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127 Commits

Author SHA1 Message Date
root
318bcb99a3 fix: clamp direction score to max weight (accel_bonus included) 2026-03-02 01:36:20 +00:00
root
d4f0bbbcb1 fix: read fundingRate field (not lastFundingRate) from market_indicators 
DB stores Binance API response with 'fundingRate' key, but code was
looking for 'lastFundingRate' - always got 0.
 2026-03-02 01:07:05 +00:00
root
1fa6f178b6 feat: linear FR scoring based on historical max 
- FR score = (|current_FR| / max_historical_FR) × 5, clamped to [-5, +5]
- Contrarian direction: positive score (going against crowded side)
- Same direction: negative score (going with crowded side)
- Historical max FR cached per symbol, refreshed every hour
- Score is float with 2 decimal places
- Total score supports 1 decimal place
 2026-03-02 00:56:22 +00:00
root
e405a9c21e fix: parse factors JSON string in /api/signals/latest 
psycopg2 writes factors as JSON string, asyncpg reads it back as string
instead of dict. Parse it before returning to frontend.
 2026-03-02 00:44:36 +00:00
root
05673c0850 fix: V5.2 scoring uses strategy weights, total capped at 100 
Backend:
- Each layer score scaled by strategy config weights
- direction: 0~40, crowding: 0~18, FR: 0~5, environment: 0~12
- confirmation: 0~15, liquidation: 0~5, auxiliary: 0~5
- total_score clamped to 0~100
- factors include max field for frontend

Frontend:
- V5.2 signals page reads max from factors
 2026-03-02 00:34:22 +00:00
root
5849bf6522 refactor: completely separate V5.1 and V5.2 pages 
- /signals: V5.1 ONLY, 5-layer scoring, no FR/Liq
- /signals-v52: V5.2 ONLY, 7-layer scoring with FR/Liq
- /paper: V5.1 ONLY, no strategy tabs/badges
- /paper-v52: V5.2 ONLY, with FR/Liq display
- Sidebar: V5.1 and V5.2 separate sections
- V5.2 weights: 40+18+5+12+15+5+5=100 (no more >100)
- Zero cross-contamination between V5.1 and V5.2
 2026-03-02 00:25:07 +00:00
root
01b1992643 feat: save factors to signal_indicators + show FR/Liq on signals page 
- DB: added factors JSONB column to signal_indicators
- Backend: save_indicator now includes factors JSON
- API: /api/signals/latest returns factors field
- Frontend: signals page shows FR and 清算 score bars
 2026-03-01 23:57:55 +00:00
root
a571a221e5 feat: gradient liquidation scoring - no threshold, ratio-based 
Removed USD threshold gates. Now any liquidation data triggers scoring:
- ratio ≥ 2.0 → +5 (extreme imbalance)
- ratio ≥ 1.5 → +3
- ratio ≥ 1.2 → +1
- ratio 0.8~1.2 → 0 (balanced)
- Inverse for SHORT direction
 2026-03-01 23:35:45 +00:00
root
8279b16c68 fix: FR thresholds based on actual data 
Historical FR range: BTC ±0.005%, SOL/XRP max -0.022%
Old thresholds were unreachable (0.03% extreme / 0.005% moderate)

New thresholds:
- Extreme: ±0.01% (0.0001) — clearly biased market
- Moderate: ±0.003% (0.00003) — slight bias, reward contrarian
 2026-03-01 23:23:43 +00:00
root
7d2bb9f392 fix: FR/Liq scoring bugs + compact UI 
Backend:
- FR threshold: 0.001→0.0003 (extreme), 0.0003→0.00005 (moderate)
- Liquidation SQL: side='SELL'/'BUY' → 'LONG'/'SHORT' (was never matching!)

