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>
38 lines
1.5 KiB
CSV
38 lines
1.5 KiB
CSV
品种,口径,噪声bp,基线笔数,扰动后笔数,同根重合
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BTC,原始,0.0,73,73.0,1.0
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BTC,5m同向后,0.0,38,38.0,1.0
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BTC,原始,0.25,73,84.5,0.5410958904109588
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BTC,5m同向后,0.25,38,44.0,0.5131578947368421
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BTC,原始,0.5,73,74.5,0.363013698630137
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BTC,5m同向后,0.5,38,36.5,0.3026315789473684
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BTC,原始,1.0,73,63.0,0.22602739726027396
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BTC,5m同向后,1.0,38,28.0,0.15789473684210525
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BTC,原始,2.0,73,47.0,0.10273972602739725
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BTC,5m同向后,2.0,38,22.0,0.09210526315789473
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BTC,原始,4.0,73,25.5,0.03424657534246575
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BTC,5m同向后,4.0,38,9.0,0.013157894736842105
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ETH,原始,0.0,78,78.0,1.0
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ETH,5m同向后,0.0,33,33.0,1.0
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ETH,原始,0.25,78,74.5,0.5384615384615384
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ETH,5m同向后,0.25,33,37.0,0.5303030303030303
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ETH,原始,0.5,78,72.5,0.41666666666666663
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ETH,5m同向后,0.5,33,35.5,0.4393939393939394
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ETH,原始,1.0,78,66.0,0.28205128205128205
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ETH,5m同向后,1.0,33,31.0,0.28787878787878785
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ETH,原始,2.0,78,54.5,0.14743589743589744
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ETH,5m同向后,2.0,33,24.5,0.10606060606060606
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ETH,原始,4.0,78,31.0,0.038461538461538464
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ETH,5m同向后,4.0,33,12.5,0.015151515151515152
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SOL,原始,0.0,46,46.0,1.0
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SOL,5m同向后,0.0,28,28.0,1.0
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SOL,原始,0.25,46,47.0,0.9673913043478262
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SOL,5m同向后,0.25,28,29.0,1.0
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SOL,原始,0.5,46,47.0,0.5108695652173914
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SOL,5m同向后,0.5,28,28.0,0.5178571428571428
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SOL,原始,1.0,46,43.5,0.2826086956521739
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SOL,5m同向后,1.0,28,24.0,0.35714285714285715
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SOL,原始,2.0,46,38.5,0.16304347826086957
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SOL,5m同向后,2.0,28,20.0,0.2142857142857143
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SOL,原始,4.0,46,26.5,0.06521739130434782
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SOL,5m同向后,4.0,28,13.5,0.08928571428571427
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