initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
Includes core prod + GREEN/BLUE subsystems: - prod/ (BLUE harness, configs, scripts, docs) - nautilus_dolphin/ (GREEN Nautilus-native impl + dvae/ preserved) - adaptive_exit/ (AEM engine + models/bucket_assignments.pkl) - Observability/ (EsoF advisor, TUI, dashboards) - external_factors/ (EsoF producer) - mc_forewarning_qlabs_fork/ (MC regime/envelope) Excludes runtime caches, logs, backups, and reproducible artifacts per .gitignore.
This commit is contained in:
hjnormey
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nautilus_dolphin/COMPLETE_IMPLEMENTATION.md
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526
nautilus_dolphin/COMPLETE_IMPLEMENTATION.md
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# DOLPHIN Nautilus - Complete Implementation Summary
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**Date**: 2026-02-18
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**Version**: 0.1.0
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**Status**: All Phases Implemented
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---
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## Overview
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This document provides a complete summary of the DOLPHIN NG HD Nautilus implementation. All components from the VBT-to-Nautilus migration spec have been implemented.
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---
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## Implementation Status
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### ✅ Phase 1: Foundation (Complete)
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| Task | File | Status |
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|------|------|--------|
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| 1.2 Signal Bridge Actor | `nautilus/signal_bridge.py` | ✅ |
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| 1.3 Basic Execution Strategy | `nautilus/strategy.py` | ✅ |
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| Environment Setup | `config/config.yaml`, `requirements.txt` | ✅ |
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**Key Components**:
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- `SignalBridgeActor`: Redis Streams → Nautilus message bus
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- `DolphinExecutionStrategy`: Main trading strategy with Grid 5F logic
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- Signal subscription and lifecycle management
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---
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### ✅ Phase 2: Core Logic (Complete)
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| Task | File | Status |
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|------|------|--------|
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| 2.1 Signal Filtering | `nautilus/volatility_detector.py`, `nautilus/strategy.py` | ✅ |
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| 2.2 Dynamic Leverage | `nautilus/strategy.py` | ✅ |
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| 2.3 Position Sizing | `nautilus/strategy.py` | ✅ |
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| 2.4 Exit Logic | `nautilus/position_manager.py` | ✅ |
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**Key Components**:
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- `VolatilityRegimeDetector`: P50/P75 regime detection
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- `DolphinExecutionStrategy._should_trade()`: All filters implemented
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- `DolphinExecutionStrategy.calculate_leverage()`: Cubic convexity
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- `PositionManager`: TP 99bps, max hold 120 bars
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---
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### ✅ Phase 3: Execution (Complete)
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| Task | File | Status |
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|------|------|--------|
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| 3.1 SmartExecAlgorithm Entry | `nautilus/smart_exec_algorithm.py` | ✅ |
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| 3.2 SmartExecAlgorithm Exit | `nautilus/smart_exec_algorithm.py` | ✅ |
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| 3.3 Fee/Slippage Tracking | `nautilus/smart_exec_algorithm.py` | ✅ |
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| 3.4 Circuit Breakers | `nautilus/circuit_breaker.py` | ✅ |
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| 3.5 Metrics Monitor | `nautilus/metrics_monitor.py` | ✅ |
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**Key Components**:
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- `SmartExecAlgorithm`: Entry/exit order management, 5bps abort logic
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- `CircuitBreakerManager`: Daily loss limit, position limits, API failure tracking
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- `MetricsMonitor`: Stress-test baseline comparison, Prometheus export
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---
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### ✅ Phase 4: Validation (Complete)
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| Task | File | Status |
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|------|------|--------|
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| 4.1 JSON Data Adapter | `nautilus/data_adapter.py` | ✅ |
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| 4.2 Validation Backtests | `validation/backtest_runner.py` | ✅ |
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| 4.3 Validation Analysis | `validation/comparator.py`, `validation/report_generator.py` | ✅ |
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**Key Components**:
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- `JSONEigenvalueDataAdapter`: Load correlation_arb512 data
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- `BacktestDataLoader`: High-level backtest data loading
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- `ValidationBacktestRunner`: Run validation periods
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- `VBTComparator`: Compare Nautilus vs VBT results
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- `ReportGenerator`: Text/Markdown/JSON reports
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**Validation Periods**:
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- High volatility: Feb 6-14, 2026
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- Low volatility: Jan 21-28, 2026
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- Mixed: Dec 31, 2025 - Jan 7, 2026
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---
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### ✅ Phase 5: Paper Trading (Complete)
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| Task | File | Status |
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|------|------|--------|
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| 5.1 Signal Generator | `signal_generator/generator.py` | ✅ |
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| 5.2 Redis Publisher | `signal_generator/redis_publisher.py` | ✅ |
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| 5.3 Signal Enricher | `signal_generator/enricher.py` | ✅ |
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**Key Components**:
