From 55803c4fb95061cd138f95fe279ad44ee22e8a16 Mon Sep 17 00:00:00 2001 From: Dobromir Popov Date: Tue, 22 Jul 2025 21:39:36 +0300 Subject: [PATCH] cleanup new COB ladder --- MODEL_CLEANUP_SUMMARY.md | 137 - MODEL_IMPLEMENTATIONS_ANALYSIS_REPORT.md | 303 - .../DQN_COB_RL_CNN_TRAINING_ANALYSIS.md | 0 .../ENHANCED_TRAINING_INTEGRATION_REPORT.md | 0 .../training/cleanup_checkpoints.py | 0 .../training/enhanced_realtime_training.py | 0 .../enhanced_rl_training_integration.py | 0 .../integrate_checkpoint_management.py | 0 .../training/model_manager.py | 0 ORCHESTRATOR_STREAMLINING_PLAN.md | 229 - README_enhanced_trading_model.md | 154 - TENSOR_OPERATION_FIXES_REPORT.md | 105 - core/bookmap_data_provider.py | 952 - core/bookmap_integration.py | 1839 -- core/multi_exchange_cob_provider.py | 6 +- diagnose_training_issues.py | 1 - example_checkpoint_usage.py | 148 - fix_rl_training_issues.py | 283 - mexc_captcha_tokens_20250703_022428.json | 12 - mexc_cookies_20250703_003625.json | 29 - mexc_cookies_20250703_010352.json | 28 - mexc_requests_20250703_003625.json | 16883 ------------- mexc_requests_20250703_010352.json | 20612 ---------------- mexc_requests_20250703_015321.json | 9351 ------- mexc_requests_20250703_021049.json | 15618 ------------ mexc_requests_20250703_022428.json | 8072 ------ mexc_requests_20250703_023536.json | 6811 ----- mexc_requests_20250703_024032.json | 8243 ------ read_logs.py | 124 - test_signal_preservation.py | 99 - trading/__init__.py | 0 web/clean_dashboard.py | 12 +- web/component_manager.py | 170 +- 33 files changed, 125 insertions(+), 90096 deletions(-) delete mode 100644 MODEL_CLEANUP_SUMMARY.md delete mode 100644 MODEL_IMPLEMENTATIONS_ANALYSIS_REPORT.md rename DQN_COB_RL_CNN_TRAINING_ANALYSIS.md => NN/training/DQN_COB_RL_CNN_TRAINING_ANALYSIS.md (100%) rename ENHANCED_TRAINING_INTEGRATION_REPORT.md => NN/training/ENHANCED_TRAINING_INTEGRATION_REPORT.md (100%) rename cleanup_checkpoints.py => NN/training/cleanup_checkpoints.py (100%) rename enhanced_realtime_training.py => NN/training/enhanced_realtime_training.py (100%) rename enhanced_rl_training_integration.py => NN/training/enhanced_rl_training_integration.py (100%) rename integrate_checkpoint_management.py => NN/training/integrate_checkpoint_management.py (100%) rename model_manager.py => NN/training/model_manager.py (100%) delete mode 100644 ORCHESTRATOR_STREAMLINING_PLAN.md delete mode 100644 README_enhanced_trading_model.md delete mode 100644 TENSOR_OPERATION_FIXES_REPORT.md delete mode 100644 core/bookmap_data_provider.py delete mode 100644 core/bookmap_integration.py delete mode 100644 diagnose_training_issues.py delete mode 100644 example_checkpoint_usage.py delete mode 100644 fix_rl_training_issues.py delete mode 100644 mexc_captcha_tokens_20250703_022428.json delete mode 100644 mexc_cookies_20250703_003625.json delete mode 100644 mexc_cookies_20250703_010352.json delete mode 100644 mexc_requests_20250703_003625.json delete mode 100644 mexc_requests_20250703_010352.json delete mode 100644 mexc_requests_20250703_015321.json delete mode 100644 mexc_requests_20250703_021049.json delete mode 100644 mexc_requests_20250703_022428.json delete mode 100644 mexc_requests_20250703_023536.json delete mode 100644 mexc_requests_20250703_024032.json delete mode 100644 read_logs.py delete mode 100644 test_signal_preservation.py delete mode 100644 trading/__init__.py diff --git a/MODEL_CLEANUP_SUMMARY.md b/MODEL_CLEANUP_SUMMARY.md deleted file mode 100644 index b037500..0000000 --- a/MODEL_CLEANUP_SUMMARY.md +++ /dev/null @@ -1,137 +0,0 @@ -# Model Cleanup Summary Report -*Completed: 2024-12-19* - -## šŸŽÆ Objective -Clean up redundant and unused model implementations while preserving valuable architectural concepts and maintaining the production system integrity. - -## šŸ“‹ Analysis Completed -- **Comprehensive Analysis**: Created detailed report of all model implementations -- **Good Ideas Documented**: Identified and recorded 50+ valuable architectural concepts -- **Production Models Identified**: Confirmed which models are actively used -- **Cleanup Plan Executed**: Removed redundant implementations systematically - -## šŸ—‘ļø Files Removed - -### CNN Model Implementations (4 files removed) -- āœ… `NN/models/cnn_model_pytorch.py` - Superseded by enhanced version -- āœ… `NN/models/enhanced_cnn_with_orderbook.py` - Functionality integrated elsewhere -- āœ… `NN/models/transformer_model_pytorch.py` - Basic implementation superseded -- āœ… `training/williams_market_structure.py` - Fallback no longer needed - -### Enhanced Training System (5 files removed) -- āœ… `enhanced_rl_diagnostic.py` - Diagnostic script no longer needed -- āœ… `enhanced_realtime_training.py` - Functionality integrated into orchestrator -- āœ… `enhanced_rl_training_integration.py` - Superseded by orchestrator integration -- āœ… `test_enhanced_training.py` - Test for removed functionality -- āœ… `run_enhanced_cob_training.py` - Runner integrated into main system - -### Test Files (3 files removed) -- āœ… `tests/test_enhanced_rl_status.py` - Testing removed enhanced RL system -- āœ… `tests/test_enhanced_dashboard_training.py` - Testing removed training system -- āœ… `tests/test_enhanced_system.py` - Testing removed enhanced system - -## āœ… Files Preserved (Production Models) - -### Core Production Models -- šŸ”’ `NN/models/cnn_model.py` - Main production CNN (Enhanced, 256+ channels) -- šŸ”’ `NN/models/dqn_agent.py` - Main production DQN (Enhanced CNN backbone) -- šŸ”’ `NN/models/cob_rl_model.py` - COB-specific RL (400M+ parameters) -- šŸ”’ `core/nn_decision_fusion.py` - Neural decision fusion - -### Advanced Architectures (Archived for Future Use) -- šŸ“¦ `NN/models/advanced_transformer_trading.py` - 46M parameter transformer -- šŸ“¦ `NN/models/enhanced_cnn.py` - Alternative CNN architecture -- šŸ“¦ `NN/models/transformer_model.py` - MoE and transformer concepts - -### Management Systems -- šŸ”’ `model_manager.py` - Model lifecycle management -- šŸ”’ `utils/checkpoint_manager.py` - Checkpoint management - -## šŸ”„ Updates Made - -### Import Updates -- āœ… Updated `NN/models/__init__.py` to reflect removed files -- āœ… Fixed imports to use correct remaining implementations -- āœ… Added proper exports for production models - -### Architecture Compliance -- āœ… Maintained single source of truth for each model type -- āœ… Preserved all good architectural ideas in documentation -- āœ… Kept production system fully functional - -## šŸ’” Good Ideas Preserved in Documentation - -### Architecture Patterns -1. **Multi-Scale Processing** - Multiple kernel sizes and attention scales -2. **Attention Mechanisms** - Multi-head, self-attention, spatial attention -3. **Residual Connections** - Pre-activation, enhanced residual blocks -4. **Adaptive Architecture** - Dynamic network rebuilding -5. **Normalization Strategies** - GroupNorm, LayerNorm for different scenarios - -### Training Innovations -1. **Experience Replay Variants** - Priority replay, example sifting -2. **Mixed Precision Training** - GPU optimization and memory efficiency -3. **Checkpoint Management** - Performance-based saving -4. **Model Fusion** - Neural decision fusion, MoE architectures - -### Market-Specific Features -1. **Order Book Integration** - COB-specific preprocessing -2. **Market Regime Detection** - Regime-aware models -3. **Uncertainty Quantification** - Confidence estimation -4. **Position Awareness** - Position-aware action selection - -## šŸ“Š Cleanup Statistics - -| Category | Files Analyzed | Files Removed | Files Preserved | Good Ideas Documented | -|----------|----------------|---------------|-----------------|----------------------| -| CNN Models | 5 | 4 | 1 | 12 | -| Transformer Models | 3 | 1 | 2 | 8 | -| RL Models | 2 | 0 | 2 | 6 | -| Training Systems | 5 | 5 | 0 | 10 | -| Test Files | 50+ | 3 | 47+ | - | -| **Total** | **65+** | **13** | **52+** | **36** | - -## šŸŽÆ Results - -### Space Saved -- **Removed Files**: 13 files (~150KB of code) -- **Reduced Complexity**: Eliminated 4 redundant CNN implementations -- **Cleaner Architecture**: Single source of truth for each model type - -### Knowledge Preserved -- **Comprehensive Documentation**: All good ideas documented in detail -- **Implementation Roadmap**: Clear path for future integrations -- **Architecture Patterns**: Reusable patterns identified and documented - -### Production System -- **Zero Downtime**: All production models preserved and functional -- **Enhanced Imports**: Cleaner import structure -- **Future Ready**: Clear path for integrating documented innovations - -## šŸš€ Next Steps - -### High Priority Integrations -1. Multi-scale attention mechanisms → Main CNN -2. Market regime detection → Orchestrator -3. Uncertainty quantification → Decision fusion -4. Enhanced experience replay → Main DQN - -### Medium Priority -1. Relative positional encoding → Future transformer -2. Advanced normalization strategies → All models -3. Adaptive architecture features → Main models - -### Future Considerations -1. MoE architecture for ensemble learning -2. Ultra-massive model variants for specialized tasks -3. Advanced transformer integration when needed - -## āœ… Conclusion - -Successfully cleaned up the project while: -- **Preserving** all production functionality -- **Documenting** valuable architectural innovations -- **Reducing** code complexity and redundancy -- **Maintaining** clear upgrade paths for future enhancements - -The project is now cleaner, more maintainable, and ready for focused development on the core production models while having a clear roadmap for integrating the best ideas from the removed implementations. \ No newline at end of file diff --git a/MODEL_IMPLEMENTATIONS_ANALYSIS_REPORT.md b/MODEL_IMPLEMENTATIONS_ANALYSIS_REPORT.md deleted file mode 100644 index bce9c49..0000000 --- a/MODEL_IMPLEMENTATIONS_ANALYSIS_REPORT.md +++ /dev/null @@ -1,303 +0,0 @@ -# Model Implementations Analysis Report -*Generated: 2024-12-19* - -## Executive Summary - -This report analyzes all model implementations in the gogo2 trading system to identify valuable concepts and architectures before cleanup. The project contains multiple implementations of similar models, some unused, some experimental, and some production-ready. - -## Current Model Ecosystem - -### 🧠 CNN Models (5 Implementations) - -#### 1. **`NN/models/cnn_model.py`** - Production Enhanced CNN -- **Status**: Currently used -- **Architecture**: Ultra-massive 256+ channel architecture with 12+ residual blocks -- **Key Features**: - - Multi-head attention mechanisms (16 heads) - - Multi-scale convolutional paths (3, 5, 7, 9 kernels) - - Spatial attention blocks - - GroupNorm for batch_size=1 compatibility - - Memory barriers to prevent in-place operations - - 2-action system optimized (BUY/SELL) -- **Good Ideas**: - - āœ… Attention mechanisms for temporal relationships - - āœ… Multi-scale feature extraction - - āœ… Robust normalization for single-sample inference - - āœ… Memory management for gradient computation - - āœ… Modular residual architecture - -#### 2. **`NN/models/enhanced_cnn.py`** - Alternative Enhanced CNN -- **Status**: Alternative implementation -- **Architecture**: Ultra-massive with 3072+ channels, deep residual blocks -- **Key Features**: - - Self-attention mechanisms - - Pre-activation residual blocks - - Ultra-massive fully connected layers (3072 → 2560 → 2048 → 1536 → 1024) - - Adaptive network rebuilding based on input - - Example sifting dataset for experience replay -- **Good Ideas**: - - āœ… Pre-activation residual design - - āœ… Adaptive architecture based on input shape - - āœ… Experience replay integration in CNN training - - āœ… Ultra-wide hidden layers for complex pattern learning - -#### 3. **`NN/models/cnn_model_pytorch.py`** - Standard PyTorch CNN -- **Status**: Standard implementation -- **Architecture**: Standard CNN with basic features -- **Good Ideas**: - - āœ… Clean PyTorch implementation patterns - - āœ… Standard training loops - -#### 4. **`NN/models/enhanced_cnn_with_orderbook.py`** - COB-Specific CNN -- **Status**: Specialized for order book data -- **Good Ideas**: - - āœ… Order book specific preprocessing - - āœ… Market microstructure awareness - -#### 5. **`training/williams_market_structure.py`** - Fallback CNN -- **Status**: Fallback implementation -- **Good Ideas**: - - āœ… Graceful fallback mechanism - - āœ… Simple architecture for testing - -### šŸ¤– Transformer Models (3 Implementations) - -#### 1. **`NN/models/transformer_model.py`** - TensorFlow Transformer -- **Status**: TensorFlow-based (outdated) -- **Architecture**: Classic transformer with positional encoding -- **Key Features**: - - Multi-head attention - - Positional encoding - - Mixture of Experts (MoE) model - - Time series + feature input combination -- **Good Ideas**: - - āœ… Positional encoding for temporal data - - āœ… MoE architecture for ensemble learning - - āœ… Multi-input design (time series + features) - - āœ… Configurable attention heads and layers - -#### 2. **`NN/models/transformer_model_pytorch.py`** - PyTorch Transformer -- **Status**: PyTorch migration -- **Good Ideas**: - - āœ… PyTorch implementation patterns - - āœ… Modern transformer architecture - -#### 3. **`NN/models/advanced_transformer_trading.py`** - Advanced Trading Transformer -- **Status**: Highly specialized -- **Architecture**: 46M parameter transformer with advanced features -- **Key Features**: - - Relative positional encoding - - Deep multi-scale attention (scales: 1,3,5,7,11,15) - - Market regime detection - - Uncertainty estimation - - Enhanced residual connections - - Layer norm variants -- **Good Ideas**: - - āœ… Relative positional encoding for temporal relationships - - āœ… Multi-scale attention for different time horizons - - āœ… Market regime detection integration - - āœ… Uncertainty quantification - - āœ… Deep attention mechanisms - - āœ… Cross-scale attention - - āœ… Market-specific configuration dataclass - -### šŸŽÆ RL Models (2 Implementations) - -#### 1. **`NN/models/dqn_agent.py`** - Enhanced DQN Agent -- **Status**: Production system -- **Architecture**: Enhanced CNN backbone with DQN -- **Key Features**: - - Priority experience replay - - Checkpoint management integration - - Mixed precision training - - Position management awareness - - Extrema detection integration - - GPU optimization -- **Good Ideas**: - - āœ… Enhanced CNN as function approximator - - āœ… Priority experience replay - - āœ… Checkpoint management - - āœ… Mixed precision for performance - - āœ… Market context awareness - - āœ… Position-aware action selection - -#### 2. **`NN/models/cob_rl_model.py`** - COB-Specific RL -- **Status**: Specialized for order book -- **Architecture**: Massive RL network (400M+ parameters) -- **Key Features**: - - Ultra-massive architecture for complex patterns - - COB-specific preprocessing - - Mixed precision training - - Model interface for easy integration -- **Good Ideas**: - - āœ… Massive capacity for complex market patterns - - āœ… COB-specific design - - āœ… Interface pattern for model management - - āœ… Mixed precision optimization - -### šŸ”— Decision Fusion Models - -#### 1. **`core/nn_decision_fusion.py`** - Neural Decision Fusion -- **Status**: Production system -- **Key Features**: - - Multi-model prediction fusion - - Neural network for weight learning - - Dynamic model registration -- **Good Ideas**: - - āœ… Learnable model weights - - āœ… Dynamic model registration - - āœ… Neural fusion vs simple averaging - -### šŸ“Š Model Management Systems - -#### 1. **`model_manager.py`** - Comprehensive Model Manager -- **Key Features**: - - Model registry with metadata - - Performance-based cleanup - - Storage management - - Model leaderboard - - 2-action system migration support -- **Good Ideas**: - - āœ… Automated model lifecycle management - - āœ… Performance-based retention - - āœ… Storage monitoring - - āœ… Model versioning - - āœ… Metadata tracking - -#### 2. **`utils/checkpoint_manager.py`** - Checkpoint Management -- **Good Ideas**: - - āœ… Legacy model detection - - āœ… Performance-based checkpoint saving - - āœ… Metadata preservation - -## Architectural Patterns & Good Ideas - -### šŸ—ļø Architecture Patterns - -1. **Multi-Scale Processing** - - Multiple kernel sizes (3,5,7,9,11,15) - - Different attention scales - - Temporal and spatial multi-scale - -2. **Attention Mechanisms** - - Multi-head attention - - Self-attention - - Spatial attention - - Cross-scale attention - - Relative positional encoding - -3. **Residual Connections** - - Pre-activation residual blocks - - Enhanced residual connections - - Memory barriers for gradient flow - -4. **Adaptive Architecture** - - Dynamic network rebuilding - - Input-shape aware models - - Configurable model sizes - -5. **Normalization Strategies** - - GroupNorm for batch_size=1 - - LayerNorm for transformers - - BatchNorm for standard training - -### šŸ”§ Training Innovations - -1. **Experience Replay Variants** - - Priority experience replay - - Example sifting datasets - - Positive experience memory - -2. **Mixed Precision Training** - - GPU optimization - - Memory efficiency - - Training speed improvements - -3. **Checkpoint Management** - - Performance-based saving - - Legacy model support - - Metadata preservation - -4. **Model Fusion** - - Neural decision fusion - - Mixture of Experts - - Dynamic weight learning - -### šŸ’” Market-Specific Features - -1. **Order Book Integration** - - COB-specific preprocessing - - Market microstructure awareness - - Imbalance calculations - -2. **Market Regime Detection** - - Regime-aware models - - Adaptive behavior - - Context switching - -3. **Uncertainty Quantification** - - Confidence estimation - - Risk-aware decisions - - Uncertainty propagation - -4. **Position Awareness** - - Position-aware action selection - - Risk management integration - - Context-dependent decisions - -## Recommendations for Cleanup - -### āœ… Keep (Production Ready) -- `NN/models/cnn_model.py` - Main production CNN -- `NN/models/dqn_agent.py` - Main production DQN -- `NN/models/cob_rl_model.py` - COB-specific RL -- `core/nn_decision_fusion.py` - Decision fusion -- `model_manager.py` - Model management -- `utils/checkpoint_manager.py` - Checkpoint management - -### šŸ“¦ Archive (Good Ideas, Not Currently Used) -- `NN/models/advanced_transformer_trading.py` - Advanced transformer concepts -- `NN/models/enhanced_cnn.py` - Alternative CNN architecture -- `NN/models/transformer_model.py` - MoE and transformer concepts - -### šŸ—‘ļø Remove (Redundant/Outdated) -- `NN/models/cnn_model_pytorch.py` - Superseded by enhanced version -- `NN/models/enhanced_cnn_with_orderbook.py` - Functionality integrated elsewhere -- `NN/models/transformer_model_pytorch.py` - Basic implementation -- `training/williams_market_structure.py` - Fallback no longer needed - -### šŸ”„ Consolidate Ideas -1. **Multi-scale attention** from advanced transformer → integrate into main CNN -2. **Market regime detection** → integrate into orchestrator -3. **Uncertainty estimation** → integrate into decision fusion -4. **Relative positional encoding** → future transformer implementation -5. **Experience replay variants** → integrate into main DQN - -## Implementation Priority - -### High Priority Integrations -1. Multi-scale attention mechanisms -2. Market regime detection -3. Uncertainty quantification -4. Enhanced experience replay - -### Medium Priority -1. Relative positional encoding -2. Advanced normalization strategies -3. Adaptive architecture features - -### Low Priority -1. MoE architecture -2. Ultra-massive model variants -3. TensorFlow migration features - -## Conclusion - -The project contains many innovative ideas spread across multiple implementations. The cleanup should focus on: - -1. **Consolidating** the best features into production models -2. **Archiving** implementations with unique concepts -3. **Removing** redundant or superseded code -4. **Documenting** architectural patterns for future reference - -The main production models (`cnn_model.py`, `dqn_agent.py`, `cob_rl_model.py`) should be enhanced with the best ideas from alternative implementations before cleanup. \ No newline at end of file diff --git a/DQN_COB_RL_CNN_TRAINING_ANALYSIS.md b/NN/training/DQN_COB_RL_CNN_TRAINING_ANALYSIS.md similarity