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>
This commit is contained in:
jackyu66git
co-authored by
Claude Opus 4.6
Claude Opus 4.6
parent
559d7bb870
commit
d38782490c
@@ -4,7 +4,6 @@ import (
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"encoding/json"
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"os"
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"strconv"
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"time"
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)
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// Config holds all system configuration.
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@@ -13,44 +12,15 @@ type Config struct {
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TelegramBotToken string
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TelegramChatID string
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AlertCooldownSec int // seconds between alerts for same coin
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ArbThreshold float64 // minimum net profit % to trigger alert
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ArbThreshold float64 // minimum spread % to trigger alert
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ScanIntervalMs int // how often scanner runs (milliseconds)
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// Automated trading
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TradeEnabled bool
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TradeThreshold float64 // minimum profit % to execute trade
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TradeAmountUSD float64 // amount per leg in USDT
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TradeCooldownMs int // ms between trades of same coin
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MaxPositions int // max concurrent open positions (0 = unlimited)
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// Capital
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InitialCapital float64 // starting capital in USD (for PnL % calculation)
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// Blacklist — stale spread observation
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BlacklistDuration time.Duration // how long a coin stays blacklisted (0 = permanent)
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// ExcludedCoins — coins to never trade (hard block)
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ExcludedCoins []string
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// Test mode (no real API keys needed)
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TestMode bool
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MockSlippagePct float64 // simulated slippage per order (e.g. 0.01 = 0.01%)
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// Exchange fee rates (% per order)
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TakerFeeBitget float64
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TakerFeeHyperLiquid float64
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// Exit/risk parameters
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TakeProfitPct float64 // net profit % threshold for take-profit
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PositionTimeout time.Duration // max position hold time before auto-close
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LegDelay time.Duration // delay between placing long and short legs
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// Scale-in parameters
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ScaleStepPct float64 // spread widening % trigger for each scale level
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ScaleCooldown time.Duration // minimum time between scale-ins
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// Entry sanity check: reject if price moved beyond this % in the wrong direction
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ReversalTolerancePct float64
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// Surge detection
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SurgeEnabled bool
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SurgeWindowSize int // rolling window samples (default: 600 = ~30s)
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SurgeBaselineMultiplier float64 // baseline * N = threshold (default: 3.0)
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SurgeMinAbsSpreadPct float64 // minimum absolute spread % (default: 0.05)
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SurgeCooldownSec int // cooldown seconds per coin (default: 60)
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// Momentum scanning mode
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MomentumEnabled bool
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@@ -62,33 +32,20 @@ type Config struct {
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TrendAnomalyMul float64 // z-score multiplier for alert threshold (default: 3.0)
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TrendConfirmTicks int // ticks needed for state confirmation (default: 3)
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TrendAlertCooldown int64 // ms cooldown between alerts for same coin (default: 60000)
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// Bitget API
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BitgetAPIKey string
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BitgetAPISecret string
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BitgetPassphrase string
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// HyperLiquid API
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HLPrivateKey string // ed25519 private key hex
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HLAddress string // main account address
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HLAPIAddress string // API wallet address (signer, auto-derived if empty)
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}
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// jsonConfig maps config.json fields (non-secret defaults checked into git).
