ramseshk
f5ffe4baee
Add complete framework for testing and deploying quant strategies: Framework (framework/): - HyperliquidInstrumentCatalog: loads perps as NT CryptoPerpetual - HyperliquidDataProvider: real candle/orderbook/mark-price data - HyperliquidExecutionProvider: live + PaperExecutionProvider: simulated - BaseHlStrategy: shared NT strategy lifecycle with signal library - StrategyConfig: YAML-based parameter management - DeployOrchestrator: CLI for backtest -> paper -> live pipeline Backtesting (backtests/): - VBTBacktestRunner: VectorBT vectorized backtests on real HL candles - NTBacktestRunner: NautilusTrader event-driven backtest engine NT Strategy ports (strategies/nt/): - PairsTradingNT: BTC/ETH ratio Z-score mean reversion - HurstVPINNT: Hurst exponent regime + VPIN flow imbalance - ASMarketMakingNT: Avellaneda-Stoikov stochastic control MM E2E verified: real HL candles fetch, VectorBT backtest (Sharpe 5.2 on Hurst/VPIN), instrument catalog, deploy CLI --list, strategy signals. Existing live/node.py and paper_trader.py unchanged.
317 lines
12 KiB
Python
317 lines
12 KiB
Python
"""
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Deploy orchestrator — unified CLI for backtest → paper → live pipeline.
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Commands:
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backtest --strategy <name> [--fast|--full] [--interval 1h]
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paper --strategy <name> [--duration 3600]
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live --strategy <name> [--testnet|--mainnet]
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list List all registered strategies and backtest results.
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"""
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from __future__ import annotations
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import argparse
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import asyncio
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import json
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import logging
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import os
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import sys
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from datetime import datetime
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from pathlib import Path
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sys.path.insert(0, str(Path(__file__).resolve().parent.parent))
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logging.basicConfig(level=logging.INFO, format="%(asctime)s [deploy] %(message)s", datefmt="%H:%M:%S")
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logger = logging.getLogger("ftdt-deploy")
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RESULTS_DIR = Path(__file__).resolve().parent.parent / "backtests" / "results"
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RESULTS_DIR.mkdir(parents=True, exist_ok=True)
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STRATEGY_REGISTRY = {
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"pairs": {
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"name": "Pairs Trading",
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"description": "BTC/ETH ratio Z-score mean reversion",
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"class": "strategies.nt.pairs_trading_nt.PairsTradingNT",
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},
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"hurst_vpin": {
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"name": "Hurst VPIN",
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"description": "Hurst exponent regime filter + VPIN flow imbalance",
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"class": "strategies.nt.hurst_vpin_nt.HurstVPINNT",
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},
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"as_mm": {
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"name": "Avellaneda-Stoikov",
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"description": "Stochastic control market making with inventory risk",
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"class": "strategies.nt.as_mm_nt.ASMarketMakingNT",
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},
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"obi": {
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"name": "Order Book Imbalance",
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"description": "L2 bid/ask volume skew reversal",
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"class": None, # Not yet ported
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},
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"funding_arb": {
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"name": "Funding Rate Arb",
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"description": "Delta-neutral carry — collect funding payments",
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"class": None,
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},
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"momentum": {
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"name": "Momentum Breakout",
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"description": "Bollinger band breakout on trending instruments",
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"class": None,
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},
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"mean_rev": {
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"name": "Mean Reversion",
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"description": "VWAP deviation oscillator",
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"class": None,
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},
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}
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class DeployOrchestrator:
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"""Unified deployment pipeline."""
