362 lines
13 KiB
Python
362 lines
13 KiB
Python
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"""VIOLET V3.4c: read BLUE-published live organs from Hazelcast.
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This is VIOLET-only. BLUE is untouched.
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The adapter reads the published BLUE surfaces that already exist in HZ and
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translates them into ``SizingFactors`` for the shadow path:
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- ``posture`` from ``DOLPHIN_STATE_BLUE.latest_nautilus`` / ``engine_snapshot``
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- ``esof_score`` from ``DOLPHIN_FEATURES.esof_latest`` or ``esof_advisor_latest``
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- ``acb_boost`` / ``acb_beta`` from ``DOLPHIN_FEATURES.acb_boost``
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- ``mc_scale`` from ``DOLPHIN_FEATURES.mc_forewarner_latest``
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- OB market consensus from the live ``asset_*_ob`` maps via BLUE's own
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``OBFeatureEngine``
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The remaining DC signal is left neutral here for now. It needs the same live
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signal-history path BLUE uses and should be added as a separate mirror step.
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"""
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from __future__ import annotations
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import json
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import sys
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from collections import deque
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from collections.abc import Mapping
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from dataclasses import dataclass
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from dataclasses import field
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from pathlib import Path
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from typing import Any, Deque, Iterable, Optional
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import hazelcast
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import numpy as np
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_PROJECT_ROOT = Path(__file__).resolve().parents[3]
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for _p in (str(_PROJECT_ROOT), str(_PROJECT_ROOT / "nautilus_dolphin")):
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if _p not in sys.path:
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sys.path.insert(0, _p)
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from nautilus_dolphin.nautilus.ob_features import OBFeatureEngine
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from nautilus_dolphin.nautilus.ob_provider import OBSnapshot, OBProvider
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from nautilus_dolphin.nautilus.alpha_signal_generator import AlphaSignalGenerator
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from .alpha_wrappers import VioletAssetSelector
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from .decision_engine import SizingFactors
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from .live_factor_source import esof_score_from_features, posture_from_engine_snapshot
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from .live_factors import extract_live_sizing_factors
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def _jsonish(value: Any) -> Any:
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if isinstance(value, str):
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try:
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return json.loads(value)
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except Exception:
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return value
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return value
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def _coerce_float(value: Any, default: Optional[float] = None) -> Optional[float]:
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try:
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if value is None:
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return default
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out = float(value)
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if not np.isfinite(out):
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return default
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return out
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except (TypeError, ValueError):
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return default
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def _read_hz_map(client: hazelcast.HazelcastClient, map_name: str, key: str) -> Any:
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try:
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return client.get_map(map_name).blocking().get(key)
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except Exception:
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return None
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def _map_status_to_mc_scale(payload: Any) -> float:
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data = _jsonish(payload)
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if isinstance(data, Mapping):
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status = str(data.get("status", "")).upper()
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else:
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status = str(data).upper()
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return 0.5 if status == "ORANGE" else 1.0
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def _extract_acb(payload: Any) -> tuple[float, float]:
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data = _jsonish(payload)
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if isinstance(data, Mapping):
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boost = _coerce_float(data.get("boost"), 1.0) or 1.0
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beta = _coerce_float(data.get("beta"), 0.0) or 0.0
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return max(0.0, boost), max(0.0, beta)
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return 1.0, 0.0
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def _scan_view(payload: Any) -> Mapping[str, Any]:
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"""Normalize NG7 nested or NG8 flat scan payloads into one mapping."""
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data = _jsonish(payload)
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if not isinstance(data, Mapping):
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return {}
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view: dict[str, Any] = dict(data)
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result = data.get("result")
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if isinstance(result, Mapping):
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view.update(result)
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return view
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def _scan_assets(scan: Mapping[str, Any]) -> list[str]:
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assets = scan.get("assets")
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if isinstance(assets, list) and assets:
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return [str(a).upper() for a in assets if a is not None]
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target = scan.get("target_asset") or scan.get("asset")
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return [str(target).upper()] if target else []
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def _scan_prices(scan: Mapping[str, Any]) -> list[float]:
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prices = scan.get("asset_prices") or scan.get("prices")
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if not isinstance(prices, list):
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return []
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out: list[float] = []
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for value in prices:
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px = _coerce_float(value, None)
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if px is None or px <= 0:
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continue
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out.append(px)
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return out
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@dataclass
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class LiveBlueScanHistory:
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"""Stateful scan history mirror for DC confirmation.
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BLUE computes `dc_status` from the active asset price history. This helper keeps
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a read-only replay of the published scan stream so VIOLET can reproduce that
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state without touching BLUE or inventing a new schema.
