wayfinder-paths 0.1.6__py3-none-any.whl → 0.1.8__py3-none-any.whl

wayfinder_paths/strategies/basis_trading_strategy/snapshot_mixin.py

@@ -0,0 +1,1011 @@
+"""
+Basis trading snapshot/backtest helpers.
+
+Kept as a mixin so the main strategy file stays readable without changing behavior.
+"""
+
+from __future__ import annotations
+
+import asyncio
+import json
+import os
+import time
+from datetime import UTC, datetime
+from decimal import ROUND_DOWN, Decimal
+from pathlib import Path
+from typing import Any
+
+
+class BasisSnapshotMixin:
+    def _build_safe_entry(
+        self,
+        *,
+        horizon: int,
+        deposit_usdc: float,
+        leverage: int,
+        entry_mmr: float,
+        margin_table_id: int | None,
+        max_coin_leverage: int,
+        fee_eps: float,
+        mark_price: float,
+        spot_asset_id: int,
+        perp_asset_id: int,
+        depth_checks: dict[str, dict[str, Any]],
+        hourly_funding: list[float],
+        closes: list[float],
+        highs: list[float],
+        net_apy: float,
+        gross_apy: float,
+        entry_cost_usd: float,
+        exit_cost_usd: float,
+    ) -> dict[str, Any]:
+        """Build the `safe[horizon]` entry matching Django output shape."""
+        L = max(1, int(leverage))
+
+        depth_checks = depth_checks or {}
+        depth_checks = {
+            key: (value.copy() if isinstance(value, dict) else value)
+            for key, value in depth_checks.items()
+        }
+
+        if mark_price <= 0 or deposit_usdc <= 0:
+            return {
+                "safe_leverage": 0,
+                "buffer_fraction_required": 0.0,
+                "per_leg_notional": 0.0,
+                "spot_usdc": 0.0,
+                "perp_margin_usdc": 0.0,
+                "spot_amount": 0.0,
+                "perp_amount": 0.0,
+                "m_notional_multiple": 0.0,
+                "expected_apy_before_fees": float(gross_apy),
+                "note": "Insufficient inputs for sizing",
+                "depth_check": depth_checks,
+            }
+
+        unit_step = self._common_unit_step(spot_asset_id, perp_asset_id)
+        mark = Decimal(str(mark_price))
+        N_max = Decimal(str(deposit_usdc)) * Decimal(L) / (Decimal(L) + Decimal(1))
+        units = (N_max / mark / unit_step).to_integral_value(
+            rounding=ROUND_DOWN
+        ) * unit_step
+
+        if units <= 0:
+            return {
+                "safe_leverage": 0,
+                "buffer_fraction_required": 0.0,
+                "per_leg_notional": 0.0,
+                "spot_usdc": 0.0,
+                "perp_margin_usdc": 0.0,
+                "spot_amount": 0.0,
+                "perp_amount": 0.0,
+                "m_notional_multiple": 0.0,
+                "expected_apy_before_fees": float(gross_apy),
+                "note": "Deposit too small for venue lot size",
+                "depth_check": depth_checks,
+            }
+
+        spot_amount_units = self.round_size_for_hypecore_asset(
+            spot_asset_id, float(units), ensure_min_step=True
+        )
+        perp_amount_units = self.round_size_for_hypecore_asset(
+            perp_asset_id, float(units), ensure_min_step=True
+        )
+
+        Nq = Decimal(str(spot_amount_units)) * mark
+        spot_usdc = float(Nq)
+        perp_margin_usdc = float(Nq / Decimal(L)) if L > 0 else 0.0
+        m_notional = float(Decimal(L) / (Decimal(L) + Decimal(1))) if L > 0 else 0.0
+
+        base_notional = float(Nq)
+        coin_max_lev = max(1, int(max_coin_leverage) if max_coin_leverage else L)
+        fallback_buffer = float(
+            (
+                entry_mmr
+                if entry_mmr > 0
+                else self.maintenance_rate_from_max_leverage(coin_max_lev)
+            )
+            + fee_eps
+        )
+
+        window = 24 * max(1, int(horizon))
+        if (
+            len(hourly_funding) <= window
+            or len(closes) <= window
+            or len(highs) <= window
+        ):
+            B_star = fallback_buffer
+        else:
+            B_star = float(
+                self._buffer_requirement_tiered(
+                    closes=closes,
+                    highs=highs,
+                    hourly_funding=hourly_funding,
+                    window=window,
+                    margin_table_id=margin_table_id,
+                    base_notional=base_notional,
+                    fallback_max_leverage=coin_max_lev,
+                    fee_eps=fee_eps,
+                    require_full_window=True,
+                )
+            )
+
+        note = (
+            f"Net APY {net_apy:.2%}, gross {gross_apy:.2%}, costs(entry {entry_cost_usd:.2f},"
+            f" exit {exit_cost_usd:.2f})"
+        )
+
+        return {
+            "safe_leverage": int(L),
+            "buffer_fraction_required": float(B_star),
+            "per_leg_notional": float(Nq),
+            "spot_usdc": float(spot_usdc),
+            "perp_margin_usdc": float(perp_margin_usdc),
+            "spot_amount": float(spot_amount_units),
+            "perp_amount": float(perp_amount_units),
+            "m_notional_multiple": float(m_notional),
+            "expected_apy_before_fees": float(gross_apy),
+            "note": note,
+            "depth_check": depth_checks,
+        }
+
+    async def find_best_trade_with_backtest(
+        self,
+        *,
+        deposit_usdc: float,
+        stop_frac: float = 0.75,
+        lookback_days: int = 180,
+        oi_floor: float = 50.0,
+        day_vlm_floor: float = 1e5,
+        max_leverage: int = 3,
+        fee_eps: float = 0.003,
+        fee_model: dict[str, float] | None = None,
+        depth_params: dict[str, Any] | None = None,
+        perp_slippage_bps: float = 1.0,
+        cooloff_hours: int = 0,
+        horizons_days: list[int] | None = None,
+        bootstrap_sims: int | None = None,
+        bootstrap_block_hours: int | None = None,
+        bootstrap_seed: int | None = None,
+    ) -> dict[str, Any] | None:
+        """Return the top-ranked candidate with solver diagnostics for downstream use."""
