lulu/arbitrage-engine
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116 Commits 8 Branches 5 Tags 3.9 MiB
a7600e8db1
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62 Commits

Author SHA1 Message Date
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