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"""
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maxlen: int = 32
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trade_direction: int = -1
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_prices: dict[str, Deque[float]] = field(default_factory=dict)
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last_scan_number: Optional[int] = None
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def ingest_scan(self, scan_payload: Any) -> Mapping[str, Any]:
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scan = _scan_view(scan_payload)
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assets = _scan_assets(scan)
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prices = _scan_prices(scan)
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for asset, price in zip(assets, prices):
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if price <= 0:
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continue
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hist = self._prices.setdefault(asset, deque(maxlen=self.maxlen))
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hist.append(float(price))
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sn = _coerce_float(scan.get("scan_number"), None)
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if sn is not None:
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self.last_scan_number = int(sn)
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return scan
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def price_history(self, asset: str) -> list[float]:
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return list(self._prices.get(str(asset).upper(), ()))
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def market_data(self, lookback: int) -> dict[str, list[float]]:
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need = max(1, int(lookback) + 1)
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return {asset: list(hist) for asset, hist in self._prices.items() if len(hist) >= need}
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def dc_status(self, scan_payload: Any, *, already_ingested: bool = False) -> str:
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scan = _scan_view(scan_payload) if already_ingested else self.ingest_scan(scan_payload)
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asset = _scan_assets(scan)
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if not asset:
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return "NONE"
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vel_div = _coerce_float(scan.get("vel_div"), None)
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if vel_div is None:
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return "NONE"
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history = self.price_history(asset[0])
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if not history:
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return "NONE"
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signal_gen = AlphaSignalGenerator()
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sig = signal_gen.generate(
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vel_div=vel_div,
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vel_div_history=None,
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asset_price_history=history,
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trade_direction=self.trade_direction,
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asset=asset[0],
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current_timestamp=_coerce_float(scan.get("timestamp"), 0.0) or 0.0,
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)
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return sig.dc_status
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class HazelcastOBProvider(OBProvider):
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"""Read the current BLUE OB shards directly from Hazelcast."""
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def __init__(self, client: hazelcast.HazelcastClient):
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self.client = client
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def _asset_keys(self) -> list[str]:
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try:
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keys = self.client.get_map("DOLPHIN_FEATURES").blocking().key_set()
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except Exception:
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return []
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assets = []
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for key in keys:
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if not isinstance(key, str) or not key.startswith("asset_") or not key.endswith("_ob"):
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continue
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asset = key[len("asset_"):-len("_ob")]
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if asset and asset not in assets:
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assets.append(asset)
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return sorted(assets)
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def _read_snapshot(self, asset: str) -> Optional[OBSnapshot]:
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raw = _read_hz_map(self.client, "DOLPHIN_FEATURES", f"asset_{asset}_ob")
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data = _jsonish(raw)
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if not isinstance(data, Mapping):
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return None
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bid_notional = np.array(
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[_coerce_float(v, 0.0) or 0.0 for v in data.get("bid_notional", [0, 0, 0, 0, 0])][:5],
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dtype=np.float64,
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)
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ask_notional = np.array(
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[_coerce_float(v, 0.0) or 0.0 for v in data.get("ask_notional", [0, 0, 0, 0, 0])][:5],
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dtype=np.float64,
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)
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bid_depth = np.array(
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[_coerce_float(v, 0.0) or 0.0 for v in data.get("bid_depth", [0, 0, 0, 0, 0])][:5],
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dtype=np.float64,
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)
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ask_depth = np.array(
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[_coerce_float(v, 0.0) or 0.0 for v in data.get("ask_depth", [0, 0, 0, 0, 0])][:5],
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dtype=np.float64,
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)
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ts = _coerce_float(data.get("timestamp"), 0.0) or 0.0
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if (
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bid_notional.shape != (5,) or ask_notional.shape != (5,)
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or bid_depth.shape != (5,) or ask_depth.shape != (5,)
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):
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return None
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if np.any(bid_notional < 0) or np.any(ask_notional < 0):
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return None
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if np.any(bid_depth < 0) or np.any(ask_depth < 0):
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return None
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return OBSnapshot(
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timestamp=ts,
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asset=asset,
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bid_notional=bid_notional,
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ask_notional=ask_notional,
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bid_depth=bid_depth,
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ask_depth=ask_depth,
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)
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def get_snapshot(self, asset: str, timestamp: float) -> Optional[OBSnapshot]:
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return self._read_snapshot(asset)
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def get_assets(self) -> list[str]:
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return self._asset_keys()
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def get_all_timestamps(self, asset: str) -> np.ndarray:
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snap = self._read_snapshot(asset)
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if snap is None:
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return np.array([], dtype=np.float64)
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return np.array([snap.timestamp], dtype=np.float64)
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def get_snapshot_count(self, asset: str) -> int:
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return 1 if self._read_snapshot(asset) is not None else 0
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@dataclass(frozen=True)
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class LiveBlueSourceResult:
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factors: SizingFactors
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acb_boost: float
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acb_beta: float
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mc_scale: float
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posture: str
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dc_status: str
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selected_asset: str
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def source_live_blue_sizing_factors(
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client: hazelcast.HazelcastClient,
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*,
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assets: Optional[Iterable[str]] = None,
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scan_history: Optional[LiveBlueScanHistory] = None,
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selector: Optional[VioletAssetSelector] = None,
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) -> LiveBlueSourceResult:
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"""Read the BLUE-published live surfaces and return a typed factor plane."""