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type jsonConfig struct {
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TestMode bool `json:"test_mode"`
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TradeEnabled bool `json:"trade_enabled"`
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ArbThreshold float64 `json:"arb_threshold"`
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ScanIntervalMs int `json:"scan_interval_ms"`
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TradeThreshold float64 `json:"trade_threshold"`
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TradeAmountUSD float64 `json:"trade_amount_usd"`
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TradeCooldownMs int `json:"trade_cooldown_ms"`
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AlertCooldownSec int `json:"alert_cooldown_sec"`
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MockSlippagePct float64 `json:"mock_slippage_pct"`
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MaxPositions int `json:"max_positions"`
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BlacklistDuration int `json:"blacklist_duration_sec"`
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InitialCapital float64 `json:"initial_capital"`
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ExcludedCoins []string `json:"excluded_coins"`
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ArbThreshold float64 `json:"arb_threshold"`
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ScanIntervalMs int `json:"scan_interval_ms"`
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AlertCooldownSec int `json:"alert_cooldown_sec"`
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// Surge detection
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SurgeEnabled bool `json:"surge_enabled"`
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SurgeWindowSize int `json:"surge_window_size"`
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SurgeBaselineMultiplier float64 `json:"surge_baseline_multiplier"`
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SurgeMinAbsSpreadPct float64 `json:"surge_min_abs_spread_pct"`
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SurgeCooldownSec int `json:"surge_cooldown_sec"`
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// Momentum scanning
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MomentumEnabled bool `json:"momentum_enabled"`
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@@ -100,18 +57,6 @@ type jsonConfig struct {
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TrendAnomalyMul float64 `json:"trend_anomaly_mul"`
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TrendConfirmTicks int `json:"trend_confirm_ticks"`
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TrendAlertCooldown int64 `json:"trend_alert_cooldown_ms"`
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// New: exchange fees
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TakerFeeBitget float64 `json:"taker_fee_bitget"`
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TakerFeeHyperLiquid float64 `json:"taker_fee_hyperliquid"`
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// New: exit/risk parameters
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TakeProfitPct float64 `json:"take_profit_pct"`
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PositionTimeoutSec int `json:"position_timeout_sec"`
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LegDelayMs int `json:"leg_delay_ms"`
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ReversalTolerancePct float64 `json:"reversal_tolerance_pct"`
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ScaleStepPct float64 `json:"scale_step_pct"`
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ScaleCooldownSec int `json:"scale_cooldown_sec"`
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}
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func LoadConfig() *Config {
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@@ -151,34 +96,12 @@ func LoadConfig() *Config {
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ArbThreshold: getFloat("ARB_THRESHOLD", jsonCfg.ArbThreshold),
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ScanIntervalMs: int(getFloat("SCAN_INTERVAL_MS", float64(jsonCfg.ScanIntervalMs))),
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TradeEnabled: getBool("TRADE_ENABLED", jsonCfg.TradeEnabled),
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TradeThreshold: getFloat("TRADE_THRESHOLD", jsonCfg.TradeThreshold),
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TradeAmountUSD: getFloat("TRADE_AMOUNT_USD", jsonCfg.TradeAmountUSD),
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TradeCooldownMs: int(getFloat("TRADE_COOLDOWN_MS", float64(jsonCfg.TradeCooldownMs))),
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MaxPositions: int(getFloat("MAX_POSITIONS", float64(jsonCfg.MaxPositions))),
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InitialCapital: getFloat("INITIAL_CAPITAL", jsonCfg.InitialCapital),
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BlacklistDuration: time.Duration(getFloat("BLACKLIST_DURATION_SEC", float64(jsonCfg.BlacklistDuration))) * time.Second,
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TestMode: getBool("TEST_MODE", jsonCfg.TestMode),
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MockSlippagePct: getFloat("MOCK_SLIPPAGE_PCT", jsonCfg.MockSlippagePct),
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// Exchange fee rates
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TakerFeeBitget: getFloat("TAKER_FEE_BITGET", jsonCfg.TakerFeeBitget),
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TakerFeeHyperLiquid: getFloat("TAKER_FEE_HYPERLIQUID", jsonCfg.TakerFeeHyperLiquid),
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// Exit/risk parameters
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TakeProfitPct: getFloat("TAKE_PROFIT_PCT", jsonCfg.TakeProfitPct),
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PositionTimeout: time.Duration(getFloat("POSITION_TIMEOUT_SEC", float64(jsonCfg.PositionTimeoutSec))) * time.Second,
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LegDelay: time.Duration(getFloat("LEG_DELAY_MS", float64(jsonCfg.LegDelayMs))) * time.Millisecond,
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ReversalTolerancePct: getFloat("REVERSAL_TOLERANCE_PCT", jsonCfg.ReversalTolerancePct),
