UbuntuandCursor
7e339d2a54
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>
62 lines
4.0 KiB
CSV
62 lines
4.0 KiB
CSV
sym,kline_ts,raw,patched,stock,gain_ms,patched_minus_raw_ms
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BTC,1787842080000,1787842080301,1787842080159,1787842081169,1010,-142
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ETH,1787842080000,1787842080301,1787842080311,1787842081371,1060,10
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SOL,1787842080000,1787842080375,1787842080382,1787842081382,1000,7
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BTC,1787842140000,1787842140130,1787842140139,1787842141199,1060,9
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ETH,1787842140000,1787842140289,1787842140291,1787842141703,1412,2
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SOL,1787842140000,1787842141133,1787842141137,1787842141137,0,4
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SOL,1787842200000,1787842200923,1787842201179,1787842202321,1142,256
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BTC,1787842200000,1787842202047,1787842202078,1787842203110,1032,31
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ETH,1787842200000,1787842202154,1787842202170,1787842202170,0,16
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BTC,1787842260000,1787842260404,1787842260418,1787842261601,1183,14
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ETH,1787842260000,1787842260434,1787842260439,1787842261663,1224,5
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SOL,1787842260000,1787842260714,1787842260721,1787842261725,1004,7
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ETH,1787842320000,1787842320240,1787842320244,1787842321374,1130,4
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SOL,1787842320000,1787842320300,1787842320305,1787842321395,1090,5
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BTC,1787842320000,1787842320500,1787842320517,1787842321809,1292,17
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ETH,1787842380000,1787842380241,1787842380243,1787842380243,0,2
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BTC,1787842380000,1787842380560,1787842380577,1787842381627,1050,17
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SOL,1787842380000,1787842381189,1787842381192,1787842381192,0,3
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SOL,1787842440000,1787842440068,1787842440070,1787842441201,1131,2
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ETH,1787842440000,1787842440222,1787842440232,1787842441272,1040,10
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BTC,1787842440000,1787842440315,1787842440324,1787842441344,1020,9
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ETH,1787842500000,1787842500226,1787842500241,1787842501593,1352,15
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SOL,1787842500000,1787842500681,1787842500695,1787842501970,1275,14
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BTC,1787842500000,1787842500909,1787842500948,1787842500917,-31,39
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ETH,1787842560000,1787842560439,1787842560445,1787842561488,1043,6
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SOL,1787842560000,1787842560946,1787842560949,1787842561963,1014,3
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BTC,1787842560000,1787842561234,1787842561232,1787842561244,12,-2
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BTC,1787842620000,1787842620114,1787842620130,1787842621432,1302,16
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ETH,1787842620000,1787842620471,1787842620473,1787842621494,1021,2
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SOL,1787842620000,1787842620838,1787842620846,1787842622028,1182,8
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SOL,1787842680000,1787842680288,1787842680290,1787842681420,1130,2
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ETH,1787842680000,1787842681393,1787842681399,1787842681399,0,6
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BTC,1787842680000,1787842681461,1787842681471,1787842682633,1162,10
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BTC,1787842740000,1787842740269,1787842740267,1787842741470,1203,-2
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SOL,1787842740000,1787842740344,1787842740338,1787842741448,1110,-6
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ETH,1787842740000,1787842740530,1787842740531,1787842741783,1252,1
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SOL,1787842800000,1787842800565,1787842800567,1787842800567,0,2
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BTC,1787842800000,1787842802054,1787842802256,1787842804097,1841,202
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ETH,1787842800000,1787842802138,1787842802144,1787842802165,21,6
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SOL,1787842860000,1787842860317,1787842860322,1787842861497,1175,5
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BTC,1787842860000,1787842860585,1787842860598,1787842860587,-11,13
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ETH,1787842860000,1787842861083,1787842861092,1787842862477,1385,9
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BTC,1787842920000,1787842920148,1787842920156,1787842921437,1281,8
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SOL,1787842920000,1787842920425,1787842920429,1787842922367,1938,4
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ETH,1787842920000,1787842920717,1787842920732,1787842920721,-11,15
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ETH,1787842980000,1787842980474,1787842980480,1787842982269,1789,6
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SOL,1787842980000,1787842980717,1787842980723,1787842980712,-11,6
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BTC,1787842980000,1787842980754,1787842980774,1787842980764,-10,20
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BTC,1787843040000,1787843040222,1787843040252,1787843041283,1031,30
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SOL,1787843040000,1787843040818,1787843040827,1787843040817,-10,9
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ETH,1787843040000,1787843040902,1787843040888,1787843041910,1022,-14
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BTC,1787843100000,1787843100596,1787843100604,1787843102150,1546,8
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ETH,1787843100000,1787843100950,1787843100766,1787843102039,1273,-184
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SOL,1787843100000,1787843101319,1787843101321,1787843101332,11,2
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SOL,1787843160000,1787843160576,1787843160588,1787843161749,1161,12
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BTC,1787843160000,1787843160787,1787843160801,1787843161800,999,14
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ETH,1787843160000,1787843160889,1787843160892,1787843162154,1262,3
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SOL,1787843220000,1787843220113,1787843220125,1787843221113,988,12
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BTC,1787843220000,1787843220377,1787843220377,1787843221802,1425,0
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ETH,1787843220000,1787843221220,1787843221246,1787843222268,1022,26
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