forex-scalping.com

Code: Select all

public sealed class ChronosTensorEngine
{
    private readonly IMacroKalmanFilter _macroTensor;
    private readonly IHiddenMarkovRegime _hmmRegime;
    private readonly IJohansenCointegration _cointegration;
    private readonly IModwtWaveletFilter _wavelet;
    private readonly IHawkesMicrostructure _hawkesDom;
    private readonly IHouseMoneyRiskManager _riskEngine;
    private readonly IEcnExecutionRouter _router;

    public void OnTick(SymbolTick tick, OrderBook l2Book)
    {
        // 1. Sub-millisecond ECN health & circuit breaker check
        if (!_router.IsLiquidityHealthy(tick, l2Book, maxLatencyMs: 20.0, maxSpreadZScore: 1.8))
            return;

        // 2. Decode H1 Hidden Markov Regime State
        RegimeState regime = _hmmRegime.CurrentState;
        if (regime == RegimeState.LiquidityVacuumJump)
        {
            _router.FlattenAllPositions("HMM State 3 Tail-Risk Kill Switch");
            return;
        }

        // 3. Evaluate Macro Drift & Cointegrated OU Spread Z-Score
        double macroDrift = _macroTensor.GetPairEquilibriumDrift(tick.Symbol);
        OuSpreadMetrics ou = _cointegration.EvaluateSyntheticResidual(tick.Symbol);

        // 4. Check Wavelet Denoised Trajectory & Institutional Liquidity Sweep
        WaveletSignal wave = _wavelet.EvaluateSymlet8(tick.Symbol, TimeFrame.Minute1);
        bool isBullishSweep = wave.HasSweptSwingLow && wave.InFairValueGap && wave.FirstDerivative > 0;

        // 5. Tick-Level Hawkes Absorption & Order Book Imbalance Trigger
        HawkesMetrics flow = _hawkesDom.Update(tick, l2Book);
        bool absorptionConfirmed = flow.SellIntensityPercentile > 0.99 
                                   && !flow.MadeNewTickLow 
                                   && flow.OrderBookImbalance > 0.40;

        // 6. Execute Base Seed or Asymmetric House-Money Pyramid Leg
        if (macroDrift > 0 && ou.ZScore < -2.25 && isBullishSweep && absorptionConfirmed)
        {
            PositionSizingOrder order = _riskEngine.CalculateAsymmetricSize(
                symbol: tick.Symbol,
                regimeProbability: _hmmRegime.StateProbability,
                gkyzVolatility: _hmmRegime.CurrentGkyzSigma,
                includeLockedHouseMoney: regime == RegimeState.MomentumExpansion
            );

            if (order.VolumeInUnits > 0)
                _router.ExecuteIcebergSlice(TradeType.Buy, order);
        }

        // 7. Dynamic Breakeven Lock & Wavelet/OU Trailing Stop Update
        _riskEngine.ManageActivePositions(tick, wave, ou, regime);
    }
}