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Alvin3y1 commited on 13 days ago

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3a80860

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1 Parent(s): bfed924

Update app.py

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Files changed (1) hide show

app.py +121 -5

app.py CHANGED Viewed

@@ -4,6 +4,7 @@ import logging
 import time
 import bisect
 import math
 from aiohttp import web
 import websockets
@@ -14,6 +15,10 @@ BROADCAST_RATE = 0.1
 DECAY_LAMBDA = 100.0
 IMPACT_SENSITIVITY = 0.5
 logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(message)s')
 market_state = {
@@ -28,6 +33,49 @@ market_state = {
 connected_clients = set()
 def analyze_structure(diff_x, diff_y, current_mid):
     if not diff_y or len(diff_y) < 5:
         return None
@@ -65,8 +113,19 @@ def process_market_data():
     mid = market_state['current_mid']
-    raw_bids = sorted(market_state['bids'].items(), key=lambda x: -x[0])[:300]
-    raw_asks = sorted(market_state['asks'].items(), key=lambda x: x[0])[:300]
     d_b_x, d_b_y, cum = [], [], 0
     for p, q in raw_bids:
@@ -119,7 +178,11 @@ def process_market_data():
         "depth_net": diff_y,
         "depth_bids": chart_bids,
         "depth_asks": chart_asks,
-        "analysis": analysis
     }
 HTML_PAGE = f"""
@@ -166,10 +229,13 @@ HTML_PAGE = f"""
         .stat-box {{ margin-bottom: 20px; padding: 10px; background: rgba(255,255,255,0.02); border-radius: 4px; }}
         .stat-label {{ font-size: 11px; color: #666; display: block; margin-bottom: 4px; }}
         .stat-value {{ font-size: 24px; font-weight: bold; }}
         .green {{ color: var(--accent-green); }}
         .red {{ color: var(--accent-red); }}
         #loader {{ position: absolute; top:0; left:0; width:100%; height:100%; background: rgba(0,0,0,0.95); z-index: 999; display: flex; flex-direction: column; justify-content: center; align-items: center; color: var(--accent-green); }}
     </style>
 </head>
 <body>
@@ -181,7 +247,7 @@ HTML_PAGE = f"""
     <div class="grid-container">
         <div id="p-price" class="panel">
-            <div class="panel-header"><span>BTC/USD Price Action</span><span id="live-price">---</span></div>
             <div id="tv-price"></div>
         </div>
@@ -207,6 +273,11 @@ HTML_PAGE = f"""
                     <span class="stat-label" style="color:var(--accent-green);">IMPACT PROJECTION</span>
                     <span id="proj-val" class="stat-value">---</span>
                 </div>
             </div>
         </div>
     </div>
@@ -218,7 +289,8 @@ HTML_PAGE = f"""
                 status: document.getElementById('loading-status'),
                 price: document.getElementById('live-price'),
                 scoreVal: document.getElementById('score-val'),
-                projVal: document.getElementById('proj-val')
             }};
             const chartCommon = {{
@@ -265,6 +337,9 @@ HTML_PAGE = f"""
                 lineWidth: 2
             }});
             const resizeObserver = new ResizeObserver(entries => {{
                 for(let entry of entries) {{
                     const {{width, height}} = entry.contentRect;
@@ -288,6 +363,7 @@ HTML_PAGE = f"""
                     if (data.error) return;
                     dom.loader.style.display = 'none';
                     const cleanHistory = [];
                     const seen = new Set();
                     data.history.forEach(d => {{
@@ -326,6 +402,46 @@ HTML_PAGE = f"""
                         }}
                     }}
                     if (data.depth_x && data.depth_x.length) {{
                         const netData = [];
                         const rawBids = [], rawAsks = [];

