docs: add V5.4 Strategy Factory requirements document

- Generate full AI-consumable docs (docs/ai/): system overview, architecture,
  module cheatsheet, API contracts, data model, build guide, decision log,
  glossary, and open questions (deep tier coverage)
- Add PROBLEM_REPORT.md: categorized bug/risk summary
- Add DETAILED_CODE_REVIEW.md: full line-by-line review of all 15 backend
  files, documenting 4 fatal issues, 5 critical deployment bugs, 4 security
  vulnerabilities, and 6 architecture defects with prioritized fix plan

.gitignore

@@ -1 +1,2 @@
 __pycache__/
+logs/*.log

V52_FRONTEND_TASK.md

@@ -0,0 +1,63 @@
+# V5.2 Frontend Differentiation Task
+
+## Problem
+V5.1 and V5.2 currently share the same pages. Boss wants clear visual separation.
+
+## Requirements
+
+### 1. Signals Page (/signals) - Side-by-side comparison
+Currently shows one set of scores per coin. Change to show BOTH V5.1 and V5.2 scores side by side.
+
+For the "Latest Signal" cards at the top, each coin should show:
+```
+BTC  SHORT  V5.1: 80分 | V5.2: 85分  5m前
+```
+
+The V5.2 score should show FR and Liquidation subscores that V5.1 doesn't have.
+
+To get V5.2 scores, add a new API endpoint `/api/signals/latest-v52` that returns the V5.2 evaluation alongside V5.1. Or modify the existing `/api/signals/latest` to include both strategy scores.
+
+### 2. Paper Trading Page (/paper) - Strategy Tabs at TOP
+Add prominent tabs at the very top of the page:
+
+```
+[全部] [V5.1 模拟盘] [V5.2 模拟盘]
+```
+
+When selecting a strategy tab:
+- Current positions: only show positions for that strategy
+- Trade history: only show trades for that strategy  
+- Stats: only show stats for that strategy
+- Equity curve: only show curve for that strategy
+- The "全部" tab shows everything combined (current behavior)
+
+### 3. Visual Differentiation
+- V5.1 trades/positions: use a subtle blue-gray badge
+- V5.2 trades/positions: use a green badge with ✨ icon
+- V5.2 positions should show extra info: FR score and Liquidation score prominently
+
+### 4. Backend API Changes Needed
+
+#### Modify `/api/signals/latest` endpoint in main.py
+Return both V5.1 and V5.2 evaluations. The signal_engine already evaluates both strategies per cycle and saves the primary one. We need to also save V5.2 evaluations or compute them on-the-fly.
+
+Simplest approach: Add a field to the signal_indicators table or return strategy-specific data.
+
+Actually, the simplest approach for NOW: In the latest signal cards, just show the score that's already there (from primary strategy), and add a note showing which strategy it's from. The real differentiation happens in paper trades where the strategy column exists.
+
+#### `/api/paper/trades` already supports `?strategy=` filter (Codex added this)
+#### `/api/paper/stats-by-strategy` already exists
+
+### 5. Key Files to Modify
+- `frontend/app/paper/page.tsx` - Add strategy tabs at top, filter everything by selected strategy
+- `frontend/app/signals/page.tsx` - Show V5.2 specific info (FR/Liq scores) in latest signal cards
+- Backend: may need minor API tweaks
+
+### 6. Important
+- Don't break existing functionality
+- The strategy tabs should be very prominent (not small buttons buried in a section)
+- Use consistent styling: slate-800 bg for active tab, slate-100 for inactive
+- Test with `npm run build`
+
+When completely finished, run:
+openclaw system event --text "Done: V5.2 frontend differentiation - strategy tabs, visual badges, FR/Liq display" --mode now

