research: 影子交易器落在 Hummingbot 上，并修掉 Bitget 连接器的换根延迟
1m 腿的滑点余量只有几个 bp，所以要测的必须是生产路径的滑点——换个运行时 测出来的数就不作数。框架因此从「滑点已知后再定」提前到测量阶段就定为 Hummingbot（Spot/Perp 连接器均 v2.0，Bitget 是 Foundation Partner）。 新增 research/live/。前置测量： - bench_compute.py 本机算力，1m 单币 0.318s、三币串行 1.38s - venue_parity.py Binance 与 Bitget 同根信号重合仅 14.6~42.6% - signal_sensitivity.py 0.25bp 扰动就换掉一半信号 - aggregate_robustness.py 但总体期望不降——脆的是信号身份，不是 alpha - bitget_baseline.py 因此改用 Bitget 原生基线定预算：余量 BTC -0.13bp、 ETH +4.02bp、SOL +2.92bp。BTC 本就为负，只作延迟测量的参照物 运行时选型： - parity_env.py 容器与本机信号逐一相同（下标、中枢数、checksum 全等）， 容器内 0.26s/币反而更快。故 chanlun 直接挂载进容器，不必另起信号服务。 装进现有 .venv 那条路走不通：Hummingbot 要 numba>=0.61.2 与 aiohttp<3.14，与本机 Python 3.14 冲突 - latency_ccxt.py / latency_hummingbot.py / latency_compare.py 初测显示 Hummingbot 比 ccxt.pro 慢约 1030ms，90 根逐根配对里 80~97% 更慢 - probe_ws_action.py 否掉「丢弃 snapshot」的猜测：换根首条就是 update - probe_hb_vs_raw.py 与 latency_attribute.py 四路归因——容器网络 2~18ms、 Hummingbot 处理 -10~-30ms，1350~1480ms 全落在解析方式上 - probe_ws_payload.py 定位根因：Bitget 换根会推一条带两根的消息 [上一根, 新一根]，而上游取 data["data"][0] 拿到的是上一根，新一根要等 下一条单元素消息 修复： - patched_candles.py 处理消息里的全部元素。不能简单改成 [-1]——那样上一根 的收盘价会永远停在换根前约 1 秒的那次推送上，而信号对 0.25bp 都敏感 - verify_patch.py 60 根配对验证：拿回 1060~1090ms，与原始 WS 只差 5~14ms 已贴理论下限，19 根已收盘 K 线 OHLCV 逐根未变。折算 ETH 省 0.54bp、 SOL 省 0.42bp。此 bug 值得向上游反馈 影子交易器： - shadow_hb.py 不下单，读连接器真实盘口按仓位吃单深度算成交价，与次根开盘价 （回测 entry_delay=1 的口径）相减，分解成延迟漂移、盘口价差、深度冲击。 盘口 10Hz 滚动缓冲 30 秒，把延迟变成自变量：每个信号记 0.5/1/2/5s 与实际 算完时刻各一个滑点值，本机算得慢也不影响能读出的曲线 - shadow_signal.py 信号计算隔离到子进程。0.26s 是纯 CPU 且 chanlun 受 GIL 限制，放进 asyncio 循环会把行情处理一起卡住 - shadow_report.py 首日延迟门槛与滑点曲线报表 不用 paper trade 测滑点：它的成交由 Hummingbot 自己的撮合模型模拟， 测出来是模型行为而非市场行为。 Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
Ubuntu
@@ -0,0 +1,179 @@
|
||||
"""验证补丁是否真把那 1.1 秒拿回来了。
|
||||
|
||||
容器内同一进程并行跑三条路径，共用时钟与网络：
|
||||
stock 上游 BitgetPerpetualCandles（取 data[0]）
|
||||
patched PatchedBitgetPerpetualCandles（处理全部元素）
|
||||
raw 原始 aiohttp WS，按 data[-1] 判断换根（理论最快）
|
||||
|
||||
预期：patched ≈ raw，且比 stock 早约 1.1 秒。
|
||||
同时校验补丁没有破坏数据：两条 feed 的历史 K 线应逐根相等（补丁只影响
|
||||
最新一根的到达时刻与收盘价更新时机，不该改动已收盘的历史）。
|
||||
|
||||
docker run --rm -v $PWD:/repo:ro -v $PWD/research/out:/out \
|
||||
-w /home/hummingbot -e PYTHONPATH=/home/hummingbot:/repo/research/live \
|
||||
--entrypoint /opt/conda/envs/hummingbot/bin/python \
|
||||
hummingbot/hummingbot:latest /repo/research/live/verify_patch.py --minutes 20
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import argparse
|
||||
import asyncio
|
||||
import csv
|
||||
import json
|
||||
import time
|
||||
from pathlib import Path
|
||||
|
||||
SYMS = ("BTC", "ETH", "SOL")
|
||||
WSS = "wss://ws.bitget.com/v2/ws/public"
|
||||
|
||||
|
||||
def out_dir() -> Path:
|
||||
p = Path("/out")
|
||||