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- `SignalGenerator`: Extract signals from eigenvalue data
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- `SignalEnricher`: Add IRP, alpha layer, direction confirmation
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- `RedisSignalPublisher`: Reliable signal publication with buffering
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- Backtest mode for historical signal replay
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---
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### ✅ Phase 6: Production Readiness (Complete)
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||||
| Task | File | Status |
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||||
|------|------|--------|
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| 6.1 Monitoring Setup | `monitoring/prometheus_exporter.py` | ✅ |
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| 6.2 Alerting | `monitoring/alerter.py` | ✅ |
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| 6.3 Dashboard | `monitoring/dashboard.py` | ✅ |
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| 6.4 Docker Config | `deployment/docker_config.py` | ✅ |
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| 6.5 Documentation | `deployment/runbook.py` | ✅ |
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**Key Components**:
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- `PrometheusExporter`: All metrics from spec
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- `Alerter`: Critical and warning alert rules
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- `DashboardGenerator`: Grafana dashboard JSON
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- `DockerConfig`: docker-compose.yml, Dockerfiles
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- `DeploymentRunbook`: DEPLOYMENT.md, OPERATIONS.md, INCIDENT_RESPONSE.md
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---
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## File Structure
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```
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nautilus_dolphin/
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├── nautilus_dolphin/ # Main package
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│ ├── __init__.py # Package exports
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│ │
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│ ├── nautilus/ # Nautilus components
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│ │ ├── __init__.py
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│ │ ├── signal_bridge.py # 1.2 - Redis → Nautilus
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│ │ ├── strategy.py # 1.3, 2.x - Main strategy
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│ │ ├── smart_exec_algorithm.py # 3.1, 3.2, 3.3 - Order execution
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│ │ ├── position_manager.py # 2.4 - Exit logic
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│ │ ├── volatility_detector.py # 2.1 - Regime detection
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│ │ ├── circuit_breaker.py # 3.4 - Operational safety
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│ │ ├── metrics_monitor.py # 3.5 - Stress-test metrics
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│ │ └── data_adapter.py # 4.1 - JSON data loading
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│ │
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│ ├── signal_generator/ # Signal generation
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│ │ ├── __init__.py
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│ │ ├── generator.py # 5.1 - Signal generator
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│ │ ├── enricher.py # 5.1 - Signal enrichment
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│ │ └── redis_publisher.py # 5.1 - Redis publisher
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│ │
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│ ├── validation/ # Validation framework
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│ │ ├── __init__.py
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│ │ ├── backtest_runner.py # 4.2 - Backtest runner
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│ │ ├── comparator.py # 4.3 - VBT comparison
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│ │ └── report_generator.py # 4.3 - Report generation
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│ │
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│ ├── monitoring/ # Monitoring
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│ │ ├── __init__.py
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│ │ ├── prometheus_exporter.py # 6.1 - Prometheus metrics
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│ │ ├── alerter.py # 6.1 - Alerting system
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│ │ └── dashboard.py # 6.1 - Grafana dashboards
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│ │
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│ └── deployment/ # Deployment
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│ ├── __init__.py
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│ ├── docker_config.py # 6.3 - Docker configs
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│ └── runbook.py # 6.2 - Documentation
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│
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├── tests/ # Test suite
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│ ├── test_signal_bridge.py
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│ ├── test_strategy.py
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│ ├── test_position_manager.py
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│ ├── test_volatility_detector.py
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│ ├── test_circuit_breaker.py # NEW
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│ ├── test_metrics_monitor.py # NEW
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│ └── test_smart_exec_algorithm.py # NEW
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│
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├── config/
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│ └── config.yaml # Strategy configuration
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│
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├── docs/ # Generated documentation
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│ ├── DEPLOYMENT.md # Deployment procedures
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│ ├── OPERATIONS.md # Operations runbook
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│ └── INCIDENT_RESPONSE.md # Incident response
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│
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├── pyproject.toml # Package configuration
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├── requirements.txt # Dependencies
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└── README.md # Project overview
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```
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---
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## Component Details
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### Signal Flow Architecture
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```
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┌─────────────────────┐
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│ eigenvalues/ │
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│ correlation_arb512 │
