"""Smoke test REALE dei pairs: fetch live da Cerbero + un tick vero per coppia. A differenza di validate_worker_pairs.py (replay su parquet storici), questo verifica la PIPELINE LIVE end-to-end: chiama Cerbero per entrambe le gambe, controlla che lo strumento esista e sia fresco, fa un tick reale del PairsWorker e riporta lo stato. Serve a scoprire i problemi che il backtest nasconde (es. un perp alt non disponibile sull'endpoint Deribit). NON apre ordini reali: e' solo paper/lettura. """ from __future__ import annotations import sys import shutil import tempfile from datetime import datetime, timezone, timedelta from pathlib import Path import numpy as np import pandas as pd PROJECT_ROOT = Path(__file__).resolve().parents[2] sys.path.insert(0, str(PROJECT_ROOT)) from src.live.cerbero_client import CerberoClient from src.live.multi_runner import INSTRUMENT_MAP from src.live.pairs_worker import PairsWorker from scripts.strategies.PR01_pairs_reversion import PAIRS def fetch(cli, asset, start, end): inst = INSTRUMENT_MAP.get(asset, f"{asset}-PERPETUAL") try: cs = cli.get_historical(inst, start.strftime("%Y-%m-%d"), end.strftime("%Y-%m-%d"), "60") if not cs: return inst, None, "VUOTO (strumento assente sull'endpoint)" df = pd.DataFrame(cs) df["timestamp"] = df["timestamp"].astype("int64") df = df.sort_values("timestamp").reset_index(drop=True) last = pd.to_datetime(df["timestamp"].iloc[-1], unit="ms", utc=True) age = (datetime.now(timezone.utc) - last).total_seconds() / 3600 return inst, df, f"{len(df)} barre, ultima {last:%Y-%m-%d %H:%M} ({age:.1f}h fa)" except Exception as e: return inst, None, f"ERRORE {type(e).__name__}: {str(e)[:60]}" def main(): cli = CerberoClient() end = datetime.now(timezone.utc) start = end - timedelta(days=60) assets = sorted({a for a, _, _ in PAIRS} | {b for _, b, _ in PAIRS}) print("=" * 80) print(" SMOKE TEST LIVE PAIRS — fetch reale Cerbero + tick (no ordini reali)") print("=" * 80) data = {} for a in assets: inst, df, msg = fetch(cli, a, start, end) data[a] = df print(f" {a:<4s} [{inst:<16s}] {msg}") print("\n tick reale per coppia:") tmp = Path(tempfile.mkdtemp()) try: for a, b, p in PAIRS: if data.get(a) is None or data.get(b) is None: print(f" {a}/{b:<4s}: SKIP (manca feed live di una gamba) -> non tradabile live ora") continue w = PairsWorker(a, b, "1h", params=p, fee_rt=0.001, data_dir=tmp) w._log = lambda *x, **k: None w._notify = lambda *x, **k: None m = data[a][["timestamp", "close"]].merge( data[b][["timestamp", "close"]], on="timestamp", how="inner") if len(m) < p["n"] + 2: print(f" {a}/{b:<4s}: merge {len(m)} barre < n+2 ({p['n']+2}) -> dati insufficienti") continue z, _ = w._zscore(m["close_x"].values, m["close_y"].values) w.tick(data[a], data[b]) state = ("IN POS " + ("LONG " + a if w.direction == 1 else "SHORT " + a) if w.in_position else "FLAT") print(f" {a}/{b:<4s}: OK merge {len(m)} barre, z_ora={z[-1]:+.2f} -> {state}") finally: shutil.rmtree(tmp, ignore_errors=True) print("\n Solo le coppie con entrambe le gambe fresche su Cerbero sono tradabili live.") if __name__ == "__main__": main()