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
@@ -168,6 +168,25 @@ func (d *DB) migrate() error {
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);
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CREATE INDEX IF NOT EXISTS idx_trend_signals_coin ON trend_signals(coin);
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CREATE INDEX IF NOT EXISTS idx_trend_signals_created ON trend_signals(created_at);
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CREATE TABLE IF NOT EXISTS surge_events (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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coin TEXT NOT NULL,
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timestamp DATETIME NOT NULL,
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bn_price REAL,
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okx_price REAL,
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bg_price REAL,
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spread_pct REAL NOT NULL,
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baseline_pct REAL,
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threshold_pct REAL,
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ratio REAL,
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direction TEXT NOT NULL,
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leading_exchange TEXT NOT NULL,
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mid_price REAL,
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created_at DATETIME DEFAULT CURRENT_TIMESTAMP
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);
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CREATE INDEX IF NOT EXISTS idx_surge_events_coin ON surge_events(coin);
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CREATE INDEX IF NOT EXISTS idx_surge_events_created ON surge_events(created_at);
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`
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_, err := d.Exec(schema)
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if err != nil {
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@@ -0,0 +1,58 @@
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package db
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import "time"
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// SurgeEventRecord represents a persisted surge detection event.
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type SurgeEventRecord struct {
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ID int64 `json:"id"`
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Coin string `json:"coin"`
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Timestamp string `json:"timestamp"`
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BnPrice float64 `json:"bn_price"`
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OkxPrice float64 `json:"okx_price"`
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BgPrice float64 `json:"bg_price"`
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SpreadPct float64 `json:"spread_pct"`
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BaselinePct float64 `json:"baseline_pct"`
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ThresholdPct float64 `json:"threshold_pct"`
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Ratio float64 `json:"ratio"`
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Direction string `json:"direction"`
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LeadingExchange string `json:"leading_exchange"`
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MidPrice float64 `json:"mid_price"`
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CreatedAt string `json:"created_at"`
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}
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// InsertSurgeEvent saves a surge event to the database.
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func (d *DB) InsertSurgeEvent(coin string, ts time.Time, bnPrice, okxPrice, bgPrice, spreadPct, baselinePct, thresholdPct, ratio float64, direction, leadingExchange string, midPrice float64) error {
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_, err := d.Exec(`
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INSERT INTO surge_events (coin, timestamp, bn_price, okx_price, bg_price, spread_pct, baseline_pct, threshold_pct, ratio, direction, leading_exchange, mid_price, created_at)
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VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)`,
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coin, ts.Format(time.RFC3339), bnPrice, okxPrice, bgPrice, spreadPct, baselinePct, thresholdPct, ratio, direction, leadingExchange, midPrice, Now().Format(time.RFC3339))
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return err
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}
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// GetSurgeEvents returns surge events ordered by creation time descending.
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func (d *DB) GetSurgeEvents(limit int) ([]SurgeEventRecord, error) {
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if limit <= 0 {
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limit = 100
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}
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rows, err := d.Query(`
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SELECT id, coin, timestamp, bn_price, okx_price, bg_price, spread_pct, baseline_pct, threshold_pct, ratio, direction, leading_exchange, mid_price, created_at
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FROM surge_events
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ORDER BY created_at DESC
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LIMIT ?`, limit)
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if err != nil {
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return nil, err
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}
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defer rows.Close()
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var result []SurgeEventRecord
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for rows.Next() {
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var r SurgeEventRecord
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if err := rows.Scan(&r.ID, &r.Coin, &r.Timestamp, &r.BnPrice, &r.OkxPrice, &r.BgPrice,
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&r.SpreadPct, &r.BaselinePct, &r.ThresholdPct, &r.Ratio, &r.Direction,
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&r.LeadingExchange, &r.MidPrice, &r.CreatedAt); err != nil {
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return nil, err
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}
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result = append(result, r)
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}
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return result, rows.Err()
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}
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@@ -1,325 +0,0 @@
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package db
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import (
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"database/sql"
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"time"
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)
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// TradeRecord mirrors the database row for trades table.
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type TradeRecord struct {
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ID int64
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Coin string
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Direction string
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Status string // open / closed
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EntrySpread *float64
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ExitSpread *float64
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LongExchange string
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ShortExchange string
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LongEntry *float64
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LongExit *float64
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ShortEntry *float64
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ShortExit *float64
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LongPnl *float64
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ShortPnl *float64
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FeeEntry *float64
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FeeExit *float64
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NetPnl *float64
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AmountUSD float64
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ScaleCount int
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ExitReason *string
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Convergence *string
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OpenedAt time.Time
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ClosedAt *time.Time
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PnlLongUSD *float64 // per-exchange PnL in USD
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PnlShortUSD *float64
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FeeLongUSD *float64 // per-exchange fee in USD
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FeeShortUSD *float64
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}
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// OrderRecord mirrors the database row for orders table.