+
+        bootstrap_sims = int(
+            self.DEFAULT_BOOTSTRAP_SIMS if bootstrap_sims is None else bootstrap_sims
+        )
+        bootstrap_block_hours = int(
+            self.DEFAULT_BOOTSTRAP_BLOCK_HOURS
+            if bootstrap_block_hours is None
+            else bootstrap_block_hours
+        )
+
+        ranked = await self.solve_candidates_max_net_apy_with_stop(
+            deposit_usdc=deposit_usdc,
+            stop_frac=stop_frac,
+            lookback_days=lookback_days,
+            oi_floor=oi_floor,
+            day_vlm_floor=day_vlm_floor,
+            max_leverage=max_leverage,
+            fee_eps=fee_eps,
+            fee_model=fee_model,
+            depth_params=depth_params,
+            perp_slippage_bps=perp_slippage_bps,
+            cooloff_hours=cooloff_hours,
+            bootstrap_sims=bootstrap_sims,
+            bootstrap_block_hours=bootstrap_block_hours,
+            bootstrap_seed=bootstrap_seed,
+        )
+        if not ranked:
+            return None
+
+        best = dict(ranked[0])
+        horizons = horizons_days or [1, 7]
+
+        if best.get("margin_table_id"):
+            await self._get_margin_table_tiers(int(best["margin_table_id"]))
+
+        ms_now = int(time.time() * 1000)
+        start_ms = ms_now - int(int(lookback_days) * 24 * 3600 * 1000)
+
+        (funding_ok, funding_data), (candles_ok, candle_data) = await asyncio.gather(
+            self._fetch_funding_history_chunked(best["coin"], start_ms, ms_now),
+            self._fetch_candles_chunked(best["coin"], "1h", start_ms, ms_now),
+        )
+        hourly_funding = (
+            [float(x.get("fundingRate", 0.0)) for x in funding_data]
+            if funding_ok
+            else []
+        )
+        closes = (
+            [float(c.get("c", 0)) for c in candle_data if c.get("c")]
+            if candles_ok
+            else []
+        )
+        highs = (
+            [float(c.get("h", 0)) for c in candle_data if c.get("h")]
+            if candles_ok
+            else []
+        )
+
+        safe_map: dict[str, dict[str, Any]] = {}
+        depth_checks = best.get("depth_checks") or {}
+
+        for horizon in horizons:
+            safe_entry = self._build_safe_entry(
+                horizon=horizon,
+                deposit_usdc=deposit_usdc,
+                leverage=int(best.get("best_L", 0) or 0),
+                entry_mmr=float(best.get("mmr", 0.0) or 0.0),
+                margin_table_id=best.get("margin_table_id"),
+                max_coin_leverage=int(best.get("max_coin_leverage", 0) or 0),
+                fee_eps=fee_eps,
+                mark_price=float(best.get("mark_price", 0.0) or 0.0),
+                spot_asset_id=int(best.get("spot_asset_id", 0) or 0),
+                perp_asset_id=int(best.get("perp_asset_id", 0) or 0),
+                depth_checks=depth_checks,
+                hourly_funding=hourly_funding,
+                closes=closes,
+                highs=highs,
+                net_apy=float(best.get("net_apy", 0.0) or 0.0),
+                gross_apy=float(best.get("gross_funding_apy", 0.0) or 0.0),
+                entry_cost_usd=float(best.get("entry_cost_usd", 0.0) or 0.0),
+                exit_cost_usd=float(best.get("exit_cost_usd", 0.0) or 0.0),
+            )
+            safe_map[str(horizon)] = safe_entry
+
+        best["safe"] = safe_map
+        best["deposit_usdc"] = float(deposit_usdc)
+        best["stop_frac"] = float(stop_frac)
+        best["lookback_days"] = int(lookback_days)
+        best["oi_floor"] = float(oi_floor)
+        best["day_vlm_floor"] = float(day_vlm_floor)
+        best["max_leverage_limit"] = int(max_leverage)
+        best["fee_eps"] = float(fee_eps)
+        best["perp_slippage_bps"] = float(perp_slippage_bps)
+        best["cooloff_hours"] = int(cooloff_hours)
+        best["horizons_days"] = list(horizons)
+
+        best["backtest"] = {
+            key: best[key]
+            for key in (
+                "coin",
+                "spot_pair",
+                "spot_asset_id",
+                "perp_asset_id",
+                "best_L",
+                "net_apy",
+                "gross_funding_apy",
+                "entry_cost_usd",
+                "exit_cost_usd",
+                "cycles",
+                "hit_rate_per_day",
+                "avg_hold_hours",
+                "time_in_market_frac",
+                "stop_frac",
+                "mmr",
+                "margin_table_id",
+                "max_coin_leverage",
+                "cost_breakdown",
