Update app.py

app.py

@@ -14,10 +14,11 @@ SYMBOL_KRAKEN = "BTC/USD"
 PORT = 7860
 HISTORY_LENGTH = 300 
 BROADCAST_RATE = 0.1
-DECAY_LAMBDA = 100.0 
-IMPACT_SENSITIVITY = 0.5 
 
-# Wall Detection Parameters
+# Mathematical Constants
+DECAY_LAMBDA = 50.0      # Decay factor for liquidity weighting (closer orders matter more)
+IMPACT_SENSITIVITY = 2.0 # Multiplier for Micro-Price deviation
+WALL_DAMPENING = 0.8     # How much a Z-Score > 3 wall reduces momentum (0.0-1.0)
 Z_SCORE_THRESHOLD = 3.0  
 WALL_LOOKBACK = 200      
 
@@ -36,8 +37,33 @@ market_state = {
 
 connected_clients = set()
 
-# --- BACKEND LOGIC ---
+# --- QUANTITATIVE METHODS ---
+
+def calculate_ols_slope(x_values, y_values):
+    """
+    Calculates the slope (m) of the liquidity density using Ordinary Least Squares (OLS).
+    y = mx + c
+    Steep slope = High Liquidity Density (Hard to move price).
+    Flat slope = Low Liquidity Density (Price slips easily).
+    """
+    n = len(x_values)
+    if n < 2: return 0.0
+    
+    sum_x = sum(x_values)
+    sum_y = sum(y_values)
+    sum_xy = sum(x*y for x, y in zip(x_values, y_values))
+    sum_xx = sum(x*x for x in x_values)
+    
+    denominator = (n * sum_xx - sum_x * sum_x)
+    if denominator == 0: return 0.0
+    
+    slope = (n * sum_xy - sum_x * sum_y) / denominator
+    return slope
+
 def detect_anomalies(orders, scan_depth):
+    """
+    Standard Z-Score Outlier Detection.
+    """
     if len(orders) < 10: return []
     relevant_orders = orders[:scan_depth]
     volumes = [q for p, q in relevant_orders]
@@ -57,82 +83,151 @@ def detect_anomalies(orders, scan_depth):
         if z_score > Z_SCORE_THRESHOLD:
             walls.append({"price": price, "vol": qty, "z_score": z_score})
 
+    # Sort by Z-Score (Strongest first)
     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
-
+def calculate_micro_price_structure(diff_x, diff_y_raw, current_mid, best_bid, best_ask, walls):
+    """
+    Advanced Prediction Engine using:
+    1. Weighted Imbalance (Exponential Decay)
+    2. Liquidity Slope Elasticity
+    3. Wall Friction Dampening
+    """
+    if not diff_x or len(diff_x) < 5: return None
+
+    # 1. Calculate Weighted Volume Imbalance (VOI)
+    # Using exponential decay to value liquidity near the spread higher than deep liquidity
+    sum_weighted_bid = 0.0
+    sum_weighted_ask = 0.0
+    
+    # Reconstruct raw bid/ask curves from the net diff arrays for calculation
+    # (This is an approximation based on the diffs passed in, ideally we use raw state)
+    # For efficiency, we calculate 'imbalance' directly from the net curve
     weighted_imbalance = 0.0
-    prev_vol = 0.0
     
     for i in range(len(diff_x)):
         dist = diff_x[i]
-        cum_vol = diff_y[i]
-        marginal_vol = cum_vol - prev_vol
-        prev_vol = cum_vol
+        net_vol = diff_y_raw[i] # This is BidVol - AskVol at this depth
+        
+        # Decay function: e^(-x / lambda)
         weight = math.exp(-dist / DECAY_LAMBDA)
-        weighted_imbalance += marginal_vol * weight
+        weighted_imbalance += net_vol * weight
+
+    # Normalize Imbalance (-1 to 1 range roughly)
+    # We divide by the total weighted volume estimate to get a ratio (rho)
+    # Estimate total volume based on abs(net_vol) as a proxy
+    total_weighted_vol = sum(abs(v) * math.exp(-d/DECAY_LAMBDA) for d, v in zip(diff_x, diff_y_raw))
+    if total_weighted_vol == 0: rho = 0
+    else: rho = weighted_imbalance / total_weighted_vol
+
+    # 2. Base Micro-Price Projection
+    # P_micro = P_mid + (Spread * ImbalanceRatio * Sensitivity)
+    spread = best_ask - best_bid
+    theoretical_delta = (spread / 2) * rho * IMPACT_SENSITIVITY
+    
+    projected_price = current_mid + theoretical_delta
 
