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
@@ -3,7 +3,6 @@ package main
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import (
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"bytes"
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"context"
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"fmt"
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"io"
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"log"
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"math/rand"
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@@ -18,25 +17,6 @@ import (
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)
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func main() {
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// CLI subcommand mode: talk to running daemon via IPC
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if len(os.Args) > 1 {
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switch os.Args[1] {
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case "status", "close-all", "stop", "start":
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runIPCClient(os.Args[1], "")
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case "close":
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if len(os.Args) < 3 {
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fmt.Fprintln(os.Stderr, "Usage: exchange-monitor close <COIN>")
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os.Exit(1)
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}
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runIPCClient("close", os.Args[2])
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default:
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fmt.Fprintf(os.Stderr, "Unknown command: %s\n", os.Args[1])
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fmt.Fprintln(os.Stderr, "Commands: status, close-all, close <COIN>, stop, start")
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os.Exit(1)
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}
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return
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}
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log.SetFlags(log.Ldate | log.Ltime | log.Lshortfile)
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// Set up multi-writer: stdout + log file
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@@ -48,17 +28,12 @@ func main() {
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} else {
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log.SetOutput(os.Stdout)
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}
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log.Println("[Exchange Monitor] Starting...")
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log.Println("[Exchange Monitor] Starting surge detection mode...")
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loadDotEnv()
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cfg := LoadConfig()
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// Populate package-level taker fees from config (so scanner/dashboard/trader all use it)
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takerFees[ExBitget] = cfg.TakerFeeBitget
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takerFees[ExHyperLiquid] = cfg.TakerFeeHyperLiquid
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store := NewPriceStore()
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notifier := NewNotifier(cfg.TelegramBotToken, cfg.TelegramChatID)
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// Initialize momentum tracker (for momentum scanning mode)
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momentumTracker := NewMomentumTracker()
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@@ -73,7 +48,6 @@ func main() {
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// Initialize cumulative tracker (1min/5min multi-exchange consensus change)
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cumulativeTracker := NewCumulativeTracker()
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log.Printf("[CM] Cumulative change tracking enabled (1m >= %.1f%%, 3+ exchanges)", cumulativeTracker.surgePct1m)
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// Initialize trend filter (Binance K-line based quiet + EMA52 filter)
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trendFilter := NewTrendFilter(store, trendDetector)
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@@ -88,50 +62,40 @@ func main() {
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defer database.Close()
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}
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// Initialize trader
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trader := NewTrader(cfg, database)
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// Initialize surge detector
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surgeDetector := NewSurgeDetector()
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if cfg.SurgeEnabled {
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surgeDetector.Configure(cfg.SurgeWindowSize, cfg.SurgeBaselineMultiplier, cfg.SurgeMinAbsSpreadPct, cfg.SurgeCooldownSec)
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log.Printf("[Surge] Adaptive detection enabled (window=%d ticks, multiplier=%.1fx, min_spread=%.2f%%, cooldown=%ds)",
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cfg.SurgeWindowSize, cfg.SurgeBaselineMultiplier, cfg.SurgeMinAbsSpreadPct, cfg.SurgeCooldownSec)
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// Start Unix socket IPC for CLI commands
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trader.startIPCServer()
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// Initialize dashboard (web server + SSE)
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dashboard := NewDashboard(store, trader, database, ":8888", cfg, momentumTracker, trendDetector, cumulativeTracker, trendFilter)
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go dashboard.Run()
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// Spread window tracker — measures how long spreads stay above threshold
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spreadTracker := NewSpreadWindowTracker()
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// P3-4: wire real-time trade event broadcast
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trader.OnTradeEvent = dashboard.BroadcastEvent
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if cfg.MomentumEnabled {
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log.Printf("[Trader] MOMENTUM SCAN mode: arbitrage trading disabled, momentum detection active (threshold >= %.2f%%)", cfg.MomentumThresholdPct)
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} else if trader.IsConfigured() {
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log.Printf("[Trader] %s mode: automated trading ENABLED (threshold >= %.2f%%, $%.0f/leg, max %d positions, $%.0f capital)",
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trader.ModeLabel(), cfg.TradeThreshold, cfg.TradeAmountUSD, cfg.MaxPositions, cfg.InitialCapital)
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if cfg.TestMode {
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log.Printf("[Trader] Using mock orders with %.3f%% slippage per leg", cfg.MockSlippagePct)