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type OrderRecord struct {
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ID int64
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TradeID int64
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Leg string // long / short
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Type string // entry / exit / scale
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Exchange string
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Side string // buy / sell
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Price *float64
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Size *float64
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Fee *float64
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OrderID *string
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Status *string
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CreatedAt time.Time
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}
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// SystemOrderRecord represents one system-level arbitrage action (entry/scale/exit).
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type SystemOrderRecord struct {
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ID int64
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TradeID int64
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Type string // entry / scale / exit
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Status string // filled / failed
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Spread *float64
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LongPrice *float64
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ShortPrice *float64
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LongOrderID *int64
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ShortOrderID *int64
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CreatedAt time.Time
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}
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// SaveTrade inserts a new trade and returns its ID.
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func (d *DB) SaveTrade(t *TradeRecord) (int64, error) {
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res, err := d.Exec(`INSERT INTO trades (
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coin, direction, status, entry_spread, exit_spread,
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long_exchange, short_exchange, long_entry, long_exit, short_entry, short_exit,
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long_pnl, short_pnl, fee_entry, fee_exit, net_pnl,
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amount_usd, scale_count, exit_reason, convergence, opened_at, closed_at,
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pnl_long_usd, pnl_short_usd, fee_long_usd, fee_short_usd
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) VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)`,
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t.Coin, t.Direction, t.Status, t.EntrySpread, t.ExitSpread,
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t.LongExchange, t.ShortExchange, t.LongEntry, t.LongExit, t.ShortEntry, t.ShortExit,
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t.LongPnl, t.ShortPnl, t.FeeEntry, t.FeeExit, t.NetPnl,
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t.AmountUSD, t.ScaleCount, t.ExitReason, t.Convergence, t.OpenedAt, t.ClosedAt,
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t.PnlLongUSD, t.PnlShortUSD, t.FeeLongUSD, t.FeeShortUSD,
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)
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if err != nil {
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return 0, err
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}
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return res.LastInsertId()
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}
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// UpdateTradeStatus updates an existing trade's close data.
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func (d *DB) UpdateTradeStatus(id int64, t *TradeRecord) error {
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_, err := d.Exec(`UPDATE trades SET
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status=?, exit_spread=?, long_exit=?, short_exit=?,
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long_pnl=?, short_pnl=?, fee_entry=?, fee_exit=?, net_pnl=?,
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amount_usd=?, scale_count=?, exit_reason=?, convergence=?, closed_at=?,
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pnl_long_usd=?, pnl_short_usd=?, fee_long_usd=?, fee_short_usd=?
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WHERE id=?`,
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t.Status, t.ExitSpread,
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t.LongExit, t.ShortExit,
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t.LongPnl, t.ShortPnl, t.FeeEntry, t.FeeExit, t.NetPnl,
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t.AmountUSD, t.ScaleCount, t.ExitReason, t.Convergence, t.ClosedAt,
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t.PnlLongUSD, t.PnlShortUSD, t.FeeLongUSD, t.FeeShortUSD,
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id,
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)
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return err
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}
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// SetTradeStatus updates only the status field of a trade.
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func (d *DB) SetTradeStatus(id int64, status string) error {
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_, err := d.Exec("UPDATE trades SET status=? WHERE id=?", status, id)
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return err
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}
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// UpdateTradeEntry updates entry-related fields on an existing trade (prices, exchanges, spread).
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func (d *DB) UpdateTradeEntry(id int64, t *TradeRecord) error {
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_, err := d.Exec(`UPDATE trades SET long_entry=?, short_entry=?, long_exchange=?, short_exchange=?, entry_spread=? WHERE id=?`,
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t.LongEntry, t.ShortEntry, t.LongExchange, t.ShortExchange, t.EntrySpread, id)
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return err
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}
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// UpdateTradeScale updates scale-in fields on an existing trade (amount_usd, scale_count).
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func (d *DB) UpdateTradeScale(id int64, amountUSD float64, scaleCount int) error {
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_, err := d.Exec("UPDATE trades SET amount_usd=?, scale_count=? WHERE id=?", amountUSD, scaleCount, id)
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return err
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}
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// GetOpenTrades returns all non-closed trades (status='open' or status='entering').