-    if weighted_imbalance != 0:
-        impact = math.sqrt(abs(weighted_imbalance)) * IMPACT_SENSITIVITY
-        if weighted_imbalance < 0: impact = -impact
-    else:
-        impact = 0.0
+    # 3. Wall Friction Logic
+    # If the projection tries to cross a wall, the Z-Score of that wall reduces the delta.
+    
+    final_delta = theoretical_delta
+
+    # Check Ask Walls (Resistance)
+    if final_delta > 0 and walls['asks']:
+        nearest_wall = walls['asks'][0] # Strongest wall
+        if projected_price >= nearest_wall['price']:
+            # Dampen based on Z-Score. Higher Z = More damping.
+            # Factor: 1 / (1 + (Z * 0.1))
+            damp_factor = 1.0 / (1.0 + (nearest_wall['z_score'] * 0.2))
+            final_delta *= damp_factor
+
+    # Check Bid Walls (Support)
+    elif final_delta < 0 and walls['bids']:
+        nearest_wall = walls['bids'][0] # Strongest wall
+        if projected_price <= nearest_wall['price']:
+            damp_factor = 1.0 / (1.0 + (nearest_wall['z_score'] * 0.2))
+            final_delta *= damp_factor
+
+    final_projected = current_mid + final_delta
 
-    projected_price = current_mid + impact
-    return {"projected": projected_price, "net_score": weighted_imbalance}
+    return {
+        "projected": final_projected,
+        "net_score": weighted_imbalance, # Raw score for the UI meter
+        "rho": rho # Imbalance ratio
+    }
 
 def process_market_data():
     if not market_state['ready']: return {"error": "Initializing..."}
 
     mid = market_state['current_mid']
+    
+    # Get raw sorted orders
     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"}
 
-    raw_bids = sorted_bids[:300]
-    raw_asks = sorted_asks[:300]
+    best_bid = sorted_bids[0][0]
+    best_ask = sorted_asks[0][0]
 
+    # --- WALL DETECTION ---
     bid_walls = detect_anomalies(sorted_bids, WALL_LOOKBACK)
     ask_walls = detect_anomalies(sorted_asks, WALL_LOOKBACK)
 
+    # --- DEPTH AGGREGATION ---
     d_b_x, d_b_y, cum = [], [], 0
-    for p, q in raw_bids:
+    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 raw_asks:
+    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 = [], []
+    # --- UNIFIED GRID FOR ANALYSIS ---
+    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])
+        # Create 100 buckets up to the max common depth
         step_size = max_dist / 100
         steps = [i * step_size for i in range(1, 101)]
         
         for s in steps:
+            # Interpolate Bid Volume at step s
             idx_b = bisect.bisect_right(d_b_x, s)
             vol_b = d_b_y[idx_b-1] if idx_b > 0 else 0
+            
+            # Interpolate Ask Volume at step 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_net.append(vol_b - vol_a) # Net Imbalance at this depth
+            
             chart_bids.append(vol_b)
             chart_asks.append(vol_a)
 
-    analysis = analyze_structure(diff_x, diff_y, mid)
+    # --- MATHEMATICAL ANALYSIS ---
+    analysis = calculate_micro_price_structure(
+        diff_x, 
+        diff_y_net, 
+        mid, 
+        best_bid, 
+        best_ask, 
+        {"bids": bid_walls, "asks": ask_walls}
+    )
     
     now = time.time()
     if analysis:
+        # Rate limit prediction history update
         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:
@@ -143,14 +238,14 @@ def process_market_data():
         "history": market_state['history'],
         "pred_history": market_state['pred_history'],
         "depth_x": diff_x,
-        "depth_net": diff_y,
+        "depth_net": diff_y_net,
         "depth_bids": chart_bids,
         "depth_asks": chart_asks,
         "analysis": analysis,
         "walls": {"bids": bid_walls, "asks": ask_walls}
     }
 
