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import asyncio
import json
import logging
import time
import bisect
import math
import statistics
from datetime import datetime
from aiohttp import web
import websockets
# --- CONFIGURATION ---
SYMBOL_KRAKEN = "BTC/USD"
PORT = 7860
HISTORY_LENGTH = 300
BROADCAST_RATE = 0.1
# Mathematical Constants
DECAY_LAMBDA = 50.0
IMPACT_SENSITIVITY = 2.0
WALL_DAMPENING = 0.8
Z_SCORE_THRESHOLD = 3.0
WALL_LOOKBACK = 200
logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(message)s')
# --- GLOBAL STATE ---
market_state = {
"bids": {},
"asks": {},
"history": [],
"pred_history": [],
"trade_vol_history": [], # New: Store trade volume history
"current_vol_window": {"buy": 0.0, "sell": 0.0, "start": time.time()},
"current_mid": 0.0,
"ready": False
}
connected_clients = set()
# --- QUANTITATIVE METHODS ---
def detect_anomalies(orders, scan_depth):
if len(orders) < 10: return []
relevant_orders = orders[:scan_depth]
volumes = [q for p, q in relevant_orders]
if not volumes: return []
try:
avg_vol = statistics.mean(volumes)
stdev_vol = statistics.stdev(volumes)
except statistics.StatisticsError:
return []
if stdev_vol == 0: return []
walls = []
for price, qty in relevant_orders:
z_score = (qty - avg_vol) / stdev_vol
if z_score > Z_SCORE_THRESHOLD:
walls.append({"price": price, "vol": qty, "z_score": z_score})
walls.sort(key=lambda x: x['z_score'], reverse=True)
return walls[:3]
def calculate_micro_price_structure(diff_x, diff_y_net, current_mid, best_bid, best_ask, walls):
if not diff_x or len(diff_x) < 5: return None
# Weighted Imbalance Calculation
weighted_imbalance = 0.0
total_weight = 0.0
for i in range(len(diff_x)):
dist = diff_x[i]
net_vol = diff_y_net[i]
weight = math.exp(-dist / DECAY_LAMBDA)
weighted_imbalance += net_vol * weight
total_weight += weight
rho = weighted_imbalance / total_weight if total_weight > 0 else 0
# Base Projection
spread = best_ask - best_bid
theoretical_delta = (spread / 2) * rho * IMPACT_SENSITIVITY
projected_price = current_mid + theoretical_delta
# Wall Friction
final_delta = theoretical_delta
if final_delta > 0 and walls['asks']:
nearest_wall = walls['asks'][0]
if projected_price >= nearest_wall['price']:
damp_factor = 1.0 / (1.0 + (nearest_wall['z_score'] * 0.2))
final_delta *= damp_factor
elif final_delta < 0 and walls['bids']:
nearest_wall = walls['bids'][0]
if projected_price <= nearest_wall['price']:
damp_factor = 1.0 / (1.0 + (nearest_wall['z_score'] * 0.2))
final_delta *= damp_factor
return {
"projected": current_mid + final_delta,
"rho": rho
}
def process_market_data():
if not market_state['ready']: return {"error": "Initializing..."}
mid = market_state['current_mid']
# Process Trade Volume Window (Reset every 1 second)
now = time.time()
if now - market_state['current_vol_window']['start'] >= 1.0:
market_state['trade_vol_history'].append({
't': now,
'buy': market_state['current_vol_window']['buy'],
'sell': market_state['current_vol_window']['sell']
})
if len(market_state['trade_vol_history']) > 60: # Keep last 60 seconds
market_state['trade_vol_history'].pop(0)
# Reset window
market_state['current_vol_window'] = {"buy": 0.0, "sell": 0.0, "start": now}
# Order Book Processing
sorted_bids = sorted(market_state['bids'].items(), key=lambda x: -x[0])
sorted_asks = sorted(market_state['asks'].items(), key=lambda x: x[0])
