okx-codex-trader/scripts/run_bb_squeeze_t_gated_observer.py

from __future__ import annotations

import argparse
import json
import sys
import time
from dataclasses import asdict, dataclass
from datetime import UTC, datetime
from pathlib import Path

import pandas as pd

sys.path.insert(0, str(Path(__file__).resolve().parents[1]))

from okx_codex_trader.models import Candle
from okx_codex_trader.okx_client import OkxClient


ROOT = Path(__file__).resolve().parents[1]
STATE_DIR = ROOT / "var" / "bb-squeeze-t-gated-observer"
STATE_FILE = "runtime-state.json"
EVENTS_FILE = "observer-events.jsonl"
ETH_SYMBOL = "ETH-USDT-SWAP"
BTC_SYMBOL = "BTC-USDT-SWAP"
BAR = "15m"
LIVE_CANDLE_LIMIT = 1_200

BAND_LENGTH = 96
BANDWIDTH_LOOKBACK = 960
BANDWIDTH_QUANTILE = 0.25
STOP_LOSS_PCT = 0.01
EXTREME_TAKE_PROFIT_PCT = 0.035
ETH_VOL_CAP = 0.006
COOLDOWN_BARS = 24
REENTRY_BARS = 48
BTC_TREND = 480
BTC_MOMENTUM = 96
MIN_FRAME_ROWS = BAND_LENGTH + BANDWIDTH_LOOKBACK


@dataclass(frozen=True)
class ObserverState:
    last_candle_ts: int | None
    active_side: str | None
    entry_price: float | None
    entry_candle_ts: int | None
    cooldown_until_ts: int | None
    reentry_side: str | None
    reentry_anchor_price: float | None
    reentry_until_ts: int | None


EMPTY_STATE = ObserverState(None, None, None, None, None, None, None, None)


def now_iso() -> str:
    return datetime.now(UTC).isoformat(timespec="seconds").replace("+00:00", "Z")


def load_state(path: Path) -> ObserverState:
    if not path.exists():
        return EMPTY_STATE
    payload = json.loads(path.read_text(encoding="utf-8"))
    return ObserverState(
        last_candle_ts=payload["last_candle_ts"],
        active_side=payload["active_side"],
        entry_price=payload["entry_price"],
        entry_candle_ts=payload["entry_candle_ts"],
        cooldown_until_ts=payload["cooldown_until_ts"],
        reentry_side=payload["reentry_side"],
        reentry_anchor_price=payload["reentry_anchor_price"],
        reentry_until_ts=payload["reentry_until_ts"],
    )


def save_state(path: Path, state: ObserverState) -> None:
    path.parent.mkdir(parents=True, exist_ok=True)
    path.write_text(json.dumps(asdict(state), indent=2, sort_keys=True) + "\n", encoding="utf-8")


def append_jsonl(path: Path, payload: dict[str, object]) -> None:
    path.parent.mkdir(parents=True, exist_ok=True)
    with path.open("a", encoding="utf-8") as handle:
        handle.write(json.dumps(payload, sort_keys=True, separators=(",", ":")) + "\n")


def frame_from_candles(candles: list[Candle]) -> pd.DataFrame:
    frame = pd.DataFrame([asdict(candle) for candle in candles])
    frame["time"] = pd.to_datetime(frame["ts"], unit="ms", utc=True)
    return frame.sort_values("ts").drop_duplicates("ts", keep="last").reset_index(drop=True)


def load_pair_frame(client: OkxClient) -> pd.DataFrame:
    eth = frame_from_candles(client.get_candles(ETH_SYMBOL, BAR, LIVE_CANDLE_LIMIT))
    btc = frame_from_candles(client.get_candles(BTC_SYMBOL, BAR, LIVE_CANDLE_LIMIT))
    btc = btc[["ts", "close"]].rename(columns={"close": "btc_close"})
    return eth.merge(btc, on="ts", how="inner").sort_values("ts").reset_index(drop=True)


