jackyu66git
cdcf0acea6
- Architecture diagram: async goroutine entry path - Trading Logic: async entry, entering status protection - Config note: floor rounding on both exchanges
218 lines
10 KiB
Markdown
218 lines
10 KiB
Markdown
# Exchange Monitor Go
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Cross-exchange perpetual futures arbitrage scanner and automated trading system. Monitors real-time prices from 4 exchanges via **WebSocket**, identifies **Bitget ↔ HyperLiquid** arbitrage opportunities, executes maker-fee trades, and provides a real-time Web dashboard.
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## Architecture
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```
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┌──────────────┐
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┌──────────────┤ Binance │◄──── bookTicker WS (price reference)
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│ └──────────────┘
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│ ┌──────────────┐
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│──────────────┤ Bitget │◄──── ticker WS (trading exchange)
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│ └──────────────┘
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PriceStore ─────────┼──────────────┤
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│ │ HyperLiquid │◄──── webData2 WS (trading exchange)
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│ └──────────────┘
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│ ┌──────────────┐
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└──────────────┤ dYdX │◄──── v4_markets WS (price reference)
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└──────────────┘
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│
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┌─────────▼─────────┐
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│ ScanBGHL (50ms) │
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│ BG ↔ HL only │
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└─────────┬─────────┘
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│
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┌───────────────▼────────────────┐
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│ Trader │
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│ TryEntry (async goroutine) │
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│ → placeOrder (REST) │
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│ Tick / Exit / Scale-in │
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│ Maker fees only │
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│ NO display/stat calculations │
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└───────────────┬────────────────┘
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│
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┌─────────▼─────────┐
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│ SpreadWindowTracker│
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│ (opportunity life) │
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└─────────┬─────────┘
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│
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┌──────────────────┼──────────────────┐
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│ │ │
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┌─────▼─────┐ ┌────────▼───────┐ ┌─────▼─────┐
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│ Notifier │ │ Dashboard │ │ DB │
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│ TG │ │ :8888 │ │ SQLite │
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│ │ │ Stats calc │ │ trades.db │
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│ │ │ (calcDetailed) │ │ │
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└───────────┘ └────────────────┘ └───────────┘
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```
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## Tracked Coins
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| Coin | Binance | Bitget | HyperLiquid | dYdX |
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|:----:|:--------:|:---------:|:-----------:|:--------:|
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| DOGE | DOGEUSDT | DOGEUSDT | DOGE | DOGE |
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| LINK | LINKUSDT | LINKUSDT | LINK | LINK |
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| ONDO | ONDOUSDT | ONDOUSDT | ONDO | ONDO |
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| OP | OPUSDT | OPUSDT | OP | OP |
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| WIF | WIFUSDT | WIFUSDT | WIF | WIF |
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| ARB | ARBUSDT | ARBUSDT | ARB | ARB |
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- **Bitget / HyperLiquid** — trading exchanges (limit orders with maker fees)
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- **Binance / dYdX** — price reference only
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## Requirements
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- Go 1.25+
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- WebSocket connectivity to all 4 exchanges
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## Quick Start
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```bash
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cd exchange-monitor-go
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go build -o exchange-monitor .
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# Edit .env to configure (token, threshold, etc.)
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./exchange-monitor
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```
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Or use the startup script (auto-compiles if sources changed, cleans stale port):
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```bash
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./start.sh
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```
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Then open [http://localhost:8888](http://localhost:8888) for the Web dashboard.
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## Configuration (.env)
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| Variable | Code Default | Description |
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|:---------|:------------:|:------------|
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| `TELEGRAM_BOT_TOKEN` | — | Telegram bot token for notifications |
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| `TELEGRAM_CHAT_ID` | — | Target chat ID for notifications |
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| `TRADE_ENABLED` | `false` | Enable real trading (`1` to enable) |
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| `TRADE_THRESHOLD` | `0.15` | Min net profit % to enter (after fees) |
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| `TRADE_AMOUNT_USD` | `10` | USD per leg |
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| `TRADE_COOLDOWN_MS` | `30000` | Cooldown between same-coin trades (ms) |
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| `TEST_MODE` | `false` | Simulate orders with mock fills (no real API calls) |
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| `MOCK_SLIPPAGE_PCT` | `0.005` | Simulated slippage per leg (%) |
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| `BITGET_API_KEY` / `BITGET_API_SECRET` / `BITGET_PASSPHRASE` | — | Bitget API credentials (test mode skips) |
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| `HL_PRIVATE_KEY` / `HL_ADDRESS` | — | HyperLiquid wallet credentials (test mode skips) |
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> **Note:** Scan interval is fixed at **50ms** (not configurable). Order sizes round DOWN (`math.Floor`) on both Bitget and HyperLiquid for consistency.
