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>
102 lines
4.4 KiB
Python
102 lines
4.4 KiB
Python
"""PairsWorker esecuzione reale a 2 gambe (shadow): apertura/chiusura, leg-risk unwind,
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ledger reale parallelo. Executor finto, nessuna rete."""
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from types import SimpleNamespace
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import numpy as np
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import pandas as pd
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import pytest
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from src.live.execution import Fill, PairFill
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from src.live.pairs_worker import PairsWorker
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class FakePairsExec:
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"""Simula PairsExecutionClient: fill deterministici, con possibilità di leg-fail."""
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def __init__(self, fail_leg=None):
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self.fail_leg = fail_leg # None | 'a' | 'b' : quale gamba NON filla all'open
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self.opened = []
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self.closed = []
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self.unwound = []
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def _fill(self, inst, side, price, amt=1.0, ok=True):
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return Fill(inst, side, 0.0, amt if ok else 0.0, price if ok else None,
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0.0, 0.05 if ok else 0.0, "oid" if ok else None,
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"filled" if ok else "error", ok,
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filled_amount=amt if ok else 0.0)
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def open_pair(self, inst_a, inst_b, direction, notional, label=None):
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side_a = "buy" if direction == 1 else "sell"
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side_b = "sell" if direction == 1 else "buy"
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ok_a = self.fail_leg != 'a'
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ok_b = self.fail_leg != 'b'
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fa = self._fill(inst_a, side_a, 100.0, ok=ok_a)
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fb = self._fill(inst_b, side_b, 50.0, ok=ok_b)
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self.opened.append((inst_a, inst_b, direction))
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if ok_a and ok_b:
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return PairFill(True, fa, fb)
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if ok_a and fa.amount > 0:
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self.unwound.append(inst_a)
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if ok_b and fb.amount > 0:
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self.unwound.append(inst_b)
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return PairFill(False, fa, fb, unwound=bool(self.unwound), notes="leg-fail")
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def close_pair(self, inst_a, inst_b, side_a, side_b, amt_a, amt_b, label=None):
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opp_a = "sell" if side_a == "buy" else "buy"
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opp_b = "sell" if side_b == "buy" else "buy"
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self.closed.append((inst_a, inst_b))
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# prezzi di uscita: A salito a 102, B fermo a 50 -> long-A/short-B guadagna
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return PairFill(True, self._fill(inst_a, opp_a, 102.0, amt_a),
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self._fill(inst_b, opp_b, 50.0, amt_b))
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INST = {"ETH": "ETH_USDC-PERPETUAL", "BTC": "BTC_USDC-PERPETUAL"}
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def _worker(tmp_path, fake, monkeypatch, notified=None):
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if notified is not None:
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monkeypatch.setattr("src.live.pairs_worker.notify_event",
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lambda ev, data=None: notified.append(ev))
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return PairsWorker("ETH", "BTC", "1h", capital=200.0, position_size=0.2, leverage=2.0,
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data_dir=tmp_path, executor=fake, exec_instruments=INST)
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def test_execution_enabled_wired(tmp_path):
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w = _worker(tmp_path, FakePairsExec(), pytest.MonkeyPatch())
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assert w.execution_enabled and w.inst_a == "ETH_USDC-PERPETUAL" and w.inst_b == "BTC_USDC-PERPETUAL"
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def test_real_open_and_close_pair(tmp_path, monkeypatch):
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notified = []
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fake = FakePairsExec()
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w = _worker(tmp_path, fake, monkeypatch, notified)
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w._open(1, 100.0, 50.0, -2.5) # long ratio
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assert w.real_in_position and w.real_dir == 1
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assert w.real_side_a == "buy" and w.real_side_b == "sell"
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assert fake.opened and "REAL_EXEC_LIVE" in notified
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cap0 = w.real_capital
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w._close(102.0, 50.0, 0.3, "mean_revert")
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assert not w.real_in_position and fake.closed
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assert w.real_capital > cap0 # A +2% / B 0 -> long-A/short-B in utile
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assert w.real_trades == 1
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def test_leg_fail_unwinds_and_no_position(tmp_path, monkeypatch):
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notified = []
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fake = FakePairsExec(fail_leg='b') # gamba B non filla
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w = _worker(tmp_path, fake, monkeypatch, notified)
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w._open(1, 100.0, 50.0, -2.5)
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assert not w.real_in_position # niente posizione reale
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assert "ETH_USDC-PERPETUAL" in fake.unwound # la gamba A fillata e' stata richiusa
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assert "REAL_OPEN_FAIL" in notified
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def test_real_ledger_persists_and_resumes(tmp_path, monkeypatch):
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fake = FakePairsExec()
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w = _worker(tmp_path, fake, monkeypatch, [])
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w._open(-1, 100.0, 50.0, 2.5) # short ratio
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assert w.real_in_position and w.real_dir == -1
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w2 = PairsWorker("ETH", "BTC", "1h", capital=200.0, position_size=0.2, leverage=2.0,
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data_dir=tmp_path, executor=fake, exec_instruments=INST)
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assert w2.real_in_position and w2.real_dir == -1
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assert w2.real_side_a == "sell" and w2.real_amount_a > 0
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