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// Wire surge event persistence to SQLite
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if database != nil {
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surgeDetector.SetOnEvent(func(ev SurgeEvent) {
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database.InsertSurgeEvent(ev.Coin, ev.Timestamp, ev.BnPrice, ev.OkxPrice, ev.BgPrice,
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ev.SpreadPct, ev.BaselinePct, ev.ThresholdPct, ev.Ratio,
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ev.Direction, ev.LeadingExchange, ev.MidPrice)
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})
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}
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log.Printf("[Trader] Bitget+HL: BG->HL / HL->BG only")
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} else {
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log.Printf("[Trader] Automated trading DISABLED (set TRADE_ENABLED=1 or TEST_MODE=true in .env)")
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}
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// Context for graceful shutdown — replaces shared sigCh (B#1)
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// Initialize dashboard (web server + SSE)
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dashboard := NewDashboard(store, database, ":8888", cfg, momentumTracker, trendDetector, cumulativeTracker, trendFilter, surgeDetector)
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go dashboard.Run()
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// Context for graceful shutdown
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ctx, cancel := context.WithCancel(context.Background())
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defer cancel()
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sigCh := make(chan os.Signal, 1)
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signal.Notify(sigCh, os.Interrupt, syscall.SIGUSR1)
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// Collect symbols for all exchanges
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var bgSymbols, hlSymbols, bnSymbols, okxSymbols []string
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// Collect symbols for all exchanges
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var bgSymbols, bnSymbols, okxSymbols []string
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for _, c := range TrackedCoins {
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if c.BG != "" {
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bgSymbols = append(bgSymbols, c.BG)
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}
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if c.HL != "" {
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hlSymbols = append(hlSymbols, c.HL)
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}
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if c.BN != "" {
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bnSymbols = append(bnSymbols, c.BN)
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}
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@@ -147,7 +111,7 @@ func main() {
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err := runner(func(coin string, price, bid, ask float64) {
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store.SetWithSpread(coin, name, price, bid, ask)
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dashboard.RecordPrice(coin, name, price)
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dashboard.RecordConnStatus(name) // P3-5
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dashboard.RecordConnStatus(name)
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})
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log.Printf("[%s] WS error: %v (reconnecting...)", name, err)
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select {
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@@ -159,7 +123,6 @@ func main() {
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}()
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}
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startExchange("HyperLiquid", exchange.NewHyperLiquidWS(hlSymbols).Run)
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startExchange("Bitget", exchange.NewBitgetWS(bgSymbols).Run)
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startExchange("Binance", exchange.NewBinanceWS(bnSymbols).Run)
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startExchange("OKX", exchange.NewOKXWS(okxSymbols).Run)
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@@ -167,10 +130,7 @@ func main() {
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log.Println("[Monitor] Waiting for initial data...")
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time.Sleep(10 * time.Second)
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// Main loop
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lastHour := -1
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// Fixed 50ms scan interval
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// Main loop — fixed 50ms scan interval
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jitterMin, jitterMax := 50, 50
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randInterval := func() time.Duration {
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return time.Duration(jitterMin+rand.Intn(jitterMax-jitterMin+1)) * time.Millisecond
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@@ -185,29 +145,13 @@ func main() {
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select {
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case sig := <-sigCh:
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if sig == syscall.SIGUSR1 {
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// Dump stats on request
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converged, diverged, flat, total := trader.GetClosedStats()
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stats := fmt.Sprintf("=== 收敛统计 === %s\n", time.Now().Format("2006-01-02 15:04"))
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stats += fmt.Sprintf(" 总交易数: %d\n", total)
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stats += fmt.Sprintf(" 价差收敛: %d\n", converged)
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stats += fmt.Sprintf(" 价差持平: %d\n", flat)
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stats += fmt.Sprintf(" 价差发散: %d\n", diverged)
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if total > 0 {
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stats += fmt.Sprintf(" 收敛率: %.1f%%\n", float64(converged)/float64(total)*100)
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}
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log.Printf("[Monitor] SIGUSR1 received — wrote stats to trade_stats.txt")
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statsPath := os.ExpandEnv("$HOME/Project/exchange-monitor-go/trade_stats.txt")
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os.WriteFile(statsPath, []byte(stats), 0644)
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log.Printf("[Monitor] SIGUSR1 received — stats dump")
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continue
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}
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log.Println("[Monitor] Shutting down...")
