ramseshk
0446443d36
New strategies: - Cross-Sectional Momentum: long top-N, short bottom-N across HL universe - Spot-Perp Basis Arbitrage: delta-neutral spot vs perp price gap trading - Regime-Switching Ensemble: dynamically allocates strategies by market regime - Portfolio Construction: risk parity, vol targeting, correlation penalty Infrastructure: - DuckDBDataProvider: real tick/candle data for backtests (replaces synthetic) - Walk-Forward Validation: systematic IS/OOS across all 12 strategies - 3 Jupyter research notebooks (EDA, strategy research, portfolio) Pipeline integration: - deploy.py registry, sweep_runner, vbt_runner all updated - fee_tiers support for new strategies - All modules syntax-validated and import-tested
211 lines
10 KiB
Python
211 lines
10 KiB
Python
"""
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Hyperliquid fee schedule — perps, spot, staking discounts, maker rebates.
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Source: https://hyperliquid.gitbook.io/hyperliquid-docs/trading/fees
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Perps fee tiers: 14d rolling volume determines base taker/maker rate.
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Staking tiers: staked HYPE discount applied on top of base rates.
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Maker rebates: extra rebate for high maker-volume-ratio accounts.
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"""
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from __future__ import annotations
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# ═══════════════════════════════════════════════════════════════
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# Perps fee tiers — base taker & maker rates (decimal)
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# ═══════════════════════════════════════════════════════════════
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PERPS_TIERS = {
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0: {"name": "Tier 0 (<$5M)", "min_volume": 0, "taker": 0.00045, "maker": 0.00015},
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1: {"name": "Tier 1 (>$5M)", "min_volume": 5_000_000, "taker": 0.00040, "maker": 0.00012},
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2: {"name": "Tier 2 (>$25M)", "min_volume": 25_000_000, "taker": 0.00035, "maker": 0.00008},
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3: {"name": "Tier 3 (>$100M)", "min_volume": 100_000_000, "taker": 0.00030, "maker": 0.00004},
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4: {"name": "Tier 4 (>$500M)", "min_volume": 500_000_000, "taker": 0.00028, "maker": 0.00000},
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5: {"name": "Tier 5 (>$2B)", "min_volume": 2_000_000_000,"taker": 0.00026, "maker": 0.00000},
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6: {"name": "Tier 6 (>$7B)", "min_volume": 7_000_000_000,"taker": 0.00024, "maker": 0.00000},
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}
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# ═══════════════════════════════════════════════════════════════
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# Spot fee tiers — base taker & maker rates (decimal)
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# ═══════════════════════════════════════════════════════════════
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SPOT_TIERS = {
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0: {"name": "Tier 0 (<$5M)", "min_volume": 0, "taker": 0.00070, "maker": 0.00040},
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1: {"name": "Tier 1 (>$5M)", "min_volume": 5_000_000, "taker": 0.00060, "maker": 0.00030},
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2: {"name": "Tier 2 (>$25M)", "min_volume": 25_000_000, "taker": 0.00050, "maker": 0.00020},
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3: {"name": "Tier 3 (>$100M)", "min_volume": 100_000_000, "taker": 0.00040, "maker": 0.00010},
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4: {"name": "Tier 4 (>$500M)", "min_volume": 500_000_000, "taker": 0.00035, "maker": 0.00000},
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5: {"name": "Tier 5 (>$2B)", "min_volume": 2_000_000_000,"taker": 0.00030, "maker": 0.00000},
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6: {"name": "Tier 6 (>$7B)", "min_volume": 7_000_000_000,"taker": 0.00025, "maker": 0.00000},
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}
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# ═══════════════════════════════════════════════════════════════
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# Staking tiers — discount multiplier on all fees
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# ═══════════════════════════════════════════════════════════════
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STAKING_TIERS = {
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"none": {"name": "No Stake", "min_hype": 0, "multiplier": 1.00},
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"wood": {"name": "Wood (>10)", "min_hype": 10, "multiplier": 0.95},
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"bronze": {"name": "Bronze (>100)", "min_hype": 100, "multiplier": 0.90},
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"silver": {"name": "Silver (>1K)", "min_hype": 1_000, "multiplier": 0.85},
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"gold": {"name": "Gold (>10K)", "min_hype": 10_000, "multiplier": 0.80},
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"platinum": {"name": "Platinum (>100K)", "min_hype": 100_000, "multiplier": 0.70},
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"diamond": {"name": "Diamond (>500K)","min_hype": 500_000, "multiplier": 0.60},
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}
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# ═══════════════════════════════════════════════════════════════
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# Maker rebates — extra rebate for high maker-volume accounts
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# ONLY applies when maker fee > 0 (doesn't stack with zero maker)
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# ═══════════════════════════════════════════════════════════════
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MAKER_REBATES = {
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0: {"name": "No rebate", "min_maker_ratio": 0.0, "rebate": 0},
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1: {"name": "Rebate 1 (>0.5%)", "min_maker_ratio": 0.005, "rebate": -0.00001},
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2: {"name": "Rebate 2 (>1.5%)", "min_maker_ratio": 0.015, "rebate": -0.00002},
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3: {"name": "Rebate 3 (>3%)", "min_maker_ratio": 0.03, "rebate": -0.00003},
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}
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# ═══════════════════════════════════════════════════════════════
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# Compute effective rates
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# ═══════════════════════════════════════════════════════════════
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def effective_rate(base_rate: float, staking_tier: str = "none") -> float:
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"""Apply staking discount to base rate."""
