pj->UdZddlmZddlZddlZddlZddlZddlmZddl m Z ddl m Z m Z e ejj dZedz d z d z Ze d Zhd Zd ed<ddZddZddZedGddZdddZddZddZdd dZy)!uY Shared **VRP strategy + sleeve risk** configuration for parity between: * ``vrp_backtester.py`` (Theta / iVol / synthetic backtests) * ``live_ibkr_trader.py`` (IBKR) Single JSON file (default ``sleeve_risk_fractions.json``) holds: * ``sleeve_risk_fractions`` — per-regime risk fractions (same keys as ``Regime``) * ``overlay_risk_fractions`` — reserved for future in-engine overlays (passed to ``VRPBacktester``) * ``overlay_risk_cap_frac`` / ``total_risk_cap_frac`` — optional caps * ``strategy_params`` — optional scalars / leg-spec lists mirrored onto ``vrp_backtester`` module globals ) annotationsN) dataclass)Path)AnyLiteralRenTechstrategy_stackzsleeve_risk_fractions.json)pmccdiagonal r2_spreadnaked credit_spread>r rr r rzset[str]_VALID_SLEEVESc >i}|jD]\}}t|j}|tvrt d|dt tt |}tj|r d|cxkrdksnt d|d||||<|S)NzUnknown sleeve 'z '; valid: ?zsleeve_risk_fractions[''] must be in (0, 1], got ) itemsstrstripr ValueErrorsortedfloatmathisfiniterawoutkvkkfvs F/opt/rentech/trading_bot/RenTech/strategy_stack/vrp_strategy_config.py_validate_sleeve_fracsr% sC 1 V\\^ ^ #/t:f^>T=UVW W 1X b!cBo#o6rd:TUVTWXY YB Jc i}|jD]n\}}t|j}|s tdt |}t j |r d|cxkrdksntd|d||||<p|S)Nz*overlay_risk_fractions key cannot be emptyrrzoverlay_risk_fractions['r)rrrrrrrrs r$_validate_overlay_fracsr(-sC 1 V\\^IJ J 1X b!cBo#o7t;UVWUXYZ ZB Jr&c t|trt|dkrt|dg}t |D]\}}t|tt frt|dkrt|d|dt |d}t|d}t|djj}|dvrt|d|d |d|j|||f|S) Nrz9 must be a list of at least two [dte, delta, action] rows[z] must be [dte, delta, action]r)buysellz] action must be buy/sell, got ) isinstancelistlenr enumeratetupleintrrrlowerappend)rlabelrirowdtedeltaacts r$_coerce_credit_leg_specsr=:s c4 CHqLE7"[\]](*CC.&3#e}-SAwas*HIJ J#a&kc!f #a&k!'') o %was*I#a&TU U C$%& Jr&T)frozencNeZdZUdZded<ded<ded<ded<ded <d ed <y ) VRPStrategyConfigFilez4Parsed ``sleeve_risk_fractions.json`` (and friends).rpathdict[str, float]sleeve_risk_fractionsoverlay_risk_fractionsz float | Noneoverlay_risk_cap_fractotal_risk_cap_fracdict[str, Any]strategy_paramsN)__name__ __module__ __qualname____doc____annotations__r&r$r@r@Js(> J++,,''%%##r&r@c|t|jnt}|jst d|t j |jd}t|tstd||jdi}t|ts tdt|}|jdi}|t|ts tdt|xsi}|jd }| t|nd}|"d |cxkrd kstd td |jd } | t| nd} | "d | cxkrd kstdtd|jdi} | t| ts tdt| xsi} t|j!|||| | S)NzStrategy config not found: zutf-8)encodingzConfig must be a JSON object: rCz)'sleeve_risk_fractions' must be an objectrDz5'overlay_risk_fractions' must be an object or omittedrErrz'overlay_risk_cap_frac must be in (0, 1]rFz%total_risk_cap_frac must be in (0, 1]rHz.'strategy_params' must be an object or omitted)rArCrDrErFrH)r expanduserDEFAULT_STRATEGY_CONFIG_PATHis_fileFileNotFoundErrorjsonloads read_textr/dictrgetr%r(rr@resolve) rAppayload sleeve_rawsleevesov_rawoverlaysoc overlay_captc total_capsprHs r$load_strategy_config_filerfVs#'#3T 9UA 99;"=aS ABBjjg67G gt $9!