def signal_from_frame(frame: pd.DataFrame, state: ObserverState) -> tuple[ObserverState, dict[str, object]]:
    if len(frame) < MIN_FRAME_ROWS:
        raise ValueError("not enough candles")
    eth_close = frame["close"].astype(float)
    btc_close = frame["btc_close"].astype(float)
    middle = eth_close.rolling(BAND_LENGTH).mean()
    stdev = eth_close.rolling(BAND_LENGTH).std(ddof=0)
    upper = middle + 2.0 * stdev
    lower = middle - 2.0 * stdev
    bandwidth = (upper - lower) / middle
    threshold = bandwidth.rolling(BANDWIDTH_LOOKBACK).quantile(BANDWIDTH_QUANTILE)
    eth_vol = eth_close.pct_change().rolling(96).std(ddof=0)
    btc_sma = btc_close.rolling(BTC_TREND).mean()
    btc_momentum = btc_close / btc_close.shift(BTC_MOMENTUM) - 1.0

    index = len(frame) - 1
    row = frame.iloc[index]
    candle_ts = int(row["ts"])
    candle_time = pd.Timestamp(row["time"]).isoformat().replace("+00:00", "Z")
    indicators = {
        "eth_close": float(row["close"]),
        "btc_close": float(row["btc_close"]),
        "middle": float(middle.iloc[index]),
        "upper": float(upper.iloc[index]),
        "lower": float(lower.iloc[index]),
        "bandwidth": float(bandwidth.iloc[index]),
        "bandwidth_threshold": float(threshold.iloc[index]),
        "eth_vol_96": float(eth_vol.iloc[index]),
        "btc_sma_480": float(btc_sma.iloc[index]),
        "btc_momentum_96": float(btc_momentum.iloc[index]),
    }
    if state.last_candle_ts is not None and candle_ts <= state.last_candle_ts:
        return state, {
            "decision_candle_ts": candle_ts,
            "decision_candle_time": candle_time,
            "signal": "state_replay",
            "target_side": state.active_side or "flat",
            "indicators": indicators,
        }

    next_state = ObserverState(
        candle_ts,
        state.active_side,
        state.entry_price,
        state.entry_candle_ts,
        state.cooldown_until_ts,
        state.reentry_side,
        state.reentry_anchor_price,
        state.reentry_until_ts,
    )
    signal = "hold"
    target_side = state.active_side or "flat"
    reentry_gate = False

    if state.active_side is not None:
        entry_price = float(state.entry_price)
        stop = entry_price * (1.0 - STOP_LOSS_PCT if state.active_side == "long" else 1.0 + STOP_LOSS_PCT)
        extreme_take = entry_price * (1.0 + EXTREME_TAKE_PROFIT_PCT if state.active_side == "long" else 1.0 - EXTREME_TAKE_PROFIT_PCT)
        stop_hit = (state.active_side == "long" and float(row["low"]) <= stop) or (state.active_side == "short" and float(row["high"]) >= stop)
        extreme_take_hit = (state.active_side == "long" and float(row["high"]) >= extreme_take) or (
            state.active_side == "short" and float(row["low"]) <= extreme_take
        )
        middle_exit = (state.active_side == "long" and float(row["close"]) < indicators["middle"]) or (
            state.active_side == "short" and float(row["close"]) > indicators["middle"]
        )
        if stop_hit or extreme_take_hit or middle_exit:
            signal = "exit_stop" if stop_hit else "exit_extreme_take" if extreme_take_hit else "exit_middle"
            target_side = "flat"
            if extreme_take_hit and not stop_hit:
                next_state = ObserverState(
                    candle_ts,
                    None,
                    None,
                    None,
                    state.cooldown_until_ts,
                    state.active_side,
                    extreme_take,
                    candle_ts + REENTRY_BARS * 900_000,
                )
            else:
                next_state = ObserverState(candle_ts, None, None, None, candle_ts + COOLDOWN_BARS * 900_000, None, None, None)
    else:
        if state.reentry_side is not None:
            if state.reentry_until_ts is None or candle_ts > state.reentry_until_ts:
                next_state = ObserverState(candle_ts, None, None, None, state.cooldown_until_ts, None, None, None)
            else:
                reentry_gate = (state.reentry_side == "long" and indicators["btc_momentum_96"] < 0.0) or (
                    state.reentry_side == "short" and indicators["btc_momentum_96"] > 0.0
                )
                if reentry_gate:
                    signal = "reentry_" + state.reentry_side
                    target_side = state.reentry_side
                    next_state = ObserverState(candle_ts, state.reentry_side, float(row["close"]), candle_ts, state.cooldown_until_ts, None, None, None)
        else:
            cooldown_ok = state.cooldown_until_ts is None or candle_ts >= state.cooldown_until_ts
            compressed = indicators["bandwidth"] <= indicators["bandwidth_threshold"]
            vol_ok = indicators["eth_vol_96"] <= ETH_VOL_CAP
            btc_up = indicators["btc_close"] > indicators["btc_sma_480"]
            if cooldown_ok and compressed and vol_ok and btc_up and float(row["close"]) > indicators["upper"]:
                signal = "entry_long"
                target_side = "long"
                next_state = ObserverState(candle_ts, "long", float(row["close"]), candle_ts, state.cooldown_until_ts, None, None, None)
            elif cooldown_ok and compressed and vol_ok and btc_up and float(row["close"]) < indicators["lower"]:
                signal = "entry_short"
                target_side = "short"
                next_state = ObserverState(candle_ts, "short", float(row["close"]), candle_ts, state.cooldown_until_ts, None, None, None)