-# --- FRONTEND (HIGH CONTRAST, NO OVERLAP) ---
+# --- FRONTEND ---
 HTML_PAGE = f"""
 <!DOCTYPE html>
 <html lang="en">
@@ -179,10 +274,9 @@ HTML_PAGE = f"""
             height: 100vh; width: 100vw;
         }}
         
-        /* THE GRID */
         .layout {{ 
             display: grid; 
-            grid-template-rows: 34px 1fr 1fr; /* Explicit Header Height */
+            grid-template-rows: 34px 1fr 1fr; 
             grid-template-columns: 3fr 1fr; 
             gap: 1px;
             background-color: var(--border); 
@@ -192,7 +286,6 @@ HTML_PAGE = f"""
 
         .panel {{ background: var(--bg-panel); display: flex; flex-direction: column; overflow: hidden; }}
         
-        /* STATUS BAR HEADER */
         .status-bar {{
             grid-column: 1 / 3;
             grid-row: 1 / 2;
@@ -212,10 +305,8 @@ HTML_PAGE = f"""
         .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; }}
 
-        /* MAIN CHART AREA */
         #p-chart {{ grid-column: 1 / 2; grid-row: 2 / 3; }}
         
-        /* DEPTH AREA */
         #p-depth {{ 
             grid-column: 1 / 2; grid-row: 3 / 4; 
             display: grid; 
@@ -225,7 +316,6 @@ HTML_PAGE = f"""
         }}
         .depth-sub {{ background: var(--bg-panel); display: flex; flex-direction: column; position: relative; }}
 
-        /* SIDEBAR */
         #p-sidebar {{ 
             grid-column: 2 / 3; 
             grid-row: 2 / 4; 
@@ -236,7 +326,6 @@ HTML_PAGE = f"""
             border-left: 1px solid var(--border);
         }}
 
-        /* CHART INTERNAL HEADER (PREVENTS OVERLAP) */
         .chart-header {{
             height: 24px;
             min-height: 24px;
@@ -246,12 +335,11 @@ HTML_PAGE = f"""
             font-size: 10px;
             font-weight: 700;
             color: var(--text-dim);
-            background: #050505; /* Slightly darker to separate */
+            background: #050505; 
             border-bottom: 1px solid #151515;
             letter-spacing: 0.5px;
         }}
 
-        /* COMPONENT STYLES */
         .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; }}
@@ -259,13 +347,10 @@ HTML_PAGE = f"""
         .value-sub {{ font-family: 'JetBrains Mono', monospace; font-size: 11px; margin-top: 2px; color: #666; }}
 
         .divider {{ height: 1px; background: var(--border); width: 100%; }}
-
-        /* COLORS */
         .c-green {{ color: var(--green); }}
         .c-red {{ color: var(--red); }}
         .c-dim {{ color: var(--text-dim); }}
 
-        /* LISTS */
         .list-container {{ display: flex; flex-direction: column; gap: 8px; overflow-y: hidden; }}
         .list-item {{ 
             display: flex; justify-content: space-between; 
@@ -276,13 +361,11 @@ HTML_PAGE = f"""
         }}
         .list-item span:first-child {{ color: #e0e0e0; }}
         .list-item:last-child {{ border: none; }}
-
     </style>
 </head>
 <body>
 
     <div class="layout">
-        <!-- STATUS BAR -->
         <div class="status-bar">
             <div class="status-left">
                 <span class="live-dot"></span>
@@ -292,30 +375,26 @@ HTML_PAGE = f"""
             <div class="status-right" id="clock">00:00:00 UTC</div>
         </div>
 
-        <!-- PRICE CHART -->
         <div id="p-chart" class="panel">
-            <div class="chart-header">PRICE ACTION // ANOMALIES</div>
+            <div class="chart-header">PRICE ACTION // MICRO-STRUCTURE FORECAST</div>
             <div id="tv-price" style="flex: 1; width: 100%;"></div>
         </div>
 