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## Fee Model
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All trades use **maker** (limit orders), no rebate. Only Bitget and HyperLiquid are used for trading:
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| Exchange | Maker | Taker |
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|:---------|:-----:|:-----:|
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| Bitget | 0.020% | 0.040% |
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| HyperLiquid | 0.015% | 0.035% |
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Round trip (2 legs entry + 2 legs exit): **0.07%** total fees.
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## Trading Logic
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1. **Scanner** runs every 50ms, checks all 6 coins for BG ↔ HL spread
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2. **Entry** when net profit ≥ `TRADE_THRESHOLD` (after full round-trip fees)
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- Uses scan-time prices directly (no re-read from store to avoid WS jitter)
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- **Async goroutine** — `TryEntry` returns immediately, `executeEntry` runs in background
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- Direction sanity check (0.1% tolerance) prevents entry on reversed spreads
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- `entering` status prevents `checkExit` / `checkScaleIn` during leg placement
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- `entering` map prevents duplicate entries on the same coin
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3. **Scale-in** adds another leg-worth when spread widens another 0.10%
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4. **Exit** conditions (whichever hits first):
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- Spread converges to ≤ 0.02% → **价差收敛，止盈平仓**
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- Spread reverses below -0.02% → **价差反转，止盈平仓**
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- Position held over 30 minutes → **超时平仓**
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5. **Direction**: BG → HL (buy BG, sell HL) or HL → BG (buy HL, sell BG)
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## Spread Window Monitoring
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`SpreadWindowTracker` runs every scan tick and measures how long each coin's spread stays above the trade threshold:
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- Records window **start time** when netProfit first hits threshold
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- Tracks real **peak netProfit** during the window
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- Logs window **duration + peak** when spread converges below threshold (sub-100ms windows filtered as noise)
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- Covers both directions (BG→HL and HL→BG) independently
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- Uses the same `netProfit()` fee model as the scanner for exact consistency
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Log output example:
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```
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[SpreadWindow] ONDO BG->HL exceeded threshold for 1.4s (peak net=+0.1520%)
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[SpreadWindow] OP HL->BG exceeded threshold for 3.2s (peak net=+0.1310%)
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```
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## Notifications
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All notifications sent to Telegram (via `TELEGRAM_BOT_TOKEN`):
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- **开仓** — entry notification with prices, direction, spread, amount
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- **平仓** — exit notification with PnL breakdown, fees, convergence analysis
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- **每小时** — summary of open positions (duration, amount)
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- Uses HTML parse mode for bold formatting
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## Web Dashboard
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Built-in HTTP server at `:8888` with real-time SSE push (1-second refresh):
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- **Price table** — live prices from all exchanges with bid-ask spread
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- **BG↔HL spread** — per-coin arbitrage spread with chart
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- **Open positions** — live PnL estimate, scaling level, duration
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- **Arb scan results** — current arbitrage opportunities
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- **Trade history** — past trades with detail view
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- **Connection status** — exchange health (online / stale / offline)
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- Charts rendered via Chart.js (loaded from CDN)
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## DB & Persistence
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- SQLite at `data/trades.db`
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- Tracks open positions across restarts
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- Stores all closed trades with full PnL details
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- Historical stats merged with in-memory session stats on startup
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## Signals
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| Signal | Action |
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|:-------|:-------|
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| `Ctrl+C` / `SIGINT` | Graceful shutdown (closes all WS connections) |
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| `SIGUSR1` | Dump convergence statistics to `trade_stats.txt` |
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## Project Structure
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```
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exchange-monitor-go/
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├── main.go # Entry point, WS startup, main loop
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├── config.go # .env + config.json hierarchical config
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├── types.go # PriceStore, TrackedCoin, ArbOpportunity
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├── scanner.go # ScanBGHL — arbitrage scanner
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├── trader.go # Position management, entry/exit/scale-in (pure trading logic)
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├── dashboard.go # Web server + SSE + stats calc (display layer)
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├── toaster.go # Telegram notifications
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├── static.go # Embedded web static files
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├── start.sh # Startup script (port check + build + run)
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├── .env # Local configuration (TELEGRAM, API keys, thresholds)
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├── exchange/
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│ ├── connector.go # Generic WS connector with reconnect
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│ ├── binance.go # Binance bookTicker WS
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│ ├── hyperliquid.go # HyperLiquid webData2 WS
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│ ├── hyperliquid_trade.go # HL REST trade API
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│ ├── bitget.go # Bitget ticker WS
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│ ├── bitget_trade.go # Bitget REST trade API
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│ ├── dydx.go # dYdX v4_markets WS
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│ ├── helpers.go # Package helpers
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│ └── ping.go # Accessibility check tools
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├── db/
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│ ├── db.go # SQLite open/migrate
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│ └── trade_repo.go # Trade record queries
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└── web/static/
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├── index.html # Dashboard HTML
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├── app.js # SSE client + UI logic
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└── style.css # Dashboard CSS
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```
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## Disclaimer
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This software is for educational/research purposes. Use at your own risk. Cryptocurrency trading involves substantial risk of loss.
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