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// Scale-in parameters
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ScaleStepPct: getFloat("SCALE_STEP_PCT", jsonCfg.ScaleStepPct),
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ScaleCooldown: time.Duration(getFloat("SCALE_COOLDOWN_SEC", float64(jsonCfg.ScaleCooldownSec))) * time.Second,
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ExcludedCoins: jsonCfg.ExcludedCoins,
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// Surge detection
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SurgeEnabled: getBool("SURGE_ENABLED", jsonCfg.SurgeEnabled),
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SurgeWindowSize: int(getFloat("SURGE_WINDOW_SIZE", float64(jsonCfg.SurgeWindowSize))),
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SurgeBaselineMultiplier: getFloat("SURGE_BASELINE_MULTIPLIER", jsonCfg.SurgeBaselineMultiplier),
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SurgeMinAbsSpreadPct: getFloat("SURGE_MIN_ABS_SPREAD_PCT", jsonCfg.SurgeMinAbsSpreadPct),
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SurgeCooldownSec: int(getFloat("SURGE_COOLDOWN_SEC", float64(jsonCfg.SurgeCooldownSec))),
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// Momentum scanning
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MomentumEnabled: getBool("MOMENTUM_ENABLED", jsonCfg.MomentumEnabled),
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@@ -190,14 +113,6 @@ func LoadConfig() *Config {
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TrendAnomalyMul: getFloat("TREND_ANOMALY_MUL", jsonCfg.TrendAnomalyMul),
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TrendConfirmTicks: int(getFloat("TREND_CONFIRM_TICKS", float64(jsonCfg.TrendConfirmTicks))),
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TrendAlertCooldown: int64(getFloat("TREND_ALERT_COOLDOWN_MS", float64(jsonCfg.TrendAlertCooldown))),
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BitgetAPIKey: getEnv("BITGET_API_KEY", ""),
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BitgetAPISecret: getEnv("BITGET_API_SECRET", ""),
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BitgetPassphrase: getEnv("BITGET_PASSPHRASE", ""),
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HLPrivateKey: getEnv("HL_PRIVATE_KEY", ""),
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HLAddress: getEnv("HL_ADDRESS", ""),
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HLAPIAddress: getEnv("HL_API_ADDRESS", ""),
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}
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}
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@@ -205,36 +120,22 @@ func loadJSONConfig() jsonConfig {
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def := jsonConfig{
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ArbThreshold: 0.03,
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ScanIntervalMs: 500,
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TradeThreshold: 0.15,
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TradeAmountUSD: 10,
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TradeCooldownMs: 30000,
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AlertCooldownSec: 300,
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MockSlippagePct: 0.005,
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MaxPositions: 5, // default max 5 concurrent positions
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BlacklistDuration: 3600, // default 1 hour blacklist observation
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InitialCapital: 1000, // default $1000 starting capital
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// Exchange fee rates
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TakerFeeBitget: 0.060, // 0.060%
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TakerFeeHyperLiquid: 0.045, // 0.045%
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// Exit/risk parameters
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TakeProfitPct: 0.20, // 0.20% net profit take-profit
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PositionTimeoutSec: 1800, // 30 minutes
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LegDelayMs: 300, // 300ms between legs
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ReversalTolerancePct: 0.1, // 0.1% tolerance for entry sanity check
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// Scale-in parameters
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ScaleStepPct: 0.10, // 0.10% spread widening per scale level
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ScaleCooldownSec: 5, // 5 seconds between scales
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// Surge detection
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SurgeEnabled: true,
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SurgeWindowSize: 600, // ~30s at 50ms tick
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SurgeBaselineMultiplier: 3.0, // baseline * N = threshold
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SurgeMinAbsSpreadPct: 0.05, // minimum absolute spread %
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SurgeCooldownSec: 60, // seconds between alerts for same coin
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// Momentum scanning
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MomentumThresholdPct: 0.25, // 0.25% change flags momentum
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// Trend detection
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TrendBaselineWindow: 600, // ~30s at 50ms tick
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TrendAnomalyMul: 3.0, // 3 sigma z-score threshold
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TrendConfirmTicks: 3, // 3 consecutive ticks for confirmation
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TrendBaselineWindow: 600, // ~30s at 50ms tick
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TrendAnomalyMul: 3.0, // 3 sigma z-score threshold
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TrendConfirmTicks: 3, // 3 consecutive ticks for confirmation
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TrendAlertCooldown: 60000, // 1 min cooldown
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}
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@@ -255,58 +156,22 @@ func loadJSONConfig() jsonConfig {