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cancel() // B#1: cancel context to stop all WS goroutines
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cancel()
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runLoop = false
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case <-trader.StopCh:
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log.Println("[Monitor] 5 real trades completed — trading stopped. System still running (dashboard active)")
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log.Println("[Monitor] Use POST /api/start to resume trading, POST /api/stop to stop manually")
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case <-statusTick.C:
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snap := store.GetAll()
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count := 0
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@@ -216,25 +160,16 @@ func main() {
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}
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log.Printf("[Status] %d prices / %d coins connected", count, len(snap))
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// Show open positions (read from decoupled snapshot)
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if positions := trader.ReadSnapshot(); len(positions) > 0 {
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for _, pos := range positions {
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log.Printf(" [Position] %s %s open %d scales $%.0f since %s",
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pos.Coin, pos.Direction, pos.ScaleLevels, pos.AmountUSD,
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time.Since(pos.StartedAt).Round(time.Second).String())
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// Show surge events in last 30s
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events := surgeDetector.GetRecentEvents(3)
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for _, ev := range events {
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if time.Since(ev.Timestamp) < 30*time.Second {
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log.Printf(" [Surge] %s %s spread=%.4f%% leading=%s", ev.Coin, ev.Direction, ev.SpreadPct, ev.LeadingExchange)
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}
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}
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case <-scannerTick.C:
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now := time.Now()
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t0 := now
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// Tick the trader (monitor open positions for exit)
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trader.Tick(store, notifier)
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trader.RefreshSnapshot() // decoupled snapshot for display
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t1 := time.Now()
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// Scan for arbitrage entries using maker fees (limit orders)
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snap := store.GetAll()
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// Feed prices to momentum tracker (for momentum scanning or trend detection)
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@@ -255,43 +190,20 @@ func main() {
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cumulativeTracker.Record(tc.Name, exMap)
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}
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makerOpps := ScanBGHL(snap)
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dashboard.UpdateScan(makerOpps)
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t2 := time.Now()
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// Run 3-exchange spread scan
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spreads := Scan3Ex(snap)
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dashboard.UpdateScan(spreads)
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// Track spread window durations (how long each opportunity stays alive)
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spreadTracker.Tick(snap, cfg.TradeThreshold)
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// In momentum mode, arbitrage trading is disabled
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if !cfg.MomentumEnabled {
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for _, opp := range makerOpps {
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if opp.NetProfit < cfg.ArbThreshold {
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continue
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}
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if trader.TryEntry(opp, store, notifier) {
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log.Printf("[Trader] %s: entry initiated for %.4f%%", opp.Coin, opp.NetProfit)
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}
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// Run surge detection
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if cfg.SurgeEnabled {
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newEvents := surgeDetector.Tick(snap)
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for _, ev := range newEvents {
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dashboard.BroadcastEvent("surge_event", ev)
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}
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}
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t3 := time.Now()
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// Profile: warn if any step is slow
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tickDur := t3.Sub(t0)
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tickMs := tickDur.Milliseconds()
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if tickMs > 100 || t1.Sub(t0) > 50*time.Millisecond || t2.Sub(t1) > 50*time.Millisecond || t3.Sub(t2) > 50*time.Millisecond {
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log.Printf("[Profile] tick=%dms trader=%dms scan=%dms entry=%dms",
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tickMs, t1.Sub(t0).Milliseconds(), t2.Sub(t1).Milliseconds(), t3.Sub(t2).Milliseconds())
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}
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// Hourly trade summary — use hour-based tracking (wider window than second-granularity)
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hour := now.Hour()
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if hour != lastHour && now.Minute() < 1 {
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positions := trader.ReadSnapshot()
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notifier.SendTradeSummary(positions, now.Format("2006-01-02 15:04"))
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lastHour = hour
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}
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scannerTick.Reset(randInterval())
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_ = now
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}
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}
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