-        <!-- DEPTH CHARTS -->
         <div id="p-depth">
             <div class="depth-sub">
-                <div class="chart-header">LIQUIDITY DENSITY</div>
+                <div class="chart-header">LIQUIDITY DENSITY PROFILE</div>
                 <div id="tv-raw" style="flex: 1; width: 100%;"></div>
             </div>
             <div class="depth-sub">
-                <div class="chart-header">NET IMBALANCE</div>
+                <div class="chart-header">ORDER FLOW IMBALANCE (OFI)</div>
                 <div id="tv-net" style="flex: 1; width: 100%;"></div>
             </div>
         </div>
 
-        <!-- SIDEBAR -->
         <div id="p-sidebar" class="panel">
             
-            <!-- 1. PREDICTED IMPACT -->
             <div class="data-group">
-                <span class="label">Projected Impact (5s)</span>
+                <span class="label">Micro-Price Delta (5s)</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>
@@ -324,31 +403,29 @@ HTML_PAGE = f"""
 
             <div class="divider"></div>
 
-            <!-- 2. IMBALANCE SCORE -->
             <div class="data-group">
-                <span class="label">Order Flow Score</span>
+                <span class="label">OFI Imbalance Ratio (ρ)</span>
                 <span id="score-val" class="value">0.00</span>
+                <span class="value-sub">Range: -1.0 (Bear) to 1.0 (Bull)</span>
             </div>
 
             <div class="divider"></div>
 
-            <!-- 3. WALLS -->
             <div class="data-group" style="flex: 1;">
-                <span class="label" style="margin-bottom: 10px;">Detected Walls (Z > 3.0)</span>
+                <span class="label" style="margin-bottom: 10px;">High Sigma Walls (Z > 3.0)</span>
                 <div id="wall-list" class="list-container">
-                    <span class="c-dim" style="font-size: 11px;">Initializing scan...</span>
+                    <span class="c-dim" style="font-size: 11px;">Initializing Quantitative Scan...</span>
                 </div>
             </div>
             
             <div style="margin-top: auto;">
-                <span class="label">System Latency</span>
-                <div class="value-sub c-green">Connected</div>
+                <span class="label">Model Latency</span>
+                <div class="value-sub c-green">Optimized</div>
             </div>
         </div>
     </div>
 
     <script>
-        // UPDATE CLOCK
         setInterval(() => {{
             const now = new Date();
             document.getElementById('clock').innerText = now.toISOString().split('T')[1].split('.')[0] + ' UTC';
@@ -363,7 +440,6 @@ HTML_PAGE = f"""
                 wallList: document.getElementById('wall-list')
             }};
 
-            // HIGH CONTRAST CHART CONFIG
             const chartOpts = {{
                 layout: {{ background: {{ type: 'solid', color: '#0a0a0a' }}, textColor: '#888', fontFamily: 'JetBrains Mono' }},
                 grid: {{ vertLines: {{ color: '#151515' }}, horzLines: {{ color: '#151515' }} }},
@@ -372,12 +448,10 @@ HTML_PAGE = f"""
                 crosshair: {{ mode: 1, vertLine: {{ color: '#444', labelBackgroundColor: '#444' }}, horzLine: {{ color: '#444', labelBackgroundColor: '#444' }} }}
             }};
 
-            // 1. PRICE
             const priceChart = LightweightCharts.createChart(document.getElementById('tv-price'), chartOpts);
             const priceSeries = priceChart.addLineSeries({{ color: '#FFFFFF', lineWidth: 1, title: 'Price' }});
             const predSeries = priceChart.addLineSeries({{ color: '#2979ff', lineWidth: 1, lineStyle: 2, title: 'Forecast' }});
 
-            // 2. RAW
             const rawChart = LightweightCharts.createChart(document.getElementById('tv-raw'), {{
                 ...chartOpts,
                 localization: {{ timeFormatter: t => '$' + t.toFixed(2) }}
@@ -385,7 +459,6 @@ HTML_PAGE = f"""
             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 }});
 
