feat: Orderbook shadow logging system - Phase 1 complete
Implementation:
- Added 7 orderbook fields to Trade model (spreadBps, imbalanceRatio, depths, impact, walls)
- Oracle-based estimates with 2bps spread assumption
- ENV flag: ENABLE_ORDERBOOK_LOGGING (defaults true)
- Execute wrapper lines 1037-1053 guards orderbook logic
Database:
- Direct SQL ALTER TABLE (avoided migration drift issues)
- All columns nullable DOUBLE PRECISION
- Prisma schema synced via db pull + generate
Deployment:
- Container rebuilt and deployed successfully
- All 7 columns verified accessible
- System operational, ready for live trade validation
Files changed:
- config/trading.ts (enableOrderbookLogging flag, line 127)
- types/trading.ts (orderbook interfaces)
- lib/database/trades.ts (createTrade saves orderbook data)
- app/api/trading/execute/route.ts (ENV wrapper lines 1037-1053)
- prisma/schema.prisma (7 orderbook fields)
- docs/ORDERBOOK_SHADOW_LOGGING.md (complete documentation)
Status: ✅ PRODUCTION READY - awaiting first trade for validation
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@@ -21,6 +21,9 @@ export interface TradingConfig {
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// Adaptive Leverage (Quality-based risk adjustment - Nov 24, 2025)
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useAdaptiveLeverage: boolean // Enable quality-based leverage tiers
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highQualityLeverage: number // Leverage for signals >= threshold (e.g., 15 for quality 95+)
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// Orderbook Shadow Logging (Phase 1 - Dec 19, 2025)
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enableOrderbookLogging: boolean // Track orderbook metrics at trade entry
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lowQualityLeverage: number // Leverage for signals < threshold (e.g., 10 for quality 90-94)
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qualityLeverageThreshold: number // Quality score threshold (e.g., 95) - backward compatibility
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qualityLeverageThresholdLong?: number // LONG-specific threshold (e.g., 95) - CRITICAL FIX Dec 3, 2025
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@@ -123,7 +126,8 @@ export const DEFAULT_TRADING_CONFIG: TradingConfig = {
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// Adaptive Leverage (Quality-based risk adjustment - Nov 24, 2025)
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// Data-driven: v8 quality 95+ = 100% WR (4/4 wins), quality 90-94 more volatile
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useAdaptiveLeverage: true, // Enable quality-based leverage tiers
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useAdaptiveLeverage: process.env.USE_ADAPTIVE_LEVERAGE === 'true' ? true : process.env.USE_ADAPTIVE_LEVERAGE === 'false' ? false : true, // Default true
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enableOrderbookLogging: process.env.ENABLE_ORDERBOOK_LOGGING === 'true' ? true : process.env.ENABLE_ORDERBOOK_LOGGING === 'false' ? false : true, // Phase 1 shadow logging - default true
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highQualityLeverage: 15, // For signals >= 95 quality (high confidence)
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lowQualityLeverage: 10, // For signals 90-94 quality (reduced risk)
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qualityLeverageThreshold: 95, // Threshold for high vs low leverage
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