Update app.py

app.py

@@ -3,6 +3,7 @@ import json
 import logging
 import time
 import bisect
+import math
 from aiohttp import web
 import websockets
 
@@ -12,6 +13,15 @@ PORT = 7860
 HISTORY_LENGTH = 300 
 BROADCAST_RATE = 0.1  # 10Hz updates
 
+# --- HFT Damping Configuration ---
+# DECAY_LAMBDA: Controls how fast "relevance" drops off with distance.
+# 100 means an order $100 away has ~36% weight. 50 is tighter (scalping), 200 is wider (swing).
+DECAY_LAMBDA = 100.0 
+
+# IMPACT_SENSITIVITY: Converts the weighted volume score into Price Impact ($).
+# Multiplier for the Square Root Law.
+IMPACT_SENSITIVITY = 0.5 
+
 # --- Logging ---
 logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(message)s')
 
@@ -28,17 +38,49 @@ market_state = {
 
 connected_clients = set()
 
-# --- AI Logic Helper ---
+# --- AI Logic Helper (HFT Version) ---
 def analyze_structure(diff_x, diff_y, current_mid):
+    """
+    Applies HFT Spatial Decay and Square Root Market Impact models.
+    Input:
+      diff_x: List of distances from mid ($).
+      diff_y: List of CUMULATIVE Net Liquidity (Bids - Asks).
+    """
     if not diff_y or len(diff_y) < 5:
         return None
 
-    # 1. Momentum Projection
-    net_total = diff_y[-1] # Total cumulative delta at max depth
-    momentum_shift = net_total * 0.2 
-    projected_price = current_mid + momentum_shift
+    weighted_imbalance = 0.0
+    prev_vol = 0.0
+    
+    # 1. Calculate Spatial Weighted Imbalance
+    for i in range(len(diff_x)):
+        dist = diff_x[i]
+        cum_vol = diff_y[i]
+        
+        # Unpack cumulative volume to get marginal volume at this step
+        marginal_vol = cum_vol - prev_vol
+        prev_vol = cum_vol
+        
+        # Apply Exponential Decay (Spatial Damping)
+        # Orders close to spread (dist=0) have weight 1.0
+        # Orders far away decay towards 0.0
+        weight = math.exp(-dist / DECAY_LAMBDA)
+        
+        weighted_imbalance += marginal_vol * weight
+
+    # 2. Calculate Market Impact (Square Root Law)
+    # Impact is not linear; it follows a square root function of volume.
+    if weighted_imbalance != 0:
+        impact = math.sqrt(abs(weighted_imbalance)) * IMPACT_SENSITIVITY
+        if weighted_imbalance < 0:
+            impact = -impact
+    else:
+        impact = 0.0
+
+    projected_price = current_mid + impact
 
-    # 2. Find Structural Reversals
+    # 3. Structural Reversals (Support/Resistance Scans)
+    # We still use the raw curve to find "Walls"
     support_level = None
     resistance_level = None
     
@@ -49,9 +91,11 @@ def analyze_structure(diff_x, diff_y, current_mid):
         curr_val = diff_y[i]
         dist = diff_x[i]
 
+        # Resistance: Net Liquidity flips from + to - (Buyer exhaustion / Seller Wall)
         if prev_val > 0 and curr_val < 0 and resistance_level is None:
             resistance_level = current_mid + dist
 
+        # Support: Net Liquidity flips from - to + (Seller exhaustion / Buyer Wall)
         if prev_val < 0 and curr_val > 0 and support_level is None:
             support_level = current_mid - dist
 
@@ -59,7 +103,7 @@ def analyze_structure(diff_x, diff_y, current_mid):
         "projected": projected_price,
         "support": support_level,
         "resistance": resistance_level,
-        "net_score": net_total
+        "net_score": weighted_imbalance # Sending the decay-weighted score
     }
 
 def process_market_data():
@@ -88,20 +132,25 @@ def process_market_data():
             d_a_x.append(d); d_a_y.append(cum)
 
