297 lines
11 KiB
Python
297 lines
11 KiB
Python
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#!/usr/bin/env python3
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"""
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Dolphin Live Node — DolphinActor inside NT TradingNode
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=======================================================
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Phase 1: paper_trading=True (live Binance Futures data, paper fills).
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Validates signal parity with nautilus_event_trader.py before live exec.
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To go live (Phase 2): set paper_trading=False in build_node().
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"""
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import os
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import sys
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import asyncio
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from copy import deepcopy
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from pathlib import Path
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PROJECT_ROOT = Path(__file__).parent.parent
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sys.path.insert(0, str(PROJECT_ROOT / 'nautilus_dolphin'))
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sys.path.insert(0, str(PROJECT_ROOT / 'prod'))
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sys.path.insert(0, str(PROJECT_ROOT))
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from dotenv import load_dotenv
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load_dotenv(PROJECT_ROOT / '.env')
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from nautilus_trader.live.node import TradingNode
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from nautilus_trader.config import TradingNodeConfig, LiveDataEngineConfig, CacheConfig
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from nautilus_trader.adapters.binance.config import BinanceDataClientConfig
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from nautilus_trader.adapters.binance.common.enums import BinanceAccountType
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from nautilus_trader.adapters.binance.factories import BinanceLiveDataClientFactory
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from nautilus_trader.model.identifiers import TraderId
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from prod.bingx.config import BingxExecClientConfig
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from prod.bingx.data_config import BingxDataClientConfig
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from prod.bingx.enums import BingxEnvironment
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from prod.bingx.data_factories import BingxLiveDataClientFactory
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from prod.bingx.factories import BingxLiveExecClientFactory
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# Nautilus changed this enum name across versions.
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_BINANCE_USDT_FUTURES_ACCOUNT_TYPE = getattr(
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BinanceAccountType,
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"USDT_FUTURES",
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getattr(BinanceAccountType, "USDT_FUTURE", None),
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)
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if _BINANCE_USDT_FUTURES_ACCOUNT_TYPE is None:
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raise AttributeError("BinanceAccountType is missing both USDT_FUTURES and USDT_FUTURE")
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# ---------------------------------------------------------------------------
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# Universe — 50 OBF assets. Subscribed for live quote cache (order sizing).
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# Must cover the full eigen universe so _exec_submit_entry finds live quotes.
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# ---------------------------------------------------------------------------
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LIVE_ASSETS = [
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"BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT", "XRPUSDT",
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"ADAUSDT", "DOGEUSDT", "TRXUSDT", "DOTUSDT", "MATICUSDT",
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"LTCUSDT", "AVAXUSDT", "LINKUSDT", "UNIUSDT", "ATOMUSDT",
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"ETCUSDT", "XLMUSDT", "BCHUSDT", "NEARUSDT", "ALGOUSDT",
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"VETUSDT", "FILUSDT", "APTUSDT", "OPUSDT", "ARBUSDT",
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"INJUSDT", "SUIUSDT", "SEIUSDT", "TIAUSDT", "ORDIUSDT",
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"WLDUSDT", "FETUSDT", "AGIXUSDT", "RENDERUSDT", "IOTAUSDT",
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"AAVEUSDT", "SNXUSDT", "CRVUSDT", "COMPUSDT", "MKRUSDT",
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"ENJUSDT", "MANAUSDT", "SANDUSDT", "AXSUSDT", "GALAUSDT",
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"ZECUSDT", "DASHUSDT", "XMRUSDT", "NEOUSDT", "QTUMUSDT",
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]
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# ---------------------------------------------------------------------------
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# DolphinActor config — gold-standard params, must match nautilus_event_trader
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# ---------------------------------------------------------------------------
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DOLPHIN_CONFIG = {
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'live_mode': True,
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'venue': 'BINANCE',
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'data_venue': 'BINANCE',
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'exec_venue': 'BINANCE',
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'direction': 'short_only',
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'hazelcast': {
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'host': '127.0.0.1:5701',
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'cluster': 'dolphin',
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'state_map': 'DOLPHIN_STATE_PRODGREEN',
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'imap_pnl': 'DOLPHIN_PNL_PRODGREEN',
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},
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'paper_trade': {'initial_capital': 25000.0},
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'assets': LIVE_ASSETS,
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'engine': {
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'boost_mode': 'd_liq',
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# Signal
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'vel_div_threshold': -0.020,
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'vel_div_extreme': -0.050,
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# Leverage — gold spec: 8x soft / 9x hard
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'min_leverage': 0.5,
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'max_leverage': 8.0,
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'abs_max_leverage': 9.0,
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'leverage_convexity': 3.0,
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'fraction': 0.20,
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'max_account_leverage': 3.0,