if not sorted_bids or not sorted_asks: return {"error": "Empty Book"}
best_bid = sorted_bids[0][0]
best_ask = sorted_asks[0][0]
bid_walls = detect_anomalies(sorted_bids, WALL_LOOKBACK)
ask_walls = detect_anomalies(sorted_asks, WALL_LOOKBACK)
d_b_x, d_b_y, cum = [], [], 0
for p, q in sorted_bids[:300]:
d = mid - p
if d >= 0:
cum += q
d_b_x.append(d); d_b_y.append(cum)
d_a_x, d_a_y, cum = [], [], 0
for p, q in sorted_asks[:300]:
d = p - mid
if d >= 0:
cum += q
d_a_x.append(d); d_a_y.append(cum)
diff_x, diff_y_net = [], []
chart_bids, chart_asks = [], []
if d_b_x and d_a_x:
max_dist = min(d_b_x[-1], d_a_x[-1])
step_size = max_dist / 100
steps = [i * step_size for i in range(1, 101)]
for s in steps:
idx_b = bisect.bisect_right(d_b_x, s)
vol_b = d_b_y[idx_b-1] if idx_b > 0 else 0
idx_a = bisect.bisect_right(d_a_x, s)
vol_a = d_a_y[idx_a-1] if idx_a > 0 else 0
diff_x.append(s)
diff_y_net.append(vol_b - vol_a)
chart_bids.append(vol_b)
chart_asks.append(vol_a)
analysis = calculate_micro_price_structure(
diff_x, diff_y_net, mid, best_bid, best_ask,
{"bids": bid_walls, "asks": ask_walls}
)
if analysis:
if not market_state['pred_history'] or (now - market_state['pred_history'][-1]['t'] > 0.5):
market_state['pred_history'].append({'t': now, 'p': analysis['projected']})
if len(market_state['pred_history']) > HISTORY_LENGTH:
market_state['pred_history'].pop(0)
return {
"mid": mid,
"history": market_state['history'],
"pred_history": market_state['pred_history'],
"trade_history": market_state['trade_vol_history'],
"depth_x": diff_x,
"depth_net": diff_y_net,
"depth_bids": chart_bids,
"depth_asks": chart_asks,
"analysis": analysis,
"walls": {"bids": bid_walls, "asks": ask_walls}
}
# --- FRONTEND ---
HTML_PAGE = f"""
<!DOCTYPE html>
<html lang="en">
<head>
<meta charset="UTF-8">
<title>{SYMBOL_KRAKEN}</title>
<script src="https://unpkg.com/lightweight-charts@4.1.1/dist/lightweight-charts.standalone.production.js"></script>
<link href="https://fonts.googleapis.com/css2?family=Inter:wght@500;600&family=JetBrains+Mono:wght@400;700&display=swap" rel="stylesheet">
<style>
:root {{
--bg-base: #000000;
--bg-panel: #0a0a0a;
--border: #252525;
--text-main: #FFFFFF;
--text-dim: #999999;
--green: #00ff9d;
--red: #ff3b3b;
--blue: #2979ff;
--yellow: #ffeb3b;
}}
body {{
margin: 0; padding: 0;
background-color: var(--bg-base);
color: var(--text-main);
font-family: 'Inter', sans-serif;
overflow: hidden;
height: 100vh; width: 100vw;
}}
.layout {{
display: grid;
grid-template-rows: 34px 1fr 1fr;
grid-template-columns: 3fr 1fr;
gap: 1px;
background-color: var(--border);
height: 100vh;
box-sizing: border-box;
}}
.panel {{ background: var(--bg-panel); display: flex; flex-direction: column; overflow: hidden; }}
.status-bar {{
grid-column: 1 / 3;
grid-row: 1 / 2;
background: var(--bg-panel);
display: flex;
align-items: center;
justify-content: space-between;
padding: 0 12px;
font-family: 'JetBrains Mono', monospace;
font-size: 12px;
text-transform: uppercase;
border-bottom: 1px solid var(--border);
z-index: 50;
}}
.status-left {{ display: flex; gap: 20px; align-items: center; }}
.status-right {{ color: var(--text-dim); letter-spacing: 1px; }}
.live-dot {{ width: 8px; height: 8px; background-color: var(--green); border-radius: 50%; display: inline-block; box-shadow: 0 0 8px var(--green); }}
.ticker-val {{ font-weight: 700; color: #fff; font-size: 13px; }}