V52_TASK.md

@@ -0,0 +1,224 @@
+# V5.2 Development Task
+
+## Context
+You are working on the `dev` branch of the ArbitrageEngine project.
+This is a quantitative trading signal system with:
+- Backend: Python (FastAPI + PostgreSQL)
+- Frontend: Next.js + shadcn/ui + Tailwind
+
+## Database Connection
+- Host: 34.85.117.248 (Cloud SQL)
+- Port: 5432, DB: arb_engine, User: arb, Password: arb_engine_2026
+
+## What to Build (V5.2)
+
+### 1. Strategy Configuration Framework
+Create `backend/strategies/` directory with JSON configs:
+
+**backend/strategies/v51_baseline.json:**
+```json
+{
+  "name": "v51_baseline",
+  "version": "5.1",
+  "threshold": 75,
+  "weights": {
+    "direction": 45,
+    "crowding": 20,
+    "environment": 15,
+    "confirmation": 15,
+    "auxiliary": 5
+  },
+  "accel_bonus": 5,
+  "tp_sl": {
+    "sl_multiplier": 2.0,
+    "tp1_multiplier": 1.5,
+    "tp2_multiplier": 3.0
+  },
+  "signals": ["cvd", "p99", "accel", "ls_ratio", "oi", "coinbase_premium"]
+}
+```
+
+**backend/strategies/v52_8signals.json:**
+```json
+{
+  "name": "v52_8signals",
+  "version": "5.2",
+  "threshold": 75,
+  "weights": {
+    "direction": 40,
+    "crowding": 25,
+    "environment": 15,
+    "confirmation": 20,
+    "auxiliary": 5
+  },
+  "accel_bonus": 5,
+  "tp_sl": {
+    "sl_multiplier": 2.0,
+    "tp1_multiplier": 1.5,
+    "tp2_multiplier": 3.0
+  },
+  "signals": ["cvd", "p99", "accel", "ls_ratio", "oi", "coinbase_premium", "funding_rate", "liquidation"]
+}
+```
+
+### 2. Signal Engine Changes (signal_engine.py)
+
+#### 2a. Add FR scoring to evaluate_signal()
+After the crowding section, add funding_rate scoring:
+
+```python
+# Funding Rate scoring (拥挤层加分)
+# Read from market_indicators table
+funding_rate = to_float(self.market_indicators.get("funding_rate"))
+fr_score = 0
+if funding_rate is not None:
+    fr_abs = abs(funding_rate)
+    if fr_abs >= 0.001:  # extreme ±0.1%
+        # Extreme: penalize if going WITH the crowd
+        if (direction == "LONG" and funding_rate > 0.001) or \
+           (direction == "SHORT" and funding_rate < -0.001):
+            fr_score = -5
+        else:
+            fr_score = 5
+    elif fr_abs >= 0.0003:  # moderate ±0.03%
+        # Moderate: reward going AGAINST the crowd
+        if (direction == "LONG" and funding_rate < -0.0003) or \
+           (direction == "SHORT" and funding_rate > 0.0003):
+            fr_score = 5
+        else:
+            fr_score = 0
+```
+
+#### 2b. Add liquidation scoring
+```python
+# Liquidation scoring (确认层加分)
+liq_score = 0
+liq_data = self.fetch_recent_liquidations()  # new method
+if liq_data:
+    liq_long_usd = liq_data.get("long_usd", 0)
+    liq_short_usd = liq_data.get("short_usd", 0)
+    # Thresholds by symbol
+    thresholds = {"BTCUSDT": 500000, "ETHUSDT": 200000, "XRPUSDT": 100000, "SOLUSDT": 100000}
+    threshold = thresholds.get(self.symbol, 100000)
+    total = liq_long_usd + liq_short_usd
+    if total >= threshold:
+        if liq_short_usd > 0 and liq_long_usd > 0:
+            ratio = liq_short_usd / liq_long_usd
+        elif liq_short_usd > 0:
+            ratio = float('inf')
+        else:
+            ratio = 0
+        if ratio >= 2.0 and direction == "LONG":
+            liq_score = 5  # shorts getting liquidated, price going up
+        elif ratio <= 0.5 and direction == "SHORT":
+            liq_score = 5  # longs getting liquidated, price going down
+```
+
+#### 2c. Add fetch_recent_liquidations method to SymbolState
+```python
+def fetch_recent_liquidations(self, window_ms=300000):
+    """Fetch last 5min liquidation totals from liquidations table"""
+    now_ms = int(time.time() * 1000)
+    cutoff = now_ms - window_ms
+    with get_sync_conn() as conn:
+        with conn.cursor() as cur:
+            cur.execute("""
+                SELECT 
+                    COALESCE(SUM(CASE WHEN side='SELL' THEN usd_value ELSE 0 END), 0) as long_liq,