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@staticmethod
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def cmd_backtest(args):
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from backtests.vbt_runner import VBTBacktestRunner
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from backtests.nt_runner import NTBacktestRunner
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from framework.instruments import HyperliquidInstrumentCatalog
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strategy_key = args.strategy
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strategy_info = STRATEGY_REGISTRY.get(strategy_key)
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if not strategy_info:
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print(f"Unknown strategy: {strategy_key}")
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print(f"Available: {list(STRATEGY_REGISTRY.keys())}")
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return
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# Quick VectorBT backtest
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if not args.nt_only:
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print(f"\n{'='*60}")
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print(f" VectorBT Backtest: {strategy_info['name']}")
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print(f"{'='*60}")
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runner = VBTBacktestRunner()
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result = runner.run_strategy(
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strategy=strategy_key,
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interval=args.interval,
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testnet=args.testnet,
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)
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if result:
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_save_result(strategy_key, "vbt", result)
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# Full NautilusTrader backtest
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if not args.vbt_only:
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print(f"\n{'='*60}")
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print(f" NautilusTrader Backtest: {strategy_info['name']}")
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print(f"{'='*60}")
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catalog = HyperliquidInstrumentCatalog(testnet=args.testnet)
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runner = NTBacktestRunner()
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result = runner.run_backtest(
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strategy=strategy_key,
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interval=args.interval,
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instruments=catalog.load(),
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)
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if result:
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_save_result(strategy_key, "nt", result)
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@staticmethod
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def cmd_paper(args):
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from framework.data import HyperliquidDataProvider
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from framework.execution import PaperExecutionProvider
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from framework.config import StrategyConfig
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strategy_key = args.strategy
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strategy_info = STRATEGY_REGISTRY.get(strategy_key)
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if not strategy_info:
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print(f"Unknown strategy: {strategy_key}")
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return
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print(f"\n{'='*60}")
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print(f" Paper Trading: {strategy_info['name']}")
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print(f" Duration: {args.duration}s | Mainnet data")
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print(f"{'='*60}")
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provider = HyperliquidDataProvider(testnet=False)
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execution = PaperExecutionProvider()
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# Determine coin from strategy
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coin_map = {"pairs": "ETH", "hurst_vpin": "BTC", "as_mm": "BTC",
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"obi": "BTC", "funding_arb": "BTC", "momentum": "ETH"}
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coin = args.coin or coin_map.get(strategy_key, "BTC")
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async def _run():
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start = asyncio.get_event_loop().time()
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while asyncio.get_event_loop().time() - start < args.duration:
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try:
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prices = provider.fetch_mark_prices()
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mark = prices.get(coin, 0)
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if mark > 0:
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# Simulate a signal check each tick
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_tick(strategy_key, coin, mark, provider, execution)
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await asyncio.sleep(1)
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except Exception as e:
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logger.warning("Paper loop error: %s", e)
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await asyncio.sleep(5)
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asyncio.run(_run())
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@staticmethod
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def cmd_live(args):
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from framework.execution import HyperliquidExecutionProvider
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strategy_key = args.strategy
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strategy_info = STRATEGY_REGISTRY.get(strategy_key)
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if not strategy_info:
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print(f"Unknown strategy: {strategy_key}")
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return
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use_testnet = not args.mainnet
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env = "testnet" if use_testnet else "mainnet"
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private_key = os.environ.get(f"HYPERLIQUID_{env.upper()}_PK")
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if not private_key:
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env_file = Path(__file__).resolve().parent.parent / ".env"
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if env_file.exists():
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for line in env_file.read_text().splitlines():
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key = f"HYPERLIQUID_{env.upper()}_PK"
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if line.startswith(f"{key}="):
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private_key = line.split("=", 1)[1].strip()
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break
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if not private_key:
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print(f"ERROR: HYPERLIQUID_{env.upper()}_PK not set in .env or environment")
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return
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if not use_testnet:
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resp = input(f"\n⚠️ LIVE MAINNET for {strategy_key}. Confirm? (yes/no): ")
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if resp.lower() != "yes":
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print("Aborted.")
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return
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provider = HyperliquidExecutionProvider(private_key=private_key, testnet=use_testnet)
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print(f"\n{'='*60}")
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print(f" LIVE {env.upper()}: {strategy_info['name']}")
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print(f" Wallet: {provider.address}")
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print(f"{'='*60}")
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# Cancel existing orders
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provider.cancel_all()
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print("Run with Ctrl+C to stop. Existing node.py/paper_trader.py unaffected.")
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print("This is a standalone execution — for prod monitoring use the existing live node.")