    return next_state, {
        "decision_candle_ts": candle_ts,
        "decision_candle_time": candle_time,
        "signal": signal,
        "target_side": target_side,
        "reentry_gate": reentry_gate,
        "indicators": indicators,
        "params": {
            "band_length": BAND_LENGTH,
            "bandwidth_lookback": BANDWIDTH_LOOKBACK,
            "bandwidth_quantile": BANDWIDTH_QUANTILE,
            "stop_loss_pct": STOP_LOSS_PCT,
            "extreme_take_profit_pct": EXTREME_TAKE_PROFIT_PCT,
            "eth_vol_cap": ETH_VOL_CAP,
            "cooldown_bars": COOLDOWN_BARS,
            "reentry_bars": REENTRY_BARS,
            "entry_btc_filter": "btc-up",
            "reentry_gate_mode": "btc_against",
        },
    }


def run_once(state_dir: Path) -> dict[str, object]:
    state_dir.mkdir(parents=True, exist_ok=True)
    state_path = state_dir / STATE_FILE
    previous_state = load_state(state_path)
    frame = load_pair_frame(OkxClient())
    next_state, signal = signal_from_frame(frame, previous_state)
    save_state(state_path, next_state)
    payload = {
        "created_at": now_iso(),
        "mode": "bb_squeeze_t_gated_readonly_observer",
        "orders_submitted": 0,
        "strategy": "bb-squeeze-t-l96-bw960-q0.25-sl0.01-xtp0.035-both-btc-up-vc0.006-dd0.25-cd24-tre48-btc_against",
        "previous_state": asdict(previous_state),
        "next_state": asdict(next_state),
        "signal": signal,
        "candles": {
            "rows": len(frame),
            "first_time": pd.Timestamp(frame.iloc[0]["time"]).isoformat().replace("+00:00", "Z"),
            "last_time": pd.Timestamp(frame.iloc[-1]["time"]).isoformat().replace("+00:00", "Z"),
        },
        "risk_limits": {
            "no_order_submission": True,
            "no_cancel_submission": True,
            "execution": "read_only_signal_stream",
        },
    }
    (state_dir / "heartbeat.json").write_text(json.dumps(payload, indent=2, sort_keys=True) + "\n", encoding="utf-8")
    append_jsonl(state_dir / EVENTS_FILE, payload)
    return payload


def main() -> int:
    parser = argparse.ArgumentParser(description="Run BB squeeze T-gated read-only observer.")
    parser.add_argument("--state-dir", type=Path, default=STATE_DIR)
    parser.add_argument("--interval-seconds", type=int, default=300)
    parser.add_argument("--once", action="store_true")
    args = parser.parse_args()
    while True:
        try:
            payload = run_once(args.state_dir)
            print(json.dumps(payload, indent=2, sort_keys=True))
        except Exception as exc:
            error = {"created_at": now_iso(), "mode": "bb_squeeze_t_gated_readonly_observer", "orders_submitted": 0, "error": str(exc)}
            append_jsonl(args.state_dir / EVENTS_FILE, error)
            print(json.dumps(error, indent=2, sort_keys=True), file=sys.stderr)
            if args.once:
                return 1
        if args.once:
            return 0
        time.sleep(args.interval_seconds)


if __name__ == "__main__":
    raise SystemExit(main())