chore(reset): v2.0.0 — storico certificato Deribit mainnet, ripartenza pulita

Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
2026-06-19 15:16:03 +00:00
parent 8401a280b9
commit 14522262e6
383 changed files with 1971 additions and 779 deletions
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+"""Flatten one-shot del conto Deribit testnet per il RESET del portafoglio (2026-06-10).
+
+Cancella gli ordini resting noti (TP limit / disaster-SL dai status.json dei worker),
+poi chiude TUTTE le posizioni USDC con market reduce-only (close_position di cerbero
+non supporta i lineari USDC) e verifica che il conto sia flat.
+
+Uso: uv run python scripts/analysis/reset_flatten.py
+"""
+import glob
+import json
+import time
+
+from src.live.cerbero_client import CerberoClient
+from src.live.execution import ExecutionClient, contract_spec, register_contract
+
+
+def main():
+    c = CerberoClient()
+    ex = ExecutionClient(client=c)
+
+    # 1) ordini resting noti dai status.json (TP limit + disaster bracket)
+    oids = set()
+    for f in glob.glob("data/portfolio_paper/*/status.json"):
+        s = json.load(open(f))
+        for k in ("real_tp_order_id", "real_dsl_order_id"):
+            if s.get(k):
+                oids.add(s[k])
+    for oid in sorted(oids):
+        r = ex.cancel_order(oid)
+        print(f"cancel {oid}: {r.get('state', r)}")
+
+    # 2) flatten posizioni USDC (market reduce-only, max 5 passate)
+    for attempt in range(5):
+        live = [p for p in c.get_positions("USDC")
+                if abs(float(p.get("size", 0) or 0)) > 0]
+        if not live:
+            print("FLAT — conto pulito")
+            return True
+        for p in live:
+            inst = p["instrument"]
+            register_contract(inst, c)
+            size_usd = abs(float(p["size"]))
+            mark = float(p.get("mark_price") or 0)
+            step = contract_spec(inst)["step"]
+            entry_side = "buy" if p["direction"] == "long" else "sell"
+            units = size_usd / mark if mark else 0
+            # _quantize_step (Decimal): round(units/step)*step in float binario
+            # produce artefatti (0.07200000000000001) che Deribit rifiuta con
+            # 'Invalid params' — il bug e' documentato in execution.py
+            from src.live.execution import _quantize_step
+            amount = _quantize_step(units, step, contract_spec(inst)["min"]) if units >= step / 2 else 0.0
+            if amount <= 0:
+                print(f"  {inst}: residuo {size_usd:.2f} USD sotto mezzo step, ok")
+                continue
+            f = ex.close_amount(inst, entry_side, amount, label="reset_flatten")
+            print(f"  close {inst} amt={amount} -> {f.order_state} fill={f.fill_price} "
+                  f"verified={f.verified} {f.notes[:60]}")
+        time.sleep(3)
+
+    left = [(p["instrument"], round(float(p["size"]), 4))
+            for p in c.get_positions("USDC") if abs(float(p.get("size", 0) or 0)) > 0]
+    print("RESIDUO FINALE:", left or "FLAT")
+    return not left
+
+
+if __name__ == "__main__":
+    ok = main()
+    raise SystemExit(0 if ok else 1)