jackandCursor
181bca303f
吃单查询换成 Hummingbot 的 OrderBook.get_vwap_for_volume：手写的 walk_book 返回的是按计价币吃单的加权均价，但框架的 get_price_for_quote_volume 返回 边际价、get_vwap_for_volume 收基础币量，两者语义不同。改为按基础币下单 （真实委托与 PositionExecutor.amount 均是基础币计价），深度不足由 query_volume/result_volume 判定，框架此时返回 nan 而非一个看似正常的 部分成交均价。 落盘完整盘口（双边 50 档）。此前只记三个固定名义额的成交价，这批数据的 寿命就等于那几个档位的寿命；存完整深度后任意资金量级的冲击都能离线重算。 仓位档同时从 1k/5k/20k 提到十万量级，此前低估真实仓位约两个数量级。 订阅成交流，按根按价位聚合。买卖分开存——多头在目标位挂卖出靠主动买盘 成交，混在一起会把成交率高估约一倍。BTC 每根总成交额中位与 210 天历史 的 volume×close 差 0.3%，可确认采集完整。 新增两项测算： - 冲击不是绑定约束。32 万仓位单边冲击 0.19~2.39bp，对 8.58~20.64bp 的 预算只占 1.6~14.2%，冲击反推的资金上限 100~500 万。 - maker 成交率才是。止盈位被首次触及时，限价在该根价格区间中的位置 中位 k=0.28（63.9 万次触及，三币一致）；合并每根成交额后，32 万仓位 的全额成交率仅 30.1%/15.6%/1.5%。要 80% 全额成交，仓位须 ≤ 4.7 万 /1.4 万/0.26 万——比冲击反推的上限低 40~370 倍。 回测把这些止盈按「全额成交在目标价」计，故预算所依据的收益流本身需重估。 Co-authored-by: Cursor <cursoragent@cursor.com>
48 lines
1.0 KiB
Plaintext
48 lines
1.0 KiB
Plaintext
# MacOS
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.DS_Store
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# Python
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__pycache__/
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*.py[cod]
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*$py.class
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*.pyc
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*.pyo
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.pytest_cache/
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# Logs & databases
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*.log
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*.sqlite
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*.sqlite-shm
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*.sqlite-wal
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# Office documents kept alongside the repo but not part of it.
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# "~$" files are Excel's lock files, recreated every time a workbook is opened.
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*.xlsx
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*.xls
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~$*
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# Local data
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data/
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# Exchange history fetched by research/live/*.py. 40MB and re-fetchable from
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# the venue, so it stays local; the small result CSVs it feeds are committed.
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research/live/cache/
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# Scratch outputs from short shakedown runs, superseded by the real collection.
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research/out/archive/
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# Per-trade simulation dumps from research/step*.py. 70MB+ and regenerable by
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# rerunning the step; the summaries they feed live in HANDOFF.md.
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research/out/*.feather
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# Virtualenvs. venv writes its own .gitignore since 3.11, but only for the
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# directory it creates — declare it here so other layouts are covered too.
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.venv/
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venv/
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# Local tooling
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.gstack/
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research/out/*.jsonl.gz
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research/out/penetration.csv
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research/out/shadow_*.csv
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