"""TsmomWorker (TSM01): consenso TSMOM multi-orizzonte risk-gated, ribilancio giornaliero. Replica live di tsmom_research.tsmom_sim (horizons 63/126/252, thr 1.0, gross 0.30, SMA100 gate).""" from __future__ import annotations import json from datetime import datetime, timezone from pathlib import Path import numpy as np import pandas as pd from src.live.rotation_worker import _panel, _warn_panel_short, FEE_RT class TsmomWorker: def __init__(self, universe, horizons=(63, 126, 252), thr=1.0, gross=0.30, regime_n=100, tf="1d", capital=1000.0, fee_rt=FEE_RT, name="TSM01", data_dir=Path("data/portfolio_paper")): self.universe = list(universe) self.horizons = tuple(horizons) self.thr = thr self.gross = gross self.regime_n = regime_n self.tf = tf self.initial_capital = capital self.capital = capital self.fee_rt = fee_rt self.worker_id = f"{name}__{tf}" self.work_dir = Path(data_dir) / self.worker_id self.work_dir.mkdir(parents=True, exist_ok=True) self.status_path = self.work_dir / "status.json" self.trades_path = self.work_dir / "trades.jsonl" self.weights = {a: 0.0 for a in self.universe} self.last_bar_ts = 0 self.in_position = False self._panel_warned = False # dedup WARN panel corto (per episodio, non persistito) self._load() def _load(self): if self.status_path.exists(): s = json.loads(self.status_path.read_text()) self.capital = s.get("capital", self.capital) self.weights = {**{a: 0.0 for a in self.universe}, **s.get("weights", {})} self.last_bar_ts = s.get("last_bar_ts", 0) self.in_position = any(v > 0 for v in self.weights.values()) def _save(self): self.status_path.write_text(json.dumps({ "capital": round(self.capital, 2), "weights": self.weights, "in_position": self.in_position, # per hourly_report (osservabilita') "last_bar_ts": self.last_bar_ts, "ts": datetime.now(timezone.utc).isoformat()}, indent=2)) def tick(self, data: dict): need = max(max(self.horizons) + 1, self.regime_n + 1) panel, cols = _panel(data, self.universe) if panel is None or len(panel) < need or "BTC" not in cols: self._panel_warned = _warn_panel_short( self.worker_id, panel, cols, need, self.last_bar_ts, self._panel_warned) return self._panel_warned = False P = panel[cols].values bar_ts = int(panel["timestamp"].iloc[-1]) if self.last_bar_ts and bar_ts > self.last_bar_ts: day_ret = P[-1] / P[-2] - 1.0 port_r = sum(self.weights.get(cols[k], 0.0) * day_ret[k] for k in range(len(cols))) self.capital = max(self.capital * (1.0 + float(port_r)), 10.0) btc = P[:, cols.index("BTC")] bma = pd.Series(btc).rolling(self.regime_n).mean().values risk_on = btc[-1] > bma[-1] if not np.isnan(bma[-1]) else False score = np.zeros(len(cols)) for h in self.horizons: score += np.sign(P[-1] / P[-1 - h] - 1.0) score /= len(self.horizons) chosen = [k for k in range(len(cols)) if score[k] >= self.thr] if risk_on else [] nw = {a: 0.0 for a in self.universe} for k in chosen: nw[cols[k]] = self.gross / len(chosen) turnover = sum(abs(nw[a] - self.weights.get(a, 0.0)) for a in self.universe) self.capital -= self.capital * turnover * (self.fee_rt / 2) if turnover > 0: self._log(nw, float(self.capital)) self.weights = nw self.last_bar_ts = bar_ts self.in_position = any(v > 0 for v in nw.values()) self._save() def _log(self, weights, cap): with open(self.trades_path, "a") as f: f.write(json.dumps({"ts": datetime.now(timezone.utc).isoformat(), "weights": {a: round(w, 4) for a, w in weights.items() if w > 0}, "capital": round(cap, 2)}) + "\n") @property def status_summary(self): held = {a: round(w, 3) for a, w in self.weights.items() if w > 0} return f"{self.worker_id}: cap={self.capital:.0f} held={held}"