+                    COALESCE(SUM(CASE WHEN side='BUY' THEN usd_value ELSE 0 END), 0) as short_liq
+                FROM liquidations 
+                WHERE symbol=%s AND trade_time >= %s
+            """, (self.symbol, cutoff))
+            row = cur.fetchone()
+            if row:
+                return {"long_usd": row[0], "short_usd": row[1]}
+    return None
+```
+
+#### 2d. Add funding_rate to fetch_market_indicators
+Add "funding_rate" to the indicator types:
+```python
+for ind_type in ["long_short_ratio", "top_trader_position", "open_interest_hist", "coinbase_premium", "funding_rate"]:
+```
+And the extraction:
+```python
+elif ind_type == "funding_rate":
+    indicators[ind_type] = float(val.get("lastFundingRate", 0))
+```
+
+#### 2e. Update total_score calculation
+Currently:
+```python
+total_score = direction_score + accel_bonus + crowding_score + environment_score + confirmation_score + aux_score
+```
+Change to:
+```python
+total_score = direction_score + accel_bonus + crowding_score + fr_score + environment_score + confirmation_score + liq_score + aux_score
+```
+
+#### 2f. Update factors dict
+Add fr_score and liq_score to the factors:
+```python
+result["factors"] = {
+    ...existing factors...,
+    "funding_rate": {"score": fr_score, "value": funding_rate},
+    "liquidation": {"score": liq_score, "long_usd": liq_data.get("long_usd", 0) if liq_data else 0, "short_usd": liq_data.get("short_usd", 0) if liq_data else 0},
+}
+```
+
+#### 2g. Change threshold from 60 to 75
+In evaluate_signal, change:
+```python
+# OLD
+elif total_score >= 60 and not no_direction and not in_cooldown:
+    result["signal"] = direction
+    result["tier"] = "light"
+# NEW: remove the 60 tier entirely, minimum is 75
+```
+
+Also update reverse signal threshold from 60 to 75:
+In main() loop:
+```python
+# OLD
+if existing_dir and eval_dir and existing_dir != eval_dir and result["score"] >= 60:
+# NEW  
+if existing_dir and eval_dir and existing_dir != eval_dir and result["score"] >= 75:
+```
+
+### 3. Strategy field in paper_trades
+Add SQL migration at top of init_schema() or in a migration:
+```sql
+ALTER TABLE paper_trades ADD COLUMN IF NOT EXISTS strategy VARCHAR(32) DEFAULT 'v51_baseline';
+```
+
+### 4. AB Test: Both strategies evaluate each cycle
+In the main loop, evaluate signal twice (once per strategy config) and potentially open trades for both. Each trade records which strategy triggered it.
+
+### 5. Frontend: Update paper/page.tsx
+- Show strategy column in trade history table
+- Show FR and liquidation scores in signal details
+- Add strategy filter/tab (v51 vs v52)
+
+### 6. API: Add strategy stats endpoint
+In main.py, add `/api/paper/stats-by-strategy` that groups stats by strategy field.
+
+## Important Notes
+- Keep ALL existing functionality working
+- Don't break the existing V5.1 scoring - it should still work as strategy "v51_baseline"
+- The FR data is already in market_indicators table (collected every 5min)
+- The liquidation data is already in liquidations table
+- Test with: `cd frontend && npm run build` to verify no frontend errors
+- Test backend: `python3 -c "from signal_engine import *; print('OK')"` to verify imports
+- Port for dev testing: API=8100, Frontend=3300
+- Total score CAN exceed 100 (that's by design)
+
+## Files to modify:
+1. `backend/signal_engine.py` - core scoring changes
+2. `backend/main.py` - new API endpoints
+3. `backend/db.py` - add strategy column migration
+4. `frontend/app/paper/page.tsx` - UI updates
+5. NEW: `backend/strategies/v51_baseline.json`
+6. NEW: `backend/strategies/v52_8signals.json`
+
+When completely finished, run this command to notify me:
+openclaw system event --text "Done: V5.2 core implementation complete - FR+liquidation scoring, threshold 75, strategy configs, AB test framework" --mode now