 import time
 import bisect
 import math
+import statistics
 from aiohttp import web
 import websockets
 DECAY_LAMBDA = 100.0
 IMPACT_SENSITIVITY = 0.5
+# Wall Detection Parameters
+Z_SCORE_THRESHOLD = 3.0  # Statistical significance threshold (3 sigma)
+WALL_LOOKBACK = 200      # How many order book levels to scan
 logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(message)s')
 market_state = {
 connected_clients = set()
+def detect_anomalies(orders, scan_depth):
+    """
+    Mathematically detects liquidity walls using Z-Score outlier detection.
+    Returns the top significant walls.
+    """
+    if len(orders) < 10:
+        return []
+    # Get volumes for the scan depth
+    relevant_orders = orders[:scan_depth]
+    volumes = [q for p, q in relevant_orders]
+    if not volumes:
+        return []
+    # Calculate Distribution Statistics
+    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:
+        # Calculate Z-Score
+        z_score = (qty - avg_vol) / stdev_vol
+        # If Z-Score > Threshold, it is a mathematically significant wall
+        if z_score > Z_SCORE_THRESHOLD:
+            walls.append({
+                "price": price,
+                "vol": qty,
+                "z_score": z_score
+            })
+    # Sort by Z-Score descending (strongest walls first) and take top 3
+    walls.sort(key=lambda x: x['z_score'], reverse=True)
+    return walls[:3]
 def analyze_structure(diff_x, diff_y, current_mid):
     if not diff_y or len(diff_y) < 5:
         return None
     mid = market_state['current_mid']
+    # Sort orders for processing
+    # Bids: High to Low
+    sorted_bids = sorted(market_state['bids'].items(), key=lambda x: -x[0])
+    # Asks: Low to High
+    sorted_asks = sorted(market_state['asks'].items(), key=lambda x: x[0])
+    raw_bids = sorted_bids[:300]
+    raw_asks = sorted_asks[:300]
+    # --- WALL DETECTION LOGIC ---
+    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 raw_bids:
         "depth_net": diff_y,
         "depth_bids": chart_bids,
         "depth_asks": chart_asks,
+        "analysis": analysis,
+        "walls": {
+            "bids": bid_walls,
+            "asks": ask_walls
+        }
     }
 HTML_PAGE = f"""
         .stat-box {{ margin-bottom: 20px; padding: 10px; background: rgba(255,255,255,0.02); border-radius: 4px; }}
         .stat-label {{ font-size: 11px; color: #666; display: block; margin-bottom: 4px; }}
         .stat-value {{ font-size: 24px; font-weight: bold; }}
+        .stat-sub {{ font-size: 10px; color: #888; margin-top: 5px; }}
         .green {{ color: var(--accent-green); }}
         .red {{ color: var(--accent-red); }}
         #loader {{ position: absolute; top:0; left:0; width:100%; height:100%; background: rgba(0,0,0,0.95); z-index: 999; display: flex; flex-direction: column; justify-content: center; align-items: center; color: var(--accent-green); }}
+        .wall-item {{ display: flex; justify-content: space-between; font-size: 11px; margin-bottom: 4px; padding: 4px; background: rgba(0,0,0,0.2); }}
     </style>
 </head>
 <body>
     <div class="grid-container">
         <div id="p-price" class="panel">
+            <div class="panel-header"><span>BTC/USD Price + Liquidity Walls</span><span id="live-price">---</span></div>
             <div id="tv-price"></div>
         </div>
                     <span class="stat-label" style="color:var(--accent-green);">IMPACT PROJECTION</span>
                     <span id="proj-val" class="stat-value">---</span>
                 </div>
+                <div class="stat-box">
+                    <span class="stat-label">DETECTED WALLS (Z-SCORE > 3)</span>
+                    <div id="wall-list">Waiting for data...</div>
+                </div>
             </div>
         </div>
     </div>
                 status: document.getElementById('loading-status'),
                 price: document.getElementById('live-price'),
                 scoreVal: document.getElementById('score-val'),
+                projVal: document.getElementById('proj-val'),
+                wallList: document.getElementById('wall-list')
             }};
             const chartCommon = {{
                 lineWidth: 2
             }});
+            // Refs for Price Lines (Walls)
+            let activePriceLines = [];
             const resizeObserver = new ResizeObserver(entries => {{
                 for(let entry of entries) {{
                     const {{width, height}} = entry.contentRect;
                     if (data.error) return;
                     dom.loader.style.display = 'none';
+                    // --- History & Prediction Plotting ---
                     const cleanHistory = [];
                     const seen = new Set();
                     data.history.forEach(d => {{
                         }}
                     }}
+                    // --- Wall Visualization ---
+                    if (data.walls) {{
+                        // Clear old lines
+                        activePriceLines.forEach(line => priceSeries.removePriceLine(line));
+                        activePriceLines = [];
+                        let wallHtml = "";
+                        // Draw Bid Walls
+                        data.walls.bids.forEach(w => {{
+                            const line = priceSeries.createPriceLine({{
+                                price: w.price,
+                                color: 'rgba(0, 230, 118, 0.8)',
+                                lineWidth: 1,
+                                lineStyle: 2,
+                                axisLabelVisible: true,
+                                title: `BUY WALL (Z: ${{w.z_score.toFixed(1)}})`,
+                            }});
+                            activePriceLines.push(line);
+                            wallHtml += `<div class="wall-item"><span class="green">BUY ${{w.price}}</span><span>Z: ${{w.z_score.toFixed(1)}}</span></div>`;
+                        }});
+                        // Draw Ask Walls
+                        data.walls.asks.forEach(w => {{
+                            const line = priceSeries.createPriceLine({{
+                                price: w.price,
+                                color: 'rgba(255, 23, 68, 0.8)',
+                                lineWidth: 1,
+                                lineStyle: 2,
+                                axisLabelVisible: true,
+                                title: `SELL WALL (Z: ${{w.z_score.toFixed(1)}})`,
+                            }});
+                            activePriceLines.push(line);
+                            wallHtml += `<div class="wall-item"><span class="red">SELL ${{w.price}}</span><span>Z: ${{w.z_score.toFixed(1)}}</span></div>`;
+                        }});
+                        dom.wallList.innerHTML = wallHtml || "No significant walls.";
+                    }}
+                    // --- Depth Charts ---
                     if (data.depth_x && data.depth_x.length) {{
                         const netData = [];
                         const rawBids = [], rawAsks = [];