index 100% rename from DQN_COB_RL_CNN_TRAINING_ANALYSIS.md rename to NN/training/DQN_COB_RL_CNN_TRAINING_ANALYSIS.md diff --git a/ENHANCED_TRAINING_INTEGRATION_REPORT.md b/NN/training/ENHANCED_TRAINING_INTEGRATION_REPORT.md similarity index 100% rename from ENHANCED_TRAINING_INTEGRATION_REPORT.md rename to NN/training/ENHANCED_TRAINING_INTEGRATION_REPORT.md diff --git a/cleanup_checkpoints.py b/NN/training/cleanup_checkpoints.py similarity index 100% rename from cleanup_checkpoints.py rename to NN/training/cleanup_checkpoints.py diff --git a/enhanced_realtime_training.py b/NN/training/enhanced_realtime_training.py similarity index 100% rename from enhanced_realtime_training.py rename to NN/training/enhanced_realtime_training.py diff --git a/enhanced_rl_training_integration.py b/NN/training/enhanced_rl_training_integration.py similarity index 100% rename from enhanced_rl_training_integration.py rename to NN/training/enhanced_rl_training_integration.py diff --git a/integrate_checkpoint_management.py b/NN/training/integrate_checkpoint_management.py similarity index 100% rename from integrate_checkpoint_management.py rename to NN/training/integrate_checkpoint_management.py diff --git a/model_manager.py b/NN/training/model_manager.py similarity index 100% rename from model_manager.py rename to NN/training/model_manager.py diff --git a/ORCHESTRATOR_STREAMLINING_PLAN.md b/ORCHESTRATOR_STREAMLINING_PLAN.md deleted file mode 100644 index acacba6..0000000 --- a/ORCHESTRATOR_STREAMLINING_PLAN.md +++ /dev/null @@ -1,229 +0,0 @@ -# Orchestrator Architecture Streamlining Plan - -## Current State Analysis - -### Basic TradingOrchestrator (`core/orchestrator.py`) -- **Size**: 880 lines -- **Purpose**: Core trading decisions, model coordination -- **Features**: - - Model registry and weight management - - CNN and RL prediction combination - - Decision callbacks - - Performance tracking - - Basic RL state building - -### Enhanced TradingOrchestrator (`core/enhanced_orchestrator.py`) -- **Size**: 5,743 lines (6.5x larger!) -- **Inherits from**: TradingOrchestrator -- **Additional Features**: - - Universal Data Adapter (5 timeseries) - - COB Integration - - Neural Decision Fusion - - Multi-timeframe analysis - - Market regime detection - - Sensitivity learning - - Pivot point analysis - - Extrema detection - - Context data management - - Williams market structure - - Microstructure analysis - - Order flow analysis - - Cross-asset correlation - - PnL-aware features - - Trade flow features - - Market impact estimation - - Retrospective CNN training - - Cold start predictions - -## Problems Identified - -### 1. **Massive Feature Bloat** -- Enhanced orchestrator has become a "god object" with too many responsibilities -- Single class doing: trading, analysis, training, data processing, market structure, etc. -- Violates Single Responsibility Principle - -### 2. **Code Duplication** -- Many features reimplemented instead of extending base functionality -- Similar RL state building in both classes -- Overlapping market analysis - -### 3. **Maintenance Nightmare** -- 5,743 lines in single file is unmaintainable -- Complex interdependencies -- Hard to test individual components -- Performance issues due to size - -### 4. **Resource Inefficiency** -- Loading entire enhanced orchestrator even if only basic features needed -- Memory overhead from unused features -- Slower initialization - -## Proposed Solution: Modular Architecture - -### 1. **Keep Streamlined Base Orchestrator** -``` -TradingOrchestrator (core/orchestrator.py) -ā”œā”€ā”€ Basic decision making -ā”œā”€ā”€ Model coordination -ā”œā”€ā”€ Performance tracking -└── Core RL state building -``` - -### 2. **Create Modular Extensions** -``` -core/ -ā”œā”€ā”€ orchestrator.py (Basic - 880 lines) -ā”œā”€ā”€ modules/ -│ ā”œā”€ā”€ cob_module.py # COB integration -│ ā”œā”€ā”€ market_analysis_module.py # Market regime, volatility -│ ā”œā”€ā”€ multi_timeframe_module.py # Multi-TF analysis -│ ā”œā”€ā”€ neural_fusion_module.py # Neural decision fusion -│ ā”œā”€ā”€ pivot_analysis_module.py # Williams/pivot points -│ ā”œā”€ā”€ extrema_module.py # Extrema detection -│ ā”œā”€ā”€ microstructure_module.py # Order flow analysis -│ ā”œā”€ā”€ correlation_module.py # Cross-asset correlation -│ └── training_module.py # Advanced training features -``` - -### 3. **Configurable Enhanced Orchestrator** -```python -class ConfigurableOrchestrator(TradingOrchestrator): - def __init__(self, data_provider, modules=None): - super().__init__(data_provider) - self.modules = {} - - # Load only requested modules - if modules: - for module_name in modules: - self.load_module(module_name) - - def load_module(self, module_name): - # Dynamically load and initialize module - pass -``` - -### 4. **Module Interface** -```python -class OrchestratorModule: - def __init__(self, orchestrator): - self.orchestrator = orchestrator - - def initialize(self): - pass - - def get_features(self, symbol): - pass - - def get_predictions(self, symbol): - pass -``` - -## Implementation Plan - -### Phase 1: Extract Core Modules (Week 1) -1. Extract COB integration to `cob_module.py` -2. Extract market analysis to `market_analysis_module.py` -3. Extract neural fusion to `neural_fusion_module.py` -4. Test basic functionality - -### Phase 2: Refactor Enhanced Features (Week 2) -1. Move pivot analysis to `pivot_analysis_module.py` -2. Move extrema detection to `extrema_module.py` -3. Move microstructure analysis to `microstructure_module.py` -4. Update imports and dependencies - -### Phase 3: Create Configurable System (Week 3) -1. Implement `ConfigurableOrchestrator` -2. Create module loading system -3. Add configuration file support -4. Test different module combinations - -### Phase 4: Clean Dashboard Integration (Week 4) -1. Update dashboard to work with both Basic and Configurable -2. Add module status display -3. Dynamic feature enabling/disabling -4. Performance optimization - -## Benefits - -### 1. **Maintainability** -- Each module ~200-400 lines (manageable) -- Clear separation of concerns -- Individual module testing -- Easier debugging - -### 2. **Performance** -- Load only needed features -- Reduced memory footprint -- Faster initialization -- Better resource utilization - -### 3. **Flexibility** -- Mix and match features -- Easy to add new modules -- Configuration-driven setup -- Development environment vs production - -### 4. **Development** -- Teams can work on individual modules -- Clear interfaces reduce conflicts -- Easier to add new features -- Better code reuse - -## Configuration Examples - -### Minimal Setup (Basic Trading) -```yaml -orchestrator: - type: basic - modules: [] -``` - -### Full Enhanced Setup -```yaml -orchestrator: - type: configurable - modules: - - cob_module - - neural_fusion_module - - market_analysis_module - - pivot_analysis_module -``` - -### Custom Setup (Research) -```yaml -orchestrator: - type: configurable - modules: - - market_analysis_module - - extrema_module - - training_module -``` - -## Migration Strategy - -### 1. **Backward Compatibility** -- Keep current Enhanced orchestrator as deprecated -- Gradually migrate features to modules -- Provide compatibility layer - -### 2. **Gradual Migration** -- Start with dashboard using Basic orchestrator -- Add modules one by one -- Test each integration - -### 3. **Performance Testing** -- Compare Basic vs Enhanced vs Modular -- Memory usage analysis -- Initialization time comparison -- Decision-making speed tests - -## Success Metrics - -1. **Code Size**: Enhanced orchestrator < 1,000 lines -2. **Memory**: 50% reduction in memory usage for basic setup -3. **Speed**: 3x faster initialization for basic setup -4. **Maintainability**: Each module < 500 lines -5. **Testing**: 90%+ test coverage per module - -This plan will transform the current monolithic enhanced orchestrator into a clean, modular, maintainable system while preserving all functionality and improving performance. \ No newline at end of file diff --git a/README_enhanced_trading_model.md b/README_enhanced_trading_model.md deleted file mode 100644 index e086aaa..0000000 --- a/README_enhanced_trading_model.md +++ /dev/null @@ -1,154 +0,0 @@ -# Enhanced CNN Model for Short-Term High-Leverage Trading - -This document provides an overview of the enhanced neural network trading system optimized for short-term high-leverage cryptocurrency trading. - -## Key Components - -The system consists of several integrated components, each optimized for high-frequency trading opportunities: - -1. **CNN Model Architecture**: A specialized convolutional neural network designed to detect micro-patterns in price movements. -2. **Custom Loss Function**: Trading-focused loss that prioritizes profitable trades and signal diversity. -3. **Signal Interpreter**: Advanced signal processing with multiple filters to reduce false signals. -4. **Performance Visualization**: Comprehensive analytics for model evaluation and optimization. - -## Architecture Improvements - -### CNN Model Enhancements - -The CNN model has been significantly improved for short-term trading: - -- **Micro-Movement Detection**: Dedicated convolutional layers to identify small price patterns that precede larger movements -- **Adaptive Pooling**: Fixed-size output tensors regardless of input window size for consistent prediction -- **Multi-Timeframe Integration**: Ability to process data from multiple timeframes simultaneously -- **Attention Mechanism**: Focus on the most relevant features in price data -- **Dual Prediction Heads**: Separate pathways for action signals and price predictions - -### Loss Function Specialization - -The custom loss function has been designed specifically for trading: - -```python -def compute_trading_loss(self, action_probs, price_pred, targets, future_prices=None): - # Base classification loss - action_loss = self.criterion(action_probs, targets) - - # Diversity loss to ensure balanced trading signals - diversity_loss = ... # Encourage balanced trading signals - - # Profitability-based loss components - price_loss = ... # Penalize incorrect price direction predictions - profit_loss = ... # Penalize unprofitable trades heavily - - # Dynamic weighting based on training progress - total_loss = (action_weight * action_loss + - price_weight * price_loss + - profit_weight * profit_loss + - diversity_weight * diversity_loss) - - return total_loss, action_loss, price_loss -``` - -Key features: -- Adaptive training phases with progressive focus on profitability -- Punishes wrong price direction predictions more than amplitude errors -- Exponential penalties for unprofitable trades -- Promotes signal diversity to avoid single-class domination -- Win-rate component to encourage strategies that win more often than lose - -### Signal Interpreter - -The signal interpreter provides robust filtering of model predictions: - -- **Confidence Multiplier**: Amplifies high-confidence signals -- **Trend Alignment**: Ensures signals align with the overall market trend -- **Volume Filtering**: Validates signals against volume patterns -- **Oscillation Prevention**: Reduces excessive trading during uncertain periods -- **Performance Tracking**: Built-in metrics for win rate and profit per trade - -## Performance Metrics - -The model is evaluated on several key metrics: - -- **Win Rate**: Percentage of profitable trades -- **PnL**: Overall profit and loss -- **Signal Distribution**: Balance between BUY, SELL, and HOLD signals -- **Confidence Scores**: Certainty level of predictions - -## Usage Example - -```python -# Initialize the model -model = CNNModelPyTorch( - window_size=24, - num_features=10, - output_size=3, - timeframes=["1m", "5m", "15m"] -) - -# Make predictions -action_probs, price_pred = model.predict(market_data) - -# Interpret signals with advanced filtering -interpreter = SignalInterpreter(config={ - 'buy_threshold': 0.65, - 'sell_threshold': 0.65, - 'trend_filter_enabled': True -}) - -signal = interpreter.interpret_signal( - action_probs, - price_pred, - market_data={'trend': current_trend, 'volume': volume_data} -) - -# Take action based on the signal -if signal['action'] == 'BUY': - # Execute buy order -elif signal['action'] == 'SELL': - # Execute sell order -else: - # Hold position -``` - -## Optimization Results - -The optimized model has demonstrated: - -- Better signal diversity with appropriate balance between actions and holds -- Improved profitability with higher win rates -- Enhanced stability during volatile market conditions -- Faster adaptation to changing market regimes - -## Future Improvements - -Potential areas for further enhancement: - -1. **Reinforcement Learning Integration**: Optimize directly for PnL through RL techniques -2. **Market Regime Detection**: Automatic identification of market states for adaptivity -3. **Multi-Asset Correlation**: Include correlations between different assets -4. **Advanced Risk Management**: Dynamic position sizing based on signal confidence -5. **Ensemble Approach**: Combine multiple model variants for more robust predictions - -## Testing Framework - -The system includes a comprehensive testing framework: - -- **Unit Tests**: For individual components -- **Integration Tests**: For component interactions -- **Performance Backtesting**: For overall strategy evaluation -- **Visualization Tools**: For easier analysis of model behavior - -## Performance Tracking - -The included visualization module provides comprehensive performance dashboards: - -- Loss and accuracy trends -- PnL and win rate metrics -- Signal distribution over time -- Correlation matrix of performance indicators - -## Conclusion - -This enhanced CNN model provides a robust foundation for short-term high-leverage trading, with specialized components optimized for rapid market movements and signal quality. The custom loss function and advanced signal interpreter work together to maximize profitability while maintaining risk control. - -For best results, the model should be regularly retrained with recent market data to adapt to changing market conditions. \ No newline at end of file diff --git a/TENSOR_OPERATION_FIXES_REPORT.md b/TENSOR_OPERATION_FIXES_REPORT.md deleted file mode 100644 index 274c869..0000000 --- a/TENSOR_OPERATION_FIXES_REPORT.md +++ /dev/null @@ -1,105 +0,0 @@ -# Tensor Operation Fixes Report -*Generated: 2024-12-19* - -## šŸŽÆ Issue Summary - -The orchestrator was experiencing critical tensor operation errors that prevented model predictions: - -1. **Softmax Error**: `softmax() received an invalid combination of arguments - got (tuple, dim=int)` -2. **View Error**: `view size is not compatible with input tensor's size and stride` -3. **Unpacking Error**: `cannot unpack non-iterable NoneType object` - -## šŸ”§ Fixes Applied - -### 1. DQN Agent Softmax Fix (`NN/models/dqn_agent.py`) - -**Problem**: Q-values tensor had incorrect dimensions for softmax operation. - -**Solution**: Added dimension checking and reshaping before softmax: - -```python -# Before -sell_confidence = torch.softmax(q_values, dim=1)[0, 0].item() - -# After -if q_values.dim() == 1: - q_values = q_values.unsqueeze(0) -sell_confidence = torch.softmax(q_values, dim=1)[0, 0].item() -``` - -**Impact**: Prevents tensor dimension mismatch errors in confidence calculations. - -### 2. CNN Model View Operations Fix (`NN/models/cnn_model.py`) - -**Problem**: `.view()` operations failed due to non-contiguous tensor memory layout. - -**Solution**: Replaced `.view()` with `.reshape()` for automatic contiguity handling: - -```python -# Before -x = x.view(x.shape[0], -1, x.shape[-1]) -embedded = embedded.view(batch_size, seq_len, -1).transpose(1, 2).contiguous() - -# After -x = x.reshape(x.shape[0], -1, x.shape[-1]) -embedded = embedded.reshape(batch_size, seq_len, -1).transpose(1, 2).contiguous() -``` - -**Impact**: Eliminates tensor stride incompatibility errors during CNN forward pass. - -### 3. Generic Prediction Unpacking Fix (`core/orchestrator.py`) - -**Problem**: Model prediction methods returned different formats, causing unpacking errors. - -**Solution**: Added robust return value handling: - -```python -# Before -action_probs, confidence = model.predict(feature_matrix) - -# After -prediction_result = model.predict(feature_matrix) -if isinstance(prediction_result, tuple) and len(prediction_result) == 2: - action_probs, confidence = prediction_result -elif isinstance(prediction_result, dict): - action_probs = prediction_result.get('probabilities', None) - confidence = prediction_result.get('confidence', 0.7) -else: - action_probs = prediction_result - confidence = 0.7 -``` - -**Impact**: Prevents unpacking errors when models return different formats. - -## šŸ“Š Technical Details - -### Root Causes -1. **Tensor Dimension Mismatch**: DQN models sometimes output 1D tensors when 2D expected -2. **Memory Layout Issues**: `.view()` requires contiguous memory, `.reshape()` handles non-contiguous -3. **API Inconsistency**: Different models return predictions in different formats - -### Best Practices Applied -- **Defensive Programming**: Check tensor dimensions before operations -- **Memory Safety**: Use `.reshape()` instead of `.view()` for flexibility -- **API Robustness**: Handle multiple return formats gracefully - -## šŸŽÆ Expected Results - -After these fixes: -- āœ… DQN predictions should work without softmax errors -- āœ… CNN predictions should work without view/stride errors -- āœ… Generic model predictions should work without unpacking errors -- āœ… Orchestrator should generate proper trading decisions - -## šŸ”„ Testing Recommendations - -1. **Run Dashboard**: Test that predictions are generated successfully -2. **Monitor Logs**: Check for reduction in tensor operation errors -3. **Verify Trading Signals**: Ensure BUY/SELL/HOLD decisions are made -4. **Performance Check**: Confirm no significant performance degradation - -## šŸ“ Notes - -- Some linter errors remain but are related to missing attributes, not tensor operations -- The core tensor operation issues have been resolved -- Models should now make predictions without crashing the orchestrator \ No newline at end of file diff --git a/core/bookmap_data_provider.py b/core/bookmap_data_provider.py deleted file mode 100644 index c25bc47..0000000 --- a/core/bookmap_data_provider.py +++ /dev/null @@ -1,952 +0,0 @@ -""" -Bookmap Order Book Data Provider - -This module integrates with Bookmap to gather: -- Current Order Book (COB) data -- Session Volume Profile (SVP) data -- Order book sweeps and momentum trades detection -- Real-time order size heatmap matrix (last 10 minutes) -- Level 2 market depth analysis - -The data is processed and fed to CNN and DQN networks for enhanced trading decisions. -""" - -import asyncio -import json -import logging -import time -import websockets -import numpy as np -import pandas as pd -from datetime import datetime, timedelta -from typing import Dict, List, Optional, Tuple, Any, Callable -from collections import deque, defaultdict -from dataclasses import dataclass -from threading import Thread, Lock -import requests - -logger = logging.getLogger(__name__) - -@dataclass -class OrderBookLevel: - """Represents a single order book level""" - price: float - size: float - orders: int - side: str # 'bid' or 'ask' - timestamp: datetime - -@dataclass -class OrderBookSnapshot: - """Complete order book snapshot""" - symbol: str - timestamp: datetime - bids: List[OrderBookLevel] - asks: List[OrderBookLevel] - spread: float - mid_price: float - -@dataclass -class VolumeProfileLevel: - """Volume profile level data""" - price: float - volume: float - buy_volume: float - sell_volume: float - trades_count: int - vwap: float - -@dataclass -class OrderFlowSignal: - """Order flow signal detection""" - timestamp: datetime - signal_type: str # 'sweep', 'absorption', 'iceberg', 'momentum' - price: float - volume: float - confidence: float - description: str - -class BookmapDataProvider: - """ - Real-time order book data provider using Bookmap-style analysis - - Features: - - Level 2 order book monitoring - - Order flow detection (sweeps, absorptions) - - Volume profile analysis - - Order size heatmap generation - - Market microstructure analysis - """ - - def __init__(self, symbols: List[str] = None, depth_levels: int = 20): - """ - Initialize Bookmap data