+                "depth_checks",
+            )
+            if key in best
+        }
+
+        return best
+
+    def _hour_bucket_start(self, ts: datetime | None = None) -> datetime:
+        now = ts or datetime.now(UTC)
+        return now.replace(minute=0, second=0, microsecond=0, tzinfo=UTC)
+
+    async def build_batch_snapshot(
+        self,
+        *,
+        score_deposit_usdc: float = 1000.0,
+        stop_frac: float | None = None,
+        lookback_days: int | None = None,
+        oi_floor: float | None = None,
+        day_vlm_floor: float | None = None,
+        max_leverage: int | None = None,
+        fee_eps: float | None = None,
+        fee_model: dict[str, float] | None = None,
+        depth_params: dict[str, Any] | None = None,
+        perp_slippage_bps: float = 1.0,
+        cooloff_hours: int = 0,
+        coin_whitelist: list[str] | None = None,
+        bootstrap_sims: int | None = None,
+        bootstrap_block_hours: int | None = None,
+        bootstrap_seed: int | None = None,
+    ) -> dict[str, Any]:
+        """
+        Build an hourly, shareable snapshot of:
+        - performance table (net APY + churn stats)
+        - liquidity capacity per pair (max order/deposit supported by depth checks)
+
+        Intended for batch jobs: compute once, distribute to workers, and have workers
+        filter by user deposit size without re-hitting Hyperliquid APIs.
+        """
+        stop_frac = float(
+            stop_frac if stop_frac is not None else self.LIQUIDATION_REBALANCE_THRESHOLD
+        )
+        lookback_days = int(
+            lookback_days if lookback_days is not None else self.DEFAULT_LOOKBACK_DAYS
+        )
+        oi_floor = float(oi_floor if oi_floor is not None else self.DEFAULT_OI_FLOOR)
+        day_vlm_floor = float(
+            day_vlm_floor if day_vlm_floor is not None else self.DEFAULT_DAY_VLM_FLOOR
+        )
+        max_leverage = int(
+            max_leverage if max_leverage is not None else self.DEFAULT_MAX_LEVERAGE
+        )
+        fee_eps = float(fee_eps if fee_eps is not None else self.DEFAULT_FEE_EPS)
+        bootstrap_sims = int(
+            bootstrap_sims
+            if bootstrap_sims is not None
+            else (self._cfg_get("bootstrap_sims", self.DEFAULT_BOOTSTRAP_SIMS) or 0)
+        )
+        bootstrap_block_hours = int(
+            bootstrap_block_hours
+            if bootstrap_block_hours is not None
+            else (
+                self._cfg_get(
+                    "bootstrap_block_hours", self.DEFAULT_BOOTSTRAP_BLOCK_HOURS
+                )
+                or 0
+            )
+        )
+        if bootstrap_seed is None:
+            cfg_seed = self._cfg_get("bootstrap_seed")
+            bootstrap_seed = int(cfg_seed) if cfg_seed is not None else None
+        else:
+            bootstrap_seed = int(bootstrap_seed)
+
+        whitelist = (
+            {coin.upper() for coin in coin_whitelist} if coin_whitelist else None
+        )
+
+        (
+            success,
+            perps_ctx_pack,
+        ) = await self.hyperliquid_adapter.get_meta_and_asset_ctxs()
+        if not success:
+            raise ValueError(f"Failed to fetch perp metadata: {perps_ctx_pack}")
+
+        perps_meta_list = perps_ctx_pack[0]["universe"]
+        perps_ctxs = perps_ctx_pack[1]
+
+        coin_to_ctx: dict[str, Any] = {}
+        coin_to_maxlev: dict[str, int] = {}
+        coin_to_margin_table: dict[str, int | None] = {}
+        coins: list[str] = []
+        for meta, ctx in zip(perps_meta_list, perps_ctxs, strict=False):
+            coin = meta["name"]
+            coin_to_ctx[coin] = ctx
+            coin_to_maxlev[coin] = int(meta.get("maxLeverage", 10))
+            coin_to_margin_table[coin] = meta.get("marginTableId")
+            coins.append(coin)
+        perps_set = set(coins)
+
+        perp_coin_to_asset_id = {
+            k: v for k, v in self.hyperliquid_adapter.coin_to_asset.items() if v < 10000
+        }
+
+        success, spot_meta = await self.hyperliquid_adapter.get_spot_meta()
+        if not success:
+            raise ValueError(f"Failed to fetch spot metadata: {spot_meta}")
+
+        tokens = spot_meta.get("tokens", [])
+        spot_pairs = spot_meta.get("universe", [])
+        idx_to_token = {t["index"]: t["name"] for t in tokens}
+
+        candidates = self._find_basis_candidates(spot_pairs, idx_to_token, perps_set)
+
+        ms_now = int(time.time() * 1000)
+        start_ms = ms_now - int(lookback_days * 24 * 3600 * 1000)
+
