fix: 收敛退出放宽到0.02%+净利为正, 恢复到0.02%即退不亏钱

README.md

@@ -135,8 +135,9 @@ Round trip (2 legs entry + 2 legs exit): configurable, default **0.21%** total f
    - `entering` map prevents duplicate entries on same coin
 3. **Scale-in** adds another leg-worth when spread widens another `scale_step_pct` (default 0.10%)
 4. **Exit** conditions (whichever hits first):
-   - **Net profit ≥ `take_profit_pct`** → **利润止盈**
-   - **Spread converges to ≤ 0 (prices equal or reversed)** → **价差收敛止盈**
+   - **Net profit ≥ `take_profit_pct`** → **利润止盈**（大盈利退出）
+   - **Spread narrowed to ≤ 0.02% + netPnl > 0** → **价差收敛止盈**（小盈利退出）
+   - **Spread flipped negative** → **价差反转平仓**（紧急止损）
    - **Position held > `position_timeout_sec`** → **超时平仓**
 5. **Direction**: BG → HL (buy BG, sell HL) or HL → BG (buy HL, sell BG)
 

test_dydx_ping.go

@@ -0,0 +1,76 @@
+// +build ignore
+
+package main
+
+import (
+	"encoding/json"
+	"fmt"
+	"log"
+	"net/url"
+	"time"
+
+	"github.com/gorilla/websocket"
+)
+
+func main() {
+	u := url.URL{Scheme: "wss", Host: "indexer.dydx.trade", Path: "/v4/ws"}
+	log.Printf("Connecting to %s", u.String())
+
+	c, _, err := websocket.DefaultDialer.Dial(u.String(), nil)
+	if err != nil {
+		log.Fatal("dial:", err)
+	}
+	defer c.Close()
+
+	done := make(chan struct{})
+
+	go func() {
+		defer close(done)
+		for {
+			_, message, err := c.ReadMessage()
+			if err != nil {
+				log.Println("read:", err)
+				return
+			}
+			log.Printf("recv: %s", string(message))
+		}
+	}()
+
+	// Subscribe
+	sub := map[string]string{"type": "subscribe", "channel": "v4_markets"}
+	subData, _ := json.Marshal(sub)
+	c.WriteMessage(websocket.TextMessage, subData)
+	log.Printf("sent sub: %s", string(subData))
+
+	// Try pings
+	for i := 0; i < 5; i++ {
+		time.Sleep(10 * time.Second)
+
+		// Try JSON ping
+		ping := map[string]string{"type": "ping"}
+		pingData, _ := json.Marshal(ping)
+		err := c.WriteMessage(websocket.TextMessage, pingData)
+		if err != nil {
+			log.Printf("JSON ping error: %v", err)
+		} else {
+			log.Printf("sent JSON ping: %s", string(pingData))
+		}
+
+		// Try raw WS ping frame
+		err = c.WriteMessage(websocket.PingMessage, []byte("ping"))
+		if err != nil {
+			log.Printf("WS ping error: %v", err)
+		} else {
+			log.Printf("sent WS ping frame")
+		}
+	}
+
+	time.Sleep(30 * time.Second)
+	fmt.Println("Done - checking if still connected")
+	select {
+	case <-done:
+		fmt.Println("Connection closed")
+	default:
+		fmt.Println("Still connected!")
+	}
+}

trader.go

@@ -534,12 +534,19 @@ func (t *Trader) checkExit(pos *ArbPosition, bgP, hlP, diffPct float64, notifier
 		exitReason = "利润止盈"
 	}
 
-	// Exit when spread converges to zero or reverses (prices same or flipped)
-	if diffPct <= 0 {
+	// Convergence exit: spread narrowed significantly and we're profitable
+	// Prevents positions from sitting at near-zero spread waiting for timeout
+	if diffPct <= 0.02 && netPnl > 0 {
 		shouldExit = true
 		exitReason = "价差收敛止盈"
 	}
 
+	// Emergency reversal: spread flipped negative — cut losses
+	if diffPct < 0 {
+		shouldExit = true
+		exitReason = "价差反转平仓"
+	}
+
 	// Timeout: configured max hold time
 	if elapsed > t.cfg.PositionTimeout {
 		shouldExit = true