provider - - Args: - symbols: List of symbols to monitor - depth_levels: Number of order book levels to track - """ - self.symbols = symbols or ['ETHUSDT', 'BTCUSDT'] - self.depth_levels = depth_levels - self.is_streaming = False - - # Order book data storage - self.order_books: Dict[str, OrderBookSnapshot] = {} - self.order_book_history: Dict[str, deque] = {} - self.volume_profiles: Dict[str, List[VolumeProfileLevel]] = {} - - # Heatmap data (10-minute rolling window) - self.heatmap_window = timedelta(minutes=10) - self.order_heatmaps: Dict[str, deque] = {} - self.price_levels: Dict[str, List[float]] = {} - - # Order flow detection - self.flow_signals: Dict[str, deque] = {} - self.sweep_threshold = 0.8 # Minimum confidence for sweep detection - self.absorption_threshold = 0.7 # Minimum confidence for absorption - - # Market microstructure metrics - self.bid_ask_spreads: Dict[str, deque] = {} - self.order_book_imbalances: Dict[str, deque] = {} - self.liquidity_metrics: Dict[str, Dict] = {} - - # WebSocket connections - self.websocket_tasks: Dict[str, asyncio.Task] = {} - self.data_lock = Lock() - - # Callbacks for CNN/DQN integration - self.cnn_callbacks: List[Callable] = [] - self.dqn_callbacks: List[Callable] = [] - - # Performance tracking - self.update_counts = defaultdict(int) - self.last_update_times = {} - - # Initialize data structures - for symbol in self.symbols: - self.order_book_history[symbol] = deque(maxlen=1000) - self.order_heatmaps[symbol] = deque(maxlen=600) # 10 min at 1s intervals - self.flow_signals[symbol] = deque(maxlen=500) - self.bid_ask_spreads[symbol] = deque(maxlen=1000) - self.order_book_imbalances[symbol] = deque(maxlen=1000) - self.liquidity_metrics[symbol] = { - 'total_bid_size': 0.0, - 'total_ask_size': 0.0, - 'weighted_mid': 0.0, - 'liquidity_ratio': 1.0 - } - - logger.info(f"BookmapDataProvider initialized for {len(self.symbols)} symbols") - logger.info(f"Tracking {depth_levels} order book levels per side") - - def add_cnn_callback(self, callback: Callable[[str, Dict], None]): - """Add callback for CNN model updates""" - self.cnn_callbacks.append(callback) - logger.info(f"Added CNN callback: {len(self.cnn_callbacks)} total") - - def add_dqn_callback(self, callback: Callable[[str, Dict], None]): - """Add callback for DQN model updates""" - self.dqn_callbacks.append(callback) - logger.info(f"Added DQN callback: {len(self.dqn_callbacks)} total") - - async def start_streaming(self): - """Start real-time order book streaming""" - if self.is_streaming: - logger.warning("Bookmap streaming already active") - return - - self.is_streaming = True - logger.info("Starting Bookmap order book streaming") - - # Start order book streams for each symbol - for symbol in self.symbols: - # Order book depth stream - depth_task = asyncio.create_task(self._stream_order_book_depth(symbol)) - self.websocket_tasks[f"{symbol}_depth"] = depth_task - - # Trade stream for order flow analysis - trade_task = asyncio.create_task(self._stream_trades(symbol)) - self.websocket_tasks[f"{symbol}_trades"] = trade_task - - # Start analysis threads - analysis_task = asyncio.create_task(self._continuous_analysis()) - self.websocket_tasks["analysis"] = analysis_task - - logger.info(f"Started streaming for {len(self.symbols)} symbols") - - async def stop_streaming(self): - """Stop order book streaming""" - if not self.is_streaming: - return - - logger.info("Stopping Bookmap streaming") - self.is_streaming = False - - # Cancel all tasks - for name, task in self.websocket_tasks.items(): - if not task.done(): - task.cancel() - try: - await task - except asyncio.CancelledError: - pass - - self.websocket_tasks.clear() - logger.info("Bookmap streaming stopped") - - async def _stream_order_book_depth(self, symbol: str): - """Stream order book depth data""" - binance_symbol = symbol.lower() - url = f"wss://stream.binance.com:9443/ws/{binance_symbol}@depth20@100ms" - - while self.is_streaming: - try: - async with websockets.connect(url) as websocket: - logger.info(f"Order book depth WebSocket connected for {symbol}") - - async for message in websocket: - if not self.is_streaming: - break - - try: - data = json.loads(message) - await self._process_depth_update(symbol, data) - except Exception as e: - logger.warning(f"Error processing depth for {symbol}: {e}") - - except Exception as e: - logger.error(f"Depth WebSocket error for {symbol}: {e}") - if self.is_streaming: - await asyncio.sleep(2) - - async def _stream_trades(self, symbol: str): - """Stream trade data for order flow analysis""" - binance_symbol = symbol.lower() - url = f"wss://stream.binance.com:9443/ws/{binance_symbol}@trade" - - while self.is_streaming: - try: - async with websockets.connect(url) as websocket: - logger.info(f"Trade WebSocket connected for {symbol}") - - async for message in websocket: - if not self.is_streaming: - break - - try: - data = json.loads(message) - await self._process_trade_update(symbol, data) - except Exception as e: - logger.warning(f"Error processing trade for {symbol}: {e}") - - except Exception as e: - logger.error(f"Trade WebSocket error for {symbol}: {e}") - if self.is_streaming: - await asyncio.sleep(2) - - async def _process_depth_update(self, symbol: str, data: Dict): - """Process order book depth update""" - try: - timestamp = datetime.now() - - # Parse bids and asks - bids = [] - asks = [] - - for bid_data in data.get('bids', []): - price = float(bid_data[0]) - size = float(bid_data[1]) - bids.append(OrderBookLevel( - price=price, - size=size, - orders=1, # Binance doesn't provide order count - side='bid', - timestamp=timestamp - )) - - for ask_data in data.get('asks', []): - price = float(ask_data[0]) - size = float(ask_data[1]) - asks.append(OrderBookLevel( - price=price, - size=size, - orders=1, - side='ask', - timestamp=timestamp - )) - - # Sort order book levels - bids.sort(key=lambda x: x.price, reverse=True) - asks.sort(key=lambda x: x.price) - - # Calculate spread and mid price - if bids and asks: - best_bid = bids[0].price - best_ask = asks[0].price - spread = best_ask - best_bid - mid_price = (best_bid + best_ask) / 2 - else: - spread = 0.0 - mid_price = 0.0 - - # Create order book snapshot - snapshot = OrderBookSnapshot( - symbol=symbol, - timestamp=timestamp, - bids=bids, - asks=asks, - spread=spread, - mid_price=mid_price - ) - - with self.data_lock: - self.order_books[symbol] = snapshot - self.order_book_history[symbol].append(snapshot) - - # Update liquidity metrics - self._update_liquidity_metrics(symbol, snapshot) - - # Update order book imbalance - self._calculate_order_book_imbalance(symbol, snapshot) - - # Update heatmap data - self._update_order_heatmap(symbol, snapshot) - - # Update counters - self.update_counts[f"{symbol}_depth"] += 1 - self.last_update_times[f"{symbol}_depth"] = timestamp - - except Exception as e: - logger.error(f"Error processing depth update for {symbol}: {e}") - - async def _process_trade_update(self, symbol: str, data: Dict): - """Process trade data for order flow analysis""" - try: - timestamp = datetime.fromtimestamp(int(data['T']) / 1000) - price = float(data['p']) - quantity = float(data['q']) - is_buyer_maker = data['m'] - - # Analyze for order flow signals - await self._analyze_order_flow(symbol, timestamp, price, quantity, is_buyer_maker) - - # Update volume profile - self._update_volume_profile(symbol, price, quantity, is_buyer_maker) - - self.update_counts[f"{symbol}_trades"] += 1 - - except Exception as e: - logger.error(f"Error processing trade for {symbol}: {e}") - - def _update_liquidity_metrics(self, symbol: str, snapshot: OrderBookSnapshot): - """Update liquidity metrics from order book snapshot""" - try: - total_bid_size = sum(level.size for level in snapshot.bids) - total_ask_size = sum(level.size for level in snapshot.asks) - - # Calculate weighted mid price - if snapshot.bids and snapshot.asks: - bid_weight = total_bid_size / (total_bid_size + total_ask_size) - ask_weight = total_ask_size / (total_bid_size + total_ask_size) - weighted_mid = (snapshot.bids[0].price * ask_weight + - snapshot.asks[0].price * bid_weight) - else: - weighted_mid = snapshot.mid_price - - # Liquidity ratio (bid/ask balance) - if total_ask_size > 0: - liquidity_ratio = total_bid_size / total_ask_size - else: - liquidity_ratio = 1.0 - - self.liquidity_metrics[symbol] = { - 'total_bid_size': total_bid_size, - 'total_ask_size': total_ask_size, - 'weighted_mid': weighted_mid, - 'liquidity_ratio': liquidity_ratio, - 'spread_bps': (snapshot.spread / snapshot.mid_price) * 10000 if snapshot.mid_price > 0 else 0 - } - - except Exception as e: - logger.error(f"Error updating liquidity metrics for {symbol}: {e}") - - def _calculate_order_book_imbalance(self, symbol: str, snapshot: OrderBookSnapshot): - """Calculate order book imbalance ratio""" - try: - if not snapshot.bids or not snapshot.asks: - return - - # Calculate imbalance for top N levels - n_levels = min(5, len(snapshot.bids), len(snapshot.asks)) - - total_bid_size = sum(snapshot.bids[i].size for i in range(n_levels)) - total_ask_size = sum(snapshot.asks[i].size for i in range(n_levels)) - - if total_bid_size + total_ask_size > 0: - imbalance = (total_bid_size - total_ask_size) / (total_bid_size + total_ask_size) - else: - imbalance = 0.0 - - self.order_book_imbalances[symbol].append({ - 'timestamp': snapshot.timestamp, - 'imbalance': imbalance, - 'bid_size': total_bid_size, - 'ask_size': total_ask_size - }) - - except Exception as e: - logger.error(f"Error calculating imbalance for {symbol}: {e}") - - def _update_order_heatmap(self, symbol: str, snapshot: OrderBookSnapshot): - """Update order size heatmap matrix""" - try: - # Create heatmap entry - heatmap_entry = { - 'timestamp': snapshot.timestamp, - 'mid_price': snapshot.mid_price, - 'levels': {} - } - - # Add bid levels - for level in snapshot.bids: - price_offset = level.price - snapshot.mid_price - heatmap_entry['levels'][price_offset] = { - 'side': 'bid', - 'size': level.size, - 'price': level.price - } - - # Add ask levels - for level in snapshot.asks: - price_offset = level.price - snapshot.mid_price - heatmap_entry['levels'][price_offset] = { - 'side': 'ask', - 'size': level.size, - 'price': level.price - } - - self.order_heatmaps[symbol].append(heatmap_entry) - - # Clean old entries (keep 10 minutes) - cutoff_time = snapshot.timestamp - self.heatmap_window - while (self.order_heatmaps[symbol] and - self.order_heatmaps[symbol][0]['timestamp'] < cutoff_time): - self.order_heatmaps[symbol].popleft() - - except Exception as e: - logger.error(f"Error updating heatmap for {symbol}: {e}") - - def _update_volume_profile(self, symbol: str, price: float, quantity: float, is_buyer_maker: bool): - """Update volume profile with new trade""" - try: - # Initialize if not exists - if symbol not in self.volume_profiles: - self.volume_profiles[symbol] = [] - - # Find or create price level - price_level = None - for level in self.volume_profiles[symbol]: - if abs(level.price - price) < 0.01: # Price tolerance - price_level = level - break - - if not price_level: - price_level = VolumeProfileLevel( - price=price, - volume=0.0, - buy_volume=0.0, - sell_volume=0.0, - trades_count=0, - vwap=price - ) - self.volume_profiles[symbol].append(price_level) - - # Update volume profile - volume = price * quantity - old_total = price_level.volume - - price_level.volume += volume - price_level.trades_count += 1 - - if is_buyer_maker: - price_level.sell_volume += volume - else: - price_level.buy_volume += volume - - # Update VWAP - if price_level.volume > 0: - price_level.vwap = ((price_level.vwap * old_total) + (price * volume)) / price_level.volume - - except Exception as e: - logger.error(f"Error updating volume profile for {symbol}: {e}") - - async def _analyze_order_flow(self, symbol: str, timestamp: datetime, price: float, - quantity: float, is_buyer_maker: bool): - """Analyze order flow for sweep and absorption patterns""" - try: - # Get recent order book data - if symbol not in self.order_book_history or not self.order_book_history[symbol]: - return - - recent_snapshots = list(self.order_book_history[symbol])[-10:] # Last 10 snapshots - - # Check for order book sweeps - sweep_signal = self._detect_order_sweep(symbol, recent_snapshots, price, quantity, is_buyer_maker) - if sweep_signal: - self.flow_signals[symbol].append(sweep_signal) - await self._notify_flow_signal(symbol, sweep_signal) - - # Check for absorption patterns - absorption_signal = self._detect_absorption(symbol, recent_snapshots, price, quantity) - if absorption_signal: - self.flow_signals[symbol].append(absorption_signal) - await self._notify_flow_signal(symbol, absorption_signal) - - # Check for momentum trades - momentum_signal = self._detect_momentum_trade(symbol, price, quantity, is_buyer_maker) - if momentum_signal: - self.flow_signals[symbol].append(momentum_signal) - await self._notify_flow_signal(symbol, momentum_signal) - - except Exception as e: - logger.error(f"Error analyzing order flow for {symbol}: {e}") - - def _detect_order_sweep(self, symbol: str, snapshots: List[OrderBookSnapshot], - price: float, quantity: float, is_buyer_maker: bool) -> Optional[OrderFlowSignal]: - """Detect order book sweep patterns""" - try: - if len(snapshots) < 2: - return None - - before_snapshot = snapshots[-2] - after_snapshot = snapshots[-1] - - # Check if multiple levels were consumed - if is_buyer_maker: # Sell order, check ask side - levels_consumed = 0 - total_consumed_size = 0 - - for level in before_snapshot.asks[:5]: # Check top 5 levels - if level.price <= price: - levels_consumed += 1 - total_consumed_size += level.size - - if levels_consumed >= 2 and total_consumed_size > quantity * 1.5: - confidence = min(0.9, levels_consumed / 5.0 + 0.3) - - return OrderFlowSignal( - timestamp=datetime.now(), - signal_type='sweep', - price=price, - volume=quantity * price, - confidence=confidence, - description=f"Sell sweep: {levels_consumed} levels, {total_consumed_size:.2f} size" - ) - else: # Buy order, check bid side - levels_consumed = 0 - total_consumed_size = 0 - - for level in before_snapshot.bids[:5]: - if level.price >= price: - levels_consumed += 1 - total_consumed_size += level.size - - if levels_consumed >= 2 and total_consumed_size > quantity * 1.5: - confidence = min(0.9, levels_consumed / 5.0 + 0.3) - - return OrderFlowSignal( - timestamp=datetime.now(), - signal_type='sweep', - price=price, - volume=quantity * price, - confidence=confidence, - description=f"Buy sweep: {levels_consumed} levels, {total_consumed_size:.2f} size" - ) - - return None - - except Exception as e: - logger.error(f"Error detecting sweep for {symbol}: {e}") - return None - - def _detect_absorption(self, symbol: str, snapshots: List[OrderBookSnapshot], - price: float, quantity: float) -> Optional[OrderFlowSignal]: - """Detect absorption patterns where large orders are absorbed without price movement""" - try: - if len(snapshots) < 3: - return None - - # Check if large order was absorbed with minimal price impact - volume_threshold = 10000 # $10K minimum for absorption - price_impact_threshold = 0.001 # 0.1% max price impact - - trade_value = price * quantity - if trade_value < volume_threshold: - return None - - # Calculate price impact - price_before = snapshots[-3].mid_price - price_after = snapshots[-1].mid_price - price_impact = abs(price_after - price_before) / price_before - - if price_impact < price_impact_threshold: - confidence = min(0.8, (trade_value / 50000) * 0.5 + 0.3) # Scale with size - - return OrderFlowSignal( - timestamp=datetime.now(), - signal_type='absorption', - price=price, - volume=trade_value, - confidence=confidence, - description=f"Absorption: ${trade_value:.0f} with {price_impact*100:.3f}% impact" - ) - - return None - - except Exception as e: - logger.error(f"Error detecting absorption for {symbol}: {e}") - return None - - def _detect_momentum_trade(self, symbol: str, price: float, quantity: float, - is_buyer_maker: bool) -> Optional[OrderFlowSignal]: - """Detect momentum trades based on size and direction""" - try: - trade_value = price * quantity - momentum_threshold = 25000 # $25K minimum for momentum classification - - if trade_value < momentum_threshold: - return None - - # Calculate confidence based on trade size - confidence = min(0.9, trade_value / 100000 * 0.6 + 0.3) - - direction = "sell" if is_buyer_maker else "buy" - - return OrderFlowSignal( - timestamp=datetime.now(), - signal_type='momentum', - price=price, - volume=trade_value, - confidence=confidence, - description=f"Large {direction}: ${trade_value:.0f}" - ) - - except Exception as e: - logger.error(f"Error detecting momentum for {symbol}: {e}") - return None - - async def _notify_flow_signal(self, symbol: str, signal: OrderFlowSignal): - """Notify CNN and DQN models of order flow signals""" - try: - signal_data = { - 'signal_type': signal.signal_type, - 'price': signal.price, - 'volume': signal.volume, - 'confidence': signal.confidence, - 'timestamp': signal.timestamp, - 'description': signal.description - } - - # Notify CNN callbacks - for callback in self.cnn_callbacks: - try: - callback(symbol, signal_data) - except Exception as e: - logger.warning(f"Error in CNN callback: {e}") - - # Notify DQN callbacks - for callback in self.dqn_callbacks: - try: - callback(symbol, signal_data) - except Exception as e: - logger.warning(f"Error in DQN callback: {e}") - - except Exception as e: - logger.error(f"Error notifying flow signal: {e}") - - async def _continuous_analysis(self): - """Continuous analysis of market microstructure""" - while self.is_streaming: - try: - await asyncio.sleep(1) # Analyze every second - - for symbol in self.symbols: - # Generate CNN features - cnn_features = self.get_cnn_features(symbol) - if cnn_features is not None: - for callback in self.cnn_callbacks: - try: - callback(symbol, {'features': cnn_features, 'type': 'orderbook'}) - except Exception as e: - logger.warning(f"Error in CNN feature callback: {e}") - - # Generate DQN state features - dqn_features = self.get_dqn_state_features(symbol) - if dqn_features is not None: - for callback in self.dqn_callbacks: - try: - callback(symbol, {'state': dqn_features, 'type': 'orderbook'}) - except Exception as e: - logger.warning(f"Error in DQN state callback: {e}") - - except Exception as e: - logger.error(f"Error in continuous analysis: {e}") - await asyncio.sleep(5) - - def get_cnn_features(self, symbol: str) -> Optional[np.ndarray]: - """Generate CNN input features from order book data""" - try: - if symbol not in self.order_books: - return None - - snapshot = self.order_books[symbol] - features = [] - - # Order book features (40 features: 20 levels x 2 sides) - for i in range(min(20, len(snapshot.bids))): - bid = snapshot.bids[i] - features.append(bid.size) - features.append(bid.price - snapshot.mid_price) # Price offset - - # Pad if not enough bid levels - while len(features) < 40: - features.extend([0.0, 0.0]) - - for i in range(min(20, len(snapshot.asks))): - ask = snapshot.asks[i] - features.append(ask.size) - features.append(ask.price - snapshot.mid_price) # Price offset - - # Pad if not enough ask levels - while len(features) < 80: - features.extend([0.0, 0.0]) - - # Liquidity metrics (10 features) - metrics = self.liquidity_metrics.get(symbol, {}) - features.extend([ - metrics.get('total_bid_size', 0.0), - metrics.get('total_ask_size', 0.0), - metrics.get('liquidity_ratio', 1.0), - metrics.get('spread_bps', 0.0), - snapshot.spread, - metrics.get('weighted_mid', snapshot.mid_price) - snapshot.mid_price, - len(snapshot.bids), - len(snapshot.asks), - snapshot.mid_price, - time.time() % 86400 # Time of day - ]) - - # Order book imbalance features (5 features) - if self.order_book_imbalances[symbol]: - latest_imbalance = self.order_book_imbalances[symbol][-1] - features.extend([ - latest_imbalance['imbalance'], - latest_imbalance['bid_size'], - latest_imbalance['ask_size'], - latest_imbalance['bid_size'] + latest_imbalance['ask_size'], - abs(latest_imbalance['imbalance']) - ]) - else: - features.extend([0.0, 0.0, 0.0, 0.0, 0.0]) - - # Flow signal features (5 features) - recent_signals = [s for s in self.flow_signals[symbol] - if (datetime.now() - s.timestamp).seconds < 60] - - sweep_count = sum(1 for s in recent_signals if s.signal_type == 'sweep') - absorption_count = sum(1 for s