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hjnormey 0da46d8635 feat(s6/esof): orchestrator single-site S6+EsoF+int-leverage gate 
All sizing multipliers now applied at one location (esf_alpha_orchestrator.py
line 565 region) so there are no hidden side-effects and BLUE parity is
trivially preserved by leaving the new kwargs at None/False.

- S6 per-bucket notional multiplier via s6_size_table kwarg
- EsoF regime gate at _try_entry top: reads _current_esof_label, skips
  entry if esof_sizing_table maps to 0.0 (UNFAV/MILD_NEG regime)
- Integer-leverage gate: use_int_leverage=True → leverage_int=1 (FIXED,
  pending prod/scripts/analyze_leverage_winrate.py analysis); float
  leverage_raw preserved in NDPosition + return dict for CH logging
- notional <= 0 → return None guard (prevents 0-notional positions)
- NDPosition extended: asset_bucket_id, s6_mult, esof_mult, esof_label,
  leverage_raw fields (BLUE leaves these at defaults)

Plan ref: Task 2 — sizer stays pure (its returned notional is discarded
by line 565 anyway; adding mults inside would be dead code with hidden
side-effects).

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-04-22 06:07:20 +02:00
..
config
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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dvae
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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examples
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
mc
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
nautilus_dolphin
feat(s6/esof): orchestrator single-site S6+EsoF+int-leverage gate
2026-04-22 06:07:20 +02:00
signal_generator
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
tests
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
__init__.py.bak
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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.gitignore
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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ACB_IMPLEMENTATION_README.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
ACB_IMPLEMENTATION_SUMMARY.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
activate_siloqy.bat
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
BACKTEST_FINAL_STATUS.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
BACKTEST_INTEGRATION_STATUS.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
BACKTEST_WITH_EXISTING_DATA_STATUS.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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combined_strategy_5y.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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compare_arrow_vs_json.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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COMPLETE_IMPLEMENTATION.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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conftest.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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CRITICAL_NOTES_TODO_TODO_TODO_AGENT_READ.txt
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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CRITICAL_PRICE_UPDATE.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
crossover_5s_test.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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CURRENT_IMPLEMENTATION_ISSUES_2.txt
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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CURRENT_IMPLEMENTATION_ISSUES.txt
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
debug_dd_curve.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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debug_import.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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dolphin_paths.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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DOLPHIN_SYSTEM_ENCYCLOPEDIA.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
DOLPHIN-NAUTILUS-NOR-System-MG-Implementation-Rate-Limit Usage and Tier Perks.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
exf_regime_characterizer.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
hour_gated_long_5y.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
IMPLEMENTATION_SUMMARY.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
import_error.txt
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
KLINES_2Y_FRACTAL_EXPERIMENT_REPORT.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
klines_pipeline_orchestrator.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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launch_system.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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macro_gated_long_5y.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
maxhold_sweep_5y.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
mc_forewarning_service.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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NAUTILUS_BRINGUP_SPEC.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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no_pause_5s_test.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
NOISE_EXPERIMENT_AND_ADAPTIVE_SENSING_ARCHITECTURE.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
ood_go1_snap.json
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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ood_go2_snap.json
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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patch_nautilus_bug.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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patch_orchestrator.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
posture_5s_dvol_gate_test.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
posture_5y_stack_test.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
posture_backtest_1m.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
posture_backtest_5s.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
pyproject.toml
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
README.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
regime_exit_sweep_5y.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
Registry.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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requirements.txt
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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run_5y_backtest.bat
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_all_tests.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_esoteric_correlation_audit.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_esoteric_throttled_backtest.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_final_metrics_fork.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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run_final_metrics.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_full_backtest.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_go1_ood.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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run_hazard_validation.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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run_hft_leverage_check.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_mc_envelope.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_mc_leverage.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_nd_backtest_arrow.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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run_nd_backtest_full.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
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run_nd_backtest_minimal.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_nd_backtest_with_existing_data.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_ob_variance_test.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_papertrade.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_param_sweep.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_structural_attribution.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_tail_conditional_probs.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
run_tail_precursor_analysis.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
rvol_gated_crossover_5y.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
SYSTEM_BRINGUP_LOG.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
SYSTEM_GOLD_SPEC_GUIDE.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
Tail_Reinement_.Prompt.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
Tail_Stats_FINAL_TEST.md
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_1m_calibration_sweep.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_1m_vs_5s_comparison.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_5s_replay_parity.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_alpha_engine_integrity.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_arrow_adapter_quick.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_catalog_signal.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_dynamic_tp_experiment.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_edge_signal_5y.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_entry_quality_sweep.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_exf_acb_marginal.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_exf_correlation.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_forewarner_gamut.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_forewarner_reality.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_fraction_sharpe_adaptive.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_legacy_comparison.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_mc_system.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_mini_5y.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_nautilus_arrow_longrun.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_noise_experiment.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_5y_klines.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_acb_bidir.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_acb_head_aggressive.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_acb_inverse.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_acb_sweep.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_acb_v2.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_acb.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_dynamic_beta_validate.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_dynamic_beta.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_klines_2y_experiment.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_klines_2y_long.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_leverage_factor_govern.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_leverage_sweep.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_meta_boost.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_mtf_5s_1m.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_numba.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_ob_intelligence.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_ob_putative_roi_fork.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_ob_putative_roi.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_pf_risk_boundaries.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_sharpe_adaptive_p2.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_tp_sweep_klines.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_tp_sweep.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
test_vd_exit_calibration.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
vel_div_depletion_test.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00
vel_div_sweep_5y.py
initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
2026-04-21 16:58:38 +02:00

README.md

DOLPHIN NG HD - Nautilus Trading System

Production trading system migrating from VectorBT to NautilusTrader.

⚠️ CRITICAL: Environment Setup

ALWAYS activate the Siloqy environment before running any commands:

call "C:\Users\Lenovo\Documents\- Siloqy\Scripts\activate.bat"

Or use the helper script:

call activate_siloqy.bat

The Siloqy environment is located at: C:\Users\Lenovo\Documents\- Siloqy\

Project Structure

nautilus_dolphin/
├── signal_generator/     # Signal generation from HD-HCM-TSF
├── nautilus/            # Nautilus components (actors, strategies, exec algorithms)
├── config/              # Configuration files (YAML)
├── tests/               # Unit and integration tests
├── activate_siloqy.bat  # Helper to activate Siloqy environment
└── README.md           # This file

Setup

See .kiro/specs/vbt-to-nautilus-migration/ for complete specification.

Status

Phase 1: Foundation - In Progress