+        snapshot_candidates: list[dict[str, Any]] = []
+
+        for spot_sym, coin, spot_asset_id in candidates:
+            if whitelist is not None and coin.upper() not in whitelist:
+                continue
+
+            ctx = coin_to_ctx.get(coin, {})
+            oi_base = float(ctx.get("openInterest") or 0.0)
+            mark_px = float(ctx.get("markPx") or 0.0)
+            day_ntl_usd = float(ctx.get("dayNtlVlm") or 0.0)
+            if mark_px <= 0:
+                continue
+
+            perp_asset_id = perp_coin_to_asset_id.get(coin)
+            if perp_asset_id is None:
+                continue
+
+            oi_usd = oi_base * mark_px
+            if oi_usd < oi_floor or day_ntl_usd < day_vlm_floor:
+                continue
+
+            raw_max_lev = coin_to_maxlev.get(coin, max_leverage)
+            coin_max_lev = int(raw_max_lev) if raw_max_lev else max_leverage
+            max_available_lev = max(1, min(max_leverage, coin_max_lev))
+            margin_table_id = coin_to_margin_table.get(coin)
+
+            try:
+                spot_book = await self._l2_book_spot(
+                    spot_asset_id, fallback_mid=mark_px, spot_symbol=spot_sym
+                )
+            except Exception as exc:  # noqa: BLE001
+                self.logger.warning(f"Skipping {spot_sym}: L2 fetch error: {exc}")
+                continue
+
+            cap = await self.max_spot_order_usd_for_book(
+                spot_asset_id=spot_asset_id,
+                spot_symbol=spot_sym,
+                book=spot_book,
+                day_ntl_usd=day_ntl_usd,
+                params=depth_params,
+            )
+            max_order_usd = float(cap.get("max_order_usd") or 0.0)
+            if max_order_usd <= 0.0:
+                continue
+
+            if margin_table_id:
+                await self._get_margin_table_tiers(int(margin_table_id))
+
+            (
+                (funding_ok, funding_data),
+                (candles_ok, candle_data),
+            ) = await asyncio.gather(
+                self._fetch_funding_history_chunked(coin, start_ms, ms_now),
+                self._fetch_candles_chunked(coin, "1h", start_ms, ms_now),
+            )
+            if not funding_ok or not candles_ok:
+                continue
+
+            hourly_funding = [float(x.get("fundingRate", 0.0)) for x in funding_data]
+            closes = [float(c.get("c", 0)) for c in candle_data if c.get("c")]
+            highs = [float(c.get("h", 0)) for c in candle_data if c.get("h")]
+
+            n_ok = min(len(hourly_funding), len(closes), len(highs))
+            if n_ok < (lookback_days * 24 - 48):
+                continue
+
+            options: list[dict[str, Any]] = []
+
+            for L in range(1, max_available_lev + 1):
+                deposit_min = self._min_deposit_needed(
+                    mark_price=mark_px,
+                    leverage=L,
+                    spot_asset_id=spot_asset_id,
+                    perp_asset_id=perp_asset_id,
+                )
+                deposit_max = max_order_usd * (float(L) + 1.0) / float(L)
+                if deposit_max < deposit_min:
+                    continue
+
+                # Use a small safety factor when scoring at the top of capacity to
+                # avoid borderline pass/fail due to book rounding / float noise.
+                deposit_max_safe = deposit_max * 0.98
+                score_dep = min(float(score_deposit_usdc), float(deposit_max_safe))
+                if score_dep < deposit_min:
+                    score_dep = float(deposit_min)
+
+                order_usd = score_dep * (float(L) / (float(L) + 1.0))
+
+                entry_mmr = self.maintenance_fraction_for_notional(
+                    margin_table_id,
+                    order_usd,
+                    max_available_lev,
+                )
+
+                (
+                    entry_cost,
+                    exit_cost,
+                    cost_breakdown,
+                    depth_checks,
+                ) = await self._estimate_cycle_costs(
+                    N_leg_usd=order_usd,
+                    spot_asset_id=spot_asset_id,
+                    spot_book=spot_book,
+                    fee_model=fee_model,
+                    depth_params=depth_params,
+                    perp_slippage_bps=perp_slippage_bps,
+                    day_ntl_usd=day_ntl_usd,
+                    spot_symbol=spot_sym,
+                )
+
+                # Ensure scoring uses a passing depth state. If it doesn't, shrink.