#p-chart {{ grid-column: 1 / 2; grid-row: 2 / 3; }}
#p-depth {{
grid-column: 1 / 2; grid-row: 3 / 4;
display: grid;
grid-template-columns: 1fr 1fr;
gap: 1px;
background: var(--border);
}}
.depth-sub {{ background: var(--bg-panel); display: flex; flex-direction: column; position: relative; }}
#p-sidebar {{
grid-column: 2 / 3;
grid-row: 2 / 4;
padding: 20px;
display: flex;
flex-direction: column;
gap: 15px; /* Tighter gap to fit the new chart */
border-left: 1px solid var(--border);
overflow-y: hidden;
}}
.chart-header {{
height: 24px;
min-height: 24px;
display: flex;
align-items: center;
padding-left: 12px;
font-size: 10px;
font-weight: 700;
color: var(--text-dim);
background: #050505;
border-bottom: 1px solid #151515;
letter-spacing: 0.5px;
}}
.data-group {{ display: flex; flex-direction: column; gap: 4px; }}
.label {{ font-size: 10px; color: var(--text-dim); font-weight: 600; text-transform: uppercase; letter-spacing: 0.5px; }}
.value {{ font-family: 'JetBrains Mono', monospace; font-size: 20px; font-weight: 700; color: #fff; }}
.value-lg {{ font-size: 26px; }}
.value-sub {{ font-family: 'JetBrains Mono', monospace; font-size: 11px; margin-top: 2px; color: #666; }}
.divider {{ height: 1px; background: var(--border); width: 100%; }}
.c-green {{ color: var(--green); }}
.c-red {{ color: var(--red); }}
.c-dim {{ color: var(--text-dim); }}
.list-container {{ display: flex; flex-direction: column; gap: 8px; overflow-y: auto; max-height: 120px; }}
.list-item {{
display: flex; justify-content: space-between;
font-family: 'JetBrains Mono', monospace;
font-size: 11px;
border-bottom: 1px solid #151515;
padding-bottom: 4px;
}}
.list-item span:first-child {{ color: #e0e0e0; }}
.list-item:last-child {{ border: none; }}
#sidebar-chart {{
flex: 1;
background: rgba(255,255,255,0.02);
border: 1px solid var(--border);
border-radius: 4px;
min-height: 100px;
}}
</style>
</head>
<body>
<div class="layout">
<div class="status-bar">
<div class="status-left">
<span class="live-dot"></span>
<span style="font-weight:700; color:#fff;">{SYMBOL_KRAKEN}</span>
<span id="price-ticker" class="ticker-val">---</span>
</div>
<div class="status-right" id="clock">00:00:00 UTC</div>
</div>
<div id="p-chart" class="panel">
<div class="chart-header">PRICE ACTION (BLUE) // PREDICTION (YELLOW)</div>
<div id="tv-price" style="flex: 1; width: 100%;"></div>
</div>
<div id="p-depth">
<div class="depth-sub">
<div class="chart-header">LIQUIDITY DENSITY</div>
<div id="tv-raw" style="flex: 1; width: 100%;"></div>
</div>
<div class="depth-sub">
<div class="chart-header">ORDER FLOW IMBALANCE</div>
<div id="tv-net" style="flex: 1; width: 100%;"></div>
</div>
</div>
<div id="p-sidebar" class="panel">
<div class="data-group">
<span class="label">Micro-Price Delta</span>
<div style="display:flex; align-items: baseline; gap: 10px;">
<span id="proj-pct" class="value value-lg">--%</span>
<span id="proj-val" class="value-sub">---</span>
</div>
</div>
<div class="divider"></div>
<div class="data-group">
<span class="label">OFI Imbalance Ratio</span>
<span id="score-val" class="value">0.00</span>
</div>
<div class="divider"></div>
<div class="data-group">
<span class="label">Detected Walls (Z > 3.0)</span>
<div id="wall-list" class="list-container">
<span class="c-dim" style="font-size: 11px;">Scanning...</span>
</div>
</div>
<!-- NEW CHART UNDER WALLS -->
