Adriano Dal Pastro
14522262e6
Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
82 lines
3.4 KiB
Python
82 lines
3.4 KiB
Python
"""Smoke LIVE del nuovo percorso 15m: fetch DIRETTO 15m da Cerbero per ETH/BTC +
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freschezza + flat-fraction + un tick reale del PairsWorker(flat_skip).
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Verifica cio' che il backtest non vede: che Cerbero serva candele 15m fresche per
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entrambe le gambe (il runner ora le fetcha dirette, non resamplate dal 1h) e che il
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worker 15m le processi senza errori. NON apre ordini reali (l'esecuzione a 2 gambe e'
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gia' coperta da live_pairs_smoke.py, indipendente dal timeframe).
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uv run python scripts/analysis/pairs15m_live_smoke.py
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"""
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from __future__ import annotations
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import sys
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import shutil
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import tempfile
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from datetime import datetime, timezone, timedelta
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from pathlib import Path
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import pandas as pd
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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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sys.path.insert(0, str(PROJECT_ROOT))
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from src.live.cerbero_client import CerberoClient
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from src.live.multi_runner import INSTRUMENT_MAP
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from src.live.pairs_worker import PairsWorker
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CFG = {"n": 66, "z_in": 1.674, "z_exit": 1.0, "max_bars": 35, "flat_skip": True}
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def fetch15(cli, asset, days=14):
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inst = INSTRUMENT_MAP.get(asset, f"{asset}-PERPETUAL")
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end = datetime.now(timezone.utc)
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start = end - timedelta(days=days)
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candles = cli.get_historical_v2(inst, start.strftime("%Y-%m-%d"),
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end.strftime("%Y-%m-%d"), "15m")
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if not candles:
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return inst, None
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df = pd.DataFrame(candles)
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df["timestamp"] = df["timestamp"].astype("int64")
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return inst, df.sort_values("timestamp").reset_index(drop=True)
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def main():
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print("=" * 84)
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print(" SMOKE LIVE — ETH/BTC pairs 15m (fetch diretto Cerbero + tick worker flat-skip)")
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print("=" * 84)
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cli = CerberoClient()
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inst_a, da = fetch15(cli, "ETH")
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inst_b, db = fetch15(cli, "BTC")
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ok = True
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for asset, inst, df in [("ETH", inst_a, da), ("BTC", inst_b, db)]:
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if df is None or df.empty:
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print(f" {asset} ({inst}): NESSUNA candela 15m -> FAIL"); ok = False; continue
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last = pd.to_datetime(df["timestamp"].iloc[-1], unit="ms", utc=True)
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age_min = (datetime.now(timezone.utc) - last).total_seconds() / 60
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flat = ((df["open"] == df["high"]) & (df["high"] == df["low"]) &
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(df["low"] == df["close"])).mean() * 100
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fresh = age_min < 60
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print(f" {asset} ({inst}): {len(df)} barre 15m | ultima {last:%Y-%m-%d %H:%M} "
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f"({age_min:.0f} min fa, {'FRESCO' if fresh else 'STALE'}) | flat {flat:.1f}%")
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ok &= fresh
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if da is None or db is None:
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print("\n ESITO: FAIL (feed 15m assente)."); return
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# tick reale del worker 15m
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tmp = Path(tempfile.mkdtemp(prefix="smoke15m_"))
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try:
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w = PairsWorker("ETH", "BTC", "15m", params=CFG, fee_rt=0.001, data_dir=tmp)
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df_a = pd.DataFrame({"timestamp": da["timestamp"], "open": da["open"], "high": da["high"],
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"low": da["low"], "close": da["close"]})
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df_b = pd.DataFrame({"timestamp": db["timestamp"], "open": db["open"], "high": db["high"],
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"low": db["low"], "close": db["close"]})
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w.tick(df_a, df_b)
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print(f"\n Worker 15m flat_skip={w.flat_skip} -> tick OK | {w.status_summary}")
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print(f" ESITO: {'OK — feed 15m fresco e worker ticca' if ok else 'ATTENZIONE: feed 15m stale/parziale'}")
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finally:
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shutil.rmtree(tmp, ignore_errors=True)
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if __name__ == "__main__":
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main()
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