+                if not (
+                    bool((depth_checks.get("buy") or {}).get("pass"))
+                    and bool((depth_checks.get("sell") or {}).get("pass"))
+                ):
+                    # Fall back to a smaller, clearly safe order size.
+                    order_usd = min(order_usd, max_order_usd * 0.5)
+                    score_dep = order_usd * (float(L) + 1.0) / float(L)
+                    (
+                        entry_cost,
+                        exit_cost,
+                        cost_breakdown,
+                        depth_checks,
+                    ) = await self._estimate_cycle_costs(
+                        N_leg_usd=order_usd,
+                        spot_asset_id=spot_asset_id,
+                        spot_book=spot_book,
+                        fee_model=fee_model,
+                        depth_params=depth_params,
+                        perp_slippage_bps=perp_slippage_bps,
+                        day_ntl_usd=day_ntl_usd,
+                        spot_symbol=spot_sym,
+                    )
+
+                sim = self._simulate_barrier_backtest(
+                    funding=hourly_funding,
+                    closes=closes,
+                    highs=highs,
+                    leverage=L,
+                    stop_frac=stop_frac,
+                    fee_eps=fee_eps,
+                    N_leg_usd=order_usd,
+                    entry_cost_usd=entry_cost,
+                    exit_cost_usd=exit_cost,
+                    margin_table_id=margin_table_id,
+                    fallback_max_leverage=max_available_lev,
+                    cooloff_hours=cooloff_hours,
+                )
+
+                hours = max(1.0, float(sim["hours"]))
+                years = hours / (24.0 * 365.0)
+                net_apy = (float(sim["net_pnl_usd"]) / max(1e-9, score_dep)) / years
+                gross_apy = (
+                    float(sim["gross_funding_usd"]) / max(1e-9, score_dep)
+                ) / years
+                hit_rate_per_day = (
+                    float(sim["cycles"]) / (hours / 24.0) if hours > 0 else 0.0
+                )
+                avg_hold_hours = (
+                    float(sim["hours_in_market"]) / max(1.0, float(sim["cycles"]))
+                    if float(sim["cycles"]) > 0
+                    else hours
+                )
+                time_in_market = float(sim["hours_in_market"]) / hours
+
+                bootstrap_stats = self._bootstrap_churn_metrics(
+                    funding=hourly_funding,
+                    closes=closes,
+                    highs=highs,
+                    leverage=L,
+                    stop_frac=stop_frac,
+                    fee_eps=fee_eps,
+                    N_leg_usd=order_usd,
+                    entry_cost_usd=entry_cost,
+                    exit_cost_usd=exit_cost,
+                    margin_table_id=margin_table_id,
+                    fallback_max_leverage=max_available_lev,
+                    cooloff_hours=cooloff_hours,
+                    deposit_usdc=score_dep,
+                    sims=bootstrap_sims,
+                    block_hours=bootstrap_block_hours,
+                    seed=None
+                    if bootstrap_seed is None
+                    else hash((bootstrap_seed, coin, L)),
+                )
+
+                opt: dict[str, Any] = {
+                    "leverage": int(L),
+                    "deposit_used_usdc": float(score_dep),
+                    "deposit_min_usdc": float(deposit_min),
+                    "deposit_max_usdc": float(deposit_max),
+                    "order_usd": float(order_usd),
+                    "net_apy": float(net_apy),
+                    "gross_funding_apy": float(gross_apy),
+                    "entry_cost_usd": float(entry_cost),
+                    "exit_cost_usd": float(exit_cost),
+                    "cycles": float(sim["cycles"]),
+                    "hit_rate_per_day": float(hit_rate_per_day),
+                    "avg_hold_hours": float(avg_hold_hours),
+                    "time_in_market_frac": float(time_in_market),
+                    "stop_frac": float(stop_frac),
+                    "mmr": float(entry_mmr),
+                    "margin_table_id": margin_table_id,
+                    "max_coin_leverage": int(max_available_lev),
+                    "cost_breakdown": cost_breakdown,
+                    "depth_checks": depth_checks,
+                    "perp_asset_id": int(perp_asset_id),
+                    "spot_asset_id": int(spot_asset_id),
+                    "mark_price": float(mark_px),
+                }
+                if bootstrap_stats is not None:
+                    opt["bootstrap_metrics"] = bootstrap_stats
+
+                options.append(opt)
+
+            if not options:
+                continue
+
+            best_opt = max(
+                options, key=lambda o: float(o.get("net_apy", float("-inf")))
+            )
+
+            snapshot_candidates.append(
+                {
+                    "coin": coin,
+                    "spot_pair": spot_sym,
+                    "spot_asset_id": int(spot_asset_id),
+                    "perp_asset_id": int(perp_asset_id),
