feat: 重构为三所价差异动监控系统
删除 HyperLiquid + 全部交易功能，构建自适应 surge 检测器。 - 新增 surge_detector.go: 每币独立滚动窗口基线，检测三所价差异常飙升 - 新增 SpreadCard/SurgeCard 前端组件 - 保留 momentum/trend/cumulative/trend_filter 扫描功能 - 更新文档和配置以反映新系统 Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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jackyu66git
co-authored by
Claude Opus 4.6
Claude Opus 4.6
parent
559d7bb870
commit
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@@ -4,7 +4,7 @@ This file provides guidance to Claude Code (claude.ai/code) when working with co
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## Project Overview
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Cross-exchange perpetual contract arbitrage system between Bitget and HyperLiquid. Scans ~150 coins for price spreads, executes automated arbitrage trades with scale-in/exit logic, and displays real-time data on a React dashboard.
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3-exchange spread surge detection system using Binance, OKX, and Bitget. Scans ~150 coins for inter-exchange price spread anomalies, detects surge events with per-coin adaptive baselines, and displays real-time data on a React dashboard.
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## Build & Run Commands
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@@ -23,91 +23,99 @@ cd frontend && npm run dev
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# Frontend production build
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cd frontend && npm run build
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# IPC commands (talk to running daemon via Unix socket)
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./exchange-monitor status
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./exchange-monitor close-all
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./exchange-monitor close DOGE
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./exchange-monitor stop
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./exchange-monitor start
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```
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## Architecture
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### Data Flow
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```
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Exchange WS (HL + BG) → PriceStore (in-memory) → scanner → Trader (entry/exit/scale)
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↓
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dashboard (SSE hub, :8888)
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↓
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React frontend (SSE events)
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Exchange WS (Bitget + Binance + OKX) → PriceStore (in-memory)
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↓
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scanner (Scan3Ex)
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↓
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┌───────────────┼───────────────┐
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↓ ↓ ↓
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surge_detector momentum.go trend.go
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cumulative.go trend_filter.go
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↓ ↓ ↓
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dashboard (SSE hub, :8888)
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↓
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React frontend (SSE events)
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```
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### Main Loop (main.go:148-245)
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Fixed 50ms tick: trader.Tick() → scan.scanBGHL() → TryEntry() for each opportunity. Every 30s: status log. Hourly: Telegram summary.
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### Main Loop (main.go)
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Fixed 50ms tick: reads snap from PriceStore → Scan3Ex() → surgeDetector.Tick() → momentum.Tick() etc. Every 30s: status log. Hourly: Telegram summary.
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### Package Layout
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| Package | Files | Responsibility |
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|---------|-------|---------------|
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| `main` (root) | `main.go`, `scanner.go`, `trader.go`, `dashboard.go`, `config.go`, `types.go`, `notifier.go`, `ipc.go` | All core logic in a single flat package |
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| `exchange/` | `connector.go`, `bitget.go`, `hyperliquid.go`, `bitget_trade.go`, `hyperliquid_trade.go`, `helpers.go` | WS reconnector + exchange-specific REST/WS APIs |
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| `db/` | `db.go`, `trade_repo.go` | SQLite persistence (trades, orders, system_orders, config_log) |
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| `main` (root) | `main.go`, `scanner.go`, `dashboard.go`, `config.go`, `types.go`, `surge_detector.go`, `momentum.go`, `trend.go`, `cumulative.go`, `trend_filter.go` | All core logic in a single flat package |
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| `exchange/` | `connector.go`, `bitget.go`, `binance.go`, `okx.go`, `helpers.go` | WS reconnector + exchange-specific REST/WS APIs |
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| `db/` | `db.go`, `surge_event_repo.go` | SQLite persistence (surge_events, cm_events, trend_events, trend_signals) |
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| `frontend/` | Vite + React | Real-time dashboard consuming SSE from backend |
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### Key Types
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- **PriceStore** — Thread-safe in-memory map of coin→exchange→price, with bid/ask spread tracking
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- **ArbOpportunity** — Scanning result: coin, direction (BG→HL or HL→BG), prices, net profit %
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- **ArbPosition** — Open position with long/short legs, scale-in tracking, entry prices array
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- **Trader** — Manages positions, entry/exit logic, fund tracking, blacklist, DB persistence
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- **ThreeExSpread** — 3-exchange scan result: coin, prices, spread %, max/min exchange
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- **SurgeDetector** — Per-coin adaptive baseline surge detection with rolling window median
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- **SurgeEvent** — Detected surge: coin, prices, spread, baseline, direction, leading exchange
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- **MomentumTracker** — Multi-window (1s/5s/15s/60s) price change tracking per exchange
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- **TrendDetector** — Cross-exchange trend state machine (idle→alert→confirmed→exhausting)
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- **CumulativeTracker** — 1m/5m/1h consensus change tracking across exchanges
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- **TrendFilter** — K-line based quiet detection + EMA52 trend filtering
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### Exchange Connector
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`PriceConnector` (exchange/connector.go) is a reusable WebSocket reconnector with exponential backoff (1s-30s), configurable ping interval, and read deadline. Bitget uses text ping frames; HyperLiquid uses standard ping/pong.
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`PriceConnector` (exchange/connector.go) is a reusable WebSocket reconnector with exponential backoff (1s-30s), configurable ping interval, and read deadline. Bitget uses text ping frames; Binance and OKX use standard ping/pong.