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mult = STAKING_TIERS.get(staking_tier, STAKING_TIERS["none"])["multiplier"]
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return base_rate * mult
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def get_perp_fees(vip_tier: int, staking_tier: str = "none", fee_model: str = "taker",
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maker_rebate_tier: int = 0) -> float:
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"""Get effective perp fee rate.
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Args:
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vip_tier: 0-6 volume tier
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staking_tier: none/wood/bronze/silver/gold/platinum/diamond
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fee_model: 'taker' or 'maker'
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maker_rebate_tier: 0-3 maker volume rebate tier
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Returns fee rate as decimal (e.g. 0.00045 = 0.045%)
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"""
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tier = PERPS_TIERS.get(vip_tier, PERPS_TIERS[0])
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base = tier[fee_model] if fee_model in ("taker", "maker") else tier["taker"]
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rate = effective_rate(base, staking_tier)
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if fee_model == "maker" and base > 0 and maker_rebate_tier > 0:
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rebate = MAKER_REBATES.get(maker_rebate_tier, {}).get("rebate", 0)
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rate = rate + rebate
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return rate
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def get_spot_fees(vip_tier: int, staking_tier: str = "none", fee_model: str = "taker") -> float:
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"""Get effective spot fee rate."""
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tier = SPOT_TIERS.get(vip_tier, SPOT_TIERS[0])
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base = tier[fee_model] if fee_model in ("taker", "maker") else tier["taker"]
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return effective_rate(base, staking_tier)
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def fee_tier_from_volume(volume_14d: float, market: str = "perps") -> int:
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"""Determine fee tier from 14-day rolling volume."""
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tiers = PERPS_TIERS if market == "perps" else SPOT_TIERS
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current = 0
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for t in sorted(tiers.keys()):
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if volume_14d >= tiers[t]["min_volume"]:
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current = t
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return current
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def staking_tier_from_hype(hype_staked: float) -> str:
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"""Determine staking tier from staked HYPE amount."""
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current = "none"
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for name, info in STAKING_TIERS.items():
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if hype_staked >= info["min_hype"]:
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current = name
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return current
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# ═══════════════════════════════════════════════════════════════
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# Trade PnL computation
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# ═══════════════════════════════════════════════════════════════
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def compute_trade_fees(
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side: str,
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size: float,
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entry_px: float,
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exit_px: float,
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vip_tier: int = 0,
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staking_tier: str = "none",
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fee_model: str = "taker",
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maker_rebate_tier: int = 0,
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) -> dict:
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"""Compute entry, exit, and total fees for a round-trip trade.
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Returns dict with entry_fee, exit_fee, total_fee, effective_rate_taker, effective_rate_maker.
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"""
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notional_entry = size * entry_px
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notional_exit = size * exit_px
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taker_rate = get_perp_fees(vip_tier, staking_tier, "taker", maker_rebate_tier)
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maker_rate = get_perp_fees(vip_tier, staking_tier, "maker", maker_rebate_tier)
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rate = taker_rate if fee_model == "taker" else maker_rate
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entry_fee = notional_entry * rate
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exit_fee = notional_exit * rate
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total_fee = entry_fee + exit_fee
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return {
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"entry_fee": round(entry_fee, 6),
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"exit_fee": round(exit_fee, 6),
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"total_fee": round(total_fee, 6),
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"taker_rate_pct": round(taker_rate * 100, 4),
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"maker_rate_pct": round(maker_rate * 100, 4),
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"effective_rate_pct": round(rate * 100, 4) if rate else 0,
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"vip_tier": vip_tier,
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"staking_tier": staking_tier,
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"fee_model": fee_model,
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"tier_name": PERPS_TIERS[vip_tier]["name"],
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"staking_name": STAKING_TIERS.get(staking_tier, STAKING_TIERS["none"])["name"],
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}
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# ═══════════════════════════════════════════════════════════════
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# Strategy-specific defaults
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# ═══════════════════════════════════════════════════════════════
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STRATEGY_FEE_MODELS = {
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"Order Book Imbalance": "taker",
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"Iceberg Detection": "taker",
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"Funding Rate Arb": "taker",
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"Pairs Trading": "taker",
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"Avellaneda-Stoikov": "maker",
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"Momentum Breakout": "taker",
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"Mean Reversion": "taker",
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"Hawkes OFI": "taker",
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"Deep LOB": "maker",
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"Cartea-Jaimungal": "maker",
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"Queue Imbalance": "taker",
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"Guéant Market Making": "maker",
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# VBT strategy names
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"pairs": "taker",
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"hurst_vpin": "taker",
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"as_mm": "maker",
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"obi": "taker",
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"grid_mm": "maker",
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"composite_mm": "maker",
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"iceberg": "taker",
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"momentum": "taker",
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"mean_rev": "taker",
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"cross_sectional": "taker",
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"spot_perp_basis": "taker",
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"regime_ensemble": "taker",
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}
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def get_strategy_fee_model(strategy_name: str) -> str:
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"""Get the default fee model for a strategy name."""
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for key, model in STRATEGY_FEE_MODELS.items():
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if key.lower() in strategy_name.lower():
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return model
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return "taker"
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