+                    "mark_price": float(mark_px),
+                    "open_interest_usd": float(oi_usd),
+                    "day_notional_usd": float(day_ntl_usd),
+                    "margin_table_id": margin_table_id,
+                    "max_coin_leverage": int(max_available_lev),
+                    "liquidity": {
+                        "max_order_usd": float(max_order_usd),
+                        "upper_bound_usd": float(cap.get("upper_bound_usd") or 0.0),
+                        "checks_at_capacity": cap.get("checks"),
+                        "depth_params": depth_params or None,
+                    },
+                    "options": options,
+                    "best": best_opt,
+                }
+            )
+
+        snapshot_candidates.sort(
+            key=lambda c: float((c.get("best") or {}).get("net_apy", float("-inf"))),
+            reverse=True,
+        )
+
+        bucket = self._hour_bucket_start()
+        return {
+            "kind": "basis_trading_batch_snapshot",
+            "generated_at": int(time.time() * 1000),
+            "hour_bucket_utc": bucket.isoformat(),
+            "params": {
+                "score_deposit_usdc": float(score_deposit_usdc),
+                "stop_frac": float(stop_frac),
+                "lookback_days": int(lookback_days),
+                "oi_floor": float(oi_floor),
+                "day_vlm_floor": float(day_vlm_floor),
+                "max_leverage": int(max_leverage),
+                "fee_eps": float(fee_eps),
+                "fee_model": fee_model or None,
+                "depth_params": depth_params or None,
+                "perp_slippage_bps": float(perp_slippage_bps),
+                "cooloff_hours": int(cooloff_hours),
+                "bootstrap_sims": int(bootstrap_sims),
+                "bootstrap_block_hours": int(bootstrap_block_hours),
+                "bootstrap_seed": bootstrap_seed,
+                "coin_whitelist": sorted(whitelist) if whitelist is not None else None,
+            },
+            "candidates": snapshot_candidates,
+        }
+
+    def opportunities_from_snapshot(
+        self,
+        *,
+        snapshot: dict[str, Any],
+        deposit_usdc: float,
+    ) -> list[dict[str, Any]]:
+        """Filter a batch snapshot for a specific deposit size."""
+        if deposit_usdc <= 0:
+            return []
+
+        candidates = snapshot.get("candidates", [])
+        if not isinstance(candidates, list):
+            return []
+
+        opportunities: list[dict[str, Any]] = []
+        for candidate in candidates:
+            if not isinstance(candidate, dict):
+                continue
+            options = candidate.get("options", [])
+            if not isinstance(options, list):
+                continue
+
+            feasible: list[dict[str, Any]] = []
+            for opt in options:
+                if not isinstance(opt, dict):
+                    continue
+                dep_min = float(opt.get("deposit_min_usdc", 0.0) or 0.0)
+                dep_max = float(opt.get("deposit_max_usdc", 0.0) or 0.0)
+                if dep_min <= float(deposit_usdc) <= dep_max:
+                    feasible.append(opt)
+
+            if not feasible:
+                continue
+
+            best_opt = max(
+                feasible, key=lambda o: float(o.get("net_apy", float("-inf")))
+            )
+            L = int(best_opt.get("leverage", 1) or 1)
+            order_usd = float(deposit_usdc) * (float(L) / (float(L) + 1.0))
+            out = {
+                "coin": candidate.get("coin"),
+                "spot_pair": candidate.get("spot_pair"),
+                "spot_asset_id": candidate.get("spot_asset_id"),
+                "perp_asset_id": candidate.get("perp_asset_id"),
+                "mark_price": candidate.get("mark_price"),
+                "open_interest_usd": candidate.get("open_interest_usd"),
+                "day_notional_usd": candidate.get("day_notional_usd"),
+                "liquidity": candidate.get("liquidity"),
+                "selection": dict(best_opt),
+                "deposit_usdc": float(deposit_usdc),
+                "order_usd": float(order_usd),
+            }
+            opportunities.append(out)
+
+        opportunities.sort(
+            key=lambda o: float(
+                (o.get("selection") or {}).get("net_apy", float("-inf"))
+            ),
+            reverse=True,
+        )
+        return opportunities
+
+    async def score_opportunity_from_snapshot(
+        self,
+        *,
+        opportunity: dict[str, Any],
+        deposit_usdc: float,
+        horizons_days: list[int] | None = None,
+        stop_frac: float = 0.75,
+        lookback_days: int = 45,
+        fee_eps: float = 0.003,
+        fee_model: dict[str, float] | None = None,
+        depth_params: dict[str, Any] | None = None,
+        perp_slippage_bps: float = 1.0,
+        cooloff_hours: int = 0,
+        bootstrap_sims: int = 0,
+        bootstrap_block_hours: int = 48,
+        bootstrap_seed: int | None = None,
+    ) -> dict[str, Any] | None:
+        """
+        Given a snapshot-selected opportunity, recompute a full single-coin backtest
+        + safe sizing for the user's exact deposit size using fresh market data.