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# Exits — gold spec: 250 bars max hold
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'fixed_tp_pct': 0.0095,
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'stop_pct': 1.0,
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'max_hold_bars': 250,
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# Direction confirm
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'use_direction_confirm': True,
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'dc_lookback_bars': 7,
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'dc_min_magnitude_bps': 0.75,
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'dc_skip_contradicts': True,
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'dc_leverage_boost': 1.0,
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'dc_leverage_reduce': 0.5,
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# Asset selection — gold spec: IRP filter disabled in live
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'use_asset_selection': True,
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'min_irp_alignment': 0.0,
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'asset_selector_lookback': 10,
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# Fees / slippage
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'use_sp_fees': True,
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'use_sp_slippage': True,
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'sp_maker_entry_rate': 0.62,
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'sp_maker_exit_rate': 0.50,
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# OB edge
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'use_ob_edge': True,
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'ob_edge_bps': 5.0,
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'ob_confirm_rate': 0.40,
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'ob_imbalance_bias': -0.09,
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'ob_depth_scale': 1.0,
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# Alpha layers
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'lookback': 100,
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'use_alpha_layers': True,
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'use_dynamic_leverage': True,
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'seed': 42,
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# V7 RT exit engine (GREEN only)
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'use_exit_v7': True,
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'use_exit_v6': False,
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'v6_bar_duration_sec': 5.0,
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'bounce_model_path': str(PROJECT_ROOT / 'prod' / 'models' / 'bounce_detector_v3.pkl'),
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},
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'strategy_name': 'prodgreen',
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'vol_p60': 0.00009868,
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}
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def _env_upper(name: str, default: str = "") -> str:
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return str(os.environ.get(name, default)).strip().upper()
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def _env_bool(name: str, default: bool = False) -> bool:
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raw = str(os.environ.get(name, str(default))).strip().lower()
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return raw in ("1", "true", "yes", "on")
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def _resolve_bingx_environment(value: str | None = None) -> BingxEnvironment:
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name = str(value or os.environ.get("DOLPHIN_BINGX_ENV", "VST")).strip().upper()
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return BingxEnvironment.LIVE if name == "LIVE" else BingxEnvironment.VST
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def _resolve_bingx_allow_mainnet(value: str | None = None) -> bool:
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if isinstance(value, bool):
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return value
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raw = str(value or os.environ.get("DOLPHIN_BINGX_ALLOW_MAINNET", "0")).strip().lower()
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return raw in ("1", "true", "yes", "on")
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def _resolve_bingx_recv_window_ms(value: str | None = None) -> int:
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raw = str(value or os.environ.get("DOLPHIN_BINGX_RECV_WINDOW_MS", "")).strip()
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try:
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parsed = int(raw)
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return parsed if parsed > 0 else 5_000
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except (TypeError, ValueError):
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return 5_000
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def build_actor_config(
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*,
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data_venue: str | None = None,
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exec_venue: str | None = None,
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) -> dict:
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actor_cfg = deepcopy(DOLPHIN_CONFIG)
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resolved_data_venue = (data_venue or _env_upper("DOLPHIN_DATA_VENUE", actor_cfg["data_venue"])).upper()
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resolved_exec_venue = (exec_venue or _env_upper("DOLPHIN_EXEC_VENUE", actor_cfg["exec_venue"])).upper()
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actor_cfg["data_venue"] = resolved_data_venue
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actor_cfg["exec_venue"] = resolved_exec_venue
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actor_cfg["venue"] = resolved_exec_venue
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actor_cfg["direction"] = os.environ.get("DOLPHIN_DIRECTION", actor_cfg.get("direction", "short_only"))
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return actor_cfg
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def build_bingx_exec_client_config(
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*,
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resolved_bingx_env: BingxEnvironment,
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resolved_bingx_allow_mainnet: bool,
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resolved_bingx_recv_window_ms: int | None,
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assets: list[str] | None = None,
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) -> BingxExecClientConfig:
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from prod.bingx.config import BingxInstrumentProviderConfig
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default_leverage = int(os.environ.get("DOLPHIN_BINGX_DEFAULT_LEVERAGE", "1"))
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symbol_filters = tuple(assets) if assets else None
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return BingxExecClientConfig(
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api_key=os.environ.get("BINGX_API_KEY"),
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secret_key=os.environ.get("BINGX_SECRET_KEY"),
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environment=resolved_bingx_env,
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allow_mainnet=resolved_bingx_allow_mainnet,
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recv_window_ms=resolved_bingx_recv_window_ms if resolved_bingx_recv_window_ms is not None else 5_000,