Frontend:
- FR/Liq scores now inline in score column (compact)
- Removed bulky green badge buttons from position cards
 2026-03-01 23:14:07 +00:00
root
58c72b4d90 fix: V5.2 TP/SL parameters - wider stops for better risk/reward 
V5.2: SL=3.0×ATR, TP1=2.0×ATR, TP2=4.5×ATR
V5.1: SL=2.0×ATR, TP1=1.5×ATR, TP2=3.0×ATR (unchanged)

Expected improvement: win/loss ratio 0.72→0.84, breakeven winrate 58%→54%
 2026-03-01 23:06:29 +00:00
root
a9c3523a24 feat: independent strategy paper trading controls 
- Each strategy has its own position count (max 4 each)
- paper_config.enabled_strategies: per-strategy toggle
- is_strategy_enabled() checks both master switch and strategy list
- API: /api/paper/config now supports enabled_strategies array
- Config auto-loads on API startup

Usage: POST /api/paper/config {enabled_strategies: ['v52_8signals']}
 2026-03-01 12:43:46 +00:00
root
778cf8cce1 feat: V5.2 frontend differentiation - strategy tabs, side-by-side scores, visual badges 
- Paper page: prominent strategy tabs (全部/V5.1/V5.2) at top
- Paper trades: strategy column with color-coded badges (blue=V5.1, green=V5.2)
- Paper positions: FR/Liq scores displayed prominently for V5.2
- Signals page: side-by-side V5.1 vs V5.2 score comparison cards
- Signals page title updated to 'V5.1 vs V5.2'
- New API endpoint for strategy comparison data
- Layout: local font fallback for build stability
 2026-03-01 12:21:19 +00:00
root
f6156a2cfe Add strategy-aware paper trade schema and API endpoints 2026-03-01 11:55:00 +00:00
root
732b01691b Implement V5.2 FR/liquidation scoring and strategy AB loop 2026-03-01 11:54:58 +00:00
root
a7600e8db1 Add V5.2 strategy configuration files 2026-03-01 11:54:54 +00:00
root
2f9dce483c fix: simulate limit orders for TP/SL (match real trading) 
- TP/SL now exit at order price (limit order), not market price
- SL exits at sl_price, TP1 at tp1_price, TP2 at tp2_price
- Only timeout and signal_flip use market price (current price)
- Updated fix_historical_pnl.py to also correct exit_price
- This eliminates fake slippage in paper trading stats
 2026-03-01 09:40:00 +00:00
root
d351949a7c fix: historical pnl_r correction script 2026-03-01 09:31:13 +00:00
root
45bad25156 fix(P0): pnl_r calculation + cooldown bypass + partition month bug 
P0-1: Reverse signal now bypasses cooldown - evaluate_signal always
      outputs direction, main loop checks direction+score>=60 for
      closing positions against trend (not blocked by COOLDOWN_MS)

P0-2: pnl_r unified to (exit-entry)/risk_distance across all exit
      scenarios (tp, sl, sl_be, timeout) in both paper_monitor.py
      and signal_engine.py. Old hardcoded values (1.5R/2.25R) were
      ~2x too high vs actual risk_distance basis.

P1-1: ensure_partitions month calculation fixed from timedelta(30d)
      to proper month arithmetic. Also fixed UTC timezone for
      partition boundaries.

