feat(live): esecuzione REALE su Deribit testnet (shadow) per i 6 fade sui lineari USDC

- ExecutionClient: notional->amount (lineare USDC + inverse), open/close_amount
  reduce-only, verifica sul trade (order_id), fee reali lette dai trades[]
- CerberoClient: place_order market + reduce_only, get_trade_history
- StrategyWorker: shadow (REAL_OPEN/REAL_CLOSE accanto al sim), ledger reale
  parallelo persistito, confronto slippage/fee sim-vs-reale
- runner+portfolios.yml: config execution (6 fade MR01/MR02/MR07 x BTC/ETH su
  BTC_USDC/ETH_USDC-PERPETUAL), capitale 2000
- smoke: live_exec_smoke (layer) + live_shadow_smoke (catena worker), provati su testnet

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-06-03 10:11:26 +00:00
parent 1f0c1ab02a
commit cb1b6ea46a
7 changed files with 563 additions and 6 deletions
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# (definito in scripts/portfolios/_defs.py) e ne fa l'override dei parametri operativi.
active: PORT06 # default raccomandato: master + shape
overrides:
total_capital: 1000
total_capital: 2000
weighting: cap # equal | cap | inverse_vol | cluster_rp | manual
caps: {PAIRS: 0.33}
leverage: 2 # sobrio per il live reale
rebalance: 1D
poll_seconds: 60
# Esecuzione REALE su Deribit testnet, in SHADOW (sim + reale in parallelo).
# Solo i 6 fade single-leg (MR01/MR02/MR07 x BTC/ETH); ordini sui LINEARI USDC
# (payoff lineare = matematica del backtest; fee/PnL in USDC). Gli altri sleeve
# (pairs/rotation/tsmom/shape/dip) restano simulati.
execution:
enabled: true
sleeves: [MR01, MR02, MR07]
instruments:
BTC: BTC_USDC-PERPETUAL
ETH: ETH_USDC-PERPETUAL