From 2e2990369b6ec1903add098f924f5fafdd1ccbf6 Mon Sep 17 00:00:00 2001
From: discountry <feibilanceon@gmail.com>
Date: Tue, 7 Oct 2025 16:29:09 +0800
Subject: [PATCH] =?UTF-8?q?feat:=20=E6=9B=B4=E6=96=B0=E5=9F=BA=E7=A1=80?=
 =?UTF-8?q?=E5=A5=97=E5=88=A9=E5=BC=95=E6=93=8E=EF=BC=8C=E6=B7=BB=E5=8A=A0?=
 =?UTF-8?q?=E5=B8=82=E5=9C=BA=E5=B0=B1=E7=BB=AA=E6=97=B6=E9=97=B4=E9=80=BB?=
 =?UTF-8?q?=E8=BE=91=EF=BC=8C=E4=BC=98=E5=8C=96=E4=BF=A1=E5=8F=B7=E8=AF=84?=
 =?UTF-8?q?=E4=BC=B0=E4=BB=A5=E4=BD=BF=E7=94=A8=E5=BF=AB=E7=85=A7=E6=95=B0?=
 =?UTF-8?q?=E6=8D=AE?=
MIME-Version: 1.0
Content-Type: text/plain; charset=UTF-8
Content-Transfer-Encoding: 8bit

---
 src/strategy/basis-arb-engine.ts | 35 +++++++++++++++++++++-----------
 1 file changed, 23 insertions(+), 12 deletions(-)

diff --git a/src/strategy/basis-arb-engine.ts b/src/strategy/basis-arb-engine.ts
index 782dd23..5f4d28e 100644
--- a/src/strategy/basis-arb-engine.ts
+++ b/src/strategy/basis-arb-engine.ts
@@ -103,6 +103,7 @@ export class BasisArbEngine {
   private stopped = false;
   private lastEntrySignalAt = 0;
   private lastExitSignalAt = 0;
+  private marketReadyAt: number | null = null;
 
   constructor(config: BasisArbConfig, exchange: ExchangeAdapter, deps: BasisArbDependencies = {}) {
     this.config = config;
@@ -180,6 +181,9 @@ export class BasisArbEngine {
       this.feedReady.futures = true;
       this.tradeLog.push("info", `期货深度已就绪 (${this.config.futuresSymbol})`);
     }
+    if (this.feedReady.futures && this.feedReady.spot && this.marketReadyAt == null) {
+      this.marketReadyAt = this.now();
+    }
     this.emitUpdate();
   }
 
@@ -293,13 +297,17 @@ export class BasisArbEngine {
       this.feedReady.spot = true;
       this.tradeLog.push("info", `现货盘口已就绪 (${this.config.spotSymbol})`);
     }
+    if (this.feedReady.futures && this.feedReady.spot && this.marketReadyAt == null) {
+      this.marketReadyAt = this.now();
+    }
     this.emitUpdate();
   }
 
   private emitUpdate(): void {
-    // Evaluate entry/exit signals before emitting so the snapshot includes new log lines
-    this.evaluateSignals();
-    this.events.emit("update", this.buildSnapshot(), (error) => {
+    // Build a single snapshot, evaluate signals against EXACTLY the same data, then emit that snapshot
+    const snapshot = this.buildSnapshot();
+    this.evaluateSignals(snapshot);
+    this.events.emit("update", snapshot, (error) => {
       this.tradeLog.push("error", `推送订阅失败: ${String(error)}`);
     });
   }
@@ -380,16 +388,19 @@ export class BasisArbEngine {
     return sellFuturesNet - buySpotNet;
   }
 
-  private evaluateSignals(): void {
-    // Require both futures and spot feeds before computing signals
-    if (!this.feedReady.futures || !this.feedReady.spot) return;
+  private evaluateSignals(snapshot: BasisArbSnapshot): void {
+    // Require futures, spot, and funding feeds ready
+    if (!snapshot.feedStatus.futures || !snapshot.feedStatus.spot || !snapshot.feedStatus.funding) return;
+    // Require at least one refresh of both futures and spot AFTER initial readiness to avoid startup triggers
+    const readyAt = this.marketReadyAt;
+    if (readyAt == null) return;
+    const futTs = snapshot.futuresLastUpdate ?? 0;
+    const spotTs = snapshot.spotLastUpdate ?? 0;
+    if (futTs <= readyAt || spotTs <= readyAt) return;
     const now = this.now();
-    const futuresBid = this.futures.bid;
-    const spotAsk = this.spot.ask;
-    const spread = this.computeSpread(futuresBid, spotAsk);
-    const spreadBps = this.computeSpreadBps(spread, spotAsk);
-    const fundingRate = this.funding.rate;
-    const nextFundingTime = this.funding.nextFundingTime;
+    const spreadBps = snapshot.spreadBps;
+    const fundingRate = snapshot.fundingRate;
+    const nextFundingTime = snapshot.nextFundingTime;
     const msUntilFunding = typeof nextFundingTime === "number" ? nextFundingTime - now : null;
 
     // Entry signal: positive bp and next funding >= 10 minutes away