=>>4b9J j$ 'DEE$Z0G [[12 6F *VT":PQQ&v|4H , -B!~%)4Kk(@S(@BCC)ABCC * +B^b IcI&<&<@AA'=@AA & +B ~jT2IJJ28nO YY[%')%'  r&cBt|}t|jS)zJBackward-compatible helper: return only ``sleeve_risk_fractions`` mapping.)rfrXrC)rAcfgs r$$load_sleeve_risk_fractions_from_jsonris #D )C )) **r&c syddlmcm}idtdtdtdtdtdtd td td td td tdtdtdtdtdtdttttttttd}dD]%\}}|vr ||}t ||||'dvrt dd|_nStfddDr?t dtddft dtddfg|_d vrt d d |_ d!vrt d!|_ d"vrtd"|_ d#vrtd#|_ d$vrt d$d$|_ d%vrt d%d%|_yy)&z Mutate ``vrp_backtester`` module-level constants from ``strategy_params`` JSON. This keeps ``VRPBacktester`` logic unchanged while allowing one JSON file to drive both Theta backtests and live trading parity. Nr vix_r1_max vix_r2_max vix_r3_maxr1_strangle_dte r1_call_delta r1_put_deltar1_time_stop_days r1_tp_frac r1_sl_fracrisk_fraction_per_trader2_put_spread_risk_fractionr2_risk_per_contractr2_tp_per_contractr2_sl_per_contractr2_time_stop_daysr2_spread_tp_fracr2_spread_time_stop_days) r3_tp_frac r3_sl_fracr3_time_stop_days r4_tp_fracr4_time_stop_dayssizing_min_max_risk_usdcontract_multiplier))rk VIX_R1_MAX)rl VIX_R2_MAX)rm VIX_R3_MAX)rnR1_STRANGLE_DTE)ro R1_CALL_DELTA)rp R1_PUT_DELTA)rqR1_TIME_STOP_DAYS)rr R1_TP_FRAC)rs R1_SL_FRAC)rtRISK_FRACTION_PER_TRADE)ruR2_PUT_SPREAD_RISK_FRACTION)rvR2_RISK_PER_CONTRACT)rwR2_TP_PER_CONTRACT)rxR2_SL_PER_CONTRACT)ryR2_TIME_STOP_DAYS)rzR2_SPREAD_TP_FRAC)r{R2_SPREAD_TIME_STOP_DAYS)r| R3_TP_FRAC)r} R3_SL_FRAC)r~R3_TIME_STOP_DAYS)r R4_TP_FRAC)rR4_TIME_STOP_DAYS)rSIZING_MIN_MAX_RISK_USD)rCONTRACT_MULTIPLIERr2_diag_leg_specs)r7c3&K|]}|v ywNrN).0r paramss r$ zAapply_strategy_params_to_vrp_backtester_module..s eQQ&[ es) r2_short_dter2_short_delta r2_long_dte r2_long_deltarrr.rrr-r2_credit_leg_specsr2_spread_target_dter2_spread_short_deltar2_spread_width_frac_of_spotr3_credit_leg_specsr4_credit_leg_specs)%RenTech.strategy_stack.vrp_backtesterr vrp_backtesterrr4setattrr=R2_DIAG_LEG_SPECSallR2_CREDIT_LEG_SPECSR2_SPREAD_TARGET_DTER2_SPREAD_SHORT_DELTAR2_SPREAD_WIDTH_FRAC_OF_SPOTR3_CREDIT_LEG_SPECSR4_CREDIT_LEG_SPECS)rmsimple_float_intjson_keyattrcasters` r$.apply_strategy_params_to_vrp_backtester_modulersu 55ee e 3      S e e "5 &u  e e S U!" #C#$  #($163$4 6 ! !(+4x 012;3@f$6v>Q7RZmn e"d e e ' (%7G0H*I6 R  & 'vo/F)G O  & 8 ( )1F! '!$V,B%C!D&("'/F(G"H%/).v6T/U)V&& 8 ( )1F! & 8 ( )1F! 'r&c4ddlmcm}|xstjd}|j }gd}|D]}t ||st||||< t|jdk\rxt|jdd|d<t|jdd|d<t|jdd|d <t|jdd|d <t|jdk\r2q>AaD"  2   A% 4 4Q 7 :;.#B$8$8$;A$>? r33A6q9:-"2#7#7#:1#=>/ 2 ! !"a' !7!7!:1!=>/$R%;%;A%>q%AB  2 ! !"a' 6 6q 9! <=.#B$:$:1$=a$@A "2#9#9!# r12&+B,K,K&L "#3r&)rrGreturnrB)rrr7rrzlist[tuple[int, float, str]]r)rAzstr | Path | Nonerr@)rAz str | PathrrB)rzdict[str, Any] | NonerNone)rztypes.ModuleType | Nonerr)rL __future__rrrUrtypes dataclassesrpathlibrtypingrr__file__rZparents_REPOrR RegimeStrrrMr%r(r=r@rfrirrrNr&r$rs # ! X ((+$y03CCFbb M N VV     $$$$(V+ b J@Mr&