nautilus_actor_test_implementation_5x.py

@@ -36,6 +36,8 @@ STRUCTURED_TOPIC = "SILOQY.STRUCTURED.TICKS"
 REGIME_TOPIC = "DOLPHIN.REGIME.RESULTS"
 SYMBOLS_DISCOVERED_TOPIC = "SILOQY.SYMBOLS.DISCOVERED"
 CANDLES_INITIAL_TOPIC = "SILOQY.CANDLES.INITIAL"
+# ADDED LINE 18:
+TICK_SIZES_TOPIC = "SILOQY.TICK.SIZES"
 
 # Rate limiting constant
 MIN_INTERVAL = 2.5  # seconds between API batches
@@ -351,6 +353,7 @@ class SILOQYSymbolDiscoveryActor(Actor):
         self.symbols = list(config.symbols) if config.symbols else []
         self.candle_interval_ms = config.candle_interval_ms
         self.active_candles = {}
+        self.tick_sizes = {}
         
         # Process management configuration
         self.throttle_mode = config.throttle_mode
@@ -416,12 +419,38 @@ class SILOQYSymbolDiscoveryActor(Actor):
             if response.status_code == 200:
                 self.log.info("Successfully received exchange info")
                 data = response.json()
-                # Get all trading symbols (USDT pairs for example)
-                full_symbols = [
-                    s['symbol'] for s in data['symbols'] 
-                    if s['status'] == 'TRADING' and s['symbol'].endswith('USDT')
-                ]
                 
+                # Combined symbol discovery and tick size extraction
+                self.log.info("Processing symbols and extracting tick sizes...")
+                full_symbols = []
+                for symbol_info in data['symbols']:
+                    if symbol_info['status'] == 'TRADING' and symbol_info['symbol'].endswith('USDT'):
+                        symbol = symbol_info['symbol']
+                        full_symbols.append(symbol)
+                        
+                        # Extract tick size while processing # Extract tick size while processing
+                        tick_size = None
+                        for filter_info in symbol_info['filters']:
+                            if filter_info['filterType'] == 'PRICE_FILTER':
+                                tick_size = float(filter_info['tickSize'])
+                                break
+                        
+                        # If no PRICE_FILTER found, try other filter types
+                        if tick_size is None:
+                            for filter_info in symbol_info['filters']:
+                                if filter_info['filterType'] == 'TICK_SIZE':
+                                    tick_size = float(filter_info['tickSize'])
+                                    break
+                        
+                        # Fallback to default if still not found
+                        if tick_size is None:
+                            tick_size = 1e-8  # Default fallback
+                            self.log.warning(f"No tick size found for {symbol}, using fallback {tick_size}")
+                        
+                        self.tick_sizes[symbol] = tick_size
+                
+                self.log.info(f"Processed {len(full_symbols)} symbols, extracted {len(self.tick_sizes)} tick sizes")
+                            
                 # Apply throttle mode symbol limiting
                 if self.throttle_mode:
                     self.symbols = full_symbols[:self.max_symbols_throttled]
@@ -574,8 +603,10 @@ class SILOQYSymbolDiscoveryActor(Actor):
                 # Publish symbols and candles as tuples
                 self.msgbus.publish(SYMBOLS_DISCOVERED_TOPIC, (self.symbols, int(time.time_ns())))
                 self.msgbus.publish(CANDLES_INITIAL_TOPIC, (self.active_candles, int(time.time_ns())))
+                self.msgbus.publish(TICK_SIZES_TOPIC, (self.tick_sizes, int(time.time_ns())))
                 
                 self.log.info(f"Nautilus ActorExecutor: Published {len(self.symbols)} symbols and {len(self.active_candles)} candles")
+                self.log.info(f"Nautilus ActorExecutor: Published {len(self.tick_sizes)} tick sizes")
                 self.log.info("Nautilus ActorExecutor: Discovery phase complete - other actors can now start processing")
             else:
                 self.log.warning("Nautilus ActorExecutor: msgbus not available for publishing")
@@ -868,6 +899,7 @@ class DOLPHINRegimeActor(Actor):
         self.low_prices = np.zeros(self.max_symbols, dtype=np.float64)
         self.volumes = np.zeros(self.max_symbols, dtype=np.float64)
         self.last_update = np.zeros(self.max_symbols, dtype=np.int64)
+        self.tick_sizes = np.full(self.max_symbols, 1e-8, dtype=np.float64)  # Default fallback
         
         # PRESERVED: All original mapping and state
         self.symbol_to_idx = {}
@@ -904,6 +936,30 @@ class DOLPHINRegimeActor(Actor):
         self.log.info("Nautilus ActorExecutor: DOLPHINRegimeActor stopping")
         # Nautilus kernel handles executor shutdown - no manual cleanup needed
     
+    def handle_tick_sizes(self, data):
+            """Handle tick sizes from discovery actor"""
+            try:
+                tick_sizes, timestamp = data
+                self.log.info(f"Nautilus ActorExecutor: Received {len(tick_sizes)} tick sizes from discovery actor")
+                
+                # Update the pre-allocated array with actual tick sizes
+                updated_count = 0
+                for symbol, tick_size in tick_sizes.items():
+                    if symbol in self.symbol_to_idx:
+                        idx = self.symbol_to_idx[symbol]
+                        # Validate tick size
+                        if tick_size <= 0 or tick_size > 1.0:
+                            self.log.warning(f"Invalid tick size {tick_size} for {symbol}, using fallback")
+                            self.tick_sizes[idx] = 1e-8  # Use fallback
+                        else:
+                            self.tick_sizes[idx] = tick_size
+                            updated_count += 1
+                
+                self.log.info(f"Nautilus ActorExecutor: Updated {updated_count} tick sizes in pre-allocated array")
+                
+            except Exception as e:
+                self.log.error(f"Nautilus ActorExecutor: Error handling tick sizes: {e}")
+    
     def handle_raw_tick(self, data):
         """
         PRESERVED EXACTLY: All original zero-allocation tick processing
@@ -1002,12 +1058,15 @@ class DOLPHINRegimeActor(Actor):
             
             analyzed += 1
             
-            # NEW: Direct price comparison with epsilon for precision
-            EPSILON = 1e-10  # Very small tolerance to capture any meaningful price change
+
+            # NEW: HFT-grade tick-size based comparison
+            tick_size = self.tick_sizes[idx]
+            equality_threshold = tick_size / 2  # Half tick size standard
+            price_diff = abs(close_price - open_price)
             
-            # Check if prices are effectively equal
-            if abs(close_price - open_price) <= EPSILON:
-                # Prices are effectively equal
+            # Check if prices are effectively equal within tick size tolerance
+            if price_diff <= equality_threshold:
+                # Prices are effectively equal (within tick size tolerance)
                 symbol_pattern.append(f"S{close_price:.2f}={open_price:.2f}")
             elif close_price > open_price:
                 # Bullish: close > open
@@ -1241,7 +1300,6 @@ def test_siloqy_actors_with_nautilus_process_management():
         
     node = TradingNode(config=trading_config) 
 
-
     try:
         node.build()
         print("Node built successfully with Nautilus built-in process management")