Tessera

Mid-frequency ML trading system for crypto perpetual futures (Binance + Bybit, USDT-margined).

Overview

Tessera is a research-grade trading system targeting holding periods of 15 minutes to 4 hours, with a secondary delta-neutral funding-rate carry sleeve.

Quick Start

make setup    # install deps + pre-commit hooks
make lint     # ruff + mypy --strict
make test     # pytest with coverage

Components

• Data: Market data ingestion via CCXT + Tardis.dev
• Features: Microstructure features (AFML Ch. 5, 18, 19)
• Models: LightGBM, PatchTST, RL (PPO/SAC)
• Backtest: Nautilus Trader with realistic cost modeling
• Risk: Kelly sizing, drawdown limits, kill switches
• Execution: Smart order routing with latency monitoring