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default_leverage=default_leverage,
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leverage_by_symbol={symbol: default_leverage for symbol in (assets or [])} if assets else None,
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prefer_websocket=_env_bool("DOLPHIN_BINGX_PREFER_WEBSOCKET", True),
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instrument_provider=BingxInstrumentProviderConfig(
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load_all=True,
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symbol_filters=symbol_filters,
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),
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)
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def build_node(
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*,
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data_venue: str | None = None,
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exec_venue: str | None = None,
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trader_id: str | None = None,
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bingx_environment: BingxEnvironment | None = None,
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bingx_allow_mainnet: bool | None = None,
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bingx_recv_window_ms: int | None = None,
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) -> TradingNode:
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resolved_bingx_env = bingx_environment or _resolve_bingx_environment()
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resolved_bingx_allow_mainnet = (
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bingx_allow_mainnet if bingx_allow_mainnet is not None else _resolve_bingx_allow_mainnet()
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)
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resolved_bingx_recv_window_ms = (
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bingx_recv_window_ms if bingx_recv_window_ms is not None else _resolve_bingx_recv_window_ms()
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)
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if resolved_bingx_env is BingxEnvironment.LIVE and not resolved_bingx_allow_mainnet:
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raise RuntimeError(
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"BingX LIVE requested but DOLPHIN_BINGX_ALLOW_MAINNET is not enabled"
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)
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actor_cfg = build_actor_config(data_venue=data_venue, exec_venue=exec_venue)
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actor_cfg["bingx_environment"] = str(resolved_bingx_env.value)
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resolved_data_venue = actor_cfg["data_venue"]
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resolved_exec_venue = actor_cfg["exec_venue"]
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data_clients = {}
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exec_clients = {}
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if resolved_data_venue == "BINANCE":
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api_key = os.environ["BINANCE_API_KEY"]
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api_secret = os.environ["BINANCE_API_SECRET"]
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data_clients["BINANCE"] = BinanceDataClientConfig(
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account_type=_BINANCE_USDT_FUTURES_ACCOUNT_TYPE,
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api_key=api_key,
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api_secret=api_secret,
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testnet=False,
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)
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elif resolved_data_venue == "BINGX":
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from prod.bingx.config import BingxInstrumentProviderConfig
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data_clients["BINGX"] = BingxDataClientConfig(
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environment=resolved_bingx_env,
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allow_mainnet=resolved_bingx_allow_mainnet,
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instrument_provider=BingxInstrumentProviderConfig(
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load_all=True,
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symbol_filters=tuple(actor_cfg.get("assets", [])),
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),
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)
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else:
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raise ValueError(f"Unsupported data venue: {resolved_data_venue}")
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if resolved_exec_venue == "BINGX":
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exec_clients["BINGX"] = build_bingx_exec_client_config(
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resolved_bingx_env=resolved_bingx_env,
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resolved_bingx_allow_mainnet=resolved_bingx_allow_mainnet,
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resolved_bingx_recv_window_ms=resolved_bingx_recv_window_ms,
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assets=actor_cfg.get("assets"),
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)
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trader_id_value = trader_id or os.environ.get("DOLPHIN_TRADER_ID", "DOLPHIN-LIVE-001")
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from nautilus_dolphin.nautilus.dolphin_actor import DolphinActor
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actor = DolphinActor(config=actor_cfg)
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node_config = TradingNodeConfig(
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trader_id=TraderId(trader_id_value),
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data_clients=data_clients,
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exec_clients=exec_clients if exec_clients else None,
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data_engine=LiveDataEngineConfig(time_bars_build_with_no_updates=False),
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cache=CacheConfig(database=None),
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)
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node = TradingNode(config=node_config)
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if "BINANCE" in data_clients:
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node.add_data_client_factory("BINANCE", BinanceLiveDataClientFactory)
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if "BINGX" in data_clients:
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node.add_data_client_factory("BINGX", BingxLiveDataClientFactory)
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if "BINGX" in exec_clients:
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node.add_exec_client_factory("BINGX", BingxLiveExecClientFactory)
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node.trader.add_strategy(actor)
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node.build()
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return node
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async def run() -> None:
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node = build_node()
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await node.run_async()
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if __name__ == "__main__":
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asyncio.run(run())
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