siloqy/prod/clean_arch/violet/divergence.py

"""VIOLET V1: scan-vs-venue price divergence monitor (the FET detector).

The 2026-06-11 FET incident entered on a scan price of 0.2176 while the
venue traded 0.1878 — a 15% phantom divergence the system had no way to
see. This monitor continuously samples, per asset, the gap between the
scan-plane price (the alpha-side eigen-scan universe) and the execution
venue's mid (BingX bookTicker), and journals one row per (scan, asset) to
``dolphin_violet.violet_feed_divergence``.

Venue mid sources:
- WS (default): ``prod.bingx.market_stream.BingxMarketStream``
  bookTicker subscription per symbol;
- REST fallback (``DOLPHIN_VIOLET_VENUE_MID_MODE=rest``): 1 s poll of the
  public quote endpoint — kept because the WS client is unexercised
  in-tree; harden or drop at V2.

Only PUBLIC data — runs even when VIOLET is DARK (no API keys).
"""

from __future__ import annotations

import asyncio
import logging
import time
from dataclasses import dataclass
from typing import Any, Callable, Dict, List, Optional

from .clock import PlaneClock, mono_ns

LOGGER = logging.getLogger("violet.divergence")

Sink = Callable[[str, dict], None]


def to_bingx_symbol(asset: str) -> str:
    """BTCUSDT → BTC-USDT (idempotent for already-hyphenated input)."""
    a = str(asset or "").upper()
    if "-" in a or not a.endswith("USDT"):
        return a
    return f"{a[:-4]}-USDT"


def from_bingx_symbol(symbol: str) -> str:
    """BTC-USDT → BTCUSDT."""
    return str(symbol or "").upper().replace("-", "")


@dataclass
class _VenueMid:
    mid: float
    mono: int
    seq: int


class FeedDivergenceMonitor:
    """Samples scan-vs-venue divergence and journals it.

    ``on_venue_tick`` is fed by the WS/REST source; ``on_scan`` is called by
    the launcher's main loop with each data-feed snapshot. A divergence row
    is emitted only when the venue mid is fresher than the venue plane's
    staleness budget — a stale mid must never masquerade as live divergence.
    """

    TABLE = "violet_feed_divergence"

    def __init__(
        self,
        *,
        sink: Sink,
        scan_clock: PlaneClock,
        venue_clock: PlaneClock,
        session_id: str,
        table: str = TABLE,
        logger: logging.Logger | None = None,
    ) -> None:
        self.sink = sink
        self.scan_clock = scan_clock
        self.venue_clock = venue_clock
        self.session_id = str(session_id)
        self.table = table
        self.logger = logger or LOGGER
        self._mids: Dict[str, _VenueMid] = {}
        self._stream: Any = None
        self._stream_task: Optional[asyncio.Task] = None
        self._rest_task: Optional[asyncio.Task] = None
        self.rows_emitted = 0

    # ── venue side ───────────────────────────────────────────────────────────

    def on_venue_tick(self, symbol: str, bid: float, ask: float) -> None:
        try:
            b, a = float(bid), float(ask)
        except (TypeError, ValueError):
            return
        if not (b > 0 and a > 0):
            return
        seq = self.venue_clock.tick()
        self._mids[from_bingx_symbol(symbol)] = _VenueMid(
            mid=(b + a) / 2.0, mono=mono_ns(), seq=seq
        )

    async def _on_ws_frame(self, payload: dict) -> None:
        """BingX bookTicker frame: {dataType: 'BTC-USDT@bookTicker',
        data: {... 'b': bid, 'a': ask ...}} (field names per BingX swap WS)."""
        try:
            data_type = str(payload.get("dataType", "") or "")
            if "@bookTicker" not in data_type:
                return
            symbol = data_type.split("@", 1)[0]
            data = payload.get("data") or {}
            bid = data.get("b") or data.get("bidPrice") or data.get("bestBid")
            ask = data.get("a") or data.get("askPrice") or data.get("bestAsk")
            if bid is None or ask is None:
                return
            self.on_venue_tick(symbol, float(bid), float(ask))
        except Exception as exc:  # noqa: BLE001 — never kill the stream
            self.logger.debug("divergence WS frame parse skipped: %s", exc)