in recent_signals if s.signal_type == 'absorption') - momentum_count = sum(1 for s in recent_signals if s.signal_type == 'momentum') - - max_confidence = max([s.confidence for s in recent_signals], default=0.0) - total_flow_volume = sum(s.volume for s in recent_signals) - - features.extend([ - sweep_count, - absorption_count, - momentum_count, - max_confidence, - total_flow_volume - ]) - - return np.array(features, dtype=np.float32) - - except Exception as e: - logger.error(f"Error generating CNN features for {symbol}: {e}") - return None - - def get_dqn_state_features(self, symbol: str) -> Optional[np.ndarray]: - """Generate DQN state features from order book data""" - try: - if symbol not in self.order_books: - return None - - snapshot = self.order_books[symbol] - state_features = [] - - # Normalized order book state (20 features) - total_bid_size = sum(level.size for level in snapshot.bids[:10]) - total_ask_size = sum(level.size for level in snapshot.asks[:10]) - total_size = total_bid_size + total_ask_size - - if total_size > 0: - for i in range(min(10, len(snapshot.bids))): - state_features.append(snapshot.bids[i].size / total_size) - - # Pad bids - while len(state_features) < 10: - state_features.append(0.0) - - for i in range(min(10, len(snapshot.asks))): - state_features.append(snapshot.asks[i].size / total_size) - - # Pad asks - while len(state_features) < 20: - state_features.append(0.0) - else: - state_features.extend([0.0] * 20) - - # Market state indicators (10 features) - metrics = self.liquidity_metrics.get(symbol, {}) - - # Normalize spread as percentage - spread_pct = (snapshot.spread / snapshot.mid_price) if snapshot.mid_price > 0 else 0 - - # Liquidity imbalance - liquidity_ratio = metrics.get('liquidity_ratio', 1.0) - liquidity_imbalance = (liquidity_ratio - 1) / (liquidity_ratio + 1) - - # Recent flow signals strength - recent_signals = [s for s in self.flow_signals[symbol] - if (datetime.now() - s.timestamp).seconds < 30] - flow_strength = sum(s.confidence for s in recent_signals) / max(len(recent_signals), 1) - - # Price volatility (from recent snapshots) - if len(self.order_book_history[symbol]) >= 10: - recent_prices = [s.mid_price for s in list(self.order_book_history[symbol])[-10:]] - price_volatility = np.std(recent_prices) / np.mean(recent_prices) if recent_prices else 0 - else: - price_volatility = 0 - - state_features.extend([ - spread_pct * 10000, # Spread in basis points - liquidity_imbalance, - flow_strength, - price_volatility * 100, # Volatility as percentage - min(len(snapshot.bids), 20) / 20, # Book depth ratio - min(len(snapshot.asks), 20) / 20, - sweep_count / 10 if 'sweep_count' in locals() else 0, # From CNN features - absorption_count / 5 if 'absorption_count' in locals() else 0, - momentum_count / 5 if 'momentum_count' in locals() else 0, - (datetime.now().hour * 60 + datetime.now().minute) / 1440 # Time of day normalized - ]) - - return np.array(state_features, dtype=np.float32) - - except Exception as e: - logger.error(f"Error generating DQN features for {symbol}: {e}") - return None - - def get_order_heatmap_matrix(self, symbol: str, levels: int = 40) -> Optional[np.ndarray]: - """Generate order size heatmap matrix for dashboard visualization""" - try: - if symbol not in self.order_heatmaps or not self.order_heatmaps[symbol]: - return None - - # Create price levels around current mid price - current_snapshot = self.order_books.get(symbol) - if not current_snapshot: - return None - - mid_price = current_snapshot.mid_price - price_step = mid_price * 0.0001 # 1 basis point steps - - # Create matrix: time x price levels - time_window = min(600, len(self.order_heatmaps[symbol])) # 10 minutes max - heatmap_matrix = np.zeros((time_window, levels)) - - # Fill matrix with order sizes - for t, entry in enumerate(list(self.order_heatmaps[symbol])[-time_window:]): - for price_offset, level_data in entry['levels'].items(): - # Convert price offset to matrix index - level_idx = int((price_offset + (levels/2) * price_step) / price_step) - - if 0 <= level_idx < levels: - size_weight = 1.0 if level_data['side'] == 'bid' else -1.0 - heatmap_matrix[t, level_idx] = level_data['size'] * size_weight - - return heatmap_matrix - - except Exception as e: - logger.error(f"Error generating heatmap matrix for {symbol}: {e}") - return None - - def get_volume_profile_data(self, symbol: str) -> Optional[List[Dict]]: - """Get session volume profile data""" - try: - if symbol not in self.volume_profiles: - return None - - profile_data = [] - for level in sorted(self.volume_profiles[symbol], key=lambda x: x.price): - profile_data.append({ - 'price': level.price, - 'volume': level.volume, - 'buy_volume': level.buy_volume, - 'sell_volume': level.sell_volume, - 'trades_count': level.trades_count, - 'vwap': level.vwap, - 'net_volume': level.buy_volume - level.sell_volume - }) - - return profile_data - - except Exception as e: - logger.error(f"Error getting volume profile for {symbol}: {e}") - return None - - def get_current_order_book(self, symbol: str) -> Optional[Dict]: - """Get current order book snapshot""" - try: - if symbol not in self.order_books: - return None - - snapshot = self.order_books[symbol] - - return { - 'timestamp': snapshot.timestamp.isoformat(), - 'symbol': symbol, - 'mid_price': snapshot.mid_price, - 'spread': snapshot.spread, - 'bids': [{'price': l.price, 'size': l.size} for l in snapshot.bids[:20]], - 'asks': [{'price': l.price, 'size': l.size} for l in snapshot.asks[:20]], - 'liquidity_metrics': self.liquidity_metrics.get(symbol, {}), - 'recent_signals': [ - { - 'type': s.signal_type, - 'price': s.price, - 'volume': s.volume, - 'confidence': s.confidence, - 'timestamp': s.timestamp.isoformat() - } - for s in list(self.flow_signals[symbol])[-5:] # Last 5 signals - ] - } - - except Exception as e: - logger.error(f"Error getting order book for {symbol}: {e}") - return None - - def get_statistics(self) -> Dict[str, Any]: - """Get provider statistics""" - return { - 'symbols': self.symbols, - 'is_streaming': self.is_streaming, - 'update_counts': dict(self.update_counts), - 'last_update_times': {k: v.isoformat() if isinstance(v, datetime) else v - for k, v in self.last_update_times.items()}, - 'order_books_active': len(self.order_books), - 'flow_signals_total': sum(len(signals) for signals in self.flow_signals.values()), - 'cnn_callbacks': len(self.cnn_callbacks), - 'dqn_callbacks': len(self.dqn_callbacks), - 'websocket_tasks': len(self.websocket_tasks) - } \ No newline at end of file diff --git a/core/bookmap_integration.py b/core/bookmap_integration.py deleted file mode 100644 index 904e253..0000000 --- a/core/bookmap_integration.py +++ /dev/null @@ -1,1839 +0,0 @@ -""" -Order Book Analysis Integration (Free Data Sources) - -This module provides Bookmap-style functionality using free order book data: -- Current Order Book (COB) analysis using Binance free depth streams -- Session Volume Profile (SVP) calculated from trade and depth data -- Order flow detection (sweeps, absorptions, momentum) -- Real-time order book heatmap generation -- Level 2 market depth streaming (20 levels via Binance free API) - -Data is fed to CNN and DQN networks for enhanced trading decisions. -Uses only free data sources - no paid APIs required. -""" - -import asyncio -import json -import logging -import time -import websockets -import numpy as np -import pandas as pd -from datetime import datetime, timedelta -from typing import Dict, List, Optional, Tuple, Any, Callable -from collections import deque, defaultdict -from dataclasses import dataclass -from threading import Thread, Lock -import requests - -logger = logging.getLogger(__name__) - -@dataclass -class OrderBookLevel: - """Single order book level""" - price: float - size: float - orders: int - side: str # 'bid' or 'ask' - timestamp: datetime - -@dataclass -class OrderBookSnapshot: - """Complete order book snapshot""" - symbol: str - timestamp: datetime - bids: List[OrderBookLevel] - asks: List[OrderBookLevel] - spread: float - mid_price: float - -@dataclass -class VolumeProfileLevel: - """Volume profile level data""" - price: float - volume: float - buy_volume: float - sell_volume: float - trades_count: int - vwap: float - -@dataclass -class OrderFlowSignal: - """Order flow signal detection""" - timestamp: datetime - signal_type: str # 'sweep', 'absorption', 'iceberg', 'momentum' - price: float - volume: float - confidence: float - description: str - -class BookmapIntegration: - """ - Order book analysis using free data sources - - Features: - - Real-time order book monitoring (Binance free depth@20 levels) - - Order flow pattern detection - - Enhanced Session Volume Profile (SVP) analysis - - Market microstructure metrics - - CNN/DQN model integration - - High-frequency order book snapshots for pattern detection - """ - - def __init__(self, symbols: List[str] = None): - self.symbols = symbols or ['ETHUSDT', 'BTCUSDT'] - self.is_streaming = False - - # Data storage - self.order_books: Dict[str, OrderBookSnapshot] = {} - self.order_book_history: Dict[str, deque] = {} - self.volume_profiles: Dict[str, List[VolumeProfileLevel]] = {} - self.flow_signals: Dict[str, deque] = {} - - # Enhanced Session Volume Profile tracking - self.session_start_time = {} # Track session start for each symbol - self.session_volume_profiles: Dict[str, List[VolumeProfileLevel]] = {} - self.price_level_cache: Dict[str, Dict[float, VolumeProfileLevel]] = {} - - # Heatmap data (10-minute rolling window) - self.heatmap_window = timedelta(minutes=10) - self.order_heatmaps: Dict[str, deque] = {} - - # Market metrics - self.liquidity_metrics: Dict[str, Dict] = {} - self.order_book_imbalances: Dict[str, deque] = {} - - # Enhanced Order Flow Analysis - self.aggressive_passive_ratios: Dict[str, deque] = {} - self.trade_size_distributions: Dict[str, deque] = {} - self.market_maker_taker_flows: Dict[str, deque] = {} - self.order_flow_intensity: Dict[str, deque] = {} - self.liquidity_consumption_rates: Dict[str, deque] = {} - self.price_impact_measurements: Dict[str, deque] = {} - - # Advanced metrics for institutional vs retail detection - self.large_order_threshold = 50000 # $50K+ considered institutional - self.block_trade_threshold = 100000 # $100K+ considered block trades - self.iceberg_detection_window = 30 # seconds for iceberg detection - self.trade_clustering_window = 5 # seconds for trade clustering analysis - - # Free data source optimization - self.depth_snapshots_per_second = 10 # 100ms updates = 10 per second - self.trade_aggregation_window = 1.0 # 1 second aggregation - self.last_trade_aggregation = {} - - # WebSocket connections - self.websocket_tasks: Dict[str, asyncio.Task] = {} - self.data_lock = Lock() - - # Model callbacks - self.cnn_callbacks: List[Callable] = [] - self.dqn_callbacks: List[Callable] = [] - - # Initialize data structures - for symbol in self.symbols: - self.order_book_history[symbol] = deque(maxlen=1000) - self.order_heatmaps[symbol] = deque(maxlen=600) # 10 min at 1s intervals - self.flow_signals[symbol] = deque(maxlen=500) - self.order_book_imbalances[symbol] = deque(maxlen=1000) - self.session_volume_profiles[symbol] = [] - self.price_level_cache[symbol] = {} - self.session_start_time[symbol] = datetime.now() - self.last_trade_aggregation[symbol] = datetime.now() - - # Enhanced order flow analysis buffers - self.aggressive_passive_ratios[symbol] = deque(maxlen=300) # 5 minutes at 1s intervals - self.trade_size_distributions[symbol] = deque(maxlen=1000) - self.market_maker_taker_flows[symbol] = deque(maxlen=600) - self.order_flow_intensity[symbol] = deque(maxlen=300) - self.liquidity_consumption_rates[symbol] = deque(maxlen=300) - self.price_impact_measurements[symbol] = deque(maxlen=300) - - self.liquidity_metrics[symbol] = { - 'total_bid_size': 0.0, - 'total_ask_size': 0.0, - 'weighted_mid': 0.0, - 'liquidity_ratio': 1.0, - 'avg_spread_bps': 0.0, - 'volume_weighted_spread': 0.0 - } - - logger.info(f"Order Book Integration initialized for symbols: {self.symbols}") - logger.info("Using FREE data sources: Binance WebSocket depth@20 + trades") - - def add_cnn_callback(self, callback: Callable[[str, Dict], None]): - """Add CNN model callback""" - self.cnn_callbacks.append(callback) - logger.info(f"Added CNN callback: {len(self.cnn_callbacks)} total") - - def add_dqn_callback(self, callback: Callable[[str, Dict], None]): - """Add DQN model callback""" - self.dqn_callbacks.append(callback) - logger.info(f"Added DQN callback: {len(self.dqn_callbacks)} total") - - async def start_streaming(self): - """Start order book data streaming""" - if self.is_streaming: - logger.warning("Bookmap streaming already active") - return - - self.is_streaming = True - logger.info("Starting Bookmap order book streaming") - - # Start streams for each symbol - for symbol in self.symbols: - # Order book depth stream (20 levels, 100ms updates) - depth_task = asyncio.create_task(self._stream_order_book_depth(symbol)) - self.websocket_tasks[f"{symbol}_depth"] = depth_task - - # Trade stream for order flow analysis - trade_task = asyncio.create_task(self._stream_trades(symbol)) - self.websocket_tasks[f"{symbol}_trades"] = trade_task - - # Aggregated trade stream (for larger trades and better order flow analysis) - agg_trade_task = asyncio.create_task(self._stream_aggregate_trades(symbol)) - self.websocket_tasks[f"{symbol}_aggTrade"] = agg_trade_task - - # 24hr ticker stream (for volume and statistical analysis) - ticker_task = asyncio.create_task(self._stream_ticker(symbol)) - self.websocket_tasks[f"{symbol}_ticker"] = ticker_task - - # Start continuous analysis - analysis_task = asyncio.create_task(self._continuous_analysis()) - self.websocket_tasks["analysis"] = analysis_task - - logger.info(f"Started streaming for {len(self.symbols)} symbols") - - async def stop_streaming(self): - """Stop streaming""" - if not self.is_streaming: - return - - logger.info("Stopping Bookmap streaming") - self.is_streaming = False - - # Cancel all tasks - for name, task in self.websocket_tasks.items(): - if not task.done(): - task.cancel() - try: - await task - except asyncio.CancelledError: - pass - - self.websocket_tasks.clear() - logger.info("Bookmap streaming stopped") - - async def _stream_order_book_depth(self, symbol: str): - """Stream order book depth data""" - binance_symbol = symbol.lower() - url = f"wss://stream.binance.com:9443/ws/{binance_symbol}@depth20@100ms" - - while self.is_streaming: - try: - async with websockets.connect(url) as websocket: - logger.info(f"Order book depth connected for {symbol}") - - async for message in websocket: - if not self.is_streaming: - break - - try: - data = json.loads(message) - await self._process_depth_update(symbol, data) - except Exception as e: - logger.warning(f"Error processing depth for {symbol}: {e}") - - except Exception as e: - logger.error(f"Depth WebSocket error for {symbol}: {e}") - if self.is_streaming: - await asyncio.sleep(2) - - async def _stream_trades(self, symbol: str): - """Stream individual trade data for order flow analysis""" - binance_symbol = symbol.lower() - url = f"wss://stream.binance.com:9443/ws/{binance_symbol}@trade" - - while self.is_streaming: - try: - async with websockets.connect(url) as websocket: - logger.info(f"Trade stream connected for {symbol}") - - async for message in websocket: - if not self.is_streaming: - break - - try: - data = json.loads(message) - await self._process_trade_update(symbol, data) - except Exception as e: - logger.warning(f"Error processing trade for {symbol}: {e}") - - except Exception as e: - logger.error(f"Trade WebSocket error for {symbol}: {e}") - if self.is_streaming: - await asyncio.sleep(2) - - async def _stream_aggregate_trades(self, symbol: str): - """Stream aggregated trade data for institutional order flow detection""" - binance_symbol = symbol.lower() - url = f"wss://stream.binance.com:9443/ws/{binance_symbol}@aggTrade" - - while self.is_streaming: - try: - async with websockets.connect(url) as websocket: - logger.info(f"Aggregate Trade stream connected for {symbol}") - - async for message in websocket: - if not self.is_streaming: - break - - try: - data = json.loads(message) - await self._process_aggregate_trade_update(symbol, data) - except Exception as e: - logger.warning(f"Error processing aggTrade for {symbol}: {e}") - - except Exception as e: - logger.error(f"Aggregate Trade WebSocket error for {symbol}: {e}") - if self.is_streaming: - await asyncio.sleep(2) - - async def _stream_ticker(self, symbol: str): - """Stream 24hr ticker data for volume analysis""" - binance_symbol = symbol.lower() - url = f"wss://stream.binance.com:9443/ws/{binance_symbol}@ticker" - - while self.is_streaming: - try: - async with websockets.connect(url) as websocket: - logger.info(f"Ticker stream connected for {symbol}") - - async for message in websocket: - if not self.is_streaming: - break - - try: - data = json.loads(message) - await self._process_ticker_update(symbol, data) - except Exception as e: - logger.warning(f"Error processing ticker for {symbol}: {e}") - - except Exception as e: - logger.error(f"Ticker WebSocket error for {symbol}: {e}") - if self.is_streaming: - await asyncio.sleep(2) - - async def _process_depth_update(self, symbol: str, data: Dict): - """Process order book depth update""" - try: - timestamp = datetime.now() - - # Parse bids and asks - bids = [] - asks = [] - - for bid_data in data.get('bids', []): - price = float(bid_data[0]) - size = float(bid_data[1]) - bids.append(OrderBookLevel( - price=price, - size=size, - orders=1, - side='bid', - timestamp=timestamp - )) - - for ask_data in data.get('asks', []): - price = float(ask_data[0]) - size = float(ask_data[1]) - asks.append(OrderBookLevel( - price=price, - size=size, - orders=1, - side='ask', - timestamp=timestamp - )) - - # Sort levels - bids.sort(key=lambda x: x.price, reverse=True) - asks.sort(key=lambda x: x.price) - - # Calculate spread and mid price - if bids and asks: - best_bid = bids[0].price - best_ask = asks[0].price - spread = best_ask - best_bid - mid_price = (best_bid + best_ask) / 2 - else: - spread = 0.0 - mid_price = 0.0 - - # Create snapshot - snapshot = OrderBookSnapshot( - symbol=symbol, - timestamp=timestamp, - bids=bids, - asks=asks, - spread=spread, - mid_price=mid_price - ) - - with self.data_lock: - self.order_books[symbol] = snapshot - self.order_book_history[symbol].append(snapshot) - - # Update metrics - self._update_liquidity_metrics(symbol, snapshot) - self._calculate_order_book_imbalance(symbol, snapshot) - self._update_order_heatmap(symbol, snapshot) - - except Exception as e: - logger.error(f"Error processing depth update for {symbol}: {e}") - - async def _process_trade_update(self, symbol: str, data: Dict): - """Process individual trade data with enhanced order flow analysis""" - try: - timestamp = datetime.fromtimestamp(int(data['T']) / 1000) - price = float(data['p']) - quantity = float(data['q']) - is_buyer_maker = data['m'] - trade_id = data.get('t', '') - - # Calculate trade value - trade_value = price * quantity - - # Enhanced order flow analysis - await self._analyze_enhanced_order_flow(symbol, timestamp, price, quantity, trade_value, is_buyer_maker, 'individual') - - # Traditional order flow analysis - await self._analyze_order_flow(symbol, timestamp, price, quantity, is_buyer_maker) - - # Update volume profile - self._update_volume_profile(symbol, price, quantity, is_buyer_maker) - - except Exception as e: - logger.error(f"Error processing trade for {symbol}: {e}") - - async def _process_aggregate_trade_update(self, symbol: str, data: Dict): - """Process aggregated trade data for institutional flow detection""" - try: - timestamp = datetime.fromtimestamp(int(data['T']) / 1000) - price = float(data['p']) - quantity = float(data['q']) - is_buyer_maker = data['m'] - first_trade_id = data.get('f', '') - last_trade_id = data.get('l', '') - - # Calculate trade value and aggregation size - trade_value = price * quantity - trade_aggregation_size = int(last_trade_id) - int(first_trade_id) + 1 if first_trade_id and last_trade_id else 1 - - # Enhanced analysis for aggregated trades (institutional detection) - await self._analyze_enhanced_order_flow(symbol, timestamp, price, quantity, trade_value, is_buyer_maker, 'aggregated', trade_aggregation_size) - - # Detect large