feat: capitale virtuale $1000 USDC, PnL tracking realistico con fee

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>

src/live/paper_trader.py

@@ -13,7 +13,7 @@ from src.live.signal_engine import SignalEngine
 
 LOG_DIR = Path(__file__).resolve().parents[2] / "data" / "paper_trades"
 INSTRUMENT = "ETH_USDC-PERPETUAL"
-TRAIN_INSTRUMENT = "ETH-PERPETUAL"  # storico più lungo per training
+TRAIN_INSTRUMENT = "ETH-PERPETUAL"
 CURRENCY = "USDC"
 RESOLUTION = "15"
 LEVERAGE = 3
@@ -22,6 +22,7 @@ HOLD_BARS = 3
 POLL_SECONDS = 60
 LOOKBACK_DAYS = 60
 TRAIN_LOOKBACK_DAYS = 365
+VIRTUAL_CAPITAL = 1000.0  # simula capitale reale, ignora balance testnet
 
 
 class PaperTrader:
@@ -29,10 +30,12 @@ class PaperTrader:
         self.client = CerberoClient()
         self.engine = SignalEngine(bb_w=14, sq_thr=0.8, ml_thr=0.70)
 
+        self.virtual_capital = VIRTUAL_CAPITAL
         self.in_position = False
         self.position_entry_time: datetime | None = None
         self.position_direction: str | None = None
         self.position_entry_price: float = 0
+        self.position_size: float = 0
         self.bars_held = 0
         self.last_bar_ts: int = 0
 
@@ -52,9 +55,11 @@ class PaperTrader:
 
     def save_status(self):
         status = {
+            "virtual_capital": round(self.virtual_capital, 2),
             "in_position": self.in_position,
             "direction": self.position_direction,
             "entry_price": self.position_entry_price,
+            "position_size": self.position_size,
             "entry_time": self.position_entry_time.isoformat() if self.position_entry_time else None,
             "bars_held": self.bars_held,
             "last_update": datetime.now(timezone.utc).isoformat(),
@@ -91,10 +96,8 @@ class PaperTrader:
     def open_position(self, direction: str, signal: dict):
         ticker = self.client.get_ticker(INSTRUMENT)
         price = ticker["last_price"]
-        account = self.client.get_account_summary()
-        equity = account["equity"]
 
-        notional = equity * POSITION_PCT
+        notional = self.virtual_capital * POSITION_PCT * LEVERAGE
         amount = round(notional / price, 3)
         amount = max(amount, 0.001)
 
@@ -104,7 +107,8 @@ class PaperTrader:
             "side": side,
             "amount": amount,
             "price": price,
-            "equity": equity,
+            "virtual_capital": round(self.virtual_capital, 2),
+            "notional": round(notional, 2),
             "signal": signal,
         })
 
@@ -120,6 +124,7 @@ class PaperTrader:
             self.in_position = True
             self.position_direction = side
             self.position_entry_price = price
+            self.position_size = amount
             self.position_entry_time = datetime.now(timezone.utc)
             self.bars_held = 0
             self.log("OPENED", {"order_result": result})
@@ -134,27 +139,43 @@ class PaperTrader:
         exit_price = ticker["last_price"]
 
         if self.position_direction == "buy":
-            pnl_pct = (exit_price - self.position_entry_price) / self.position_entry_price * 100
+            trade_pnl = (exit_price - self.position_entry_price) * self.position_size
         else:
-            pnl_pct = (self.position_entry_price - exit_price) / self.position_entry_price * 100
+            trade_pnl = (self.position_entry_price - exit_price) * self.position_size
+
+        fee = self.position_size * (self.position_entry_price + exit_price) * 0.001
+        net_pnl = trade_pnl - fee
+        pnl_pct = net_pnl / self.virtual_capital * 100
 
         self.log("CLOSING", {
             "reason": reason,
             "entry_price": self.position_entry_price,
             "exit_price": exit_price,
+            "size": self.position_size,
+            "trade_pnl": round(trade_pnl, 2),
+            "fee": round(fee, 2),
+            "net_pnl": round(net_pnl, 2),
             "pnl_pct": round(pnl_pct, 3),
             "bars_held": self.bars_held,
+            "capital_before": round(self.virtual_capital, 2),
         })
 
         try:
             result = self.client.close_position(INSTRUMENT)
-            self.log("CLOSED", {"result": result, "pnl_pct": round(pnl_pct, 3)})
+            self.virtual_capital += net_pnl
+            self.log("CLOSED", {
+                "result": result,
+                "net_pnl": round(net_pnl, 2),
+                "pnl_pct": round(pnl_pct, 3),
+                "virtual_capital": round(self.virtual_capital, 2),
+            })
         except Exception as e:
             self.log("CLOSE_FAILED", {"error": str(e)})
 
         self.in_position = False
         self.position_direction = None
         self.position_entry_price = 0
+        self.position_size = 0
         self.position_entry_time = None
         self.bars_held = 0
 
@@ -215,7 +236,8 @@ class PaperTrader:
 
         account = self.client.get_account_summary()
         self.log("STARTUP", {
-            "equity": account["equity"],
+            "virtual_capital": self.virtual_capital,
+            "testnet_equity": account["equity"],
             "testnet": account.get("testnet", True),
         })