    async def _rest_poll_loop(self, symbols: List[str], rest_base_url: str) -> None:
        import aiohttp

        url = rest_base_url.rstrip("/") + "/openApi/swap/v2/quote/bookTicker"
        async with aiohttp.ClientSession() as session:
            while True:
                for sym in symbols:
                    try:
                        async with session.get(
                            url, params={"symbol": to_bingx_symbol(sym)},
                            timeout=aiohttp.ClientTimeout(total=5),
                        ) as resp:
                            body = await resp.json(content_type=None)
                        data = (body or {}).get("data") or {}
                        # quote payloads use bidPrice/askPrice (REST shape)
                        book = data.get("book_ticker") or data
                        bid = book.get("bid_price") or book.get("bidPrice") or book.get("b")
                        ask = book.get("ask_price") or book.get("askPrice") or book.get("a")
                        if bid is not None and ask is not None:
                            self.on_venue_tick(sym, float(bid), float(ask))
                    except Exception as exc:  # noqa: BLE001
                        self.logger.debug("divergence REST poll %s failed: %s", sym, exc)
                await asyncio.sleep(1.0)

    async def start(
        self,
        symbols: List[str],
        *,
        mode: str = "ws",
        ws_url: str = "wss://open-api-swap.bingx.com/swap-market",
        rest_base_url: str = "https://open-api.bingx.com",
    ) -> None:
        if mode == "rest":
            self._rest_task = asyncio.create_task(
                self._rest_poll_loop(symbols, rest_base_url),
                name="violet_divergence_rest",
            )
            self.logger.info("divergence: REST mid poll started for %d symbols", len(symbols))
            return
        from prod.bingx.market_stream import BingxMarketStream

        self._stream = BingxMarketStream(ws_url=ws_url, on_event=self._on_ws_frame)
        for sym in symbols:
            self._stream.subscribe(f"{to_bingx_symbol(sym)}@bookTicker")
        self._stream_task = asyncio.create_task(
            self._stream.run_forever(), name="violet_divergence_ws"
        )
        self.logger.info("divergence: WS bookTicker started for %d symbols", len(symbols))

    async def stop(self) -> None:
        for task in (self._stream_task, self._rest_task):
            if task is not None:
                task.cancel()
                try:
                    await task
                except (asyncio.CancelledError, Exception):
                    pass
        self._stream_task = self._rest_task = None

    # ── scan side ─────────────────────────────────────────────────────────────

    def on_scan(self, snapshot: Any) -> int:
        """Called once per data-feed snapshot. Returns rows emitted."""
        payload = getattr(snapshot, "scan_payload", None)
        if not isinstance(payload, dict):
            return 0
        assets = payload.get("assets") or []
        prices = payload.get("asset_prices") or []
        if not (isinstance(assets, list) and isinstance(prices, list) and assets):
            return 0
        scan_seq = self.scan_clock.tick()
        now = mono_ns()
        emitted = 0
        for asset, price in zip(assets, prices):
            try:
                scan_price = float(price)
            except (TypeError, ValueError):
                continue
            if scan_price <= 0:
                continue
            key = str(asset).upper()
            vm = self._mids.get(key)
            if vm is None:
                continue
            # Stale venue mid must never masquerade as live divergence.
            if (now - vm.mono) > self.venue_clock.staleness_budget_ns:
                continue
            divergence_bps = (vm.mid - scan_price) / scan_price * 1e4
            self.sink(self.table, {
                "ts": int(time.time() * 1000),          # DateTime64(3)
                "session_id": self.session_id,
                "asset": key,
                "scan_price": scan_price,
                "venue_mid": vm.mid,
                "divergence_bps": divergence_bps,
                "scan_seq": int(scan_seq),
                "venue_seq": int(vm.seq),
                "mono_ns": int(now),
            })
            emitted += 1
        self.rows_emitted += emitted
        return emitted