     # Calculate Net Liquidity Curve (Depth)
+    # We interpolate to ensure bids and asks are compared at the exact same distances
     diff_x, diff_y = [], []
     if d_b_x and d_a_x:
         max_dist = min(d_b_x[-1], d_a_x[-1])
+        # Resolution: 100 steps across the available depth
         step_size = max_dist / 100
         steps = [i * step_size for i in range(1, 101)]
         
         for s in steps:
+            # Find cumulative bid vol at distance s
             idx_b = bisect.bisect_right(d_b_x, s)
             vol_b = d_b_y[idx_b-1] if idx_b > 0 else 0
+            
+            # Find cumulative ask vol at distance s
             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.append(vol_b - vol_a)
+            diff_y.append(vol_b - vol_a) # Cumulative Net Imbalance
 
     analysis = analyze_structure(diff_x, diff_y, mid)
     
@@ -128,7 +177,7 @@ HTML_PAGE = f"""
 <html lang="en">
 <head>
     <meta charset="UTF-8">
-    <title>AI Liquidity Dashboard | {SYMBOL_KRAKEN}</title>
+    <title>HFT Liquidity Dashboard | {SYMBOL_KRAKEN}</title>
     <script src="https://unpkg.com/lightweight-charts@4.1.1/dist/lightweight-charts.standalone.production.js"></script>
     <style>
         :root {{
@@ -141,11 +190,11 @@ HTML_PAGE = f"""
         }}
         body {{ margin: 0; padding: 0; background-color: var(--bg-color); color: var(--text-main); font-family: monospace; overflow: hidden; height: 100vh; width: 100vw; }}
         
-        /* Updated Grid for 3 Rows in Main Column */
+        /* Grid Layout: 3 Rows in Main Column */
         .grid-container {{ 
             display: grid; 
             grid-template-columns: 3fr 1fr; 
-            grid-template-rows: 2fr 1fr 1fr; /* Price (50%), Trend (25%), Depth (25%) */
+            grid-template-rows: 2fr 1fr 1fr; 
             gap: 4px; 
             height: 100vh; 
             padding: 4px; 
@@ -155,7 +204,7 @@ HTML_PAGE = f"""
         .panel {{ background: #12141a; border: 1px solid var(--border); border-radius: 4px; position: relative; display: flex; flex-direction: column; overflow: hidden; }}
         
         #p-price {{ grid-column: 1 / 2; grid-row: 1 / 2; }}
-        #p-trend {{ grid-column: 1 / 2; grid-row: 2 / 3; }} /* NEW PANEL */
+        #p-trend {{ grid-column: 1 / 2; grid-row: 2 / 3; }} 
         #p-depth {{ grid-column: 1 / 2; grid-row: 3 / 4; }}
         #p-stats {{ grid-column: 2 / 3; grid-row: 1 / 4; border-left: 2px solid #45a29e; }}
 
@@ -186,44 +235,43 @@ HTML_PAGE = f"""
     </div>
 
     <div class="grid-container">
-        
         <!-- ROW 1: PRICE -->
         <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>
 
-        <!-- ROW 2: LIQUIDITY TREND (NEW) -->
+        <!-- ROW 2: LIQUIDITY TREND -->
         <div id="p-trend" class="panel">
-            <div class="panel-header"><span>Net Liquidity Trend (Time Series)</span><span id="live-trend">0.0</span></div>
+            <div class="panel-header"><span>HFT Weighted Imbalance (Decay {DECAY_LAMBDA})</span><span id="live-trend">0.0</span></div>
             <div id="tv-trend"></div>
         </div>
 
         <!-- ROW 3: DEPTH STRUCTURE -->
         <div id="p-depth" class="panel">
-            <div class="panel-header"><span>Market Depth (Snapshot)</span><span>Range: $100</span></div>
+            <div class="panel-header"><span>Net Liquidity Structure</span><span>Range: $100</span></div>
             <div id="tv-depth"></div>
         </div>
 