block trades and iceberg orders - await self._detect_institutional_activity(symbol, timestamp, price, quantity, trade_value, trade_aggregation_size, is_buyer_maker) - - except Exception as e: - logger.error(f"Error processing aggregate trade for {symbol}: {e}") - - async def _process_ticker_update(self, symbol: str, data: Dict): - """Process ticker data for volume and statistical analysis""" - try: - # Extract relevant ticker data - volume_24h = float(data.get('v', 0)) # 24hr volume - quote_volume_24h = float(data.get('q', 0)) # 24hr quote volume - price_change_24h = float(data.get('P', 0)) # 24hr price change % - high_24h = float(data.get('h', 0)) - low_24h = float(data.get('l', 0)) - weighted_avg_price = float(data.get('w', 0)) # Weighted average price - - # Update volume statistics for relative analysis - self._update_volume_statistics(symbol, volume_24h, quote_volume_24h, weighted_avg_price) - - except Exception as e: - logger.error(f"Error processing ticker for {symbol}: {e}") - - def _update_liquidity_metrics(self, symbol: str, snapshot: OrderBookSnapshot): - """Update liquidity metrics""" - try: - total_bid_size = sum(level.size for level in snapshot.bids) - total_ask_size = sum(level.size for level in snapshot.asks) - - # Weighted mid price - if snapshot.bids and snapshot.asks: - bid_weight = total_bid_size / (total_bid_size + total_ask_size) - ask_weight = total_ask_size / (total_bid_size + total_ask_size) - weighted_mid = (snapshot.bids[0].price * ask_weight + - snapshot.asks[0].price * bid_weight) - else: - weighted_mid = snapshot.mid_price - - # Liquidity ratio - liquidity_ratio = total_bid_size / total_ask_size if total_ask_size > 0 else 1.0 - - self.liquidity_metrics[symbol] = { - 'total_bid_size': total_bid_size, - 'total_ask_size': total_ask_size, - 'weighted_mid': weighted_mid, - 'liquidity_ratio': liquidity_ratio, - 'spread_bps': (snapshot.spread / snapshot.mid_price) * 10000 if snapshot.mid_price > 0 else 0 - } - - except Exception as e: - logger.error(f"Error updating liquidity metrics for {symbol}: {e}") - - def _calculate_order_book_imbalance(self, symbol: str, snapshot: OrderBookSnapshot): - """Calculate order book imbalance""" - try: - if not snapshot.bids or not snapshot.asks: - return - - # Top 5 levels imbalance - n_levels = min(5, len(snapshot.bids), len(snapshot.asks)) - - total_bid_size = sum(snapshot.bids[i].size for i in range(n_levels)) - total_ask_size = sum(snapshot.asks[i].size for i in range(n_levels)) - - if total_bid_size + total_ask_size > 0: - imbalance = (total_bid_size - total_ask_size) / (total_bid_size + total_ask_size) - else: - imbalance = 0.0 - - self.order_book_imbalances[symbol].append({ - 'timestamp': snapshot.timestamp, - 'imbalance': imbalance, - 'bid_size': total_bid_size, - 'ask_size': total_ask_size - }) - - except Exception as e: - logger.error(f"Error calculating imbalance for {symbol}: {e}") - - def _update_order_heatmap(self, symbol: str, snapshot: OrderBookSnapshot): - """Update order heatmap matrix""" - try: - heatmap_entry = { - 'timestamp': snapshot.timestamp, - 'mid_price': snapshot.mid_price, - 'levels': {} - } - - # Add bid levels - for level in snapshot.bids: - price_offset = level.price - snapshot.mid_price - heatmap_entry['levels'][price_offset] = { - 'side': 'bid', - 'size': level.size, - 'price': level.price - } - - # Add ask levels - for level in snapshot.asks: - price_offset = level.price - snapshot.mid_price - heatmap_entry['levels'][price_offset] = { - 'side': 'ask', - 'size': level.size, - 'price': level.price - } - - self.order_heatmaps[symbol].append(heatmap_entry) - - # Clean old entries - cutoff_time = snapshot.timestamp - self.heatmap_window - while (self.order_heatmaps[symbol] and - self.order_heatmaps[symbol][0]['timestamp'] < cutoff_time): - self.order_heatmaps[symbol].popleft() - - except Exception as e: - logger.error(f"Error updating heatmap for {symbol}: {e}") - - def _update_volume_profile(self, symbol: str, price: float, quantity: float, is_buyer_maker: bool): - """Enhanced Session Volume Profile (SVP) update using free data""" - try: - # Calculate trade volume in USDT - volume = price * quantity - - # Use price level caching for better performance - price_key = round(price, 2) # Round to 2 decimal places for price level grouping - - # Update session volume profile - if price_key not in self.price_level_cache[symbol]: - self.price_level_cache[symbol][price_key] = VolumeProfileLevel( - price=price_key, - volume=0.0, - buy_volume=0.0, - sell_volume=0.0, - trades_count=0, - vwap=price - ) - - level = self.price_level_cache[symbol][price_key] - old_total_volume = level.volume - old_total_quantity = level.trades_count - - # Update volume metrics - level.volume += volume - level.trades_count += 1 - - # Update buy/sell volume breakdown - if is_buyer_maker: - level.sell_volume += volume # Market maker is selling - else: - level.buy_volume += volume # Market maker is buying - - # Calculate Volume Weighted Average Price (VWAP) for this level - if level.volume > 0: - level.vwap = ((level.vwap * old_total_volume) + (price * volume)) / level.volume - - # Also update the rolling volume profile (last 10 minutes) - self._update_rolling_volume_profile(symbol, price_key, volume, is_buyer_maker) - - # Session reset detection (every 24 hours or major price gaps) - current_time = datetime.now() - if self._should_reset_session(symbol, current_time, price): - self._reset_session_volume_profile(symbol, current_time) - - except Exception as e: - logger.error(f"Error updating Session Volume Profile for {symbol}: {e}") - - def _update_rolling_volume_profile(self, symbol: str, price_key: float, volume: float, is_buyer_maker: bool): - """Update rolling 10-minute volume profile for real-time heatmap""" - try: - # Find or create level in regular volume profile - price_level = None - for level in self.volume_profiles.get(symbol, []): - if abs(level.price - price_key) < 0.01: - price_level = level - break - - if not price_level: - if symbol not in self.volume_profiles: - self.volume_profiles[symbol] = [] - - price_level = VolumeProfileLevel( - price=price_key, - volume=0.0, - buy_volume=0.0, - sell_volume=0.0, - trades_count=0, - vwap=price_key - ) - self.volume_profiles[symbol].append(price_level) - - # Update rolling metrics - old_volume = price_level.volume - price_level.volume += volume - price_level.trades_count += 1 - - if is_buyer_maker: - price_level.sell_volume += volume - else: - price_level.buy_volume += volume - - # Update VWAP - if price_level.volume > 0: - price_level.vwap = ((price_level.vwap * old_volume) + (price_key * volume)) / price_level.volume - - except Exception as e: - logger.error(f"Error updating rolling volume profile for {symbol}: {e}") - - def _should_reset_session(self, symbol: str, current_time: datetime, current_price: float) -> bool: - """Determine if session volume profile should be reset""" - try: - session_start = self.session_start_time.get(symbol) - if not session_start: - return False - - # Reset every 24 hours (daily session) - if (current_time - session_start).total_seconds() > 86400: # 24 hours - return True - - # Reset on major price gaps (> 5% from session VWAP) - if self.price_level_cache.get(symbol): - total_volume = sum(level.volume for level in self.price_level_cache[symbol].values()) - if total_volume > 0: - weighted_price = sum(level.vwap * level.volume for level in self.price_level_cache[symbol].values()) / total_volume - price_gap = abs(current_price - weighted_price) / weighted_price - if price_gap > 0.05: # 5% gap - return True - - return False - - except Exception as e: - logger.error(f"Error checking session reset for {symbol}: {e}") - return False - - def _reset_session_volume_profile(self, symbol: str, reset_time: datetime): - """Reset session volume profile""" - try: - logger.info(f"Resetting session volume profile for {symbol}") - self.session_start_time[symbol] = reset_time - self.price_level_cache[symbol] = {} - self.session_volume_profiles[symbol] = [] - - except Exception as e: - logger.error(f"Error resetting session volume profile for {symbol}: {e}") - - async def _analyze_order_flow(self, symbol: str, timestamp: datetime, price: float, - quantity: float, is_buyer_maker: bool): - """Analyze order flow patterns""" - try: - if symbol not in self.order_book_history or not self.order_book_history[symbol]: - return - - recent_snapshots = list(self.order_book_history[symbol])[-10:] - - # Check for sweeps - sweep_signal = self._detect_order_sweep(symbol, recent_snapshots, price, quantity, is_buyer_maker) - if sweep_signal: - self.flow_signals[symbol].append(sweep_signal) - await self._notify_flow_signal(symbol, sweep_signal) - - # Check for absorption - absorption_signal = self._detect_absorption(symbol, recent_snapshots, price, quantity) - if absorption_signal: - self.flow_signals[symbol].append(absorption_signal) - await self._notify_flow_signal(symbol, absorption_signal) - - # Check for momentum - momentum_signal = self._detect_momentum_trade(symbol, price, quantity, is_buyer_maker) - if momentum_signal: - self.flow_signals[symbol].append(momentum_signal) - await self._notify_flow_signal(symbol, momentum_signal) - - except Exception as e: - logger.error(f"Error analyzing order flow for {symbol}: {e}") - - async def _analyze_enhanced_order_flow(self, symbol: str, timestamp: datetime, price: float, - quantity: float, trade_value: float, is_buyer_maker: bool, - trade_type: str, aggregation_size: int = 1): - """Enhanced order flow analysis with aggressive vs passive ratios""" - try: - # Determine if trade is aggressive (taker) or passive (maker) - is_aggressive = not is_buyer_maker # In Binance data, m=false means buyer is taker (aggressive) - - # Calculate aggressive vs passive ratios - self._update_aggressive_passive_ratio(symbol, timestamp, trade_value, is_aggressive) - - # Update trade size distribution - self._update_trade_size_distribution(symbol, timestamp, trade_value, trade_type) - - # Update market maker vs taker flow - self._update_market_maker_taker_flow(symbol, timestamp, trade_value, is_buyer_maker, is_aggressive) - - # Calculate order flow intensity - self._update_order_flow_intensity(symbol, timestamp, trade_value, aggregation_size) - - # Measure liquidity consumption - await self._measure_liquidity_consumption(symbol, timestamp, price, quantity, trade_value, is_aggressive) - - # Measure price impact - await self._measure_price_impact(symbol, timestamp, price, trade_value, is_aggressive) - - except Exception as e: - logger.error(f"Error in enhanced order flow analysis for {symbol}: {e}") - - def _update_aggressive_passive_ratio(self, symbol: str, timestamp: datetime, trade_value: float, is_aggressive: bool): - """Update aggressive vs passive participant ratios""" - try: - current_window = [] - cutoff_time = timestamp - timedelta(seconds=60) # 1-minute window - - # Filter recent trades within window - for entry in self.aggressive_passive_ratios[symbol]: - if entry['timestamp'] > cutoff_time: - current_window.append(entry) - - # Add current trade - current_window.append({ - 'timestamp': timestamp, - 'trade_value': trade_value, - 'is_aggressive': is_aggressive - }) - - # Calculate ratios - aggressive_volume = sum(t['trade_value'] for t in current_window if t['is_aggressive']) - passive_volume = sum(t['trade_value'] for t in current_window if not t['is_aggressive']) - total_volume = aggressive_volume + passive_volume - - if total_volume > 0: - aggressive_ratio = aggressive_volume / total_volume - passive_ratio = passive_volume / total_volume - - ratio_data = { - 'timestamp': timestamp, - 'aggressive_ratio': aggressive_ratio, - 'passive_ratio': passive_ratio, - 'aggressive_volume': aggressive_volume, - 'passive_volume': passive_volume, - 'total_volume': total_volume, - 'trade_count': len(current_window), - 'avg_aggressive_size': aggressive_volume / max(1, sum(1 for t in current_window if t['is_aggressive'])), - 'avg_passive_size': passive_volume / max(1, sum(1 for t in current_window if not t['is_aggressive'])) - } - - # Update buffer - self.aggressive_passive_ratios[symbol].clear() - self.aggressive_passive_ratios[symbol].extend(current_window) - - # Store calculated ratios for use by models - if not hasattr(self, 'current_flow_ratios'): - self.current_flow_ratios = {} - self.current_flow_ratios[symbol] = ratio_data - - except Exception as e: - logger.error(f"Error updating aggressive/passive ratio for {symbol}: {e}") - - def _update_trade_size_distribution(self, symbol: str, timestamp: datetime, trade_value: float, trade_type: str): - """Update trade size distribution for institutional vs retail detection""" - try: - # Classify trade size - if trade_value < 1000: - size_category = 'micro' # < $1K (retail) - elif trade_value < 10000: - size_category = 'small' # $1K-$10K (retail/small institutional) - elif trade_value < 50000: - size_category = 'medium' # $10K-$50K (institutional) - elif trade_value < 100000: - size_category = 'large' # $50K-$100K (large institutional) - else: - size_category = 'block' # > $100K (block trades) - - trade_data = { - 'timestamp': timestamp, - 'trade_value': trade_value, - 'trade_type': trade_type, - 'size_category': size_category, - 'is_institutional': trade_value >= self.large_order_threshold, - 'is_block_trade': trade_value >= self.block_trade_threshold - } - - self.trade_size_distributions[symbol].append(trade_data) - - except Exception as e: - logger.error(f"Error updating trade size distribution for {symbol}: {e}") - - def _update_market_maker_taker_flow(self, symbol: str, timestamp: datetime, trade_value: float, - is_buyer_maker: bool, is_aggressive: bool): - """Update market maker vs taker flow analysis""" - try: - flow_data = { - 'timestamp': timestamp, - 'trade_value': trade_value, - 'is_buyer_maker': is_buyer_maker, - 'is_aggressive': is_aggressive, - 'flow_direction': 'buy_aggressive' if not is_buyer_maker else 'sell_aggressive', - 'market_maker_side': 'sell' if is_buyer_maker else 'buy' - } - - self.market_maker_taker_flows[symbol].append(flow_data) - - except Exception as e: - logger.error(f"Error updating market maker/taker flow for {symbol}: {e}") - - def _update_order_flow_intensity(self, symbol: str, timestamp: datetime, trade_value: float, aggregation_size: int): - """Calculate order flow intensity based on trade frequency and size""" - try: - # Calculate intensity based on trade value and aggregation - base_intensity = trade_value / 10000 # Normalize by $10K - aggregation_intensity = aggregation_size / 10 # Normalize aggregation factor - - # Time-based intensity (trades per second) - recent_trades = [t for t in self.order_flow_intensity[symbol] - if (timestamp - t['timestamp']).total_seconds() < 10] - time_intensity = len(recent_trades) / 10 # Trades per second over 10s window - - intensity_score = base_intensity * (1 + aggregation_intensity) * (1 + time_intensity) - - intensity_data = { - 'timestamp': timestamp, - 'intensity_score': intensity_score, - 'base_intensity': base_intensity, - 'aggregation_intensity': aggregation_intensity, - 'time_intensity': time_intensity, - 'trade_value': trade_value, - 'aggregation_size': aggregation_size - } - - self.order_flow_intensity[symbol].append(intensity_data) - - except Exception as e: - logger.error(f"Error updating order flow intensity for {symbol}: {e}") - - async def _measure_liquidity_consumption(self, symbol: str, timestamp: datetime, price: float, - quantity: float, trade_value: float, is_aggressive: bool): - """Measure liquidity consumption rates""" - try: - if not is_aggressive: - return # Only measure for aggressive trades - - current_snapshot = self.order_books.get(symbol) - if not current_snapshot: - return - - # Calculate how much liquidity was consumed - if price >= current_snapshot.mid_price: # Buy-side consumption - consumed_liquidity = 0 - for ask_level in current_snapshot.asks: - if ask_level.price <= price: - consumed_liquidity += min(ask_level.size, quantity) * ask_level.price - quantity -= ask_level.size - if quantity <= 0: - break - else: # Sell-side consumption - consumed_liquidity = 0 - for bid_level in current_snapshot.bids: - if bid_level.price >= price: - consumed_liquidity += min(bid_level.size, quantity) * bid_level.price - quantity -= bid_level.size - if quantity <= 0: - break - - consumption_rate = consumed_liquidity / trade_value if trade_value > 0 else 0 - - consumption_data = { - 'timestamp': timestamp, - 'price': price, - 'trade_value': trade_value, - 'consumed_liquidity': consumed_liquidity, - 'consumption_rate': consumption_rate, - 'side': 'buy' if price >= current_snapshot.mid_price else 'sell' - } - - self.liquidity_consumption_rates[symbol].append(consumption_data) - - except Exception as e: - logger.error(f"Error measuring liquidity consumption for {symbol}: {e}") - - async def _measure_price_impact(self, symbol: str, timestamp: datetime, price: float, - trade_value: float, is_aggressive: bool): - """Measure price impact of trades""" - try: - if not is_aggressive: - return - - # Get price before and after (approximated by looking at recent snapshots) - recent_snapshots = list(self.order_book_history[symbol])[-5:] - if len(recent_snapshots) < 2: - return - - price_before = recent_snapshots[-2].mid_price - price_after = recent_snapshots[-1].mid_price - - price_impact = abs(price_after - price_before) / price_before if price_before > 0 else 0 - impact_per_dollar = price_impact / (trade_value / 1000000) if trade_value > 0 else 0 # Impact per $1M - - impact_data = { - 'timestamp': timestamp, - 'trade_price': price, - 'trade_value': trade_value, - 'price_before': price_before, - 'price_after': price_after, - 'price_impact': price_impact, - 'impact_per_million': impact_per_dollar, - 'impact_category': self._categorize_impact(price_impact) - } - - self.price_impact_measurements[symbol].append(impact_data) - - except Exception as e: - logger.error(f"Error measuring price impact for {symbol}: {e}") - - def _categorize_impact(self, price_impact: float) -> str: - """Categorize price impact level""" - if price_impact < 0.0001: # < 0.01% - return 'minimal' - elif price_impact < 0.001: # < 0.1% - return 'low' - elif price_impact < 0.005: # < 0.5% - return 'medium' - elif price_impact < 0.01: # < 1% - return 'high' - else: - return 'extreme' - - async def _detect_institutional_activity(self, symbol: str, timestamp: datetime, price: float, - quantity: float, trade_value: float, aggregation_size: int, - is_buyer_maker: bool): - """Detect institutional trading activity patterns""" - try: - # Block trade detection - if trade_value >= self.block_trade_threshold: - signal = OrderFlowSignal( - timestamp=timestamp, - signal_type='block_trade', - price=price, - volume=trade_value, - confidence=min(0.95, trade_value / 500000), # Higher confidence for larger trades - description=f"Block trade: ${trade_value:.0f} ({'Buy' if not is_buyer_maker else 'Sell'})" - ) - self.flow_signals[symbol].append(signal) - await self._notify_flow_signal(symbol, signal) - - # Iceberg order detection (multiple large aggregated trades in sequence) - await self._detect_iceberg_orders(symbol, timestamp, price, trade_value, aggregation_size, is_buyer_maker) - - # High-frequency activity detection - await self._detect_hft_activity(symbol, timestamp, trade_value, aggregation_size) - - except Exception as e: - logger.error(f"Error detecting institutional activity for {symbol}: {e}") - - async def _detect_iceberg_orders(self, symbol: str, timestamp: datetime, price: float, - trade_value: float, aggregation_size: int, is_buyer_maker: bool): - """Detect iceberg order patterns""" - try: - if trade_value < self.large_order_threshold: - return - - # Look for similar-sized trades in recent history - cutoff_time = timestamp - timedelta(seconds=self.iceberg_detection_window) - recent_large_trades = [] - - for trade_data in self.trade_size_distributions[symbol]: - if (trade_data['timestamp'] > cutoff_time and - trade_data['trade_value'] >= self.large_order_threshold): - recent_large_trades.append(trade_data) - - # Iceberg pattern: 3+ large trades with similar sizes - if len(recent_large_trades) >= 3: - avg_size = sum(t['trade_value'] for t in recent_large_trades) / len(recent_large_trades) - size_consistency = all(abs(t['trade_value'] - avg_size) / avg_size < 0.2 for t in recent_large_trades) - - if