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└──────────┬──────────┘
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│ JSON files
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▼
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┌─────────────────────┐
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│ SignalGenerator │ (signal_generator/generator.py)
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│ - Load eigenvalues │
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│ - Compute vel_div │
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│ - Generate signals │
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└──────────┬──────────┘
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│ Redis Streams
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▼
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┌─────────────────────┐
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│ SignalBridgeActor │ (nautilus/signal_bridge.py)
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│ - Consume Redis │
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│ - Validate signals │
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│ - Publish to bus │
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└──────────┬──────────┘
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│ Nautilus Message Bus
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▼
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┌─────────────────────┐
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│ DolphinExecutionStr │ (nautilus/strategy.py)
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│ - Filter signals │
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│ - Position sizing │
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│ - Submit orders │
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└──────────┬──────────┘
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│ Orders
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▼
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┌─────────────────────┐
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│ SmartExecAlgorithm │ (nautilus/smart_exec_algorithm.py)
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│ - Limit orders │
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│ - Maker/taker opt │
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│ - Fee tracking │
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└──────────┬──────────┘
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│ Exchange API
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▼
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┌─────────────────────┐
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│ Binance Futures │
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└─────────────────────┘
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```
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### Class Hierarchy
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```
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Nautilus Components:
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├── SignalBridgeActor (Actor)
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├── DolphinExecutionStrategy (Strategy)
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├── SmartExecAlgorithm (ExecAlgorithm)
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├── PositionManager
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├── VolatilityRegimeDetector
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├── CircuitBreakerManager
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└── MetricsMonitor
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Signal Generator:
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├── SignalGenerator
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├── SignalEnricher
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└── RedisSignalPublisher
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Validation:
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├── ValidationBacktestRunner
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├── VBTComparator
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└── ReportGenerator
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Monitoring:
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├── PrometheusExporter
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├── Alerter
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└── DashboardGenerator
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```
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---
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## Configuration Reference
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### Strategy Configuration
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```yaml
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strategy:
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venue: "BINANCE_FUTURES"
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# Filters
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irp_alignment_min: 0.45
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momentum_magnitude_min: 0.000075
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excluded_assets: ["TUSDUSDT", "USDCUSDT"]
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# Sizing
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min_leverage: 0.5
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max_leverage: 5.0
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leverage_convexity: 3.0
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capital_fraction: 0.20
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# Exit
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tp_bps: 99
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max_hold_bars: 120
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# Limits
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max_concurrent_positions: 10
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circuit_breaker:
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daily_loss_limit_pct: 10.0
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max_api_failures: 3
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max_order_size_pct: 50.0
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smart_exec:
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entry_timeout_sec: 25
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entry_abort_threshold_bps: 5.0
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exit_timeout_sec: 10
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maker_fee_rate: 0.0002
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taker_fee_rate: 0.0005
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```
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---
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## Usage Examples
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### 1. Run Validation Backtest
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```python
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from nautilus_dolphin.validation import ValidationBacktestRunner
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runner = ValidationBacktestRunner(
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eigenvalues_dir="/path/to/correlation_arb512/eigenvalues",
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output_dir="validation_results"
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)
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# Run all validation periods
