feat(phase-3): paper-trading runner BTC+ETH
Modulo paper_trading per forward-test virtuale Phase 3: - Portfolio multi-asset equal-weight sleeve, fees bp su round-trip - PaperExecutor compila strategia JSON e applica segnale a bar close - PaperRepository persiste runs/ticks/trades/equity in runs.db - CLI scripts/run_paper_trading.py: loop polling Cerbero, exec su nuovo bar Strategie deployate: - BTC fb63e851 (Sharpe OOS +0.50, mean rev RSI+ATR+hour gate) - ETH facd6af85d5d (Sharpe OOS +0.19, trend vol regime + SMA50/200) Capitale virtuale $1000 (sleeve $500 ciascuno), 2 settimane smoke. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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"""Paper-trading runner Phase 3 — forward-test virtuale BTC + ETH.
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Loop infinito (o limitato via --max-ticks) che ogni ``--poll-seconds``:
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1. fetch OHLCV 1h ultime ~500 barre via Cerbero
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2. per ogni strategia: compile + esegui ultimo bar
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3. apply segnale al portfolio multi-asset
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4. snapshot equity in DB
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I bar 1h chiudono al minuto :00. Il loop riconosce un "nuovo bar chiuso"
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confrontando l'ultimo timestamp del DataFrame con quello dell'iterazione
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precedente. Tick consecutivi su stesso bar = hold (no double-trade).
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Esempio:
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uv run python scripts/run_paper_trading.py \
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--name phase3-papertrade-001 \
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--initial-capital 1000 \
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--max-ticks 336 # 2 settimane * 24 ore
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"""
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from __future__ import annotations
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import argparse
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import time
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from dataclasses import dataclass
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from datetime import UTC, datetime, timedelta
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from pathlib import Path
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from multi_swarm.cerbero.client import CerberoClient
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from multi_swarm.config import load_settings
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from multi_swarm.data.cerbero_ohlcv import CerberoOHLCVLoader, OHLCVRequest
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from multi_swarm.paper_trading.executor import PaperExecutor
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from multi_swarm.paper_trading.persistence import PaperRepository
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from multi_swarm.paper_trading.portfolio import Portfolio
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from multi_swarm.persistence.repository import Repository
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PROJECT_ROOT = Path(__file__).resolve().parent.parent
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@dataclass(frozen=True)
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class AssetConfig:
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symbol: str # es. "BTC-PERPETUAL"
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strategy_file: Path
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exchange: str = "deribit"
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timeframe: str = "1h"
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def parse_args() -> argparse.Namespace:
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p = argparse.ArgumentParser(description="Paper-trading runner Phase 3")
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p.add_argument("--name", default="phase3-papertrade-001")
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p.add_argument("--initial-capital", type=float, default=1000.0)
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p.add_argument("--fees-bp", type=float, default=5.0)
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p.add_argument("--poll-seconds", type=int, default=300, help="Polling interval (5min default)")
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p.add_argument("--max-ticks", type=int, default=0, help="0 = infinito; per smoke test usa 1")
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p.add_argument("--lookback-bars", type=int, default=500, help="Quante bar fetchare per indicatori")
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p.add_argument(
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"--strategies-dir",
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default=str(PROJECT_ROOT / "strategies"),
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help="Cartella contenente btc_*.json e eth_*.json",
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)
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return p.parse_args()
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def load_assets(strategies_dir: Path) -> list[AssetConfig]:
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btc_files = sorted(strategies_dir.glob("btc_*.json"))
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eth_files = sorted(strategies_dir.glob("eth_*.json"))
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if not btc_files or not eth_files:
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raise FileNotFoundError(
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f"Expected btc_*.json and eth_*.json in {strategies_dir}"
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)
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return [
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AssetConfig(symbol="BTC-PERPETUAL", strategy_file=btc_files[0]),
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AssetConfig(symbol="ETH-PERPETUAL", strategy_file=eth_files[0]),
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]
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def main() -> None:
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args = parse_args()
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settings = load_settings()
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# Inizializza schema (idempotente).