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func (d *DB) GetOpenTrades() ([]TradeRecord, error) {
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rows, err := d.Query(`SELECT id, coin, direction, status, entry_spread, exit_spread,
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long_exchange, short_exchange, long_entry, long_exit, short_entry, short_exit,
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long_pnl, short_pnl, fee_entry, fee_exit, net_pnl,
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amount_usd, scale_count, exit_reason, convergence, opened_at, closed_at,
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pnl_long_usd, pnl_short_usd, fee_long_usd, fee_short_usd
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FROM trades WHERE status IN ('open','entering')`)
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if err != nil {
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return nil, err
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}
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defer rows.Close()
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return scanTrades(rows)
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}
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// GetTrades returns paginated closed trades.
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func (d *DB) GetTrades(page, limit int, coin string) ([]TradeRecord, int, error) {
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// Count total
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var total int
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countSQL := "SELECT COUNT(*) FROM trades WHERE status='closed'"
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args := []interface{}{}
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if coin != "" {
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countSQL += " AND coin=?"
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args = append(args, coin)
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}
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if err := d.QueryRow(countSQL, args...).Scan(&total); err != nil {
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return nil, 0, err
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}
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// Fetch page
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offset := (page - 1) * limit
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query := `SELECT id, coin, direction, status, entry_spread, exit_spread,
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long_exchange, short_exchange, long_entry, long_exit, short_entry, short_exit,
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long_pnl, short_pnl, fee_entry, fee_exit, net_pnl,
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amount_usd, scale_count, exit_reason, convergence, opened_at, closed_at,
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pnl_long_usd, pnl_short_usd, fee_long_usd, fee_short_usd
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FROM trades WHERE status='closed'`
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if coin != "" {
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query += " AND coin=?"
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}
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query += " ORDER BY closed_at DESC LIMIT ? OFFSET ?"
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allArgs := args
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allArgs = append(allArgs, limit, offset)
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rows, err := d.Query(query, allArgs...)
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if err != nil {
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return nil, 0, err
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}
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defer rows.Close()
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trades, err := scanTrades(rows)
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return trades, total, err
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}
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// SaveOrder inserts an order record.
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func (d *DB) SaveOrder(o *OrderRecord) (int64, error) {
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res, err := d.Exec(`INSERT INTO orders
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(trade_id, leg, type, exchange, side, price, size, fee, order_id, status, created_at)
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VALUES (?,?,?,?,?, ?,?,?,?,?, ?)`,
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o.TradeID, o.Leg, o.Type, o.Exchange, o.Side,
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o.Price, o.Size, o.Fee, o.OrderID, o.Status, o.CreatedAt,
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)
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if err != nil {
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return 0, err
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}
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return res.LastInsertId()
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}
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// SaveSystemOrder inserts a system-level order record.
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func (d *DB) SaveSystemOrder(o *SystemOrderRecord) (int64, error) {
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res, err := d.Exec(`INSERT INTO system_orders
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(trade_id, type, status, spread, long_price, short_price, long_order_id, short_order_id, created_at)
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VALUES (?,?,?,?,?, ?,?,?,?)`,
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o.TradeID, o.Type, o.Status, o.Spread,
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o.LongPrice, o.ShortPrice, o.LongOrderID, o.ShortOrderID, o.CreatedAt,
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)
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if err != nil {
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return 0, err
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}
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return res.LastInsertId()
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}
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// GetTradeByID returns a single trade with its orders.