<div class="data-group" style="flex: 1; display:flex; flex-direction:column;">
<span class="label">Real-time Volume (Ticks)</span>
<div id="sidebar-chart"></div>
</div>
</div>
</div>
<script>
setInterval(() => {{
const now = new Date();
document.getElementById('clock').innerText = now.toISOString().split('T')[1].split('.')[0] + ' UTC';
}}, 1000);
document.addEventListener('DOMContentLoaded', () => {{
const dom = {{
ticker: document.getElementById('price-ticker'),
score: document.getElementById('score-val'),
projVal: document.getElementById('proj-val'),
projPct: document.getElementById('proj-pct'),
wallList: document.getElementById('wall-list')
}};
const chartOpts = {{
layout: {{ background: {{ type: 'solid', color: '#0a0a0a' }}, textColor: '#888', fontFamily: 'JetBrains Mono' }},
grid: {{ vertLines: {{ color: '#151515' }}, horzLines: {{ color: '#151515' }} }},
rightPriceScale: {{ borderColor: '#222', scaleMargins: {{ top: 0.1, bottom: 0.1 }} }},
timeScale: {{ borderColor: '#222', timeVisible: true, secondsVisible: true }},
crosshair: {{ mode: 1, vertLine: {{ color: '#444', labelBackgroundColor: '#444' }}, horzLine: {{ color: '#444', labelBackgroundColor: '#444' }} }}
}};
// 1. MAIN PRICE CHART
const priceChart = LightweightCharts.createChart(document.getElementById('tv-price'), chartOpts);
const priceSeries = priceChart.addLineSeries({{ color: '#2979ff', lineWidth: 2, title: 'Price' }}); // BLUE
const predSeries = priceChart.addLineSeries({{ color: '#ffeb3b', lineWidth: 2, lineStyle: 2, title: 'Forecast' }}); // YELLOW
// 2. DEPTH CHARTS
const rawChart = LightweightCharts.createChart(document.getElementById('tv-raw'), {{
...chartOpts, localization: {{ timeFormatter: t => '$' + t.toFixed(2) }}
}});
const bidSeries = rawChart.addAreaSeries({{ lineColor: '#00ff9d', topColor: 'rgba(0, 255, 157, 0.15)', bottomColor: 'rgba(0,0,0,0)', lineWidth: 1 }});
const askSeries = rawChart.addAreaSeries({{ lineColor: '#ff3b3b', topColor: 'rgba(255, 59, 59, 0.15)', bottomColor: 'rgba(0,0,0,0)', lineWidth: 1 }});
const netChart = LightweightCharts.createChart(document.getElementById('tv-net'), {{
...chartOpts, localization: {{ timeFormatter: t => '$' + t.toFixed(2) }}
}});
const netSeries = netChart.addHistogramSeries({{ color: '#2979ff' }});
// 3. SIDEBAR VOLUME CHART
const volChart = LightweightCharts.createChart(document.getElementById('sidebar-chart'), {{
...chartOpts,
grid: {{ vertLines: {{ visible: false }}, horzLines: {{ visible: false }} }},
rightPriceScale: {{ visible: false }},
timeScale: {{ visible: false }},
handleScroll: false,
handleScale: false
}});
const volBuySeries = volChart.addHistogramSeries({{ color: '#00ff9d' }});
const volSellSeries = volChart.addHistogramSeries({{ color: '#ff3b3b' }});
let activeLines = [];
// RESIZE OBSERVER
new ResizeObserver(entries => {{
for(let entry of entries) {{
const {{width, height}} = entry.contentRect;
if(entry.target.id === 'tv-price') priceChart.applyOptions({{width, height}});
if(entry.target.id === 'tv-raw') rawChart.applyOptions({{width, height}});
if(entry.target.id === 'tv-net') netChart.applyOptions({{width, height}});
if(entry.target.id === 'sidebar-chart') volChart.applyOptions({{width, height}});
}}
}}).observe(document.body);
['tv-price', 'tv-raw', 'tv-net', 'sidebar-chart'].forEach(id => {{
new ResizeObserver(e => {{
const t = document.getElementById(id);
