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feat: 更新基础套利引擎，添加市场就绪时间逻辑，优化信号评估以使用快照数据

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discountry
2025-10-07 16:29:09 +08:00
parent 24f93fa8a7
commit 2e2990369b
1 changed files with 23 additions and 12 deletions
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src/strategy/basis-arb-engine.ts
+23 -12
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@@ -103,6 +103,7 @@ export class BasisArbEngine {
private stopped = false; private stopped = false;
private lastEntrySignalAt = 0; private lastEntrySignalAt = 0;
private lastExitSignalAt = 0; private lastExitSignalAt = 0;
private marketReadyAt: number | null = null;
constructor(config: BasisArbConfig, exchange: ExchangeAdapter, deps: BasisArbDependencies = {}) { constructor(config: BasisArbConfig, exchange: ExchangeAdapter, deps: BasisArbDependencies = {}) {
this.config = config; this.config = config;
@@ -180,6 +181,9 @@ export class BasisArbEngine {
this.feedReady.futures = true; this.feedReady.futures = true;
this.tradeLog.push("info", `期货深度已就绪 (${this.config.futuresSymbol})`); this.tradeLog.push("info", `期货深度已就绪 (${this.config.futuresSymbol})`);
} }
if (this.feedReady.futures && this.feedReady.spot && this.marketReadyAt == null) {
this.marketReadyAt = this.now();
}
this.emitUpdate(); this.emitUpdate();
} }
@@ -293,13 +297,17 @@ export class BasisArbEngine {
this.feedReady.spot = true; this.feedReady.spot = true;
this.tradeLog.push("info", `现货盘口已就绪 (${this.config.spotSymbol})`); this.tradeLog.push("info", `现货盘口已就绪 (${this.config.spotSymbol})`);
} }
if (this.feedReady.futures && this.feedReady.spot && this.marketReadyAt == null) {
this.marketReadyAt = this.now();
}
this.emitUpdate(); this.emitUpdate();
} }
private emitUpdate(): void { private emitUpdate(): void {
// Evaluate entry/exit signals before emitting so the snapshot includes new log lines // Build a single snapshot, evaluate signals against EXACTLY the same data, then emit that snapshot
this.evaluateSignals(); const snapshot = this.buildSnapshot();
this.events.emit("update", this.buildSnapshot(), (error) => { this.evaluateSignals(snapshot);
this.events.emit("update", snapshot, (error) => {
this.tradeLog.push("error", `推送订阅失败: ${String(error)}`); this.tradeLog.push("error", `推送订阅失败: ${String(error)}`);
}); });
} }
@@ -380,16 +388,19 @@ export class BasisArbEngine {
return sellFuturesNet - buySpotNet; return sellFuturesNet - buySpotNet;
} }
private evaluateSignals(): void { private evaluateSignals(snapshot: BasisArbSnapshot): void {
// Require both futures and spot feeds before computing signals // Require futures, spot, and funding feeds ready
if (!this.feedReady.futures || !this.feedReady.spot) return; 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 now = this.now();
const futuresBid = this.futures.bid; const spreadBps = snapshot.spreadBps;
const spotAsk = this.spot.ask; const fundingRate = snapshot.fundingRate;
const spread = this.computeSpread(futuresBid, spotAsk); const nextFundingTime = snapshot.nextFundingTime;
const spreadBps = this.computeSpreadBps(spread, spotAsk);
const fundingRate = this.funding.rate;
const nextFundingTime = this.funding.nextFundingTime;
const msUntilFunding = typeof nextFundingTime === "number" ? nextFundingTime - now : null; const msUntilFunding = typeof nextFundingTime === "number" ? nextFundingTime - now : null;
// Entry signal: positive bp and next funding >= 10 minutes away // Entry signal: positive bp and next funding >= 10 minutes away