feat: 所有参数移至config.json, 重构退出逻辑, 清理遗留接口

- 将所有硬编码参数迁移到 config.json (手续费率、止盈/止损阈值、超时、腿间隔、加仓步进等) - 退出条件: 净利 >= take_profit_pct 止盈, 价差 <= 0 平仓 - 删除 Binance/dYdX 遗留代码 - 更新 README 文档 - Dashboard: 双交易所价格表、黑名单UI、按币名排序持仓 - Bitget WS: 文本ping保活 - 数据库: 重置, 无历史仓位
2026-05-04 01:46:17 +08:00
parent 2ed6ffc747
commit 21a3f9a962
10 changed files with 450 additions and 206 deletions
@@ -129,6 +129,7 @@ type Trader struct {
 	positions     map[string]*ArbPosition // coin -> position
 	entering      map[string]bool         // coin -> being entered (async goroutine)
 	lastTradeTime map[string]time.Time
+	blacklist     map[string]time.Time // coin -> when blacklisted (stale spread)
 	closedTrades  []TradeRecord // history of closed trades (current session)

 	// Historical stats loaded from DB on startup — combined with session stats in GetClosedStats
@@ -148,6 +149,7 @@ type TradeRecord struct {
 	EntrySpread  float64
 	ExitSpread   float64
 	PnlPct       float64
+	PnlUSD       float64 // absolute PnL in USD
 	Convergence  string   // "收敛", "发散", "持平"
 	Reason       string   // exit reason
 	Duration     string
@@ -172,6 +174,7 @@ func NewTrader(cfg *Config, database *db.DB) *Trader {
 		positions:      make(map[string]*ArbPosition),
 		entering:       make(map[string]bool),
 		lastTradeTime:  make(map[string]time.Time),
+		blacklist:      make(map[string]time.Time),
 	}

 	// Restore open positions from DB on restart
@@ -236,6 +239,7 @@ func (t *Trader) Tick(store *PriceStore, notifier *Notifier) {
 			lowP, highP = hlP, bgP
 		}
 		diffPct := (highP - lowP) / lowP * 100
+		elapsed := time.Since(pos.StartedAt)

 		// Retry close for positions that failed to close on previous attempt
 		if pos.Status == "close_failed" {
@@ -248,6 +252,12 @@ func (t *Trader) Tick(store *PriceStore, notifier *Notifier) {

 		// Check exit: if spread converged, take profit
 		t.checkExit(pos, bgP, hlP, diffPct, notifier)
+
+		// Blacklist: if position still open after 10 minutes without converging,
+		// the spread is likely stale data. Add coin to blacklist and force close.
+		if pos.Status == "open" && elapsed > 10*time.Minute {
+			t.blacklistCoin(pos, notifier)
+		}
 	}
 }

@@ -275,7 +285,19 @@ func (t *Trader) TryEntry(opp *ArbOpportunity, store *PriceStore, notifier *Noti
 		t.mu.Unlock()
 		return false
 	}
-	if lastTime, ok := t.lastTradeTime[opp.Coin]; ok && time.Since(lastTime) < 30*time.Second {
+	if t.cfg.MaxPositions > 0 && len(t.positions)+len(t.entering) >= t.cfg.MaxPositions {
+		t.mu.Unlock()
+		return false
+	}
+	if blTime, bl := t.blacklist[opp.Coin]; bl {
+		if t.cfg.BlacklistDuration <= 0 || time.Since(blTime) < t.cfg.BlacklistDuration {
+			t.mu.Unlock()
+			return false
+		}
+		// Blacklist expired — remove it and allow re-entry
+		delete(t.blacklist, opp.Coin)
+	}
+	if lastTime, ok := t.lastTradeTime[opp.Coin]; ok && time.Since(lastTime) < time.Duration(t.cfg.TradeCooldownMs)*time.Millisecond {
 		t.mu.Unlock()
 		return false
 	}
@@ -313,10 +335,11 @@ func (t *Trader) executeEntry(opp *ArbOpportunity, store *PriceStore, notifier *
 		currBg := exMap[ExBitget]
 		currHl := exMap[ExHyperLiquid]
 		if currBg > 0 && currHl > 0 {
-			if opp.BuyEx == ExBitget && currHl <= currBg*0.999 {
+			reversalMul := 1 - t.cfg.ReversalTolerancePct/100
+			if opp.BuyEx == ExBitget && currHl <= currBg*reversalMul {
 				return false // reversed beyond small tolerance
 			}
-			if opp.BuyEx == ExHyperLiquid && currBg <= currHl*0.999 {
+			if opp.BuyEx == ExHyperLiquid && currBg <= currHl*reversalMul {
 				return false
 			}
 		}
@@ -368,7 +391,7 @@ func (t *Trader) executeEntry(opp *ArbOpportunity, store *PriceStore, notifier *
 		t.cleanup(pos.Coin)
 		return false
 	}
-	time.Sleep(300 * time.Millisecond)
+	time.Sleep(t.cfg.LegDelay)
 	if err := t.placeOrder(pos.ShortLeg, "sell", store); err != "" {
 		// Leg1 placed successfully, leg2 failed — try to close leg1
 		if closeErr := t.closeLeg(pos.LongLeg); closeErr != "" {
@@ -434,14 +457,14 @@ func (t *Trader) checkScaleIn(pos *ArbPosition, bgP, hlP, diffPct float64, store
 		}
 	}

