructure analytics + 81 tests

2026-08-07 14:34:18 +08:00

test_advanced_monitors.py

feat: advanced microstructure modules — HLP, Hawkes, Whipsaw, Term Structure, Liq Waterfall, Spoof Detector

2026-08-07 17:52:20 +08:00

test_funding_whipsaw.py

feat: advanced microstructure modules — HLP, Hawkes, Whipsaw, Term Structure, Liq Waterfall, Spoof Detector

2026-08-07 17:52:20 +08:00

test_hawkes.py

feat: advanced microstructure modules — HLP, Hawkes, Whipsaw, Term Structure, Liq Waterfall, Spoof Detector

2026-08-07 17:52:20 +08:00

test_hlp_vault.py

feat: advanced microstructure modules — HLP, Hawkes, Whipsaw, Term Structure, Liq Waterfall, Spoof Detector

2026-08-07 17:52:20 +08:00

test_integration.py

feat: Phase 5 — integration layer (analytics pipeline, production node v2, CLI) + 12 tests

2026-08-07 14:54:47 +08:00

test_latency.py

feat: Phase 2 — microstructure analytics + 81 tests

2026-08-07 14:34:18 +08:00

test_live_filters.py

feat: Phase 4 — controlled strategy deployment module + 38 tests

2026-08-07 14:47:08 +08:00

test_live_maker.py

feat: Phase 4 — controlled strategy deployment module + 38 tests

2026-08-07 14:47:08 +08:00

test_live_monitors.py

feat: Phase 4 — controlled strategy deployment module + 38 tests

2026-08-07 14:47:08 +08:00

test_live_treasury.py

feat: Phase 4 — controlled strategy deployment module + 38 tests

2026-08-07 14:47:08 +08:00

test_microstructure.py

feat: Phase 2 — microstructure analytics + 81 tests

2026-08-07 14:34:18 +08:00

test_normalizer.py

feat: Phase 2 — microstructure analytics + 81 tests

2026-08-07 14:34:18 +08:00

test_quant_regimes.py

feat: quant validation framework — DSR, PSR, Haircut, regimes, walk-forward

2026-08-10 16:20:56 +08:00

test_quant_significance.py

feat: quant validation framework — DSR, PSR, Haircut, regimes, walk-forward

2026-08-10 16:20:56 +08:00

test_quant_walkforward.py

feat: quant validation framework — DSR, PSR, Haircut, regimes, walk-forward

2026-08-10 16:20:56 +08:00

test_remaining_strategies.py

feat: advanced microstructure — sequencer latency, dealer GEX, tick regime, triangular arb

2026-08-10 10:34:56 +08:00

test_sim_constraints.py

feat: Phase 3 — event-driven market-making simulator + 53 tests

2026-08-07 14:39:59 +08:00

test_sim_engine.py

feat: Phase 3 — event-driven market-making simulator + 53 tests

2026-08-07 14:39:59 +08:00

test_sim_maker.py

feat: Phase 3 — event-driven market-making simulator + 53 tests

2026-08-07 14:39:59 +08:00

test_sim_queue.py

feat: Phase 3 — event-driven market-making simulator + 53 tests

2026-08-07 14:39:59 +08:00

test_sim_reporter.py

feat: Phase 3 — event-driven market-making simulator + 53 tests

2026-08-07 14:39:59 +08:00

test_store.py

feat: Phase 2 — microstructure analytics + 81 tests

2026-08-07 14:34:18 +08:00

test_system.py

Refactor: review, fix, and test entire codebase

2026-08-06 07:52:02 +00:00

test_tick_backtest.py

feat: HFT infrastructure — tick backtest runner, VPIN-gated A-S maker, WQI predictor, queue-aware fills

2026-08-11 10:43:51 +08:00