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
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"""Smoke della catena SHADOW dentro lo StrategyWorker (testnet, ordini reali minimi).
Apre e chiude la quota di UN worker fade come farebbe il runner:
_open_position (sim + REAL_OPEN reale su BTC_USDC) → _close_position (sim +
REAL_CLOSE reduce-only) → controlla che real_capital sia aggiornato dal fill reale.
Non tocca lo stato di produzione (data_dir temporanea). Costo testnet = €0.
uv run python scripts/analysis/live_shadow_smoke.py
"""
from __future__ import annotations
import tempfile
from pathlib import Path
from src.live.cerbero_client import CerberoClient
from src.live.execution import ExecutionClient
from src.live.strategy_loader import load_strategy
from src.live.strategy_worker import StrategyWorker
from src.strategies.base import Signal
def main() -> None:
client = CerberoClient()
acct = client.get_account_summary(currency="USDC")
print(f"Account testnet equity={acct.get('equity')} USDC testnet={acct.get('testnet')}")
if not acct.get("testnet"):
raise SystemExit("ABORT: non testnet")
ex = ExecutionClient(client=client)
instrument = "BTC_USDC-PERPETUAL"
price = ex._mark_price(instrument)
print(f"{instrument} mark={price}")
with tempfile.TemporaryDirectory() as tmp:
w = StrategyWorker(
strategy=load_strategy("MR01_bollinger_fade"),
asset="BTC", tf="1h", capital=100.0, position_size=0.15, leverage=2.0,
data_dir=Path(tmp), executor=ex, exec_instrument=instrument,
)
print(f"execution_enabled={w.execution_enabled} notional atteso=${100*0.15*2:.0f}")
# OPEN long (sim + reale)
sig = Signal(idx=0, direction=1, entry_price=price, metadata={})
w._open_position(sig, price)
print(f" real_in_position={w.real_in_position} side={w.real_side} "
f"amount={w.real_amount} entry={w.real_entry_price} "
f"entry_fee=${w.real_entry_fee_usd:.5f} notional=${w.real_entry_notional:.2f}")
assert w.real_in_position, "OPEN reale non verificato"
# CLOSE (sim + reale reduce-only) a un prezzo leggermente diverso
exit_price = (w.entry_price or price) * 1.001
cap_before = w.real_capital
w._close_position(exit_price, "smoke_close")
print(f" real_capital {cap_before:.4f} -> {w.real_capital:.4f} "
f"{w.real_capital - cap_before:+.4f}) real_trades={w.real_trades}")
assert not w.real_in_position, "posizione reale non chiusa"
# verifica finale: il conto e' flat sullo strumento (nessuna quota residua del worker)
pos = ex._position_size(instrument)
print(f" posizione netta {instrument}: {pos}")
print("✓ catena shadow OK — ordine reale aperto, verificato, chiuso reduce-only, "
"fee reali nel ledger reale")
if __name__ == "__main__":
main()