if(id === 'tv-price') priceChart.applyOptions({{ width: t.clientWidth, height: t.clientHeight }});
if(id === 'tv-raw') rawChart.applyOptions({{ width: t.clientWidth, height: t.clientHeight }});
if(id === 'tv-net') netChart.applyOptions({{ width: t.clientWidth, height: t.clientHeight }});
if(id === 'sidebar-chart') volChart.applyOptions({{ width: t.clientWidth, height: t.clientHeight }});
}}).observe(document.getElementById(id));
}});
function connect() {{
const ws = new WebSocket((location.protocol === 'https:' ? 'wss' : 'ws') + '://' + location.host + '/ws');
ws.onmessage = (e) => {{
const data = JSON.parse(e.data);
if (data.error) return;
if (data.history.length) {{
const hist = data.history.map(d => ({{ time: Math.floor(d.t), value: d.p }}));
const cleanHist = [...new Map(hist.map(i => [i.time, i])).values()];
priceSeries.setData(cleanHist);
const lastP = cleanHist[cleanHist.length-1].value;
dom.ticker.innerText = lastP.toLocaleString('en-US', {{ minimumFractionDigits: 2 }});
if (data.analysis) {{
const proj = data.analysis.projected;
const rho = data.analysis.rho;
predSeries.setData([
cleanHist[cleanHist.length-1],
{{ time: cleanHist[cleanHist.length-1].time + 60, value: proj }}
]);
const pct = ((proj - lastP) / lastP) * 100;
const sign = pct >= 0 ? "+" : "";
dom.projPct.innerText = `${{sign}}${{pct.toFixed(4)}}%`;
dom.projPct.style.color = pct >= 0 ? "var(--green)" : "var(--red)";
dom.projVal.innerText = proj.toLocaleString('en-US', {{ minimumFractionDigits: 2 }});
dom.score.innerText = rho.toFixed(3);
dom.score.style.color = rho > 0 ? "var(--green)" : (rho < 0 ? "var(--red)" : "var(--text-main)");
}}
}}
// WALLS
if (data.walls) {{
activeLines.forEach(l => priceSeries.removePriceLine(l));
activeLines = [];
let html = "";
const addWall = (w, type) => {{
const color = type === 'BID' ? '#00ff9d' : '#ff3b3b';
activeLines.push(priceSeries.createPriceLine({{ price: w.price, color: color, lineWidth: 1, lineStyle: 2, axisLabelVisible: false }}));
html += `<div class="list-item">
<span style="color:${{color}}">${{type}} ${{w.price}}</span>
<span class="c-dim">Z:${{w.z_score.toFixed(1)}}</span>
</div>`;
}};
data.walls.asks.forEach(w => addWall(w, 'ASK'));
data.walls.bids.forEach(w => addWall(w, 'BID'));
dom.wallList.innerHTML = html || '<span class="c-dim" style="font-size:11px">Scanning...</span>';
}}
// VOLUME CHART IN SIDEBAR
if (data.trade_history && data.trade_history.length) {{
const buyData = [];
const sellData = [];
data.trade_history.forEach(t => {{
const time = Math.floor(t.t);
buyData.push({{ time: time, value: t.buy }});
sellData.push({{ time: time, value: t.sell }});
}});
// Ensure unique time points for LW Charts
const uniqueBuys = [...new Map(buyData.map(i => [i.time, i])).values()];
const uniqueSells = [...new Map(sellData.map(i => [i.time, i])).values()];
volBuySeries.setData(uniqueBuys);
volSellSeries.setData(uniqueSells);
}}
// DEPTH
if (data.depth_x.length) {{
const bids = [], asks = [], nets = [];
for(let i=0; i<data.depth_x.length; i++) {{
const t = data.depth_x[i];
bids.push({{ time: t, value: data.depth_bids[i] }});
asks.push({{ time: t, value: data.depth_asks[i] }});
nets.push({{ time: t, value: data.depth_net[i], color: data.depth_net[i] > 0 ? '#00ff9d' : '#ff3b3b' }});
}}
bidSeries.setData(bids);
askSeries.setData(asks);
netSeries.setData(nets);
}}
}};
ws.onclose = () => setTimeout(connect, 2000);