-	scaleStep := 0.10 // add every 0.10% wider
+	scaleStep := t.cfg.ScaleStepPct // add every X% wider
 	nextLevel := float64(pos.ScaleLevels+1) * scaleStep
 	if diffPct < entryDiff+nextLevel {
 		return
 	}

-	// Cooldown: at least 5 seconds between scales
-	if time.Since(pos.LastScaleAt) < 5*time.Second {
+	// Cooldown: use configured interval between scales
+	if time.Since(pos.LastScaleAt) < t.cfg.ScaleCooldown {
 		return
 	}

@@ -457,7 +480,7 @@ func (t *Trader) checkScaleIn(pos *ArbPosition, bgP, hlP, diffPct float64, store
 		log.Printf("[Trader] %s: Scale-in long failed: %s", pos.Coin, err)
 		return
 	}
-	time.Sleep(300 * time.Millisecond)
+	time.Sleep(t.cfg.LegDelay)
 	if err := t.placeOrderAt(pos.ShortLeg, "sell", store, shortPrice); err != "" {
 		log.Printf("[Trader] %s: Scale-in short failed: %s — position partially scaled (long only)", pos.Coin, err)
 		// Don't close the long leg — the scale-in long order was placed but the
@@ -476,41 +499,14 @@ func (t *Trader) checkScaleIn(pos *ArbPosition, bgP, hlP, diffPct float64, store
 		pos.Coin, pos.ScaleLevels, diffPct, entryDiff, pos.AmountUSD)
 }

-// checkExit closes position when spread converges.
+// checkExit closes position when net profit >= 0.20% (take profit)
+// or spread reversed past -0.02% (stop loss) or timeout.
 func (t *Trader) checkExit(pos *ArbPosition, bgP, hlP, diffPct float64, notifier *Notifier) {
 	if pos.Status != "open" {
 		return
 	}

-	// Exit when spread converges to near zero (<= 0.02%)
-	// Or if held too long (30 min timeout)
-	elapsed := time.Since(pos.StartedAt)
-
-	shouldExit := false
-	exitReason := ""
-
-	if diffPct <= 0.02 {
-		shouldExit = true
-		exitReason = "价差收敛,止盈平仓"
-	}
-
-	// Stop-loss: spread reversed (went negative)
-	if diffPct < -0.02 {
-		shouldExit = true
-		exitReason = "价差反转,止盈平仓"
-	}
-
-	if elapsed > 30*time.Minute {
-		shouldExit = true
-		exitReason = "超时平仓"
-	}
-
-	if !shouldExit {
-		return
-	}
-
-	// Calculate P&L — use weighted average entry for scale-in positions
-	// Each scale adds cfg.TradeAmountUSD at the scale price
+	// Current prices for P&L calculation
 	var longCurrent, shortCurrent float64
 	if pos.LongLeg.Exchange == ExBitget {
 		longCurrent, shortCurrent = bgP, hlP
@@ -527,6 +523,33 @@ func (t *Trader) checkExit(pos *ArbPosition, bgP, hlP, diffPct float64, notifier
 	totalFees := 2 * (takerFees[ExBitget] + takerFees[ExHyperLiquid]) // 开仓 + 平仓手续费
 	netPnl := longPnl + shortPnl - totalFees