size_consistency: - total_iceberg_volume = sum(t['trade_value'] for t in recent_large_trades) - confidence = min(0.9, len(recent_large_trades) / 10 + total_iceberg_volume / 1000000) - - signal = OrderFlowSignal( - timestamp=timestamp, - signal_type='iceberg', - price=price, - volume=total_iceberg_volume, - confidence=confidence, - description=f"Iceberg: {len(recent_large_trades)} trades, ${total_iceberg_volume:.0f} total" - ) - self.flow_signals[symbol].append(signal) - await self._notify_flow_signal(symbol, signal) - - except Exception as e: - logger.error(f"Error detecting iceberg orders for {symbol}: {e}") - - async def _detect_hft_activity(self, symbol: str, timestamp: datetime, trade_value: float, aggregation_size: int): - """Detect high-frequency trading activity""" - try: - # Look for high-frequency patterns (many small trades in rapid succession) - cutoff_time = timestamp - timedelta(seconds=5) - recent_trades = [t for t in self.order_flow_intensity[symbol] if t['timestamp'] > cutoff_time] - - if len(recent_trades) >= 20: # 20+ trades in 5 seconds - avg_trade_size = sum(t['trade_value'] for t in recent_trades) / len(recent_trades) - - if avg_trade_size < 5000: # Small average trade size suggests HFT - total_hft_volume = sum(t['trade_value'] for t in recent_trades) - confidence = min(0.8, len(recent_trades) / 50) - - signal = OrderFlowSignal( - timestamp=timestamp, - signal_type='hft_activity', - price=0, # Multiple prices - volume=total_hft_volume, - confidence=confidence, - description=f"HFT: {len(recent_trades)} trades in 5s, avg ${avg_trade_size:.0f}" - ) - self.flow_signals[symbol].append(signal) - await self._notify_flow_signal(symbol, signal) - - except Exception as e: - logger.error(f"Error detecting HFT activity for {symbol}: {e}") - - def _update_volume_statistics(self, symbol: str, volume_24h: float, quote_volume_24h: float, weighted_avg_price: float): - """Update volume statistics for relative analysis""" - try: - # Store 24h volume data for relative comparisons - if not hasattr(self, 'volume_stats'): - self.volume_stats = {} - - self.volume_stats[symbol] = { - 'volume_24h': volume_24h, - 'quote_volume_24h': quote_volume_24h, - 'weighted_avg_price': weighted_avg_price, - 'timestamp': datetime.now() - } - - except Exception as e: - logger.error(f"Error updating volume statistics for {symbol}: {e}") - - def _detect_order_sweep(self, symbol: str, snapshots: List[OrderBookSnapshot], - price: float, quantity: float, is_buyer_maker: bool) -> Optional[OrderFlowSignal]: - """Detect order book sweeps""" - try: - if len(snapshots) < 2: - return None - - before_snapshot = snapshots[-2] - - if is_buyer_maker: # Sell order, check ask side - levels_consumed = 0 - total_consumed_size = 0 - - for level in before_snapshot.asks[:5]: - if level.price <= price: - levels_consumed += 1 - total_consumed_size += level.size - - if levels_consumed >= 2 and total_consumed_size > quantity * 1.5: - confidence = min(0.9, levels_consumed / 5.0 + 0.3) - - return OrderFlowSignal( - timestamp=datetime.now(), - signal_type='sweep', - price=price, - volume=quantity * price, - confidence=confidence, - description=f"Sell sweep: {levels_consumed} levels" - ) - else: # Buy order, check bid side - levels_consumed = 0 - total_consumed_size = 0 - - for level in before_snapshot.bids[:5]: - if level.price >= price: - levels_consumed += 1 - total_consumed_size += level.size - - if levels_consumed >= 2 and total_consumed_size > quantity * 1.5: - confidence = min(0.9, levels_consumed / 5.0 + 0.3) - - return OrderFlowSignal( - timestamp=datetime.now(), - signal_type='sweep', - price=price, - volume=quantity * price, - confidence=confidence, - description=f"Buy sweep: {levels_consumed} levels" - ) - - return None - - except Exception as e: - logger.error(f"Error detecting sweep for {symbol}: {e}") - return None - - def _detect_absorption(self, symbol: str, snapshots: List[OrderBookSnapshot], - price: float, quantity: float) -> Optional[OrderFlowSignal]: - """Detect absorption patterns""" - try: - if len(snapshots) < 3: - return None - - volume_threshold = 10000 # $10K minimum - price_impact_threshold = 0.001 # 0.1% max impact - - trade_value = price * quantity - if trade_value < volume_threshold: - return None - - # Calculate price impact - price_before = snapshots[-3].mid_price - price_after = snapshots[-1].mid_price - price_impact = abs(price_after - price_before) / price_before - - if price_impact < price_impact_threshold: - confidence = min(0.8, (trade_value / 50000) * 0.5 + 0.3) - - return OrderFlowSignal( - timestamp=datetime.now(), - signal_type='absorption', - price=price, - volume=trade_value, - confidence=confidence, - description=f"Absorption: ${trade_value:.0f}" - ) - - return None - - except Exception as e: - logger.error(f"Error detecting absorption for {symbol}: {e}") - return None - - def _detect_momentum_trade(self, symbol: str, price: float, quantity: float, - is_buyer_maker: bool) -> Optional[OrderFlowSignal]: - """Detect momentum trades""" - try: - trade_value = price * quantity - momentum_threshold = 25000 # $25K minimum - - if trade_value < momentum_threshold: - return None - - confidence = min(0.9, trade_value / 100000 * 0.6 + 0.3) - direction = "sell" if is_buyer_maker else "buy" - - return OrderFlowSignal( - timestamp=datetime.now(), - signal_type='momentum', - price=price, - volume=trade_value, - confidence=confidence, - description=f"Large {direction}: ${trade_value:.0f}" - ) - - except Exception as e: - logger.error(f"Error detecting momentum for {symbol}: {e}") - return None - - async def _notify_flow_signal(self, symbol: str, signal: OrderFlowSignal): - """Notify models of flow signals""" - try: - signal_data = { - 'signal_type': signal.signal_type, - 'price': signal.price, - 'volume': signal.volume, - 'confidence': signal.confidence, - 'timestamp': signal.timestamp, - 'description': signal.description - } - - # Notify CNN callbacks - for callback in self.cnn_callbacks: - try: - callback(symbol, signal_data) - except Exception as e: - logger.warning(f"Error in CNN callback: {e}") - - # Notify DQN callbacks - for callback in self.dqn_callbacks: - try: - callback(symbol, signal_data) - except Exception as e: - logger.warning(f"Error in DQN callback: {e}") - - except Exception as e: - logger.error(f"Error notifying flow signal: {e}") - - async def _continuous_analysis(self): - """Continuous analysis and model feeding""" - while self.is_streaming: - try: - await asyncio.sleep(1) # Analyze every second - - for symbol in self.symbols: - # Generate features for models - cnn_features = self.get_cnn_features(symbol) - if cnn_features is not None: - for callback in self.cnn_callbacks: - try: - callback(symbol, {'features': cnn_features, 'type': 'orderbook'}) - except Exception as e: - logger.warning(f"Error in CNN feature callback: {e}") - - dqn_features = self.get_dqn_state_features(symbol) - if dqn_features is not None: - for callback in self.dqn_callbacks: - try: - callback(symbol, {'state': dqn_features, 'type': 'orderbook'}) - except Exception as e: - logger.warning(f"Error in DQN state callback: {e}") - - except Exception as e: - logger.error(f"Error in continuous analysis: {e}") - await asyncio.sleep(5) - - def get_cnn_features(self, symbol: str) -> Optional[np.ndarray]: - """Generate CNN features from order book data""" - try: - if symbol not in self.order_books: - return None - - snapshot = self.order_books[symbol] - features = [] - - # Order book features (80 features: 20 levels x 2 sides x 2 values) - for i in range(min(20, len(snapshot.bids))): - bid = snapshot.bids[i] - features.append(bid.size) - features.append(bid.price - snapshot.mid_price) - - # Pad bids - while len(features) < 40: - features.extend([0.0, 0.0]) - - for i in range(min(20, len(snapshot.asks))): - ask = snapshot.asks[i] - features.append(ask.size) - features.append(ask.price - snapshot.mid_price) - - # Pad asks - while len(features) < 80: - features.extend([0.0, 0.0]) - - # Liquidity metrics (10 features) - metrics = self.liquidity_metrics.get(symbol, {}) - features.extend([ - metrics.get('total_bid_size', 0.0), - metrics.get('total_ask_size', 0.0), - metrics.get('liquidity_ratio', 1.0), - metrics.get('spread_bps', 0.0), - snapshot.spread, - metrics.get('weighted_mid', snapshot.mid_price) - snapshot.mid_price, - len(snapshot.bids), - len(snapshot.asks), - snapshot.mid_price, - time.time() % 86400 # Time of day - ]) - - # Order book imbalance (5 features) - if self.order_book_imbalances[symbol]: - latest_imbalance = self.order_book_imbalances[symbol][-1] - features.extend([ - latest_imbalance['imbalance'], - latest_imbalance['bid_size'], - latest_imbalance['ask_size'], - latest_imbalance['bid_size'] + latest_imbalance['ask_size'], - abs(latest_imbalance['imbalance']) - ]) - else: - features.extend([0.0, 0.0, 0.0, 0.0, 0.0]) - - # Enhanced flow signals (15 features) - recent_signals = [s for s in self.flow_signals[symbol] - if (datetime.now() - s.timestamp).seconds < 60] - - sweep_count = sum(1 for s in recent_signals if s.signal_type == 'sweep') - absorption_count = sum(1 for s in recent_signals if s.signal_type == 'absorption') - momentum_count = sum(1 for s in recent_signals if s.signal_type == 'momentum') - block_count = sum(1 for s in recent_signals if s.signal_type == 'block_trade') - iceberg_count = sum(1 for s in recent_signals if s.signal_type == 'iceberg') - hft_count = sum(1 for s in recent_signals if s.signal_type == 'hft_activity') - max_confidence = max([s.confidence for s in recent_signals], default=0.0) - total_flow_volume = sum(s.volume for s in recent_signals) - - # Enhanced order flow metrics - flow_metrics = self.get_enhanced_order_flow_metrics(symbol) - if flow_metrics: - aggressive_ratio = flow_metrics['aggressive_passive']['aggressive_ratio'] - institutional_ratio = flow_metrics['institutional_retail']['institutional_ratio'] - flow_intensity = flow_metrics['flow_intensity']['current_intensity'] - avg_consumption_rate = flow_metrics['liquidity']['avg_consumption_rate'] - avg_price_impact = flow_metrics['price_impact']['avg_impact'] / 10000 # Normalize from basis points - buy_pressure = flow_metrics['maker_taker_flow']['buy_pressure'] - sell_pressure = flow_metrics['maker_taker_flow']['sell_pressure'] - else: - aggressive_ratio = 0.5 - institutional_ratio = 0.5 - flow_intensity = 0.0 - avg_consumption_rate = 0.0 - avg_price_impact = 0.0 - buy_pressure = 0.5 - sell_pressure = 0.5 - - features.extend([ - sweep_count, - absorption_count, - momentum_count, - block_count, - iceberg_count, - hft_count, - max_confidence, - total_flow_volume, - aggressive_ratio, - institutional_ratio, - flow_intensity, - avg_consumption_rate, - avg_price_impact, - buy_pressure, - sell_pressure - ]) - - return np.array(features, dtype=np.float32) - - except Exception as e: - logger.error(f"Error generating CNN features for {symbol}: {e}") - return None - - def get_dqn_state_features(self, symbol: str) -> Optional[np.ndarray]: - """Generate DQN state features""" - try: - if symbol not in self.order_books: - return None - - snapshot = self.order_books[symbol] - state_features = [] - - # Normalized order book state (20 features) - total_bid_size = sum(level.size for level in snapshot.bids[:10]) - total_ask_size = sum(level.size for level in snapshot.asks[:10]) - total_size = total_bid_size + total_ask_size - - if total_size > 0: - for i in range(min(10, len(snapshot.bids))): - state_features.append(snapshot.bids[i].size / total_size) - - while len(state_features) < 10: - state_features.append(0.0) - - for i in range(min(10, len(snapshot.asks))): - state_features.append(snapshot.asks[i].size / total_size) - - while len(state_features) < 20: - state_features.append(0.0) - else: - state_features.extend([0.0] * 20) - - # Enhanced market state indicators (20 features) - metrics = self.liquidity_metrics.get(symbol, {}) - - spread_pct = (snapshot.spread / snapshot.mid_price) if snapshot.mid_price > 0 else 0 - liquidity_ratio = metrics.get('liquidity_ratio', 1.0) - liquidity_imbalance = (liquidity_ratio - 1) / (liquidity_ratio + 1) - - # Flow strength - recent_signals = [s for s in self.flow_signals[symbol] - if (datetime.now() - s.timestamp).seconds < 30] - flow_strength = sum(s.confidence for s in recent_signals) / max(len(recent_signals), 1) - - # Price volatility - if len(self.order_book_history[symbol]) >= 10: - recent_prices = [s.mid_price for s in list(self.order_book_history[symbol])[-10:]] - price_volatility = np.std(recent_prices) / np.mean(recent_prices) if recent_prices else 0 - else: - price_volatility = 0 - - # Enhanced order flow metrics for DQN - flow_metrics = self.get_enhanced_order_flow_metrics(symbol) - if flow_metrics: - aggressive_ratio = flow_metrics['aggressive_passive']['aggressive_ratio'] - institutional_ratio = flow_metrics['institutional_retail']['institutional_ratio'] - flow_intensity = min(flow_metrics['flow_intensity']['current_intensity'] / 10, 1.0) # Normalize - consumption_rate = flow_metrics['liquidity']['avg_consumption_rate'] - price_impact = min(flow_metrics['price_impact']['avg_impact'] / 100, 1.0) # Normalize basis points - buy_pressure = flow_metrics['maker_taker_flow']['buy_pressure'] - sell_pressure = flow_metrics['maker_taker_flow']['sell_pressure'] - - # Trade size distribution ratios - size_dist = flow_metrics['size_distribution'] - total_trades = sum(size_dist.values()) or 1 - retail_ratio = (size_dist.get('micro', 0) + size_dist.get('small', 0)) / total_trades - institutional_trade_ratio = (size_dist.get('large', 0) + size_dist.get('block', 0)) / total_trades - - # Recent activity indicators - block_activity = min(size_dist.get('block', 0) / 10, 1.0) # Normalize - else: - aggressive_ratio = 0.5 - institutional_ratio = 0.5 - flow_intensity = 0.0 - consumption_rate = 0.0 - price_impact = 0.0 - buy_pressure = 0.5 - sell_pressure = 0.5 - retail_ratio = 0.5 - institutional_trade_ratio = 0.5 - block_activity = 0.0 - - state_features.extend([ - spread_pct * 10000, # Spread in basis points - liquidity_imbalance, - flow_strength, - price_volatility * 100, - min(len(snapshot.bids), 20) / 20, - min(len(snapshot.asks), 20) / 20, - len([s for s in recent_signals if s.signal_type == 'sweep']) / 10, - len([s for s in recent_signals if s.signal_type == 'absorption']) / 5, - len([s for s in recent_signals if s.signal_type == 'momentum']) / 5, - (datetime.now().hour * 60 + datetime.now().minute) / 1440, - # Enhanced order flow state features - aggressive_ratio, - institutional_ratio, - flow_intensity, - consumption_rate, - price_impact, - buy_pressure, - sell_pressure, - retail_ratio, - institutional_trade_ratio, - block_activity - ]) - - return np.array(state_features, dtype=np.float32) - - except Exception as e: - logger.error(f"Error generating DQN features for {symbol}: {e}") - return None - - def get_order_heatmap_matrix(self, symbol: str, levels: int = 40) -> Optional[np.ndarray]: - """Generate heatmap matrix for visualization""" - try: - if symbol not in self.order_heatmaps or not self.order_heatmaps[symbol]: - return None - - current_snapshot = self.order_books.get(symbol) - if not current_snapshot: - return None - - mid_price = current_snapshot.mid_price - price_step = mid_price * 0.0001 # 1 basis point steps - - # Matrix: time x price levels - time_window = min(600, len(self.order_heatmaps[symbol])) - heatmap_matrix = np.zeros((time_window, levels)) - - # Fill matrix - for t, entry in enumerate(list(self.order_heatmaps[symbol])[-time_window:]): - for price_offset, level_data in entry['levels'].items(): - level_idx = int((price_offset + (levels/2) * price_step) / price_step) - - if 0 <= level_idx < levels: - size_weight = 1.0 if level_data['side'] == 'bid' else -1.0 - heatmap_matrix[t, level_idx] = level_data['size'] * size_weight - - return heatmap_matrix - - except Exception as e: - logger.error(f"Error generating heatmap matrix for {symbol}: {e}") - return None - - def get_dashboard_data(self, symbol: str) -> Optional[Dict]: - """Get data for dashboard visualization""" - try: - if symbol not in self.order_books: - return None - - snapshot = self.order_books[symbol] - - return { - 'timestamp': snapshot.timestamp.isoformat(), - 'symbol': symbol, - 'mid_price': snapshot.mid_price, - 'spread': snapshot.spread, - 'bids': [{'price': l.price, 'size': l.size} for l in snapshot.bids[:20]], - 'asks': [{'price': l.price, 'size': l.size} for l in snapshot.asks[:20]], - 'liquidity_metrics': self.liquidity_metrics.get(symbol, {}), - 'volume_profile': self.get_volume_profile_data(symbol), - 'heatmap_matrix': self.get_order_heatmap_matrix(symbol).tolist() if self.get_order_heatmap_matrix(symbol) is not None else None, - 'enhanced_order_flow': self.get_enhanced_order_flow_metrics(symbol), - 'recent_signals': [ - { - 'type': s.signal_type, - 'price': s.price, - 'volume': s.volume, - 'confidence': s.confidence, - 'timestamp': s.timestamp.isoformat(), - 'description': s.description - } - for s in list(self.flow_signals[symbol])[-10:] - ] - } - - except Exception as e: - logger.error(f"Error getting dashboard data for {symbol}: {e}") - return None - - def get_volume_profile_data(self, symbol: str) -> Optional[List[Dict]]: - """Get rolling volume profile data (10-minute window)""" - try: - if symbol not in self.volume_profiles: - return None - - profile_data = [] - for level in sorted(self.volume_profiles[symbol], key=lambda x: x.price): - profile_data.append({ - 'price': level.price, - 'volume': level.volume, - 'buy_volume': level.buy_volume, - 'sell_volume': level.sell_volume, - 'trades_count': level.trades_count, - 'vwap': level.vwap, - 'net_volume': level.buy_volume - level.sell_volume - }) - - return profile_data - - except Exception as e: - logger.error(f"Error getting volume profile for {symbol}: {e}") - return None - - def get_session_volume_profile_data(self, symbol: str) -> Optional[List[Dict]]: - """Get Session Volume Profile (SVP) data - full session data""" - try: - if symbol not in self.price_level_cache: - return None - - session_data = [] - total_volume = sum(level.volume for level in self.price_level_cache[symbol].values()) - - for price_key, level in sorted(self.price_level_cache[symbol].items()): - volume_percentage = (level.volume / total_volume * 100) if total_volume > 0 else 0 - - session_data.append({ - 'price': level.price, - 'volume': level.volume, - 'buy_volume': level.buy_volume, - 'sell_volume': level.sell_volume, - 'trades_count': level.trades_count, - 'vwap': level.vwap, - 'net_volume': level.buy_volume - level.sell_volume, - 'volume_percentage': volume_percentage, - 'is_high_volume_node': volume_percentage > 2.0, # Mark significant price levels - 'buy_sell_ratio': level.buy_volume / level.sell_volume if level.sell_volume > 0 else float('inf') - }) - - return session_data - - except Exception as e: - logger.error(f"Error getting Session Volume Profile for {symbol}: {e}") - return None - - def get_session_statistics(self, symbol: str) -> Optional[Dict]: - """Get session trading statistics""" - try: - if symbol not in self.price_level_cache: - return None - - levels = list(self.price_level_cache[symbol].values()) - if not levels: - return None - - total_volume = sum(level.volume for level in levels) - total_buy_volume = sum(level.buy_volume for level in levels) - total_sell_volume = sum(level.sell_volume for level in levels) - total_trades = sum(level.trades_count for level in levels) - - # Calculate session VWAP - session_vwap = sum(level.vwap * level.volume for level in levels) / total_volume if total_volume > 0 else 0 - - # Find price extremes - prices = [level.price for level in levels] - session_high = max(prices) if prices else 0 - session_low = min(prices) if prices else 0 - - # Find Point of Control (POC) - price level with highest volume - poc_level = max(levels, key=lambda x: x.volume) if levels else None - poc_price = poc_level.price if poc_level else 0 - poc_volume = poc_level.volume if poc_level else 0 - - # Calculate Value Area (70% of volume around POC) - sorted_levels = sorted(levels, key=lambda x: x.volume, reverse=True) - value_area_volume = total_volume * 0.7 - value_area_levels = [] - current_volume = 0 - - for level in sorted_levels: - value_area_levels.append(level) - current_volume += level.volume - if current_volume >= value_area_volume: - break - - value_area_high = max(level.price for level in value_area_levels) if value_area_levels else 0 - value_area_low = min(level.price for level in value_area_levels) if value_area_levels else 0 - - session_start = self.session_start_time.get(symbol, datetime.now()) - session_duration = (datetime.now() - session_start).total_seconds() / 3600 # Hours - - return { - 'symbol': symbol, - 'session_start': session_start.isoformat(), - 'session_duration_hours': session_duration, - 'total_volume': total_volume, - 'total_buy_volume': total_buy_volume, - 'total_sell_volume': total_sell_volume, - 'total_trades': total_trades, - 'session_vwap': session_vwap, - 'session_high': session_high, - 'session_low': session_low, - 'poc_price': poc_price, - 'poc_volume': poc_volume, - 'value_area_high': value_area_high, - 'value_area_low': value_area_low, - 'value_area_range': value_area_high - value_area_low, - 'buy_sell_ratio': total_buy_volume / total_sell_volume if total_sell_volume > 0 else float('inf'), - 'price_levels_traded': len(levels), - 'avg_trade_size': total_volume / total_trades if total_trades > 0 else 0 - } - - except Exception as e: - logger.error(f"Error getting session statistics for {symbol}: {e}") - return None - - def get_market_profile_analysis(self, symbol: str) -> Optional[Dict]: - """Get detailed market profile analysis""" - try: - current_snapshot = self.order_books.get(symbol) - session_stats = self.get_session_statistics(symbol) - svp_data = self.get_session_volume_profile_data(symbol) - - if not all([current_snapshot, session_stats, svp_data]): - return None - - current_price = current_snapshot.mid_price - session_vwap = session_stats['session_vwap'] - poc_price = session_stats['poc_price'] - value_area_high = session_stats['value_area_high'] - value_area_low = session_stats['value_area_low'] - - # Market structure analysis - price_vs_vwap = "above" if current_price > session_vwap else "below" - price_vs_poc = "above" if current_price > poc_price else "below" - - in_value_area = value_area_low <= current_price <= value_area_high - - # Find support and resistance levels from high volume nodes - high_volume_nodes = [item for item in svp_data if item['is_high_volume_node']] - resistance_levels = [node['price'] for node in high_volume_nodes if node['price'] > current_price] - support_levels = [node['price'] for node in high_volume_nodes if node['price'] < current_price] - - # Sort to get nearest levels - resistance_levels.sort() - support_levels.sort(reverse=True) - - return { - 'symbol': symbol, - 'current_price': current_price, - 'market_structure': { - 'price_vs_vwap': price_vs_vwap, - 'price_vs_poc': price_vs_poc, - 'in_value_area': in_value_area, - 'distance_from_vwap_bps': int(abs(current_price - session_vwap) / session_vwap * 10000), - 'distance_from_poc_bps': int(abs(current_price - poc_price) / poc_price * 10000) - }, - 'key_levels': { - 'session_vwap': session_vwap, - 'poc_price': poc_price, - 'value_area_high': value_area_high, - 'value_area_low': value_area_low, - 'nearest_resistance': resistance_levels[0] if resistance_levels else None, - 'nearest_support': support_levels[0] if support_levels else None - }, - 'volume_analysis': { - 'total_high_volume_nodes': len(high_volume_nodes), - 'resistance_levels': resistance_levels[:3], # Top 3 resistance - 'support_levels': support_levels[:3], # Top 3 support - 'poc_strength': session_stats['poc_volume'] / session_stats['total_volume'] * 100 - }, - 'session_statistics': session_stats - } - - except Exception as e: - logger.error(f"Error getting market profile analysis for {symbol}: {e}") - return None - - def get_enhanced_order_flow_metrics(self, symbol: str) -> Optional[Dict]: - """Get enhanced order flow metrics including aggressive vs passive ratios""" - try: - if symbol not in self.current_flow_ratios: - return None - - current_ratios = self.current_flow_ratios.get(symbol, {}) - - # Get recent trade size distribution - recent_trades = list(self.trade_size_distributions[symbol])[-100:] # Last 100 trades - if not recent_trades: - return None - - # Calculate institutional vs retail breakdown - institutional_trades = [t for t in recent_trades if t['is_institutional']] - retail_trades = [t for t in recent_trades if not t['is_institutional']] - block_trades = [t for t in recent_trades if t['is_block_trade']] - - institutional_volume = sum(t['trade_value'] for t in institutional_trades) - retail_volume = sum(t['trade_value'] for t in retail_trades) - total_volume = institutional_volume + retail_volume - - # Size category breakdown - size_breakdown = { - 'micro': len([t for t in recent_trades if t['size_category'] == 'micro']), - 'small': len([t for t in recent_trades if t['size_category'] == 'small']), - 'medium': len([t for t in recent_trades if t['size_category'] == 'medium']), - 'large': len([t for t in recent_trades if t['size_category'] == 'large']), - 'block': len([t for t in recent_trades if t['size_category'] == 'block']) - } - - # Get recent order flow intensity - recent_intensity = list(self.order_flow_intensity[symbol])[-10:] - avg_intensity = sum(i['intensity_score'] for i in recent_intensity) / max(1, len(recent_intensity)) - - # Get recent liquidity consumption - recent_consumption = list(self.liquidity_consumption_rates[symbol])[-20:] - avg_consumption_rate = sum(c['consumption_rate'] for c in recent_consumption) / max(1, len(recent_consumption)) - - # Get recent price impact - recent_impacts = list(self.price_impact_measurements[symbol])[-20:] - avg_price_impact = sum(i['price_impact'] for i in recent_impacts) / max(1, len(recent_impacts)) - - # Impact distribution - impact_distribution = {} - for impact in recent_impacts: - category = impact['impact_category'] - impact_distribution[category] = impact_distribution.get(category, 0) + 1 - - # Market maker vs taker flow analysis - recent_flows = list(self.market_maker_taker_flows[symbol])[-50:] - buy_aggressive_volume = sum(f['trade_value'] for f in recent_flows if f['flow_direction'] == 'buy_aggressive') - sell_aggressive_volume = sum(f['trade_value'] for f in recent_flows if f['flow_direction'] == 'sell_aggressive') - - return { - 'symbol': symbol, - 'timestamp': datetime.now().isoformat(), - - # Aggressive vs Passive Analysis - 'aggressive_passive': { - 'aggressive_ratio': current_ratios.get('aggressive_ratio', 0), - 'passive_ratio': current_ratios.get('passive_ratio', 0), - 'aggressive_volume': current_ratios.get('aggressive_volume', 0), - 'passive_volume': current_ratios.get('passive_volume', 0), - 'avg_aggressive_size': current_ratios.get('avg_aggressive_size', 0), - 'avg_passive_size': current_ratios.get('avg_passive_size', 0), - 'trade_count': current_ratios.get('trade_count', 0) - }, - - # Institutional vs Retail Analysis - 'institutional_retail': { - 'institutional_ratio': institutional_volume / total_volume if total_volume > 0 else 0, - 'retail_ratio': retail_volume / total_volume if total_volume > 0 else 0, - 'institutional_volume': institutional_volume, - 'retail_volume': retail_volume, - 'institutional_trade_count': len(institutional_trades), - 'retail_trade_count': len(retail_trades), - 'block_trade_count': len(block_trades), - 'avg_institutional_size': institutional_volume / max(1, len(institutional_trades)), - 'avg_retail_size': retail_volume / max(1, len(retail_trades)) - }, - - # Trade Size Distribution - 'size_distribution': size_breakdown, - - # Order Flow Intensity - 'flow_intensity': { - 'current_intensity': avg_intensity, - 'intensity_category': 'high' if avg_intensity > 5 else 'medium' if avg_intensity > 2 else 'low' - }, - - # Liquidity Analysis - 'liquidity': { - 'avg_consumption_rate': avg_consumption_rate, - 'consumption_category': 'high' if avg_consumption_rate > 0.8 else 'medium' if avg_consumption_rate > 0.5 else 'low' - }, - - # Price Impact Analysis - 'price_impact': { - 'avg_impact': avg_price_impact * 10000, # in basis points - 'impact_distribution': impact_distribution, - 'impact_category': 'high' if avg_price_impact > 0.005 else 'medium' if avg_price_impact > 0.001 else 'low' - }, - - # Market Maker vs Taker Flow - 'maker_taker_flow': { - 'buy_aggressive_volume': buy_aggressive_volume, - 'sell_aggressive_volume': sell_aggressive_volume, - 'buy_pressure': buy_aggressive_volume / (buy_aggressive_volume + sell_aggressive_volume) if (buy_aggressive_volume + sell_aggressive_volume) > 0 else 0.5, - 'sell_pressure': sell_aggressive_volume / (buy_aggressive_volume + sell_aggressive_volume) if (buy_aggressive_volume + sell_aggressive_volume) > 0 else 0.5 - }, - - # 24h Volume Statistics (if available) - 'volume_stats': self.volume_stats.get(symbol, {}) - } - - except Exception as e: - logger.error(f"Error getting enhanced order flow metrics for {symbol}: {e}") - return None \ No newline at end of file diff --git a/core/multi_exchange_cob_provider.py b/core/multi_exchange_cob_provider.py index 42baee7..93064b5 100644 --- a/core/multi_exchange_cob_provider.py +++ b/core/multi_exchange_cob_provider.py @@ -126,8 +126,8 @@ class MultiExchangeCOBProvider: self.consolidation_frequency = 100 # ms # REST API configuration for deep order book - self.rest_api_frequency = 1000 # ms - full snapshot every 1 second - self.rest_depth_limit = 500 # Increased from 100 to 500 levels via REST for maximum depth + self.rest_api_frequency = 2000 # ms - full snapshot every 2 seconds (reduced frequency for deeper data) + self.rest_depth_limit = 1000 # Increased to 1000 levels via REST for maximum depth # Exchange configurations self.exchange_configs = self._initialize_exchange_configs() @@ -467,7 +467,7 @@ class MultiExchangeCOBProvider: async def _stream_binance_orderbook(self, symbol: str, config: ExchangeConfig): """Stream order book data from Binance""" try: - ws_url = f"{config.websocket_url}{config.symbols_mapping[symbol].lower()}@depth20@100ms" + ws_url = f"{config.websocket_url}{config.symbols_mapping[symbol].lower()}@depth@1000ms" logger.info(f"Connecting to Binance WebSocket: {ws_url}") if websockets is None or websockets_connect is None: diff --git a/diagnose_training_issues.py b/diagnose_training_issues.py deleted file mode 100644 index 0519ecb..0000000 --- a/diagnose_training_issues.py +++ /dev/null @@ -1 +0,0 @@ - \ No newline at end of file diff --git a/example_checkpoint_usage.py b/example_checkpoint_usage.py deleted file mode 100644 index b54fe38..0000000 --- a/example_checkpoint_usage.py +++ /dev/null @@ -1,148 +0,0 @@ -#!/usr/bin/env python3 -""" -Example: Using the Checkpoint Management System -""" - -import logging -import torch -import torch.nn as nn -import numpy as np -from datetime import datetime - -from utils.checkpoint_manager import save_checkpoint, load_best_checkpoint, get_checkpoint_manager -from utils.training_integration import get_training_integration - -logging.basicConfig(level=logging.INFO) -logger = logging.getLogger(__name__) - -class ExampleCNN(nn.Module): - def __init__(self, input_channels=5, num_classes=3): - super().__init__() - self.conv1 = nn.Conv2d(input_channels, 32, 3, padding=1) - self.conv2 = nn.Conv2d(32, 64, 3, padding=1) - self.pool = nn.AdaptiveAvgPool2d((1, 1)) - self.fc = nn.Linear(64, num_classes) - - def forward(self, x): - x = torch.relu(self.conv1(x)) - x = torch.relu(self.conv2(x)) - x = self.pool(x) - x = x.view(x.size(0), -1) - return self.fc(x) - -def example_cnn_training(): - logger.info("=== CNN Training Example ===") - - model = ExampleCNN() - training_integration = get_training_integration() - - for epoch in range(5): # Simulate 5 epochs - # Simulate training metrics - train_loss = 2.0 - (epoch * 0.15) + np.random.normal(0, 0.1) - train_acc = 0.3 + (epoch * 0.06) + np.random.normal(0, 0.02) - val_loss = train_loss + np.random.normal(0, 0.05) - val_acc = train_acc - 0.05 + np.random.normal(0, 0.02) - - # Clamp values to realistic ranges - train_acc = max(0.0, min(1.0, train_acc)) - val_acc = max(0.0, min(1.0, val_acc)) - train_loss = max(0.1, train_loss) - val_loss = max(0.1, val_loss) - - logger.info(f"Epoch {epoch+1}: train_acc={train_acc:.3f}, val_acc={val_acc:.3f}") - - # Save checkpoint - saved = training_integration.save_cnn_checkpoint( - cnn_model=model, - model_name="example_cnn", - epoch=epoch + 1, - train_accuracy=train_acc, - val_accuracy=val_acc, - train_loss=train_loss, - val_loss=val_loss, - training_time_hours=0.1 * (epoch + 1) - ) - - if saved: - logger.info(f" Checkpoint saved for epoch {epoch+1}") - else: - logger.info(f" Checkpoint not saved (performance not improved)") - - # Load the best checkpoint - logger.info("\\nLoading best checkpoint...") - best_result = load_best_checkpoint("example_cnn") - if best_result: - file_path, metadata = best_result - logger.info(f"Best checkpoint: {metadata.checkpoint_id}") - logger.info(f"Performance score: {metadata.performance_score:.4f}") - -def example_manual_checkpoint(): - logger.info("\\n=== Manual Checkpoint Example ===") - - model = nn.Linear(10, 3) - - performance_metrics = { - 'accuracy': 0.85, - 'val_accuracy': 0.82, - 'loss': 0.45, - 'val_loss': 0.48 - } - - training_metadata = { - 'epoch': 25, - 'training_time_hours': 2.5, - 'total_parameters': sum(p.numel() for p in model.parameters()) - } - - logger.info("Saving checkpoint manually...") - metadata = save_checkpoint( - model=model, - model_name="example_manual", - model_type="cnn", - performance_metrics=performance_metrics, - training_metadata=training_metadata, - force_save=True - ) - - if metadata: - logger.info(f" Manual checkpoint saved: {metadata.checkpoint_id}") - logger.info(f" Performance score: {metadata.performance_score:.4f}") - -def show_checkpoint_stats(): - logger.info("\\n=== Checkpoint Statistics ===") - - checkpoint_manager = get_checkpoint_manager() - stats = checkpoint_manager.get_checkpoint_stats() - - logger.info(f"Total models: {stats['total_models']}") - logger.info(f"Total checkpoints: {stats['total_checkpoints']}") - logger.info(f"Total size: {stats['total_size_mb']:.2f} MB") - - for model_name, model_stats in stats['models'].items(): - logger.info(f"\\n{model_name}:") - logger.info(f" Checkpoints: {model_stats['checkpoint_count']}") - logger.info(f" Size: {model_stats['total_size_mb']:.2f} MB") - logger.info(f" Best performance: {model_stats['best_performance']:.4f}") - -def main(): - logger.info(" Checkpoint Management System Examples") - logger.info("=" * 50) - - try: - example_cnn_training() - example_manual_checkpoint() - show_checkpoint_stats() - - logger.info("\\n All examples completed successfully!") - logger.info("\\nTo use in your training:") - logger.info("1. Import: from utils.checkpoint_manager import save_checkpoint, load_best_checkpoint") - logger.info("2. Or use: from utils.training_integration import get_training_integration") - logger.info("3. Save checkpoints during training with performance metrics") - logger.info("4. Load best checkpoints for inference or continued training") - - except Exception as e: - logger.error(f"Error in examples: {e}") - raise - -if __name__ == "__main__": - main() diff --git a/fix_rl_training_issues.py b/fix_rl_training_issues.py deleted file mode 100644 index 3e6d49e..0000000 --- a/fix_rl_training_issues.py +++ /dev/null @@ -1,283 +0,0 @@ -#!/usr/bin/env python3 -""" -Fix RL Training Issues - Comprehensive Solution - -This script addresses the critical RL training audit issues: -1. MASSIVE INPUT DATA GAP (99.25% Missing) - Implements full 13,400 feature state -2. Disconnected Training Pipeline - Fixes data flow between components -3. Missing Enhanced State Builder - Connects orchestrator to dashboard -4. Reward Calculation Issues - Ensures enhanced pivot-based rewards -5. Williams Market Structure Integration - Proper feature extraction -6. Real-time Data Integration - Live market data to RL - -Usage: - python fix_rl_training_issues.py -""" - -import os -import sys -import logging -from pathlib import Path - -# Add project root to path -project_root = Path(__file__).parent -sys.path.insert(0, str(project_root)) - -logger = logging.getLogger(__name__) - -def fix_orchestrator_missing_methods(): - """Fix missing methods in enhanced orchestrator""" - try: - logger.info("Checking enhanced orchestrator...") - - from core.enhanced_orchestrator import EnhancedTradingOrchestrator - - # Test if methods exist - test_orchestrator = EnhancedTradingOrchestrator() - - methods_to_check = [ - '_get_symbol_correlation', - 'build_comprehensive_rl_state', - 'calculate_enhanced_pivot_reward' - ] - - missing_methods = [] - for method in methods_to_check: - if not hasattr(test_orchestrator, method): - missing_methods.append(method) - - if missing_methods: - logger.error(f"Missing methods in enhanced orchestrator: {missing_methods}") - return False - else: - logger.info("āœ… All required methods present in enhanced orchestrator") - return True - - except Exception as e: - logger.error(f"Error checking orchestrator: {e}") - return False - -def test_comprehensive_state_building(): - """Test comprehensive RL state building""" - try: - logger.info("Testing comprehensive state building...") - - from core.enhanced_orchestrator import EnhancedTradingOrchestrator - from core.data_provider import DataProvider - - # Create test instances - data_provider = DataProvider() - orchestrator = EnhancedTradingOrchestrator(data_provider=data_provider) - - # Test comprehensive state building - state = orchestrator.build_comprehensive_rl_state('ETH/USDT') - - if state is not None: - logger.info(f"āœ… Comprehensive state built: {len(state)} features") - - if len(state) == 13400: - logger.info("āœ… PERFECT: Exactly 13,400 features as required!") - else: - logger.warning(f"āš ļø Expected 13,400 features, got {len(state)}") - - # Check feature distribution - import numpy as np - non_zero = np.count_nonzero(state) - logger.info(f"Non-zero features: {non_zero} ({non_zero/len(state)*100:.1f}%)") - - return True - else: - logger.error("āŒ Comprehensive state building failed") - return False - - except Exception as e: - logger.error(f"Error testing state building: {e}") - return False - -def test_enhanced_reward_calculation(): - """Test enhanced reward calculation""" - try: - logger.info("Testing enhanced reward calculation...") - - from core.enhanced_orchestrator import EnhancedTradingOrchestrator - from datetime import datetime, timedelta - - orchestrator = EnhancedTradingOrchestrator() - - # Test data - trade_decision = { - 'action': 'BUY', - 'confidence': 0.75, - 'price': 2500.0, - 'timestamp': datetime.now() - } - - trade_outcome = { - 'net_pnl': 50.0, - 'exit_price': 2550.0, - 'duration': timedelta(minutes=15) - } - - market_data = { - 'volatility': 0.03, - 'order_flow_direction': 'bullish', - 'order_flow_strength': 0.8 - } - - # Test enhanced reward - enhanced_reward = orchestrator.calculate_enhanced_pivot_reward( - trade_decision, market_data, trade_outcome - ) - - logger.info(f"āœ… Enhanced reward calculated: {enhanced_reward:.3f}") - return True - - except Exception as e: - logger.error(f"Error testing reward calculation: {e}") - return False - -def test_williams_integration(): - """Test Williams market structure integration""" - try: - logger.info("Testing Williams market structure integration...") - - from training.williams_market_structure import extract_pivot_features, analyze_pivot_context - from core.data_provider import DataProvider - import pandas as pd - import numpy as np - - # Create test data - test_data = { - 'open': np.random.uniform(2400, 2600, 100), - 'high': np.random.uniform(2500, 2700, 100), - 'low': np.random.uniform(2300, 2500, 100), - 'close': np.random.uniform(2400, 2600, 100), - 'volume': np.random.uniform(1000, 5000, 100) - } - df = pd.DataFrame(test_data) - - # Test pivot features - pivot_features = extract_pivot_features(df) - - if pivot_features is not None: - logger.info(f"āœ… Williams pivot features extracted: {len(pivot_features)} features") - - # Test pivot context analysis - market_data = {'ohlcv_data': df} - context = analyze_pivot_context(market_data, datetime.now(), 'BUY') - - if context is not None: - logger.info("āœ… Williams pivot context analysis working") - return True - else: - logger.warning("āš ļø Pivot context analysis returned None") - return False - else: - logger.error("āŒ Williams pivot feature extraction failed") - return False - - except Exception as e: - logger.error(f"Error testing Williams integration: {e}") - return False - -def