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### Trading Logic
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### Surge Detection Logic
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- **Entry (TryEntry → executeEntry)**: Checks threshold, margin, blacklist, cooldown, max positions. Places both legs asynchronously with 300ms delay. Persists DB record immediately on "entering" status for crash recovery.
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- **Scale-in (checkScaleIn)**: Adds position when spread widens by ScaleStepPct per level. Posts additional orders on both legs.
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- **Exit (checkExit)**: Take profit at threshold, converged spread ≤ 0.02%, or timeout. Retries failed closes up to 30 times.
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- **Blacklist**: Force-closes position open >10min without convergence, prevents re-entry for BlacklistDuration.
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### Net Profit Calculation
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```go
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netProfit(buyPrice, sellPrice, buyFee, sellFee) = (revenue/cost - 1)*100 - 2*(buyFee + sellFee)
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```
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Where cost = buyPrice * (1 + buyFee/100), revenue = sellPrice * (1 - sellFee/100). Four total fees (2 entry + 2 exit).
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- **Adaptive baseline**: Per-coin rolling window (600 samples, ~30s at 50ms tick) of 3-exchange max spreads
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- **Threshold**: median(spreads) × multiplier (default 3.0), with min floor (0.05%)
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- **Trigger**: currentSpread > threshold AND cooldown (60s) passed
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- **Direction**: Compare highest exchange deviation from median vs lowest exchange deviation
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- **Leading exchange**: The exchange furthest from median price (first to reflect price move)
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### Configuration Priority
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`.env` vars > `config.json` > code defaults. Config struct in `config.go`.
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Key env vars: `BITGET_API_KEY`, `BITGET_API_SECRET`, `BITGET_PASSPHRASE`, `HL_PRIVATE_KEY`, `HL_ADDRESS`, `HL_API_ADDRESS`, `TELEGRAM_BOT_TOKEN`, `TELEGRAM_CHAT_ID`, `TRADE_ENABLED`, `TEST_MODE`.
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Key env vars: `BITGET_API_KEY`, `BITGET_API_SECRET`, `BITGET_PASSPHRASE`, `BINANCE_API_KEY`, `BINANCE_API_SECRET`, `HTTPS_PROXY`, `TELEGRAM_BOT_TOKEN`, `TELEGRAM_CHAT_ID`.
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### Dashboard API
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| Endpoint | Description |
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|----------|-------------|
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| `GET /` | Serves index.html (disk first, fallback embed) |
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| `GET /api/status` | Prices, positions, stats, exchange funds |
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| `GET /events` | SSE stream (prices, positions, arb, stats — 1s interval) |
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| `GET /api/status` | Current prices snapshot |
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| `GET /events` | SSE stream (prices, spread_3ex, momentum, trend, cumulative, trend_filter, surge, status) |
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| `GET /api/history?coin=&exchange=` | Price history ring buffer (500 pts) |
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| `GET /api/spread-history?coin=` | BG↔HL spread history |
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| `GET /api/trades?page=&limit=&coin=` | Paginated trade history from DB |
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| `GET /api/trade/{id}` | Trade detail + orders |
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| `GET /api/spread-history?coin=` | 3-exchange spread history |
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| `GET /api/surge-events?limit=` | Surge event history from DB or memory |
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| `GET /api/cm-history` | Cumulative change event history |
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| `GET /api/trend-signals` | Trend filter signal history |
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| `GET /api/connections` | Exchange WS health (online/stale/offline) |
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| `POST /api/stop` | Stop trading + force-close positions |
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| `POST /api/start` | Resume trading |
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### SSE Events
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| Event | Data | Frequency |
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|-------|------|-----------|
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| `prices` | All coin prices + 3-ex spread | Every tick |
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| `spread_3ex` | Top 3-ex spreads scan results | Every tick |
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| `momentum` | Multi-window price change % | Every tick |
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| `trend` | Trend state machine snapshots | Every tick |
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| `cumulative` | Cumulative consensus changes | Every tick |
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| `trend_filter` | K-line filter states | Every tick |
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| `trend_signal` | Individual trend signal (enter/exit) | On event |
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| `surge` | Current spread/baseline snapshots | Every tick |
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| `surge_event` | New surge detection event | On detection |
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| `status` | Connection health + coin count | Every tick |
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### Database
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SQLite at `~/Project/exchange-monitor-go/data/trades.db` (single-writer mode). Tables: `trades` (trade-level), `orders` (per-leg filled orders), `system_orders` (linked long+short order pairs), `config_log`.
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SQLite at `~/Project/exchange-monitor-go/data/trades.db` (single-writer mode). Tables: `surge_events`, `cm_events`, `trend_events`, `trend_signals`.
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### Coin Tracking
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~150 coins in `TrackedCoins` slice (scanner.go). Each entry has Name, BN (Binance, currently unused), BG (Bitget symbol), HL (HyperLiquid symbol). Only BG+HL are actively connected.
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### IPC (Unix Socket)
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`/tmp/exchange-monitor.sock` — JSON commands from CLI to daemon. Actions: status, close-all, close {coin}, stop, start.
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~150 coins in `TrackedCoins` slice (scanner.go). Each entry has Name, BN (Binance symbol), BG (Bitget symbol), OKX (OKX symbol). Active WebSocket connections: Bitget + Binance + OKX.
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