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if cfg.ScanIntervalMs != 0 {
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def.ScanIntervalMs = cfg.ScanIntervalMs
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}
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if cfg.TradeThreshold != 0 {
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def.TradeThreshold = cfg.TradeThreshold
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}
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if cfg.TradeAmountUSD != 0 {
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def.TradeAmountUSD = cfg.TradeAmountUSD
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}
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if cfg.TradeCooldownMs != 0 {
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def.TradeCooldownMs = cfg.TradeCooldownMs
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}
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if cfg.AlertCooldownSec != 0 {
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def.AlertCooldownSec = cfg.AlertCooldownSec
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}
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if cfg.MockSlippagePct != 0 {
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def.MockSlippagePct = cfg.MockSlippagePct
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}
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if cfg.MaxPositions != 0 {
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def.MaxPositions = cfg.MaxPositions
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}
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if cfg.BlacklistDuration != 0 {
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def.BlacklistDuration = cfg.BlacklistDuration
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}
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if cfg.InitialCapital != 0 {
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def.InitialCapital = cfg.InitialCapital
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}
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// New config fields
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if cfg.TakerFeeBitget != 0 {
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def.TakerFeeBitget = cfg.TakerFeeBitget
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// Surge detection JSON overrides
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if cfg.SurgeWindowSize != 0 {
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def.SurgeWindowSize = cfg.SurgeWindowSize
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}
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if cfg.TakerFeeHyperLiquid != 0 {
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def.TakerFeeHyperLiquid = cfg.TakerFeeHyperLiquid
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if cfg.SurgeBaselineMultiplier != 0 {
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def.SurgeBaselineMultiplier = cfg.SurgeBaselineMultiplier
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}
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if cfg.TakeProfitPct != 0 {
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def.TakeProfitPct = cfg.TakeProfitPct
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if cfg.SurgeMinAbsSpreadPct != 0 {
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def.SurgeMinAbsSpreadPct = cfg.SurgeMinAbsSpreadPct
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}
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if cfg.PositionTimeoutSec != 0 {
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def.PositionTimeoutSec = cfg.PositionTimeoutSec
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}
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if cfg.LegDelayMs != 0 {
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def.LegDelayMs = cfg.LegDelayMs
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}
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if cfg.ReversalTolerancePct != 0 {
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def.ReversalTolerancePct = cfg.ReversalTolerancePct
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}
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if cfg.ScaleStepPct != 0 {
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def.ScaleStepPct = cfg.ScaleStepPct
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}
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if cfg.ScaleCooldownSec != 0 {
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def.ScaleCooldownSec = cfg.ScaleCooldownSec
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}
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if len(cfg.ExcludedCoins) > 0 {
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def.ExcludedCoins = cfg.ExcludedCoins
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if cfg.SurgeCooldownSec != 0 {
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def.SurgeCooldownSec = cfg.SurgeCooldownSec
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}
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if cfg.MomentumThresholdPct != 0 {
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@@ -328,12 +193,9 @@ func loadJSONConfig() jsonConfig {
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}
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// Boolean fields: zero default is false, so use OR logic
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// When JSON has true → true || false = true (override)
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// When JSON has false → false || false = false (keep default)
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def.TestMode = cfg.TestMode || def.TestMode
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def.TradeEnabled = cfg.TradeEnabled || def.TradeEnabled
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def.MomentumEnabled = cfg.MomentumEnabled || def.MomentumEnabled
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def.TrendEnabled = cfg.TrendEnabled || def.TrendEnabled
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def.SurgeEnabled = cfg.SurgeEnabled || def.SurgeEnabled
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return def
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}
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Block a user