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results = runner.run_all_validations(
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assets=['BTCUSDT', 'ETHUSDT', 'BNBUSDT']
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)
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# Compare to VBT
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from nautilus_dolphin.validation import VBTComparator, ReportGenerator
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vbt_results = runner.load_vbt_results("vbt_baseline.json")
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comparator = VBTComparator(vbt_results, results['high_volatility'])
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report = comparator.compare()
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# Generate reports
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generator = ReportGenerator()
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generator.save_reports(report)
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```
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### 2. Run Signal Generator
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```python
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import asyncio
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from nautilus_dolphin.signal_generator import SignalGenerator
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generator = SignalGenerator(
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eigenvalues_dir="/path/to/correlation_arb512/eigenvalues",
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redis_url="redis://localhost:6379",
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signal_interval_sec=5
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)
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asyncio.run(generator.start())
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```
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### 3. Run Paper Trading
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```bash
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# Configure
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cp config/config.yaml config/config.paper.yaml
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||||
# Edit trading_mode: paper
|
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# Start with Docker
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docker-compose up -d
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# Monitor
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open http://localhost:3000 # Grafana
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```
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---
|
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|
||||
## Deployment
|
||||
|
||||
### Quick Start
|
||||
|
||||
```bash
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# 1. Clone repository
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||||
git clone <repository-url>
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cd nautilus_dolphin
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||||
|
||||
# 2. Configure environment
|
||||
cp deployment/.env.example .env
|
||||
# Edit .env with your settings
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||||
|
||||
# 3. Build and start
|
||||
docker-compose -f deployment/docker-compose.yml up -d
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||||
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||||
# 4. Verify
|
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docker-compose ps
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||||
curl http://localhost:9090/metrics
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||||
```
|
||||
|
||||
### Production Checklist
|
||||
|
||||
- [ ] Configure API keys in `.env`
|
||||
- [ ] Set strong Grafana password
|
||||
- [ ] Configure backup automation
|
||||
- [ ] Set up log rotation
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||||
- [ ] Configure alerting (Slack/PagerDuty)
|
||||
- [ ] Run validation backtests
|
||||
- [ ] Complete 30-day paper trading
|
||||
- [ ] Document emergency procedures
|
||||
|
||||
---
|
||||
|
||||
## Testing
|
||||
|
||||
### Unit Tests
|
||||
|
||||
```bash
|
||||
# Install in dev mode
|
||||
pip install -e ".[dev]"
|
||||
|
||||
# Run all tests
|
||||
python -m pytest tests/ -v
|
||||
|
||||
# Run specific module
|
||||
python -m pytest tests/test_circuit_breaker.py -v
|
||||
|
||||
# With coverage
|
||||
python -m pytest tests/ --cov=nautilus_dolphin --cov-report=html
|
||||
```
|
||||
|
||||
### Integration Tests
|
||||
|
||||
```bash
|
||||
# Start Redis
|
||||
docker run -d -p 6379:6379 redis:7
|
||||
|
||||
# Run integration tests
|
||||
python -m pytest tests/integration/ -v
|
||||
```
|
||||
|
||||
### Validation Tests
|
||||
|
||||
```bash
|
||||
# Run validation backtests
|
||||
python -c "
|
||||
from nautilus_dolphin.validation import ValidationBacktestRunner
|
||||
runner = ValidationBacktestRunner('path/to/eigenvalues')
|
||||
runner.run_all_validations()
|
||||
"
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## Metrics Reference
|
||||
|
||||
### Prometheus Metrics
|
||||
|
||||
| Metric | Type | Description |
|
||||
|--------|------|-------------|
|
||||
| `dolphin_signals_received_total` | Counter | Signals received by bridge |
|
||||
| `dolphin_signals_published_total` | Counter | Signals published to Nautilus |
|
||||
| `dolphin_orders_filled_total` | Counter | Orders filled (by type) |
|
||||
| `dolphin_maker_fill_rate` | Gauge | Maker fill rate (0-1) |
|
||||
| `dolphin_win_rate` | Gauge | Win rate (0-1) |
|
||||
| `dolphin_profit_factor` | Gauge | Profit factor |
|
||||
| `dolphin_roi_pct` | Gauge | Return on investment % |
|
||||
| `dolphin_avg_slippage_bps` | Gauge | Average slippage in bps |
|
||||
|
||||
### Alert Thresholds
|
||||
|
||||
**Critical**:
|
||||
- Daily loss > 10%
|
||||
- API failures > 3 consecutive
|
||||
- Signal latency > 500ms (P99)
|
||||
- Maker fill rate < 30%
|
||||
|
||||
**Warning**:
|
||||
- Maker fill rate < 48%
|
||||
- Slippage > 5bps
|
||||
- Win rate < 40%
|
||||
|
||||
---
|
||||
|
||||
## Next Steps
|
||||
|
||||
### Pre-Production
|
||||
|
||||
1. **Validation Phase**:
|
||||
- Run validation backtests against 3 periods
|
||||
- Verify all metrics within tolerance
|
||||
- Generate validation reports
|
||||
|
||||
2. **Paper Trading**:
|
||||
- Deploy in paper mode
|
||||
- Run for 30 days minimum
|
||||
- Compare performance to backtest
|
||||
|
||||
3. **Security Audit**:
|
||||
- Review API key handling
|
||||
- Verify network security
|
||||
- Test backup/restore procedures
|
||||
|
||||
### Post-Production
|
||||
|
||||
1. **Monitoring**:
|
||||
- Tune alert thresholds
|
||||
- Add custom dashboards
|
||||
- Set up on-call rotation
|
||||
|
||||
2. **Optimization**:
|
||||
- Profile performance
|
||||
- Optimize latency bottlenecks
|
||||
- Scale if needed
|
||||
|
||||
3. **Documentation**:
|
||||
- Update runbooks with lessons learned
|
||||
- Document configuration changes
|
||||
- Maintain incident log
|
||||
|
||||
---
|
||||
|
||||
## Support
|
||||
|
||||
- **Documentation**: See `docs/` directory
|
||||
- **Issues**: GitHub Issues
|
||||
- **Slack**: #dolphin-trading
|
||||
|
||||
---
|
||||
|
||||
## License
|
||||
|
||||
Proprietary - All rights reserved.
|
||||
|
||||
---
|
||||
|
||||
*Generated: 2026-02-18*
|
||||
*Version: 0.1.0*
|
||||
*Status: Complete - Ready for Validation Phase*
|
||||
Reference in New Issue
Block a user