         <!-- COL 2: STATS -->
         <div id="p-stats" class="panel">
-            <div class="panel-header">ANALYTICS ENGINE</div>
+            <div class="panel-header">HFT ANALYTICS ENGINE</div>
             <div class="stats-content">
                 <div class="stat-box">
-                    <span class="stat-label">NET LIQUIDITY SCORE</span>
+                    <span class="stat-label">WEIGHTED IMBALANCE SCORE</span>
                     <span id="score-val" class="stat-value">0</span>
                 </div>
                 <div class="stat-box">
-                    <span class="stat-label">KEY STRUCTURE</span>
+                    <span class="stat-label">MARKET STRUCTURE</span>
                     <div style="display:flex; justify-content:space-between;"><span>RESIST:</span><span id="res-val" class="red">---</span></div>
                     <div style="display:flex; justify-content:space-between;"><span>SUPPORT:</span><span id="sup-val" class="green">---</span></div>
                 </div>
                 <div class="stat-box" style="border: 1px solid #444;">
-                    <span class="stat-label" style="color:var(--accent-green);">AI PROJECTION</span>
+                    <span class="stat-label" style="color:var(--accent-green);">IMPACT PROJECTION</span>
                     <span id="proj-val" class="stat-value">---</span>
                 </div>
                 <div class="terminal-box">
-                    <div class="term-header">> SYSTEM LOGS</div>
+                    <div class="term-header">> ALGO LOGS</div>
                     <div id="term-logs"></div>
                 </div>
             </div>
@@ -264,14 +312,13 @@ HTML_PAGE = f"""
                 ...chartCommon,
                 rightPriceScale: {{ scaleMargins: {{ top: 0.1, bottom: 0.1 }} }}
             }});
-            // Baseline: Positive = Green, Negative = Red
             const trendSeries = trendChart.addBaselineSeries({{
                 baseValue: {{ type: 'price', price: 0 }},
                 topLineColor: '#66fcf1', topFillColor1: 'rgba(102, 252, 241, 0.28)', topFillColor2: 'rgba(102, 252, 241, 0.05)',
                 bottomLineColor: '#ff3b3b', bottomFillColor1: 'rgba(255, 59, 59, 0.28)', bottomFillColor2: 'rgba(255, 59, 59, 0.05)',
             }});
 
-            // 3. Depth Chart (Custom Format)
+            // 3. Depth Chart
             const depthChart = LightweightCharts.createChart(document.getElementById('tv-depth'), {{
                 ...chartCommon,
                 timeScale: {{ tickMarkFormatter: (time) => parseFloat(time).toFixed(0) }},
@@ -326,17 +373,16 @@ HTML_PAGE = f"""
                         const last = cleanHistory[cleanHistory.length-1];
                         dom.price.innerText = last.value.toLocaleString(undefined, {{minimumFractionDigits: 2}});
                         
-                        // Analysis Overlays
                         if (data.analysis) {{
                             const {{ projected, support, resistance, net_score }} = data.analysis;
                             
                             predSeries.setData([last, {{ time: last.time + 60, value: projected }}]);
-                            dom.projVal.innerText = projected.toFixed(0);
+                            dom.projVal.innerText = projected.toLocaleString(undefined, {{minimumFractionDigits: 0, maximumFractionDigits: 0}});
 
                             // Sync Trend Chart Value
-                            dom.trend.innerText = net_score.toFixed(1);
+                            dom.trend.innerText = net_score.toFixed(2);
                             dom.trend.style.color = net_score >= 0 ? 'var(--accent-green)' : 'var(--accent-red)';
-                            dom.scoreVal.innerText = net_score.toFixed(1);
+                            dom.scoreVal.innerText = net_score.toFixed(2);
                             dom.scoreVal.className = net_score > 0 ? "stat-value green" : "stat-value red";
 
                             // S/R Lines
@@ -357,9 +403,9 @@ HTML_PAGE = f"""
                                 if (resistanceLine) {{ priceSeries.removePriceLine(resistanceLine); resistanceLine = null; }}
                             }}
 
-                            // AI Logs
-                            if (Math.abs(net_score) > 50 && Math.random() > 0.98) {{
-                                log(net_score > 0 ? "Momentum: Strong Buy" : "Momentum: Strong Sell", net_score > 0 ? 'bull' : 'bear');
+                            // AI Logs based on Weighted Score
+                            if (Math.abs(net_score) > 20 && Math.random() > 0.98) {{
+                                log(net_score > 0 ? "Momentum: Buying Pressure" : "Momentum: Selling Pressure", net_score > 0 ? 'bull' : 'bear');
                             }}
                         }}
                     }}