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jaxperro
cf9465f38a
leanbot: orders_matched inventory tracking on the nightly-published screened set (box never screens itself), frozen $150-500 one-sided crossing, paper FAK $100 capped at print+3c, complement routing for net-short leans, MAX_PER_EVENT=2, premium logged on every attempt. guards.py: ex-best-day / ex-top5 / top-event share — the cuts that caught both studies today, now machinery every grader reports nightly. grade_lag: v2 band arm (15-40c, forward-only from V2_FREEZE_TS, bar +$8) + three report-only control bands. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
54 lines
1.8 KiB
Python
54 lines
1.8 KiB
Python
#!/usr/bin/env python3
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"""Publish the walk-forward screened maker-sharp set for wwf-leanbot (#26).
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The bot must NEVER screen on its own live data — that is how a study
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starts selecting the wallets that happened to win during its own window.
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So the set is computed here, on tape strictly BEFORE today, exactly as
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maker_lean.py's screen_asof does (the frozen #22 method), and published
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to research/params/maker_set.json for the box to fetch.
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Wired into nightly.sh before the graders. Same contract as
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informed_set.py (surgebot's input): committed file = frozen input.
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"""
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import json
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import os
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import sys
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import time
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HERE = os.path.dirname(os.path.abspath(__file__))
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sys.path.insert(0, HERE)
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import tape # noqa: E402
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import maker_lean as ml # noqa: E402
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OUT = os.path.join(HERE, "params", "maker_set.json")
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def main():
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db = tape.connect()
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# midnight UTC today — the set may only see strictly-prior tape
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t_cut = int(time.time() // 86400) * 86400
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sharps = ml.screen_asof(db, t_cut)
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db.close()
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out = {
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"computed_at": int(time.time()),
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"as_of": t_cut,
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"method": "maker_lean.screen_asof (z>=2.5, >=6 resolved maker bets, "
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"pnl>0) on orders_matched strictly before as_of",
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"frozen_params": {"lean_usd": [ml.LEAN_USD, 500.0],
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"net_gross": ml.NET_GROSS, "band": list(ml.BAND)},
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"n": len(sharps),
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"wallets": sorted(sharps),
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}
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os.makedirs(os.path.dirname(OUT), exist_ok=True)
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tmp = OUT + ".tmp"
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json.dump(out, open(tmp, "w"), indent=1)
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os.replace(tmp, OUT)
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print(f"[maker_set] {len(sharps)} wallets as-of "
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f"{time.strftime('%F', time.gmtime(t_cut))} -> params/maker_set.json",
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flush=True)
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return 0
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if __name__ == "__main__":
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sys.exit(main())
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