return p if p.is_dir() else Path(__file__).resolve().parents[1] / "out"
|
||||
|
||||
|
||||
async def raw_ws(rec: dict, stop: asyncio.Event) -> None:
|
||||
import aiohttp
|
||||
|
||||
payload = {"op": "subscribe",
|
||||
"args": [{"instType": "USDT-FUTURES", "channel": "candle1m",
|
||||
"instId": f"{s}USDT"} for s in SYMS]}
|
||||
while not stop.is_set():
|
||||
try:
|
||||
async with aiohttp.ClientSession() as sess, \
|
||||
sess.ws_connect(WSS, heartbeat=20) as ws:
|
||||
await ws.send_str(json.dumps(payload))
|
||||
last: dict[str, int] = {}
|
||||
while not stop.is_set():
|
||||
msg = await ws.receive()
|
||||
if msg.type is not aiohttp.WSMsgType.TEXT:
|
||||
break
|
||||
if msg.data == "pong":
|
||||
continue
|
||||
d = json.loads(msg.data)
|
||||
if "data" not in d or "arg" not in d or not d["data"]:
|
||||
continue
|
||||
sym = d["arg"]["instId"].replace("USDT", "")
|
||||
kts = int(d["data"][-1][0]) # 关键：取末元素
|
||||
if last.get(sym) is not None and kts > last[sym]:
|
||||
rec.setdefault((sym, kts), {})["raw"] = \
|
||||
int(time.time() * 1000)
|
||||
last[sym] = max(kts, last.get(sym, 0))
|
||||
except asyncio.CancelledError:
|
||||
raise
|
||||
except Exception as e:
|
||||
print(f" [raw] {type(e).__name__}: {e}", flush=True)
|
||||
# 正常跳出与异常都要歇一下再重连，避免服务端持续拒绝时打成风暴
|
||||
if not stop.is_set():
|
||||
await asyncio.sleep(1)
|
||||
|
||||
|
||||
async def poll_feeds(feeds: dict, key: str, rec: dict,
|
||||
stop: asyncio.Event) -> None:
|
||||
last = {s: (int(f._candles[-1][0]) if len(f._candles) else None)
|
||||
for s, f in feeds.items()}
|
||||
while not stop.is_set():
|
||||
for s, f in feeds.items():
|
||||
if not len(f._candles):
|
||||
continue
|
||||
newest = int(f._candles[-1][0])
|
||||
if last[s] is not None and newest > last[s]:
|
||||
kts = newest * 1000 if newest < 1e12 else newest
|
||||
rec.setdefault((s, kts), {})[key] = int(time.time() * 1000)
|
||||
last[s] = newest
|
||||
await asyncio.sleep(0.01)
|
||||
|
||||
|
||||
async def main_async(minutes: int) -> None:
|
||||
from hummingbot.data_feed.candles_feed.bitget_perpetual_candles import (
|
||||
BitgetPerpetualCandles,
|
||||
)
|
||||
from patched_candles import PatchedBitgetPerpetualCandles
|
||||
|
||||
stock, patched = {}, {}
|
||||
for s in SYMS:
|
||||
stock[s] = BitgetPerpetualCandles(f"{s}-USDT", "1m", 20)
|
||||
patched[s] = PatchedBitgetPerpetualCandles(f"{s}-USDT", "1m", 20)
|
||||
for d in (stock, patched):
|
||||
for f in d.values():
|
||||
f.start()
|
||||
print(f"[补丁验证] {SYMS} · 跑 {minutes} 分钟", flush=True)
|
||||
|
||||
t0 = time.time()
|
||||
while time.time() - t0 < 120:
|
||||
if all(f.ready for d in (stock, patched) for f in d.values()):
|
||||
break
|
||||
await asyncio.sleep(0.5)
|
||||
print(f" 回填完成 {time.time() - t0:.1f}s", flush=True)