+
+        This avoids running the full cross-asset scan on every worker.
+        """
+        if deposit_usdc <= 0:
+            return None
+
+        coin = opportunity.get("coin")
+        spot_pair = opportunity.get("spot_pair")
+        spot_asset_id = opportunity.get("spot_asset_id")
+        perp_asset_id = opportunity.get("perp_asset_id")
+        if not isinstance(coin, str) or not coin:
+            return None
+        if not isinstance(spot_pair, str) or not spot_pair:
+            spot_pair = coin
+        if not isinstance(spot_asset_id, int) or not isinstance(perp_asset_id, int):
+            return None
+
+        selection = opportunity.get("selection") or {}
+        if not isinstance(selection, dict):
+            selection = {}
+        L = int(selection.get("leverage") or selection.get("best_L") or 1)
+        L = max(1, L)
+
+        day_ntl_usd = float(opportunity.get("day_notional_usd", 0.0) or 0.0)
+        mark_price = float(opportunity.get("mark_price", 0.0) or 0.0)
+        margin_table_id = opportunity.get("margin_table_id")
+        margin_table_id = int(margin_table_id) if margin_table_id is not None else None
+        max_coin_leverage = int(opportunity.get("max_coin_leverage", L) or L)
+
+        bootstrap_seed_val: int | None
+        if bootstrap_seed is None:
+            bootstrap_seed_val = None
+        else:
+            bootstrap_seed_val = int(bootstrap_seed)
+
+        # Refresh book for precise sizing + costs
+        spot_book = await self._l2_book_spot(
+            spot_asset_id, fallback_mid=mark_price or None, spot_symbol=spot_pair
+        )
+
+        order_usd = float(deposit_usdc) * (float(L) / (float(L) + 1.0))
+
+        (
+            entry_cost,
+            exit_cost,
+            cost_breakdown,
+            depth_checks,
+        ) = await self._estimate_cycle_costs(
+            N_leg_usd=order_usd,
+            spot_asset_id=spot_asset_id,
+            spot_book=spot_book,
+            fee_model=fee_model,
+            depth_params=depth_params,
+            perp_slippage_bps=perp_slippage_bps,
+            day_ntl_usd=day_ntl_usd if day_ntl_usd > 0 else None,
+            spot_symbol=spot_pair,
+        )
+
+        if not (
+            bool((depth_checks.get("buy") or {}).get("pass"))
+            and bool((depth_checks.get("sell") or {}).get("pass"))
+        ):
+            return None
+
+        if margin_table_id:
+            await self._get_margin_table_tiers(int(margin_table_id))
+
+        ms_now = int(time.time() * 1000)
+        start_ms = ms_now - int(int(lookback_days) * 24 * 3600 * 1000)
+
+        (funding_ok, funding_data), (candles_ok, candle_data) = await asyncio.gather(
+            self._fetch_funding_history_chunked(coin, start_ms, ms_now),
+            self._fetch_candles_chunked(coin, "1h", start_ms, ms_now),
+        )
+        if not funding_ok or not candles_ok:
+            return None
+
+        hourly_funding = [float(x.get("fundingRate", 0.0)) for x in funding_data]
+        closes = [float(c.get("c", 0)) for c in candle_data if c.get("c")]
+        highs = [float(c.get("h", 0)) for c in candle_data if c.get("h")]
+
+        n_ok = min(len(hourly_funding), len(closes), len(highs))
+        if n_ok < (int(lookback_days) * 24 - 48):
+            return None
+
+        entry_mmr = self.maintenance_fraction_for_notional(
+            margin_table_id,
+            order_usd,
+            max_coin_leverage,
+        )
+
+        sim = self._simulate_barrier_backtest(
+            funding=hourly_funding,
+            closes=closes,
+            highs=highs,
+            leverage=L,
+            stop_frac=stop_frac,
+            fee_eps=fee_eps,
+            N_leg_usd=order_usd,
+            entry_cost_usd=entry_cost,
+            exit_cost_usd=exit_cost,
+            margin_table_id=margin_table_id,
+            fallback_max_leverage=max_coin_leverage,
+            cooloff_hours=cooloff_hours,
+        )
+
+        hours = max(1.0, float(sim["hours"]))
+        years = hours / (24.0 * 365.0)
+        net_apy = (float(sim["net_pnl_usd"]) / max(1e-9, float(deposit_usdc))) / years
+        gross_apy = (
+            float(sim["gross_funding_usd"]) / max(1e-9, float(deposit_usdc))
+        ) / years
+        hit_rate_per_day = float(sim["cycles"]) / (hours / 24.0) if hours > 0 else 0.0
+        avg_hold_hours = (
+            float(sim["hours_in_market"]) / max(1.0, float(sim["cycles"]))
+            if float(sim["cycles"]) > 0
+            else hours
+        )
+        time_in_market = float(sim["hours_in_market"]) / hours
+
+        bootstrap_stats = self._bootstrap_churn_metrics(
+            funding=hourly_funding,
+            closes=closes,
+            highs=highs,
+            leverage=L,
+            stop_frac=stop_frac,
+            fee_eps=fee_eps,
