feat(live): loop di esecuzione GATED di TP01 (execution_enabled + --execute, default OFF)

scripts/live/live_execute.py porta il conto reale al target di TP01 (min(0.5*frazione*equity, cap/asset)): apre/riduce/chiude via DeribitTrader.rebalance_to(). DOPPIO GATE: config/live.json execution_enabled=true (master, default false) E flag --execute; senza entrambi e' dry-run. Reconciliation post-ordine + log in data/live/executions.jsonl. TP01 flat -> 0 azioni. - execution.py: rebalance_to() (open/reduce/close al target); MAX_AMOUNT alzato a tetto hard anti-fat-finger (~$630/$430 su conto ~$600), il sizing operativo lo decide config max_notional. - config/live.json: master switch + cap/asset $300 + min ordine $5 + disaster_sl_pct. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
2026-06-20 15:37:51 +00:00
parent a3d6b97db6
commit bc9e322d0d
3 changed files with 148 additions and 2 deletions
@@ -0,0 +1,114 @@
+"""TP01 LIVE EXECUTE — loop di esecuzione GATED su Deribit mainnet (USDC linear).
+
+Porta il conto reale al target di TP01 (causale, dati certificati): per ogni asset calcola il notional
+bersaglio = min(0.5 * frazione * equity, max_notional), e apre/riduce/chiude per raggiungerlo.
+
+DOPPIO GATE DI SICUREZZA (entrambi necessari per inviare ordini reali):
+  1. config/live.json -> "execution_enabled": true   (master switch, default false)
+  2. flag CLI --execute
+Senza entrambi e' un DRY-RUN (stampa il piano, NON invia). Reconciliation dopo ogni ordine; log in
+data/live/executions.jsonl. TP01 oggi e' FLAT -> target 0 -> nessuna azione finche' il segnale non gira.
+
+  uv run python scripts/live/live_execute.py            # DRY-RUN (piano, nessun ordine)
+  uv run python scripts/live/live_execute.py --execute   # esegue SOLO se execution_enabled=true
+"""
+from __future__ import annotations
+
+import json
+import sys
+from pathlib import Path
+
+import pandas as pd
+
+PROJECT_ROOT = Path(__file__).resolve().parents[2]
+sys.path.insert(0, str(PROJECT_ROOT))
+
+from src.live.deribit import INSTRUMENT
+from src.live.execution import DeribitTrader
+from src.live.shadow import ASSETS, WEIGHT, shadow_report
+
+CONFIG = PROJECT_ROOT / "config" / "live.json"
+LOG_DIR = PROJECT_ROOT / "data" / "live"
+LOG = LOG_DIR / "executions.jsonl"
+
+
+def load_config() -> dict:
+    cfg = json.loads(CONFIG.read_text()) if CONFIG.exists() else {}
+    cfg.setdefault("execution_enabled", False)
+    cfg.setdefault("max_notional_per_asset_usd", 300.0)
+    cfg.setdefault("min_order_usd", 5.0)
+    return cfg
+
+
+def log_event(rec: dict):
+    LOG_DIR.mkdir(parents=True, exist_ok=True)
+    with open(LOG, "a") as f:
+        f.write(json.dumps(rec) + "\n")
+
+
+def main():
+    cfg = load_config()
+    want_execute = "--execute" in sys.argv[1:]
+    enabled = bool(cfg["execution_enabled"])
+    do_execute = want_execute and enabled
+    max_notional = float(cfg["max_notional_per_asset_usd"])
+    min_order = float(cfg["min_order_usd"])
+
+    r = shadow_report()                       # targets causali + conto/posizioni reali (online)
+    equity = r["equity"]
+
+    print("=" * 84)
+    print("  TP01 LIVE EXECUTE — Deribit mainnet (USDC linear)")
+    print("=" * 84)
+    mode = ("ESECUZIONE REALE" if do_execute else
+            ("ARMATO ma manca --execute" if enabled else "DRY-RUN (execution_enabled=false)"))
+    print(f"  modo            : {mode}")
+    print(f"  gate            : execution_enabled={enabled} | --execute={want_execute}")
+    print(f"  conto reale     : ${r['real_equity']:,.2f}" if r["real_equity"] else f"  conto: {r['eq_basis']}")
+    print(f"  sizing base     : ${equity:,.2f} | cap/asset ${max_notional:.0f} | min ordine ${min_order:.0f}")
+    print(f"  ultima barra    : {r['last_data']}\n")
+
+    if not r["online"]:
+        print("  conto non leggibile (offline) -> stop, non eseguo a cieco.")
+        return
+
+    trader = DeribitTrader() if do_execute else None
+    actions = []
+    for a in r["assets"]:
+        asset = a["asset"]; frac = a["target"]; mark = a["mark"]; cur = a["position_usd"]
+        tgt = min(WEIGHT * frac * equity, max_notional) if frac > 0 else 0.0
+        delta = tgt - cur
+        if abs(delta) < min_order:
+            act = "HOLD (a target)"
+        elif tgt < 1.0 and cur > 1.0:
+            act = f"CLOSE ${cur:,.0f}"
+        elif delta > 0:
+            act = f"BUY ${delta:,.0f}"
+        else:
+            act = f"REDUCE ${-delta:,.0f}"
+        print(f"  {asset:<3} target {frac:+.3f}x -> ${tgt:,.0f} | pos ${cur:,.0f} | delta ${delta:+,.0f} -> {act}")
+
+        if do_execute and not act.startswith("HOLD"):
+            fills = trader.rebalance_to(INSTRUMENT[asset], tgt, mark, min_usd=min_order)
+            newpos = trader.position_usd(INSTRUMENT[asset])
+            for f in fills:
+                print(f"      -> {f.side.upper()} {f.filled:.4f} @ ${f.price:,.1f} fee {f.fee_usdc:.5f} "
+                      f"({'OK' if f.verified else 'NON VERIFICATO: ' + f.notes})")
+                log_event(dict(ts_utc=str(pd.Timestamp(r['last_data'])), asset=asset, action=act,
+                               side=f.side, filled=f.filled, price=f.price, fee=f.fee_usdc,
+                               verified=f.verified, notes=f.notes, pos_after=newpos))
+            print(f"      reconcile: pos ${newpos:,.0f}")
+        actions.append(act)
+
+    print()
+    if not do_execute:
+        print("  => DRY-RUN: nessun ordine inviato." +
+              ("" if enabled else " Per armare: config/live.json execution_enabled=true + --execute."))
+    elif all(x.startswith("HOLD") for x in actions):
+        print("  => Nessuna azione: conto gia' al target di TP01 (oggi flat).")
+    else:
+        print("  => Esecuzione completata (vedi data/live/executions.jsonl).")
+
+
+if __name__ == "__main__":
+    main()