test_dashboard_integration(): - """Test dashboard integration with enhanced features""" - try: - logger.info("Testing dashboard integration...") - - from web.clean_dashboard import CleanTradingDashboard as TradingDashboard - from core.enhanced_orchestrator import EnhancedTradingOrchestrator - from core.data_provider import DataProvider - from core.trading_executor import TradingExecutor - - # Create components - data_provider = DataProvider() - orchestrator = EnhancedTradingOrchestrator(data_provider=data_provider) - executor = TradingExecutor() - - # Create dashboard - dashboard = TradingDashboard( - data_provider=data_provider, - orchestrator=orchestrator, - trading_executor=executor - ) - - # Check if dashboard has access to enhanced features - has_comprehensive_builder = hasattr(dashboard, '_build_comprehensive_rl_state') - has_enhanced_orchestrator = hasattr(dashboard.orchestrator, 'build_comprehensive_rl_state') - - if has_comprehensive_builder and has_enhanced_orchestrator: - logger.info("āœ… Dashboard properly integrated with enhanced features") - return True - else: - logger.warning("āš ļø Dashboard missing some enhanced features") - logger.info(f"Comprehensive builder: {has_comprehensive_builder}") - logger.info(f"Enhanced orchestrator: {has_enhanced_orchestrator}") - return False - - except Exception as e: - logger.error(f"Error testing dashboard integration: {e}") - return False - -def main(): - """Main function to run all fixes and tests""" - # Setup logging - logging.basicConfig( - level=logging.INFO, - format='%(asctime)s - %(levelname)s - %(message)s' - ) - - logger.info("=" * 70) - logger.info("COMPREHENSIVE RL TRAINING FIX - AUDIT ISSUE RESOLUTION") - logger.info("=" * 70) - - # Track results - test_results = {} - - # Run all tests - tests = [ - ("Enhanced Orchestrator Methods", fix_orchestrator_missing_methods), - ("Comprehensive State Building", test_comprehensive_state_building), - ("Enhanced Reward Calculation", test_enhanced_reward_calculation), - ("Williams Market Structure", test_williams_integration), - ("Dashboard Integration", test_dashboard_integration) - ] - - for test_name, test_func in tests: - logger.info(f"\nšŸ”§ {test_name}...") - try: - result = test_func() - test_results[test_name] = result - except Exception as e: - logger.error(f"āŒ {test_name} failed: {e}") - test_results[test_name] = False - - # Summary - logger.info("\n" + "=" * 70) - logger.info("COMPREHENSIVE RL TRAINING FIX RESULTS") - logger.info("=" * 70) - - passed = sum(test_results.values()) - total = len(test_results) - - for test_name, result in test_results.items(): - status = "āœ… PASS" if result else "āŒ FAIL" - logger.info(f"{test_name}: {status}") - - logger.info(f"\nOverall: {passed}/{total} tests passed") - - if passed == total: - logger.info("šŸŽ‰ ALL RL TRAINING ISSUES FIXED!") - logger.info("The system now supports:") - logger.info(" - 13,400 comprehensive RL features") - logger.info(" - Enhanced pivot-based rewards") - logger.info(" - Williams market structure integration") - logger.info(" - Proper data flow between components") - logger.info(" - Real-time data integration") - else: - logger.warning("āš ļø Some issues remain - check logs above") - - return 0 if passed == total else 1 - -if __name__ == "__main__": - sys.exit(main()) \ No newline at end of file diff --git a/mexc_captcha_tokens_20250703_022428.json b/mexc_captcha_tokens_20250703_022428.json deleted file mode 100644 index 8b04bad..0000000 --- a/mexc_captcha_tokens_20250703_022428.json +++ /dev/null @@ -1,12 +0,0 @@ -[ - 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-This script provides a convenient way to read and filter log files during -development. -""" - -import os -import sys -import time -import argparse -from datetime import datetime - -def parse_args(): - """Parse command line arguments""" - parser = argparse.ArgumentParser(description='Read and filter log files') - parser.add_argument('--file', type=str, help='Log file to read (defaults to most recent .log file)') - parser.add_argument('--tail', type=int, default=50, help='Number of lines to show from the end') - parser.add_argument('--follow', '-f', action='store_true', help='Follow the file as it grows') - parser.add_argument('--filter', type=str, help='Only show lines containing this string') - parser.add_argument('--list', action='store_true', help='List all log files sorted by modification time') - return parser.parse_args() - -def get_most_recent_log(): - """Find the most recently modified log file""" - log_files = [f for f in os.listdir('.') if f.endswith('.log')] - if not log_files: - print("No log files found in current directory.") - sys.exit(1) - - # Sort by modification time (newest first) - log_files.sort(key=lambda x: os.path.getmtime(x), reverse=True) - return log_files[0] - -def list_log_files(): - """List all log files sorted by modification time""" - log_files = [f for f in os.listdir('.') if f.endswith('.log')] - if not log_files: - print("No log files found in current directory.") - sys.exit(1) - - # Sort by modification time (newest first) - log_files.sort(key=lambda x: os.path.getmtime(x), reverse=True) - - print(f"{'LAST MODIFIED':<20} {'SIZE':<10} FILENAME") - print("-" * 60) - for log_file in log_files: - mtime = datetime.fromtimestamp(os.path.getmtime(log_file)) - size = os.path.getsize(log_file) - size_str = f"{size / 1024:.1f} KB" if size > 1024 else f"{size} B" - print(f"{mtime.strftime('%Y-%m-%d %H:%M:%S'):<20} {size_str:<10} {log_file}") - -def read_log_tail(file_path, num_lines, filter_text=None): - """Read the last N lines of a file""" - try: - with open(file_path, 'r', encoding='utf-8') as f: - # Read all lines (inefficient but simple) - lines = f.readlines() - - # Filter if needed - if filter_text: - lines = [line for line in lines if filter_text in line] - - # Get the last N lines - last_lines = lines[-num_lines:] if len(lines) > num_lines else lines - return last_lines - except Exception as e: - print(f"Error reading file: {str(e)}") - sys.exit(1) - -def follow_log(file_path, filter_text=None): - """Follow the log file as it grows (like tail -f)""" - try: - with open(file_path, 'r', encoding='utf-8') as f: - # Go to the end of the file - f.seek(0, 2) - - while True: - line = f.readline() - if line: - if not filter_text or filter_text in line: - # Remove newlines at the end to avoid double spacing - print(line.rstrip()) - else: - time.sleep(0.1) # Sleep briefly to avoid consuming CPU - except KeyboardInterrupt: - print("\nLog reading stopped.") - except Exception as e: - print(f"Error following file: {str(e)}") - sys.exit(1) - -def main(): - """Main function""" - args = parse_args() - - # List all log files if requested - if args.list: - list_log_files() - return - - # Determine which file to read - file_path = args.file - if not file_path: - file_path = get_most_recent_log() - print(f"Reading most recent log file: {file_path}") - - # Follow mode (like tail -f) - if args.follow: - print(f"Following {file_path} (Press Ctrl+C to stop)...") - # First print the tail - for line in read_log_tail(file_path, args.tail, args.filter): - print(line.rstrip()) - print("-" * 80) - print("Waiting for new content...") - # Then follow - follow_log(file_path, args.filter) - else: - # Just print the tail - for line in read_log_tail(file_path, args.tail, args.filter): - print(line.rstrip()) - -if __name__ == "__main__": - main() \ No newline at end of file diff --git a/test_signal_preservation.py b/test_signal_preservation.py deleted file mode 100644 index 03877d6..0000000 --- a/test_signal_preservation.py +++ /dev/null @@ -1,99 +0,0 @@ -#!/usr/bin/env python3 - -import time -from web.clean_dashboard import CleanTradingDashboard -from core.data_provider import DataProvider -from core.orchestrator import TradingOrchestrator -from core.trading_executor import TradingExecutor - -print('Testing signal preservation improvements...') - -# Create dashboard instance -data_provider = DataProvider() -orchestrator = TradingOrchestrator(data_provider) -trading_executor = TradingExecutor() - -dashboard = CleanTradingDashboard( - data_provider=data_provider, - orchestrator=orchestrator, - trading_executor=trading_executor -) - -print(f'Initial recent_decisions count: {len(dashboard.recent_decisions)}') - -# Add test signals similar to the user's example -test_signals = [ - {'timestamp': '20:39:32', 'action': 'HOLD', 'confidence': 0.01, 'price': 2420.07}, - {'timestamp': '20:39:02', 'action': 'HOLD', 'confidence': 0.01, 'price': 2416.89}, - {'timestamp': '20:38:45', 'action': 'BUY', 'confidence': 0.65, 'price': 2415.23}, - {'timestamp': '20:38:12', 'action': 'SELL', 'confidence': 0.72, 'price': 2413.45}, - {'timestamp': '20:37:58', 'action': 'HOLD', 'confidence': 0.02, 'price': 2412.89} -] - -# Add signals to dashboard -for signal_data in test_signals: - test_signal = { - 'timestamp': signal_data['timestamp'], - 'action': signal_data['action'], - 'confidence': signal_data['confidence'], - 'price': signal_data['price'], - 'symbol': 'ETH/USDT', - 'executed': False, - 'blocked': True, - 'manual': False, - 'model': 'TEST' - } - dashboard._process_dashboard_signal(test_signal) - -print(f'After adding {len(test_signals)} signals: {len(dashboard.recent_decisions)}') - -# Test with larger batch to verify new limits -print('\nAdding 50 more signals to test preservation...') -for i in range(50): - test_signal = { - 'timestamp': f'20:3{i//10}:{i%60:02d}', - 'action': 'HOLD' if i % 3 == 0 else ('BUY' if i % 2 == 0 else 'SELL'), - 'confidence': 0.01 + (i * 0.01), - 'price': 2420.0 + i, - 'symbol': 'ETH/USDT', - 'executed': False, - 'blocked': True, - 'manual': False, - 'model': 'BATCH_TEST' - } - dashboard._process_dashboard_signal(test_signal) - -print(f'After adding 50 more signals: {len(dashboard.recent_decisions)}') - -# Display recent signals -print('\nRecent signals (last 10):') -for signal in dashboard.recent_decisions[-10:]: - timestamp = dashboard._get_signal_attribute(signal, 'timestamp', 'Unknown') - action = dashboard._get_signal_attribute(signal, 'action', 'UNKNOWN') - confidence = dashboard._get_signal_attribute(signal, 'confidence', 0) - price = dashboard._get_signal_attribute(signal, 'price', 0) - print(f' {timestamp} {action}({confidence*100:.1f}%) ${price:.2f}') - -# Test cleanup behavior with tick cache -print('\nTesting tick cache cleanup behavior...') -dashboard.tick_cache = [ - {'datetime': time.time() - 3600, 'symbol': 'ETHUSDT', 'price': 2400.0}, # 1 hour ago - {'datetime': time.time() - 1800, 'symbol': 'ETHUSDT', 'price': 2410.0}, # 30 min ago - {'datetime': time.time() - 900, 'symbol': 'ETHUSDT', 'price': 2420.0}, # 15 min ago -] - -# This should NOT clear signals aggressively anymore -signals_before = len(dashboard.recent_decisions) -dashboard._clear_old_signals_for_tick_range() -signals_after = len(dashboard.recent_decisions) - -print(f'Signals before cleanup: {signals_before}') -print(f'Signals after cleanup: {signals_after}') -print(f'Signals preserved: {signals_after}/{signals_before} ({(signals_after/signals_before)*100:.1f}%)') - -print('\nāœ… Signal preservation test completed!') -print('Changes made:') -print('- Increased recent_decisions limit from 20/50 to 200') -print('- Made tick cache cleanup much more conservative') -print('- Only clears when >500 signals and removes >20% of old data') -print('- Extended time range for signal preservation') \ No newline at end of file diff --git a/trading/__init__.py b/trading/__init__.py deleted file mode 100644 index e69de29..0000000 diff --git a/web/clean_dashboard.py b/web/clean_dashboard.py index 4cb2e03..cbc64f5 100644 --- a/web/clean_dashboard.py +++ b/web/clean_dashboard.py @@ -4516,9 +4516,9 @@ class CleanTradingDashboard: import requests import time - # Use Binance REST API for order book data + # Use Binance REST API for order book data with maximum depth binance_symbol = symbol.replace('/', '') - url = f"https://api.binance.com/api/v3/depth?symbol={binance_symbol}&limit=500" + url = f"https://api.binance.com/api/v3/depth?symbol={binance_symbol}&limit=1000" response = requests.get(url, timeout=5) if response.status_code == 200: @@ -4528,8 +4528,8 @@ class CleanTradingDashboard: bids = [] asks = [] - # Process bids (buy orders) - for bid in data['bids'][:100]: # Top 100 levels + # Process bids (buy orders) - increased to 500 levels for better bucket filling + for bid in data['bids'][:500]: # Top 500 levels price = float(bid[0]) size = float(bid[1]) bids.append({ @@ -4538,8 +4538,8 @@ class CleanTradingDashboard: 'total': price * size }) - # Process asks (sell orders) - for ask in data['asks'][:100]: # Top 100 levels + # Process asks (sell orders) - increased to 500 levels for better bucket filling + for ask in data['asks'][:500]: # Top 500 levels price = float(ask[0]) size = float(ask[1]) asks.append({ diff --git a/web/component_manager.py b/web/component_manager.py index 4d4ae6a..a86e75c 100644 --- a/web/component_manager.py +++ b/web/component_manager.py @@ -405,24 +405,21 @@ class DashboardComponentManager: ], className="text-center") def _create_cob_ladder_panel(self, bids, asks, mid_price, symbol=""): - """Creates the right panel with the compact COB ladder.""" + """Creates Bookmap-style COB display with horizontal bars extending from center price.""" # Use symbol-specific bucket sizes: ETH = $1, BTC = $10 bucket_size = 1.0 if "ETH" in symbol else 10.0 - num_levels = 5 + num_levels = 20 # Show 20 levels each side def aggregate_buckets(orders): buckets = {} for order in orders: # Handle both dictionary format and ConsolidatedOrderBookLevel objects if hasattr(order, 'price'): - # ConsolidatedOrderBookLevel object price = order.price size = order.total_size volume_usd = order.total_volume_usd else: - # Dictionary format (legacy) price = order.get('price', 0) - # Handle both old format (size) and new format (total_size) size = order.get('total_size', order.get('size', 0)) volume_usd = order.get('total_volume_usd', size * price) @@ -437,68 +434,133 @@ class DashboardComponentManager: bid_buckets = aggregate_buckets(bids) ask_buckets = aggregate_buckets(asks) + # Calculate max volume for scaling all_usd_volumes = [b['usd_volume'] for b in bid_buckets.values()] + [a['usd_volume'] for a in ask_buckets.values()] max_volume = max(all_usd_volumes) if all_usd_volumes else 1 + # Create price levels around mid price center_bucket = round(mid_price / bucket_size) * bucket_size ask_levels = [center_bucket + i * bucket_size for i in range(1, num_levels + 1)] bid_levels = [center_bucket - i * bucket_size for i in range(num_levels)] - def create_ladder_row(price, bucket_data, max_vol, row_type): - usd_volume = bucket_data.get('usd_volume', 0) - crypto_volume = bucket_data.get('crypto_volume', 0) + def create_bookmap_row(price, bid_data, ask_data, max_vol): + """Create a Bookmap-style row with horizontal bars extending from center""" + bid_volume = bid_data.get('usd_volume', 0) + ask_volume = ask_data.get('usd_volume', 0) - progress = (usd_volume / max_vol) * 100 if max_vol > 0 else 0 - color = "danger" if row_type == 'ask' else "success" - text_color = "text-danger" if row_type == 'ask' else "text-success" + # Calculate bar widths (0-100%) + bid_width = (bid_volume / max_vol) * 100 if max_vol > 0 else 0 + ask_width = (ask_volume / max_vol) * 100 if max_vol > 0 else 0 - # Format USD volume (no $ symbol) - if usd_volume > 1e6: - usd_str = f"{usd_volume/1e6:.1f}M" - elif usd_volume > 1e3: - usd_str = f"{usd_volume/1e3:.0f}K" - else: - usd_str = f"{usd_volume:,.0f}" + # Format volumes + def format_volume(vol): + if vol > 1e6: + return f"{vol/1e6:.1f}M" + elif vol > 1e3: + return f"{vol/1e3:.0f}K" + elif vol > 0: + return f"{vol:,.0f}" + return "" - # Format crypto volume (no unit symbol) - if crypto_volume > 1000: - crypto_str = f"{crypto_volume/1000:.1f}K" - elif crypto_volume > 1: - crypto_str = f"{crypto_volume:.1f}" - else: - crypto_str = f"{crypto_volume:.3f}" + bid_vol_str = format_volume(bid_volume) + ask_vol_str = format_volume(ask_volume) + + return html.Div([ + # Price level row + html.Div([ + # Bid side (left) - green bar extending right + html.Div([ + html.Div( + bid_vol_str, + className="text-end text-success small fw-bold px-1", + style={ + "background": "rgba(40, 167, 69, 0.8)" if bid_volume > 0 else "transparent", + "width": f"{bid_width}%", + "minHeight": "18px", + "display": "flex", + "alignItems": "center", + "justifyContent": "flex-end", + "marginLeft": "auto" + } + ) + ], style={"width": "40%", "display": "flex", "justifyContent": "flex-end"}), + + # Price in center + html.Div( + f"{price:,.0f}", + className="text-center small fw-bold text-light px-2", + style={ + "width": "20%", + "minHeight": "18px", + "display": "flex", + "alignItems": "center", + "justifyContent": "center", + "background": "rgba(108, 117, 125, 0.8)", + "borderLeft": "1px solid rgba(255,255,255,0.2)", + "borderRight": "1px solid rgba(255,255,255,0.2)" + } + ), + + # Ask side (right) - red bar extending left + html.Div([ + html.Div( + ask_vol_str, + className="text-start text-danger small fw-bold px-1", + style={ + "background": "rgba(220, 53, 69, 0.8)" if ask_volume > 0 else "transparent", + "width": f"{ask_width}%", + "minHeight": "18px", + "display": "flex", + "alignItems": "center", + "justifyContent": "flex-start" + } + ) + ], style={"width": "40%", "display": "flex", "justifyContent": "flex-start"}) + + ], style={ + "display": "flex", + "alignItems": "center", + "marginBottom": "1px", + "background": "rgba(33, 37, 41, 0.9)", + "border": "1px solid rgba(255,255,255,0.1)" + }) + ]) - return html.Tr([ - html.Td(f"${price:,.0f}", className=f"{text_color} price-level small"), - html.Td( - dbc.Progress(value=progress, color=color, className="vh-25 compact-progress"), - className="progress-cell p-0" - ), - html.Td(usd_str, className="volume-level text-end fw-bold small p-0 pe-1"), - html.Td(crypto_str, className="volume-level text-start small text-muted p-0 ps-1") - ], className="compact-ladder-row p-0") + # Create all price levels + all_levels = sorted(set(ask_levels + bid_levels + [center_bucket]), reverse=True) + + rows = [] + for price in all_levels: + bid_data = bid_buckets.get(price, {'usd_volume': 0}) + ask_data = ask_buckets.get(price, {'usd_volume': 0}) + + # Only show rows with some volume or near mid price + if bid_data['usd_volume'] > 0 or ask_data['usd_volume'] > 0 or abs(price - mid_price) <= bucket_size * 5: + rows.append(create_bookmap_row(price, bid_data, ask_data, max_volume)) - def get_bucket_data(buckets, price): - return buckets.get(price, {'usd_volume': 0, 'crypto_volume': 0}) + # Add header + header = html.Div([ + html.Div("BIDS", className="text-success text-center fw-bold small", style={"width": "40%"}), + html.Div("PRICE", className="text-light text-center fw-bold small", style={"width": "20%"}), + html.Div("ASKS", className="text-danger text-center fw-bold small", style={"width": "40%"}) + ], style={ + "display": "flex", + "marginBottom": "5px", + "padding": "5px", + "background": "rgba(52, 58, 64, 0.9)", + "border": "1px solid rgba(255,255,255,0.2)" + }) - ask_rows = [create_ladder_row(p, get_bucket_data(ask_buckets, p), max_volume, 'ask') for p in sorted(ask_levels, reverse=True)] - bid_rows = [create_ladder_row(p, get_bucket_data(bid_buckets, p), max_volume, 'bid') for p in sorted(bid_levels, reverse=True)] - - mid_row = html.Tr([ - html.Td(f"${mid_price:,.0f}", colSpan=4, className="text-center fw-bold small mid-price-row p-0") - ]) - - ladder_table = html.Table([ - html.Thead(html.Tr([ - html.Th("Price", className="small p-0"), - html.Th("Volume", className="small p-0"), - html.Th("USD", className="small text-end p-0 pe-1"), - html.Th("Crypto", className="small text-start p-0 ps-1") - ])), - html.Tbody(ask_rows + [mid_row] + bid_rows) - ], className="table table-sm table-borderless cob-ladder-table-compact m-0 p-0") # Compact classes - - return ladder_table + return html.Div([ + header, + html.Div(rows, style={ + "maxHeight": "400px", + "overflowY": "auto", + "background": "rgba(33, 37, 41, 0.95)", + "border": "1px solid rgba(255,255,255,0.2)", + "borderRadius": "4px" + }) + ], style={"fontFamily": "monospace"}) def format_cob_data_with_buckets(self, cob_snapshot, symbol, price_buckets, memory_stats, bucket_size=1.0): """Format COB data with price buckets for high-frequency display"""