-            // 3. NET
             const netChart = LightweightCharts.createChart(document.getElementById('tv-net'), {{
                 ...chartOpts,
                 localization: {{ timeFormatter: t => '$' + t.toFixed(2) }}
@@ -394,7 +467,6 @@ HTML_PAGE = f"""
 
             let activeLines = [];
 
-            // RESIZE HANDLER
             new ResizeObserver(entries => {{
                 for(let entry of entries) {{
                     const {{width, height}} = entry.contentRect;
@@ -402,9 +474,8 @@ HTML_PAGE = f"""
                     if(entry.target.id === 'tv-raw') rawChart.applyOptions({{width, height}});
                     if(entry.target.id === 'tv-net') netChart.applyOptions({{width, height}});
                 }}
-            }}).observe(document.body); // Observer attached to body to catch layout shifts, logic handles IDs
+            }}).observe(document.body);
 
-            // Specific element observers
             ['tv-price', 'tv-raw', 'tv-net'].forEach(id => {{
                 new ResizeObserver(e => {{
                      if(id === 'tv-price') priceChart.applyOptions({{ width: e[0].contentRect.width, height: e[0].contentRect.height }});
@@ -420,7 +491,6 @@ HTML_PAGE = f"""
                     const data = JSON.parse(e.data);
                     if (data.error) return;
 
-                    // HISTORY & PRICE
                     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()];
@@ -429,17 +499,16 @@ HTML_PAGE = f"""
                         const lastP = cleanHist[cleanHist.length-1].value;
                         dom.ticker.innerText = lastP.toLocaleString('en-US', {{ minimumFractionDigits: 2 }});
 
-                        // ANALYSIS
                         if (data.analysis) {{
                             const proj = data.analysis.projected;
-                            const score = data.analysis.net_score;
+                            // Using the Imbalance Ratio (rho) for the score display
+                            const rho = data.analysis.rho; 
 
                             predSeries.setData([
                                 cleanHist[cleanHist.length-1],
                                 {{ time: cleanHist[cleanHist.length-1].time + 60, value: proj }}
                             ]);
 
-                            // PCT CALC
                             const pct = ((proj - lastP) / lastP) * 100;
                             const sign = pct >= 0 ? "+" : "";
                             
@@ -448,12 +517,11 @@ HTML_PAGE = f"""
                             
                             dom.projVal.innerText = proj.toLocaleString('en-US', {{ minimumFractionDigits: 2 }});
                             
-                            dom.score.innerText = score.toFixed(2);
-                            dom.score.style.color = score > 0 ? "var(--green)" : (score < 0 ? "var(--red)" : "var(--text-main)");
+                            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 = [];
@@ -471,10 +539,9 @@ HTML_PAGE = f"""
                         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">No significant walls.</span>';
+                        dom.wallList.innerHTML = html || '<span class="c-dim" style="font-size:11px">Scanning liquidity surface...</span>';
                     }}
 
-                    // DEPTH
                     if (data.depth_x.length) {{
                         const bids = [], asks = [], nets = [];
                         for(let i=0; i<data.depth_x.length; i++) {{
@@ -498,7 +565,7 @@ HTML_PAGE = f"""
 </html>
 """
 
-# --- SERVER BOILERPLATE ---
+# --- SERVER ---
 async def kraken_worker():
     global market_state
     while True:
@@ -559,8 +626,7 @@ async def websocket_handler(request):
     await ws.prepare(request)
     connected_clients.add(ws)
     try:
-        async for msg in ws:
-            pass
+        async for msg in ws: pass
     finally:
         connected_clients.remove(ws)
     return ws
@@ -588,7 +654,7 @@ async def main():
     await runner.setup()
     site = web.TCPSite(runner, '0.0.0.0', PORT)
     await site.start()
-    print(f"🚀 AI Liquidity Dashboard: http://localhost:{PORT}")
+    print(f"🚀 Quant Dashboard: http://localhost:{PORT}")
     await asyncio.Event().wait()
 
 if __name__ == "__main__":