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Repository(settings.db_path).init_schema()
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token = (
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settings.cerbero_mainnet_token.get_secret_value()
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if settings.cerbero_mainnet_token
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else settings.cerbero_testnet_token.get_secret_value()
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)
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cerbero = CerberoClient(
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base_url=settings.cerbero_base_url,
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token=token,
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bot_tag=settings.cerbero_bot_tag,
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)
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loader = CerberoOHLCVLoader(client=cerbero, cache_dir=settings.series_dir)
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assets = load_assets(Path(args.strategies_dir))
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executors: list[PaperExecutor] = [
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PaperExecutor(strategy_json_path=a.strategy_file, symbol=a.symbol) for a in assets
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]
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print(f"Loaded {len(assets)} strategies:")
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for a, ex in zip(assets, executors, strict=True):
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print(f" {a.symbol}: {a.strategy_file.name} -> {len(ex._strategy.rules)} rules")
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portfolio = Portfolio(
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initial_capital=args.initial_capital,
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fees_bp=args.fees_bp,
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n_sleeves=len(assets),
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)
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repo = PaperRepository(settings.db_path)
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config = {
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"assets": [
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{"symbol": a.symbol, "strategy": a.strategy_file.name, "exchange": a.exchange}
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for a in assets
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],
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"fees_bp": args.fees_bp,
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"poll_seconds": args.poll_seconds,
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"lookback_bars": args.lookback_bars,
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}
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run_id = repo.create_run(
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name=args.name, initial_capital=args.initial_capital, config=config
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)
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print(f"Paper run started: {run_id} ({args.name})")
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print(f" initial_capital=${args.initial_capital:.2f}, sleeve=${portfolio.sleeve_capital:.2f}")
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tick_count = 0
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last_bars_seen: dict[str, datetime] = {}
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try:
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while args.max_ticks == 0 or tick_count < args.max_ticks:
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now = datetime.now(UTC)
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last_prices: dict[str, float] = {}
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for asset, executor in zip(assets, executors, strict=True):
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# fetch OHLCV most recent lookback bars
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end = now.replace(minute=0, second=0, microsecond=0)
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start = end - timedelta(hours=args.lookback_bars + 1)
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req = OHLCVRequest(
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symbol=asset.symbol,
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timeframe=asset.timeframe,
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start=start,
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end=end,
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exchange=asset.exchange,
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)
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# bypass cache for live data
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try:
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ohlcv = loader._fetch(req) # noqa: SLF001
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except Exception as e: # noqa: BLE001
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print(f"[{now.isoformat()}] {asset.symbol} fetch FAIL: {e}")
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continue
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if len(ohlcv) < 10:
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print(f"[{now.isoformat()}] {asset.symbol} too few bars ({len(ohlcv)})")
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continue
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bar_ts = ohlcv.index[-1]
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last_bar_dt = bar_ts.to_pydatetime() if hasattr(bar_ts, "to_pydatetime") else bar_ts
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# skip se barra gia' processata in questo tick
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if last_bars_seen.get(asset.symbol) == last_bar_dt:
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last_prices[asset.symbol] = float(ohlcv["close"].iloc[-1])
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continue
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last_bars_seen[asset.symbol] = last_bar_dt
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result = executor.execute_tick(portfolio, ohlcv, now)
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repo.save_tick(run_id, result)
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last_prices[asset.symbol] = result.close_price
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if result.action_taken != "hold":
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pnl_str = (
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f"pnl=${result.trade.net_pnl:+.2f}" if result.trade else ""
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)
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print(
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f"[{now.isoformat()}] {asset.symbol} bar={last_bar_dt} "
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f"close={result.close_price:.2f} signal={result.signal.value} "
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f"action={result.action_taken} {pnl_str}"
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)
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repo.sync_open_positions(run_id, portfolio)
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eq, pos_val = portfolio.equity(last_prices)
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repo.save_equity_snapshot(run_id, now, eq, portfolio.cash, pos_val)
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tick_count += 1
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print(
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f"[{now.isoformat()}] tick={tick_count} "
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f"equity=${eq:.2f} cash=${portfolio.cash:.2f} pos_val=${pos_val:.2f} "
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f"open={list(portfolio.positions.keys())}"
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)
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if args.max_ticks > 0 and tick_count >= args.max_ticks:
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break
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time.sleep(args.poll_seconds)
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repo.stop_run(run_id, status="completed")
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except KeyboardInterrupt:
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print("\nInterrupted by user")
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repo.stop_run(run_id, status="interrupted")
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except Exception as e: # noqa: BLE001
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print(f"Run failed: {e}")
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repo.stop_run(run_id, status="failed")
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raise
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print(f"Paper run {run_id} stopped after {tick_count} ticks")
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print(f"Final equity: ${portfolio.equity({})[0]:.2f}")
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print(f"Trades closed: {len(portfolio.closed_trades)}")
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if __name__ == "__main__":
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main()
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