+            N_leg_usd=order_usd,
+            entry_cost_usd=entry_cost,
+            exit_cost_usd=exit_cost,
+            margin_table_id=margin_table_id,
+            fallback_max_leverage=max_coin_leverage,
+            cooloff_hours=cooloff_hours,
+            deposit_usdc=float(deposit_usdc),
+            sims=int(bootstrap_sims),
+            block_hours=int(bootstrap_block_hours),
+            seed=None
+            if bootstrap_seed_val is None
+            else hash((bootstrap_seed_val, coin, L, int(deposit_usdc))),
+        )
+
+        horizons = horizons_days or [1, 7]
+        safe_map: dict[str, dict[str, Any]] = {}
+        for horizon in horizons:
+            safe_map[str(horizon)] = self._build_safe_entry(
+                horizon=int(horizon),
+                deposit_usdc=float(deposit_usdc),
+                leverage=L,
+                entry_mmr=float(entry_mmr),
+                margin_table_id=margin_table_id,
+                max_coin_leverage=max_coin_leverage,
+                fee_eps=float(fee_eps),
+                mark_price=float(mark_price),
+                spot_asset_id=int(spot_asset_id),
+                perp_asset_id=int(perp_asset_id),
+                depth_checks=depth_checks,
+                hourly_funding=hourly_funding,
+                closes=closes,
+                highs=highs,
+                net_apy=float(net_apy),
+                gross_apy=float(gross_apy),
+                entry_cost_usd=float(entry_cost),
+                exit_cost_usd=float(exit_cost),
+            )
+
+        out: dict[str, Any] = {
+            "coin": coin,
+            "spot_pair": spot_pair,
+            "spot_asset_id": int(spot_asset_id),
+            "perp_asset_id": int(perp_asset_id),
+            "best_L": int(L),
+            "net_apy": float(net_apy),
+            "gross_funding_apy": float(gross_apy),
+            "entry_cost_usd": float(entry_cost),
+            "exit_cost_usd": float(exit_cost),
+            "cycles": float(sim["cycles"]),
+            "hit_rate_per_day": float(hit_rate_per_day),
+            "avg_hold_hours": float(avg_hold_hours),
+            "time_in_market_frac": float(time_in_market),
+            "stop_frac": float(stop_frac),
+            "mmr": float(entry_mmr),
+            "margin_table_id": margin_table_id,
+            "max_coin_leverage": int(max_coin_leverage),
+            "cost_breakdown": cost_breakdown,
+            "depth_checks": depth_checks,
+            "mark_price": float(mark_price),
+            "safe": safe_map,
+            "deposit_usdc": float(deposit_usdc),
+            "lookback_days": int(lookback_days),
+            "fee_eps": float(fee_eps),
+            "perp_slippage_bps": float(perp_slippage_bps),
+            "cooloff_hours": int(cooloff_hours),
+            "horizons_days": list(horizons),
+        }
+        if bootstrap_stats is not None:
+            out["bootstrap_metrics"] = bootstrap_stats
+
+        out["backtest"] = {
+            key: out[key]
+            for key in (
+                "coin",
+                "spot_pair",
+                "spot_asset_id",
+                "perp_asset_id",
+                "best_L",
+                "net_apy",
+                "gross_funding_apy",
+                "entry_cost_usd",
+                "exit_cost_usd",
+                "cycles",
+                "hit_rate_per_day",
+                "avg_hold_hours",
+                "time_in_market_frac",
+                "stop_frac",
+                "mmr",
+                "margin_table_id",
+                "max_coin_leverage",
+                "cost_breakdown",
+                "depth_checks",
+            )
+            if key in out
+        }
+
+        return out
+
+    def load_snapshot_from_path(self, snapshot_path: str) -> dict[str, Any]:
+        p = Path(snapshot_path)
+        raw = p.read_text()
+        data = json.loads(raw)
+        if not isinstance(data, dict):
+            raise ValueError("Snapshot file must contain a JSON object")
+        return data
+
+    def _snapshot_from_config(self) -> dict[str, Any] | None:
+        val = (
+            self._cfg_get("basis_snapshot")
+            or self._cfg_get("precomputed_basis_snapshot")
+            or self._cfg_get("precomputed_snapshot")
+        )
+        return val if isinstance(val, dict) else None
+
+    def _snapshot_path_from_config(self) -> str | None:
+        val = (
+            self._cfg_get("basis_snapshot_path")
+            or self._cfg_get("precomputed_snapshot_path")
+            or self._cfg_get("precomputed_basis_snapshot_path")
+        )
+        if isinstance(val, str) and val.strip():
+            return val.strip()
+        env = os.getenv("BASIS_SNAPSHOT_PATH")
+        return env.strip() if isinstance(env, str) and env.strip() else None