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func (d *DB) GetTradeByID(id int64) (*TradeRecord, []OrderRecord, error) {
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row := d.QueryRow(`SELECT id, coin, direction, status, entry_spread, exit_spread,
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long_exchange, short_exchange, long_entry, long_exit, short_entry, short_exit,
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long_pnl, short_pnl, fee_entry, fee_exit, net_pnl,
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amount_usd, scale_count, exit_reason, convergence, opened_at, closed_at,
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pnl_long_usd, pnl_short_usd, fee_long_usd, fee_short_usd
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FROM trades WHERE id=?`, id)
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var t TradeRecord
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err := row.Scan(
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&t.ID, &t.Coin, &t.Direction, &t.Status, &t.EntrySpread, &t.ExitSpread,
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&t.LongExchange, &t.ShortExchange, &t.LongEntry, &t.LongExit, &t.ShortEntry, &t.ShortExit,
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&t.LongPnl, &t.ShortPnl, &t.FeeEntry, &t.FeeExit, &t.NetPnl,
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&t.AmountUSD, &t.ScaleCount, &t.ExitReason, &t.Convergence, &t.OpenedAt, &t.ClosedAt,
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&t.PnlLongUSD, &t.PnlShortUSD, &t.FeeLongUSD, &t.FeeShortUSD,
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)
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if err != nil {
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return nil, nil, err
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}
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// Fetch orders
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oRows, err := d.Query(`SELECT id, trade_id, leg, type, exchange, side,
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price, size, fee, order_id, status, created_at
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FROM orders WHERE trade_id=? ORDER BY id`, id)
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if err != nil {
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return nil, nil, err
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}
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defer oRows.Close()
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var orders []OrderRecord
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for oRows.Next() {
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var o OrderRecord
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if err := oRows.Scan(&o.ID, &o.TradeID, &o.Leg, &o.Type, &o.Exchange, &o.Side,
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&o.Price, &o.Size, &o.Fee, &o.OrderID, &o.Status, &o.CreatedAt); err != nil {
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return nil, nil, err
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}
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orders = append(orders, o)
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}
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return &t, orders, nil
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}
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func scanTrades(rows *sql.Rows) ([]TradeRecord, error) {
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var trades []TradeRecord
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for rows.Next() {
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var t TradeRecord
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if err := rows.Scan(
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&t.ID, &t.Coin, &t.Direction, &t.Status, &t.EntrySpread, &t.ExitSpread,
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&t.LongExchange, &t.ShortExchange, &t.LongEntry, &t.LongExit, &t.ShortEntry, &t.ShortExit,
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&t.LongPnl, &t.ShortPnl, &t.FeeEntry, &t.FeeExit, &t.NetPnl,
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&t.AmountUSD, &t.ScaleCount, &t.ExitReason, &t.Convergence, &t.OpenedAt, &t.ClosedAt,
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&t.PnlLongUSD, &t.PnlShortUSD, &t.FeeLongUSD, &t.FeeShortUSD,
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); err != nil {
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return nil, err
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}
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trades = append(trades, t)
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}
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return trades, rows.Err()
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}
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// GetScalePrices returns scale-in order prices for a trade, grouped by leg.
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func (d *DB) GetScalePrices(tradeID int64) (longPrices, shortPrices []float64, err error) {
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rows, err := d.Query(`SELECT leg, price FROM orders
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WHERE trade_id=? AND type='scale' AND price IS NOT NULL
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ORDER BY id`, tradeID)
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if err != nil {
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return nil, nil, err
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}
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defer rows.Close()
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for rows.Next() {
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var leg string
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var price float64
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if err := rows.Scan(&leg, &price); err != nil {
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return nil, nil, err
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}
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switch leg {
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case "long":
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longPrices = append(longPrices, price)
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case "short":
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shortPrices = append(shortPrices, price)
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}
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}
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return longPrices, shortPrices, rows.Err()
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}
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// GetAllClosedTrades returns all closed trades for PnL history restoration.
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func (d *DB) GetAllClosedTrades() ([]TradeRecord, error) {
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rows, err := d.Query(`SELECT id, coin, direction, status, entry_spread, exit_spread,
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long_exchange, short_exchange, long_entry, long_exit, short_entry, short_exit,
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long_pnl, short_pnl, fee_entry, fee_exit, net_pnl,
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amount_usd, scale_count, exit_reason, convergence, opened_at, closed_at,
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pnl_long_usd, pnl_short_usd, fee_long_usd, fee_short_usd
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FROM trades WHERE status='closed' ORDER BY id`)
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if err != nil {
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return nil, err
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}
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defer rows.Close()
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return scanTrades(rows)
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}
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// GetClosedStats returns convergence counts from the database.
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func (d *DB) GetClosedStats() (converged, diverged, flat, total int, err error) {
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if err = d.QueryRow("SELECT COUNT(*) FROM trades WHERE status='closed'").Scan(&total); err != nil {
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return
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}
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if err = d.QueryRow("SELECT COUNT(*) FROM trades WHERE status='closed' AND convergence='价差收敛'").Scan(&converged); err != nil {
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return
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}
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if err = d.QueryRow("SELECT COUNT(*) FROM trades WHERE status='closed' AND convergence='价差发散'").Scan(&diverged); err != nil {
|
||||
return
|
||||
}
|
||||
if err = d.QueryRow("SELECT COUNT(*) FROM trades WHERE status='closed' AND (convergence IS NULL OR convergence NOT IN ('价差收敛','价差发散'))").Scan(&flat); err != nil {
|
||||
return
|
||||
}
|
||||
return
|
||||
}
|
||||
Reference in New Issue
Block a user