+	elapsed := time.Since(pos.StartedAt)
+
+	shouldExit := false
+	exitReason := ""
+
+	// Take profit: net profit >= configured threshold
+	if netPnl >= t.cfg.TakeProfitPct {
+		shouldExit = true
+		exitReason = "利润止盈"
+	}
+
+	// Exit when spread converges to zero or reverses (prices same or flipped)
+	if diffPct <= 0 {
+		shouldExit = true
+		exitReason = "价差收敛止盈"
+	}
+
+	// Timeout: configured max hold time
+	if elapsed > t.cfg.PositionTimeout {
+		shouldExit = true
+		exitReason = "超时平仓"
+	}
+
+	if !shouldExit {
+		return
+	}
+
 	// Convergence analysis
 	convergedPct := (pos.EntrySpread - diffPct) / pos.EntrySpread * 100
 	convergenceLabel := "价差收敛"
@@ -579,6 +602,7 @@ func (t *Trader) checkExit(pos *ArbPosition, bgP, hlP, diffPct float64, notifier
 		EntrySpread: pos.EntrySpread,
 		ExitSpread:  diffPct,
 		PnlPct:      netPnl,
+		PnlUSD:      pos.AmountUSD * netPnl / 100,
 		Convergence: convergenceLabel,
 		Reason:      exitReason,
 		Duration:    elapsed.Round(time.Second).String(),
@@ -927,6 +951,10 @@ func (t *Trader) restoreOpenPositions() {
 		return
 	}
 	for i := range openTrades {
+		if t.cfg.MaxPositions > 0 && len(t.positions) >= t.cfg.MaxPositions {
+			log.Printf("[Trader] Skipping restored position %s (max_positions=%d reached)", openTrades[i].Coin, t.cfg.MaxPositions)
+			break
+		}
 		tr := &openTrades[i]
 		// Recreate position structure from DB record
 		pos := &ArbPosition{
@@ -958,6 +986,57 @@ func (t *Trader) restoreOpenPositions() {
 		t.lastTradeTime[tr.Coin] = tr.OpenedAt
 	}
 	if len(openTrades) > 0 {
-		log.Printf("[Trader] Restored %d open positions from DB", len(openTrades))
+		log.Printf("[Trader] Restored %d open positions from DB", len(t.positions))
 	}
 }
+
+// blacklistCoin adds a coin to the blacklist and force-closes its position.
+func (t *Trader) blacklistCoin(pos *ArbPosition, notifier *Notifier) {
+	t.mu.Lock()
+	t.blacklist[pos.Coin] = time.Now()
+	t.mu.Unlock()
+
+	log.Printf("[Trader] ⛔ %s: Blacklisted — position open %.0fm without convergence", pos.Coin, time.Since(pos.StartedAt).Minutes())
+	notifier.Send(fmt.Sprintf(
+		"<b>[黑名单]</b>  %s/USDT\n"+
+			"  开仓 %.0f 分钟未收敛\n"+
+			"  已加入黑名单观察\n",
+		pos.Coin, time.Since(pos.StartedAt).Minutes()))
+
+	// Force-close the position immediately
+	pos.Status = "close_failed" // triggers retryClose on next tick
+}
+
+// GetBlacklist returns a copy of the current blacklist (coin -> blacklisted at).
+func (t *Trader) GetBlacklist() map[string]time.Time {
+	t.mu.Lock()
+	defer t.mu.Unlock()
+	r := make(map[string]time.Time, len(t.blacklist))
+	for k, v := range t.blacklist {
+		r[k] = v
+	}
+	return r
+}
+
+// IsBlacklisted checks if a coin is currently blacklisted (within duration).
+func (t *Trader) IsBlacklisted(coin string) bool {
+	t.mu.Lock()
+	defer t.mu.Unlock()
+	blTime, exists := t.blacklist[coin]
+	if !exists {
+		return false
+	}
+	if t.cfg.BlacklistDuration > 0 && time.Since(blTime) >= t.cfg.BlacklistDuration {
+		delete(t.blacklist, coin)
+		return false
+	}
+	return true
+}
+
+// RemoveBlacklist removes a coin from the blacklist manually.
+func (t *Trader) RemoveBlacklist(coin string) {
+	t.mu.Lock()
+	defer t.mu.Unlock()
+	delete(t.blacklist, coin)
+	log.Printf("[Trader] ✅ %s: Removed from blacklist", coin)
+}