}}
connect();
}});
</script>
</body>
</html>
"""
# --- SERVER ---
async def kraken_worker():
global market_state
while True:
try:
async with websockets.connect("wss://ws.kraken.com/v2") as ws:
logging.info(f"π Connected to Kraken ({SYMBOL_KRAKEN})")
# SUBSCRIBE TO BOOK AND TRADES
await ws.send(json.dumps({
"method": "subscribe",
"params": {"channel": "book", "symbol": [SYMBOL_KRAKEN], "depth": 500}
}))
await ws.send(json.dumps({
"method": "subscribe",
"params": {"channel": "trade", "symbol": [SYMBOL_KRAKEN]}
}))
async for message in ws:
payload = json.loads(message)
channel = payload.get("channel")
data = payload.get("data", [])
if channel == "book":
for item in data:
for bid in item.get('bids', []):
q, p = float(bid['qty']), float(bid['price'])
if q == 0: market_state['bids'].pop(p, None)
else: market_state['bids'][p] = q
for ask in item.get('asks', []):
q, p = float(ask['qty']), float(ask['price'])
if q == 0: market_state['asks'].pop(p, None)
else: market_state['asks'][p] = q
if market_state['bids'] and market_state['asks']:
best_bid = max(market_state['bids'].keys())
best_ask = min(market_state['asks'].keys())
mid = (best_bid + best_ask) / 2
market_state['prev_mid'] = market_state['current_mid']
market_state['current_mid'] = mid
market_state['ready'] = True
now = time.time()
if not market_state['history'] or (now - market_state['history'][-1]['t'] > 0.5):
market_state['history'].append({'t': now, 'p': mid})
if len(market_state['history']) > HISTORY_LENGTH:
market_state['history'].pop(0)
elif channel == "trade":
# Process trades for volume history
for trade in data:
# Kraken Trade format: [price, qty, time, side, order_type, misc]
# side: 'buy' or 'sell'
try:
qty = float(trade['qty'])
side = trade['side'] # 'buy' or 'sell'
if side == 'buy':
market_state['current_vol_window']['buy'] += qty
else:
market_state['current_vol_window']['sell'] += qty
except:
pass
except Exception as e:
logging.warning(f"β οΈ Reconnecting: {e}")
await asyncio.sleep(3)
async def broadcast_worker():
while True:
if connected_clients and market_state['ready']:
payload = process_market_data()
msg = json.dumps(payload)
for ws in list(connected_clients):
try: await ws.send_str(msg)
except: pass
await asyncio.sleep(BROADCAST_RATE)
async def websocket_handler(request):
ws = web.WebSocketResponse()
await ws.prepare(request)
connected_clients.add(ws)
try:
async for msg in ws: pass
finally:
connected_clients.remove(ws)
return ws
async def handle_index(request):
return web.Response(text=HTML_PAGE, content_type='text/html')
async def start_background(app):
app['kraken_task'] = asyncio.create_task(kraken_worker())
app['broadcast_task'] = asyncio.create_task(broadcast_worker())
async def cleanup_background(app):
app['kraken_task'].cancel()
app['broadcast_task'].cancel()
try: await app['kraken_task']; await app['broadcast_task']
except: pass
async def main():
app = web.Application()
app.router.add_get('/', handle_index)
app.router.add_get('/ws', websocket_handler)
app.on_startup.append(start_background)
app.on_cleanup.append(cleanup_background)
runner = web.AppRunner(app)
await runner.setup()
site = web.TCPSite(runner, '0.0.0.0', PORT)
await site.start()
print(f"π Quant Dashboard: http://localhost:{PORT}")
await asyncio.Event().wait()
if __name__ == "__main__":
try: asyncio.run(main())
except KeyboardInterrupt: pass |