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>
69 lines
2.7 KiB
Python
69 lines
2.7 KiB
Python
"""Flatten one-shot del conto Deribit testnet per il RESET del portafoglio (2026-06-10).
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Cancella gli ordini resting noti (TP limit / disaster-SL dai status.json dei worker),
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poi chiude TUTTE le posizioni USDC con market reduce-only (close_position di cerbero
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non supporta i lineari USDC) e verifica che il conto sia flat.
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Uso: uv run python scripts/analysis/reset_flatten.py
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"""
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import glob
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import json
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import time
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from src.live.cerbero_client import CerberoClient
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from src.live.execution import ExecutionClient, contract_spec, register_contract
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def main():
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c = CerberoClient()
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ex = ExecutionClient(client=c)
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# 1) ordini resting noti dai status.json (TP limit + disaster bracket)
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oids = set()
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for f in glob.glob("data/portfolio_paper/*/status.json"):
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s = json.load(open(f))
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for k in ("real_tp_order_id", "real_dsl_order_id"):
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if s.get(k):
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oids.add(s[k])
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for oid in sorted(oids):
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r = ex.cancel_order(oid)
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print(f"cancel {oid}: {r.get('state', r)}")
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# 2) flatten posizioni USDC (market reduce-only, max 5 passate)
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for attempt in range(5):
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live = [p for p in c.get_positions("USDC")
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if abs(float(p.get("size", 0) or 0)) > 0]
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if not live:
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print("FLAT — conto pulito")
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return True
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for p in live:
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inst = p["instrument"]
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register_contract(inst, c)
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size_usd = abs(float(p["size"]))
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mark = float(p.get("mark_price") or 0)
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step = contract_spec(inst)["step"]
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entry_side = "buy" if p["direction"] == "long" else "sell"
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units = size_usd / mark if mark else 0
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# _quantize_step (Decimal): round(units/step)*step in float binario
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# produce artefatti (0.07200000000000001) che Deribit rifiuta con
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# 'Invalid params' — il bug e' documentato in execution.py
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from src.live.execution import _quantize_step
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amount = _quantize_step(units, step, contract_spec(inst)["min"]) if units >= step / 2 else 0.0
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if amount <= 0:
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print(f" {inst}: residuo {size_usd:.2f} USD sotto mezzo step, ok")
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continue
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f = ex.close_amount(inst, entry_side, amount, label="reset_flatten")
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print(f" close {inst} amt={amount} -> {f.order_state} fill={f.fill_price} "
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f"verified={f.verified} {f.notes[:60]}")
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time.sleep(3)
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left = [(p["instrument"], round(float(p["size"]), 4))
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for p in c.get_positions("USDC") if abs(float(p.get("size", 0) or 0)) > 0]
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print("RESIDUO FINALE:", left or "FLAT")
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return not left
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if __name__ == "__main__":
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ok = main()
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raise SystemExit(0 if ok else 1)
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