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scan_history = scan_history or LiveBlueScanHistory()
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selector = selector or VioletAssetSelector()
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engine_snapshot_raw = _read_hz_map(client, "DOLPHIN_STATE_BLUE", "latest_nautilus")
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if engine_snapshot_raw is None:
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engine_snapshot_raw = _read_hz_map(client, "DOLPHIN_STATE_BLUE", "engine_snapshot")
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engine_snapshot = _jsonish(engine_snapshot_raw)
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if isinstance(engine_snapshot, str):
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try:
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engine_snapshot = json.loads(engine_snapshot)
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except Exception:
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engine_snapshot = {}
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posture = posture_from_engine_snapshot(engine_snapshot if isinstance(engine_snapshot, Mapping) else None)
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esof_raw = _read_hz_map(client, "DOLPHIN_FEATURES", "esof_latest")
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if esof_raw is None:
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esof_raw = _read_hz_map(client, "DOLPHIN_FEATURES", "esof_advisor_latest")
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esof_score = esof_score_from_features(esof_raw)
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acb_raw = _read_hz_map(client, "DOLPHIN_FEATURES", "acb_boost")
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if acb_raw is None:
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acb_raw = _read_hz_map(client, "DOLPHIN_FEATURES", "acb_boost_short")
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acb_boost, acb_beta = _extract_acb(acb_raw)
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mc_raw = _read_hz_map(client, "DOLPHIN_FEATURES", "mc_forewarner_latest")
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mc_scale = _map_status_to_mc_scale(mc_raw)
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scan_raw = _read_hz_map(client, "DOLPHIN_FEATURES", "latest_eigen_scan")
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scan = scan_history.ingest_scan(scan_raw)
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scan_assets = _scan_assets(scan)
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trade_direction = int(
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_coerce_float(
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engine_snapshot.get("trade_direction_runtime") if isinstance(engine_snapshot, Mapping) else None,
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None,
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)
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or _coerce_float(
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engine_snapshot.get("trade_direction_base") if isinstance(engine_snapshot, Mapping) else None,
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None,
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)
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or -1
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)
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candidate_market = scan_history.market_data(selector.lookback)
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pick = selector.pick(candidate_market, regime_direction=trade_direction)
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selected_asset = pick.asset if pick is not None else (scan_assets[0] if scan_assets else "")
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dc_status = scan_history.dc_status(scan, already_ingested=True)
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ob_provider = HazelcastOBProvider(client)
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ob_engine = OBFeatureEngine(ob_provider)
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ob_assets = list(assets) if assets is not None else (scan_assets or ob_provider.get_assets())
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if ob_assets:
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try:
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ob_engine.step_live(ob_assets, bar_idx=0)
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market = ob_engine.get_market(0, ob_assets)
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ob_median_imbalance = float(market.median_imbalance)
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ob_agreement_pct = float(market.agreement_pct)
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except Exception:
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ob_median_imbalance = None
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ob_agreement_pct = None
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else:
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ob_median_imbalance = None
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ob_agreement_pct = None
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hz_snapshot = {
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"boost": acb_boost,
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"beta": acb_beta,
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"mc_scale": mc_scale,
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|
"esof_score": esof_score,
|
||
|
|
"ob_median_imbalance": ob_median_imbalance,
|
||
|
|
"ob_agreement_pct": ob_agreement_pct,
|
||
|
|
"dc_status": dc_status,
|
||
|
|
"posture": posture,
|
||
|
|
}
|
||
|
|
factors = extract_live_sizing_factors(hz_snapshot=hz_snapshot)
|
||
|
|
return LiveBlueSourceResult(
|
||
|
|
factors=factors,
|
||
|
|
acb_boost=acb_boost,
|
||
|
|
acb_beta=acb_beta,
|
||
|
|
mc_scale=mc_scale,
|
||
|
|
posture=posture,
|
||
|
|
dc_status=dc_status,
|
||
|
|
selected_asset=selected_asset,
|
||
|
|
)
|