docs: V52-TODO.md with full audit backlog for V5.2
 2026-03-01 09:29:32 +00:00
root
9528d69a42 fix: deduplicate recent_large_trades to prevent memory bloat 
Each evaluate cycle was re-appending all qualifying trades from
win_fast, causing duplicates. Added seen-set dedup.
 2026-03-01 07:58:51 +00:00
root
8b73500d22 feat: migrate auth system from SQLite to PostgreSQL 
- auth.py: rewrite to use PG via db.py (was sqlite3)
- admin_cli.py: rewrite to use PG
- migrate_auth_sqlite_to_pg.py: one-time migration script
- SQLite arb.db no longer needed after migration
 2026-03-01 07:29:14 +00:00
root
4f54e36d1a feat: dual-write agg_trades to local PG + Cloud SQL 
- db.py: add Cloud SQL connection pool (CLOUD_PG_ENABLED env toggle)
- agg_trades_collector: flush_buffer writes to both local and cloud
- Cloud SQL write failure is non-fatal (log warning, don't block local)
 2026-03-01 07:16:03 +00:00
root
77d38c7269 fix: add total_pnl to stats API top-level response 2026-03-01 01:42:39 +00:00
root
bda42e669a feat: stats panel with per-symbol tabs (ALL/BTC/ETH/XRP/SOL) - full stats for each coin 2026-03-01 01:37:02 +00:00
root
abfdc63705 feat: liquidation_collector.py - Binance WS forceOrder realtime + 5min aggregation to market_indicators 2026-02-28 15:38:14 +00:00
root
6659c4524c feat: market_data_collector add funding_rate collection for all 4 symbols 2026-02-28 15:34:24 +00:00
root
022ead6d6c feat: paper_trades store score_factors JSONB (direction/crowding/environment/confirmation/auxiliary breakdown) 2026-02-28 13:45:26 +00:00
root
95b45d0f07 fix: skip first 3 cycles after cold start to prevent duplicate paper trades 2026-02-28 12:03:48 +00:00
root
d0e626a437 feat: paper summary add balance + pnl_usdt 2026-02-28 12:00:19 +00:00
root
7b901a2390 feat: paper_monitor.py - WebSocket realtime TP/SL + frontend WS price feed (1s update) 2026-02-28 11:55:40 +00:00
root
d177d28498 fix: paper positions use Binance realtime price instead of signal_indicators 2026-02-28 11:49:49 +00:00
root
66810701fb feat: paper trading signal flip - reverse signal closes existing position then opens new 2026-02-28 11:45:48 +00:00
root
f90df6f3b5 feat: paper positions show real-time price + unrealized PnL (R + USDT) 2026-02-28 11:40:11 +00:00
root
47004ece8c feat: paper trading deduct taker fee 0.05% per side (0.1% round trip) 2026-02-28 11:30:17 +00:00
root
961cbc6bd8 chore: gitignore __pycache__ 2026-02-28 11:21:00 +00:00
root
b232270948 fix: add Request import 2026-02-28 11:20:05 +00:00
root
cd17c76000 fix: remove duplicate return causing IndentationError in main.py 2026-02-28 11:19:01 +00:00
root
282aed138a feat: paper trading switch + config API + max positions limit 2026-02-28 11:13:39 +00:00
root
e054db112d feat: paper trading - backend (table+signal_engine integration+5 APIs) + frontend page 2026-02-28 11:10:28 +00:00
root
317031ab57 fix: signal_engine now reads real market_indicators (JSONB parsing + OI change rate) 2026-02-28 11:03:44 +00:00
root
0ac2225979 feat: add XRP and SOL symbols (4 coins total) 2026-02-28 10:11:05 +00:00
root
3155e8848b perf: backtest optimization - 15s eval interval + 50k batch + OHLC TP/SL check 2026-02-28 07:34:48 +00:00
root
ec6a8fc64d fix: rename signal-history API to avoid route conflict + restart backfill 2026-02-28 06:22:32 +00:00
root
424cb993f8 feat: signal history list + always compute scoring even without signal 2026-02-28 06:09:32 +00:00
root
ca25938adc fix: remove autocommit for named cursor in backtest 2026-02-28 05:54:32 +00:00
root
5ba4c7fe98 feat: V5.1 backtest framework - tick-by-tick replay with TP/SL/position management 2026-02-28 05:53:42 +00:00
root