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@staticmethod
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def cmd_list(args):
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print(f"\n{'='*60}")
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print(" Registered Strategies")
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print(f"{'='*60}")
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for key, info in STRATEGY_REGISTRY.items():
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ported = "✅" if info["class"] else "⏳"
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print(f" {ported} {key:15s} {info['name']:30s} {info['description']}")
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print()
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# List backtest results
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results = sorted(RESULTS_DIR.glob("*.json"), key=os.path.getmtime, reverse=True)
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if results:
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print(f"{'='*60}")
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print(" Backtest Results")
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print(f"{'='*60}")
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for r in results[:10]:
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mtime = datetime.fromtimestamp(os.path.getmtime(r)).strftime("%Y-%m-%d %H:%M")
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size_kb = os.path.getsize(r) / 1024
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print(f" {r.name:50s} {size_kb:6.1f}KB {mtime}")
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if len(results) > 10:
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print(f" ... and {len(results) - 10} more")
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def _save_result(strategy_key: str, engine: str, result: dict):
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ts = datetime.now().strftime("%Y%m%d-%H%M%S")
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path = RESULTS_DIR / f"{strategy_key}_{engine}_{ts}.json"
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with open(path, "w") as f:
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json.dump(result, f, indent=2, default=str)
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print(f" Saved: {path.name}")
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if "sharpe" in result:
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print(f" Sharpe: {result['sharpe']:.2f} | DD: {result.get('max_drawdown_pct', 0):.1f}% | Win: {result.get('win_rate', 0):.0%}")
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def _tick(strategy_key: str, coin: str, mark: float, provider, execution):
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"""Single tick of paper trading logic — placeholder for full strategy logic."""
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# Load strategy module dynamically
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strategy_class_path = STRATEGY_REGISTRY.get(strategy_key, {}).get("class")
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if not strategy_class_path:
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return
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module_path, class_name = strategy_class_path.rsplit(".", 1)
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import importlib
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try:
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mod = importlib.import_module(module_path)
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strategy_cls = getattr(mod, class_name)
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# Instantiate if not already cached
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if not hasattr(_tick, "_instances"):
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_tick._instances = {}
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if strategy_key not in _tick._instances:
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from framework.config import StrategyConfig
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cfg = StrategyConfig(
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name=STRATEGY_REGISTRY[strategy_key]["name"],
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instrument=f"{coin}-USD-PERP",
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asset=coin,
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allocation=10000.0,
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order_size=0.001,
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testnet=False, # paper uses mainnet data
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)
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_tick._instances[strategy_key] = strategy_cls(cfg)
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strat = _tick._instances[strategy_key]
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sig = strat.compute_signal(price=mark)
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if sig:
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# Paper execution
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from framework.execution import PaperExecutionProvider as Pep
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pep = Pep()
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cloid = pep.submit(
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coin=coin,
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side="BUY" if "BUY" in sig.get("signal", "").upper() else "SELL",
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size=cfg.order_size,
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price=mark,
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fee_model=cfg.fee_model,
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mark_price=mark,
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)
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logger.info("Paper signal: %s → %s | fill=%s", sig["signal"], cloid, mark)
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except Exception as e:
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logger.warning("Tick error for %s: %s", strategy_key, e)
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def main():
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parser = argparse.ArgumentParser(description="FTDT Quant Lab — Deploy Orchestrator")
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sub = parser.add_subparsers(dest="command", help="Command")
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# backtest
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bt = sub.add_parser("backtest", help="Run backtest (VectorBT + NautilusTrader)")
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bt.add_argument("--strategy", "-s", required=True, help="Strategy key (pairs, hurst_vpin, as_mm, etc.)")
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bt.add_argument("--fast", dest="vbt_only", action="store_true", help="VectorBT quick backtest only")
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bt.add_argument("--full", dest="nt_only", action="store_true", help="NautilusTrader full backtest only")
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bt.add_argument("--interval", default="1h", help="Candle interval (1m, 5m, 15m, 1h, 4h, 1d)")
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bt.add_argument("--testnet", action="store_true", default=False, help="Use testnet data")
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# paper
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pp = sub.add_parser("paper", help="Run paper trading simulation")
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pp.add_argument("--strategy", "-s", required=True, help="Strategy key")
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pp.add_argument("--duration", type=int, default=3600, help="Duration in seconds (default: 3600)")
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pp.add_argument("--coin", help="Override trading coin (default: strategy default)")
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# live
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ll = sub.add_parser("live", help="Run live trading")
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ll.add_argument("--strategy", "-s", required=True, help="Strategy key")
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ll.add_argument("--testnet", action="store_true", default=True, help="Use testnet (default)")
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ll.add_argument("--mainnet", action="store_true", help="Use mainnet")
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# list
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sub.add_parser("list", help="List registered strategies and results")
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args = parser.parse_args()
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if not args.command:
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parser.print_help()
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return
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orch = DeployOrchestrator()
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getattr(orch, f"cmd_{args.command}")(args)
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if __name__ == "__main__":
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main()
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