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https://github.com/xavierchuan/FX-ML-Trading-Engine.git
synced 2026-07-28 10:37:44 +00:00
xiaochuan
31 lines
1.2 KiB
Bash
31 lines
1.2 KiB
Bash
#!/usr/bin/env bash
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set -euo pipefail
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ROOT=$(cd "$(dirname "$0")/.." && pwd)
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PAPER=$ROOT/results/execution/paper/fills.csv
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LIVE=$ROOT/results/execution/live/fills.csv
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TCA_OUT=$ROOT/results/execution/tca_summary.json
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RUN_ID=${1:-$(date -u +"%Y%m%d_%H%M%S")}
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if [ ! -s "$PAPER" ] || [ ! -s "$LIVE" ]; then
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echo "Missing fills CSVs: $PAPER or $LIVE" >&2
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exit 1
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fi
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cd "$ROOT"
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python ../QuantResearch/scripts/compare_fills.py --paper "$PAPER" --live "$LIVE" --out "$TCA_OUT"
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python ../QuantResearch/scripts/update_metrics_from_tca.py \
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--tca "$TCA_OUT" \
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--metrics ../QuantResearch/results/risk/metrics.csv \
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--run-id "$RUN_ID" \
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--status pass \
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--latency-avg ${LATENCY_AVG:-30} \
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--latency-p95 ${LATENCY_P95:-45} \
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--total-pnl ${TOTAL_PNL:-0} \
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--max-exposure ${MAX_EXPOSURE:-500000} \
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--max-drawdown ${MAX_DRAWDOWN:-0.05} \
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--rolling-sharpe ${ROLLING_SHARPE:-1.4} \
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--live-drawdown ${LIVE_DRAWDOWN:-0.05} \
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--live-latency-p95 ${LIVE_LATENCY_P95:-45} \
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--slippage-bps ${SLIPPAGE_BPS:-2}
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cd ../QuantResearch
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python scripts/watch_ops_metrics.py
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source ../.env.demo && python scripts/export_metrics_prom.py --csv results/risk/metrics.csv --job risk_sim | curl --data-binary @- "$PUSHGATEWAY_URL/metrics/job/risk_sim"
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