|
||||
|
||||
rec: dict = {}
|
||||
stop = asyncio.Event()
|
||||
tasks = [asyncio.create_task(raw_ws(rec, stop)),
|
||||
asyncio.create_task(poll_feeds(stock, "stock", rec, stop)),
|
||||
asyncio.create_task(poll_feeds(patched, "patched", rec, stop))]
|
||||
|
||||
deadline = time.time() + minutes * 60
|
||||
seen = set()
|
||||
while time.time() < deadline:
|
||||
await asyncio.sleep(2)
|
||||
for k, v in rec.items():
|
||||
if k in seen or not {"stock", "patched", "raw"} <= v.keys():
|
||||
continue
|
||||
seen.add(k)
|
||||
print(f" {k[0]}: patched 比 stock 早 "
|
||||
f"{v['stock'] - v['patched']}ms · 距 raw "
|
||||
f"{v['patched'] - v['raw']}ms", flush=True)
|
||||
stop.set()
|
||||
for t in tasks:
|
||||
t.cancel()
|
||||
await asyncio.gather(*tasks, return_exceptions=True)
|
||||
|
||||
# 数据一致性：两条 feed 的已收盘历史必须逐根相同
|
||||
print("\n########## 补丁是否改动了已收盘 K 线 ##########")
|
||||
for s in SYMS:
|
||||
a = [list(map(float, r)) for r in list(stock[s]._candles)[:-1]]
|
||||
b = [list(map(float, r)) for r in list(patched[s]._candles)[:-1]]
|
||||
n = min(len(a), len(b))
|
||||
ta = {int(r[0]): r for r in a[-n:]}
|
||||
tb = {int(r[0]): r for r in b[-n:]}
|
||||
common = sorted(set(ta) & set(tb))
|
||||
diff = [t for t in common if ta[t][1:6] != tb[t][1:6]]
|
||||
print(f" {s}: 共有 {len(common)} 根，OHLCV 不同 {len(diff)} 根"
|
||||
+ (f"（示例 ts={diff[:3]}）" if diff else ""))
|
||||
for d in (stock, patched):
|
||||
for f in d.values():
|
||||
f.stop()
|
||||
|
||||
full = [(s, k, v) for (s, k), v in rec.items()
|
||||
if {"stock", "patched", "raw"} <= v.keys()]
|
||||
f = out_dir() / "verify_patch.csv"
|
||||
with f.open("w", newline="") as fh:
|
||||
w = csv.writer(fh)
|
||||
w.writerow(["sym", "kline_ts", "raw", "patched", "stock",
|
||||
"gain_ms", "patched_minus_raw_ms"])
|
||||
for s, k, v in sorted(full, key=lambda x: x[1]):
|
||||
w.writerow([s, k, v["raw"], v["patched"], v["stock"],
|
||||
v["stock"] - v["patched"], v["patched"] - v["raw"]])
|
||||
|
||||
print(f"\n########## 补丁收益（配对 {len(full)} 根）##########")
|
||||
print(f"{'币':<5}{'n':>5}{'早于stock中位':>14}{'距raw中位':>12}")
|
||||
for s in SYMS:
|
||||
g = [v for ss, _, v in full if ss == s]
|
||||
if not g:
|
||||
print(f" {s}: 无样本")
|
||||
continue
|
||||
gain = sorted(v["stock"] - v["patched"] for v in g)
|
||||
dr = sorted(v["patched"] - v["raw"] for v in g)
|
||||
print(f"{s:<5}{len(g):>5}{gain[len(gain) // 2]:>14}"
|
||||
f"{dr[len(dr) // 2]:>12}")
|
||||
print(f"\n产物写入 {f}")
|
||||
|
||||
|
||||
def main() -> None:
|
||||
ap = argparse.ArgumentParser()
|
||||
ap.add_argument("--minutes", type=int, default=20)
|
||||
asyncio.run(main_async(ap.parse_args().minutes))
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
Reference in New Issue
Block a user