90 lines
4.0 KiB
Python
90 lines
4.0 KiB
Python
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"""VIOLET V3.2: EsoF size-modulation layer — folds BLUE's SC/EsoF haircut.
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The base sizer (alpha_wrappers.VioletBetSizer) reproduces BLUE's cubic-convex
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conviction curve. But recorded BLUE `leverage` = base_sizer(vel_div) x EsoF_mult
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(the SC size gate) — the per-trade scatter the parity harness measured (V3d / the
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modulation-vs-underutilization finding). This module folds in that EXACT mult.
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FAITHFULNESS — replicates BLUE's `_apply_sc_entry_size_multiplier`
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(nautilus_event_trader.py:3307) step-for-step, in order, with the same atomicity:
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1. mult = esof_size_mult_from_score(score) (WRAP BLUE's canonical fn)
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2. mult = max(0.0, min(1.0, mult)) (:3316 — HAIRCUT ONLY, [0,1])
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3. if mult >= 0.999: return base UNCHANGED (:3318 — near-1 = no-op)
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4. effective_leverage = round(base_leverage * mult, 6) (:3338)
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effective_notional = round(base_notional * mult, 12) (:3329)
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The score itself comes from the EsoF payload via esof_score_from_payload (WRAP);
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stale/missing → esof_size_mult_from_score(None) = the defensive fallback mult.
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Exchange-agnostic (L1): operates on conviction/notional fractions only.
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"""
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from __future__ import annotations
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import sys
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from pathlib import Path
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from typing import Any, Optional, Tuple
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from .alpha_wrappers import SizeDecision
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from .domain import typed
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_PROJECT_ROOT = Path(__file__).resolve().parents[3]
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def _import_esof_gate() -> Any:
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"""Import BLUE's esof_size_gate (same root-injection as blue_parity/alpha_wrappers)."""
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try:
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from nautilus_dolphin.nautilus import esof_size_gate # type: ignore
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except ImportError:
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for p in (str(_PROJECT_ROOT / "nautilus_dolphin"), str(_PROJECT_ROOT)):
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if p not in sys.path:
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sys.path.insert(0, p)
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sys.modules.pop("nautilus_dolphin", None)
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from nautilus_dolphin.nautilus import esof_size_gate # type: ignore
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return esof_size_gate
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class VioletSizeModulation:
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"""BLUE's EsoF/SC size haircut, folded onto the base SizeDecision.
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Wraps BLUE's canonical ``esof_size_mult_from_score`` / ``esof_score_from_payload``
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(no reimplementation → exact ESOF_* constants + band mapping)."""
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def __init__(self) -> None:
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self._gate = _import_esof_gate()
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# ── the EsoF score → mult (BLUE canonical fn + the [0,1] haircut clamp) ──────
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def mult_for(self, score: Any) -> float:
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"""esof_size_mult_from_score(score) clamped to [0,1] (BLUE :3316).
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``score`` is accepted loosely (Any) to mirror BLUE's fn, which robustly
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coerces/guards any score incl. None/stale → defensive fallback mult."""
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mult = float(self._gate.esof_size_mult_from_score(score))
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if mult != mult or mult in (float("inf"), float("-inf")): # non-finite guard (:3314)
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mult = 1.0
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return max(0.0, min(1.0, mult))
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def score_from_payload(self, payload: Optional[dict], **kw: Any) -> Optional[float]:
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"""Wrap esof_score_from_payload (HZ EsoF payload → fresh advisory score)."""
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return self._gate.esof_score_from_payload(payload, **kw)
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# ── apply to the base size, step-for-step as BLUE :3318-3338 ─────────────────
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@typed
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def apply(self, size: SizeDecision, score: Any) -> Tuple[SizeDecision, float]:
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"""Return (modulated_size, mult). Near-1 mult ⇒ base returned UNCHANGED."""
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mult = self.mult_for(score)
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if mult >= 0.999: # BLUE :3318 — no-op
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return size, mult
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eff_leverage = round(size.conviction_leverage * mult, 6) # :3338
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eff_notional_fraction = round(size.notional_fraction * mult, 12) # :3329 grain
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modulated = SizeDecision(
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fraction=size.fraction,
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conviction_leverage=eff_leverage,
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notional_fraction=eff_notional_fraction,
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bucket_idx=size.bucket_idx,
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strength_score=size.strength_score,
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signal_bucket=size.signal_bucket,
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)
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return modulated, mult
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