2e969f68b4 fix: parse JSONB string from asyncpg + frontend parseVal fallback 2026-02-28 05:49:42 +00:00
root
7ca843ca70 fix: revert signals/latest API to explicit column query (to_jsonb broke field names) 2026-02-28 05:45:21 +00:00
root
340d8eb3a1 feat: V5.1 frontend - 5-layer scoring display + market indicators panel 2026-02-28 05:33:40 +00:00
root
5c38a2f9bf feat: upgrade signal engine to V5.1 layered scoring 2026-02-28 05:24:16 +00:00
root
a9bdec208f feat(backend): add market indicators collector for V5.1 (4 data sources: L/S ratio, top trader position, OI hist, Coinbase Premium) 2026-02-28 05:17:31 +00:00
root
748f6f57a5 perf: server/status接口优化(cpu非阻塞+pm2直接调用+COUNT估算+5秒缓存) 2026-02-27 18:46:56 +00:00
root
fbf84f2be5 tune: signal-engine循环15秒(从5秒,降CPU60%) 2026-02-27 18:38:03 +00:00
root
a8e1e123ca tune: backfill改500ms/批(CPU100%→平衡模式) 2026-02-27 17:59:20 +00:00
root
930c8d3a9c feat: 服务器监控面板(/server) - CPU/内存/硬盘/PM2进程/PG数据库/回补状态 2026-02-27 17:30:41 +00:00
root
55422b0ae0 perf: backfill全速200ms/批(PG无锁冲突) 2026-02-27 17:04:36 +00:00
root
61287657df perf: trades/summary聚合下推PG(SQL GROUP BY替代Python循环) + trades/latest加2秒缓存 2026-02-27 16:52:35 +00:00
root
e56766ed98 feat: SQLite→PG data migration script 2026-02-27 16:16:06 +00:00
root
4168c1dd88 refactor: SQLite→PostgreSQL migration - db.py连接层 + main/collector/signal-engine/backfill全部改PG 
Phase 1: 核心数据表(agg_trades/rate_snapshots/signal*)迁PG
auth.py暂保留SQLite(低频，不影响性能)
- db.py: psycopg2同步池 + asyncpg异步池 + PG schema + 分区管理
- main.py: 全部改asyncpg查询
- collector: psycopg2 + execute_values批量写入
- signal-engine: psycopg2同步读写
- backfill: psycopg2 + ON CONFLICT DO NOTHING
 2026-02-27 16:15:16 +00:00
root
23c7597a40 fix: backfill sleep 2s per batch to avoid SQLite WAL lock contention 2026-02-27 15:44:43 +00:00
root
547f093352 feat: V5 signal-engine + API endpoints for indicators/latest/trades 2026-02-27 15:31:12 +00:00
root
3e630166b4 fix: backfill meta update - handle existing rows with NOT NULL last_agg_id 2026-02-27 15:03:24 +00:00
root
009f114e4d feat: backfill_agg_trades.py - historical aggTrades REST backfill with rate limiting, continuity check 2026-02-27 15:01:55 +00:00
root
bb187167bb feat: add LiveTradesCard - real-time agg trades display + /api/trades/latest endpoint 2026-02-27 11:35:55 +00:00
root
7e38b24fa8 feat: V3.0 aggTrades collector - WS+REST补洞+巡检+按月分表+查询API 2026-02-27 11:29:16 +00:00
root
1ab228286c feat: V2.0 auth system - JWT access/refresh, invite codes, route protection, admin CLI, auth gate blur overlay 2026-02-27 11:08:57 +00:00
root
11667d4faa feat: add YTD annualized rate to RateCard 2026-02-27 10:08:22 +00:00
root
362c1f1e16 fix: add /api/signals/history endpoint 2026-02-27 08:54:13 +00:00
root
32e9dd3531 feat: rate kline unit x10000 (bps), default interval 1h 2026-02-27 07:56:07 +00:00
root
80c4ea67e7 fix: add background snapshot loop - collect every 2s regardless of frontend 2026-02-27 07:04:41 +00:00
root
072592145f feat: kline page with lightweight-charts + /api/kline OHLC aggregation endpoint 2026-02-27 06:36:19 +00:00
root
8efa6ede32 feat: rate_snapshots 2s persistent storage + /live realtime chart page 2026-02-27 05:47:26 +00:00
root
cf531d8c44 feat: add auth and subscriptions backend modules 2026-02-27 02:28:21 +00:00
root
b1d959cf20 feat: use discord bot api for signal push, add binance fallback 2026-02-26 16:54:45 +00:00
root
03218dce04 fix: split rate/stats refresh intervals, rates 2s stats 2min 2026-02-26 13:57:39 +00:00
root
42e329cc55 fix: add cache to prevent Binance rate limit (rates 3s, history/stats 60s) 2026-02-26 13:54:59 +00:00
root
44e07eabb2 feat: arbitrage engine Phase 0 scaffold - FastAPI + Next.js 2026-02-26 12:06:10 +00:00