archive/paper-history-2026-03-03/.gitignore

@@ -0,0 +1 @@
+*.csv

archive/paper-history-2026-03-03/README.md

@@ -0,0 +1,19 @@
+# 模拟盘历史归档 - 2026-03-03
+
+归档时间：2026-03-03，V5.3 统一重置前
+
+## 文件说明
+
+| 文件 | 内容 | 行数 |
+|---|---|---|
+| signal_indicators_v51_v52.csv | v51_baseline + v52_8signals 历史信号 | 121,795条 |
+| paper_trades_v51_v52.csv | v51_baseline + v52_8signals 历史交易 | 774笔 |
+
+## 统计摘要
+
+- **v51_baseline**：573笔交易，从 2026-02-28 开始，已破产
+- **v52_8signals**：201笔交易，从 2026-03-01 开始
+
+## 重置原因
+
+V5.3 上线后，三个策略（v51/v52/v53）需要同一起点开始跑，才能做公平对照。

archive/signal_pusher.py.archived

@@ -6,7 +6,9 @@ import httpx
 DB_PATH = os.path.join(os.path.dirname(os.path.dirname(__file__)), "arb.db")
 BINANCE_FAPI = "https://fapi.binance.com/fapi/v1"
 SYMBOLS = ["BTCUSDT", "ETHUSDT"]
-DISCORD_TOKEN = os.getenv("DISCORD_BOT_TOKEN", "MTQ3Mjk4NzY1NjczNTU1OTg0Mg.GgeYh5.NYSbivZKBUc5S2iKXeB-hnC33w3SUUPzDDdviM")
+DISCORD_TOKEN = os.getenv("DISCORD_BOT_TOKEN")
+if not DISCORD_TOKEN:
+    raise RuntimeError("DISCORD_BOT_TOKEN 未设置，请从 GCP Secret Manager 注入")
 DISCORD_CHANNEL = os.getenv("DISCORD_SIGNAL_CHANNEL", "1472986545635197033")
 BINANCE_HEADERS = {"User-Agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36"}
 

backend/agg_trades_collector.py

@@ -7,6 +7,7 @@ agg_trades_collector.py — aggTrades全量采集守护进程（PostgreSQL版）
   - 每分钟巡检：校验agg_id连续性，发现断档自动补洞
   - 批量写入：攒200条或1秒flush一次
   - PG分区表：按月自动分区，MVCC并发无锁冲突
+  - 统一写入 Cloud SQL（双写机制已移除）
 """
 
 import asyncio
@@ -22,7 +23,7 @@ import psycopg2
 import psycopg2.extras
 import websockets
 
-from db import get_sync_conn, get_sync_pool, get_cloud_sync_conn, ensure_partitions, PG_HOST, PG_PORT, PG_DB, PG_USER, PG_PASS, CLOUD_PG_ENABLED
+from db import get_sync_conn, get_sync_pool, ensure_partitions, PG_HOST
 
 logging.basicConfig(
     level=logging.INFO,
@@ -69,11 +70,10 @@ def update_meta(conn, symbol: str, last_agg_id: int, last_time_ms: int):
 
 
 def flush_buffer(symbol: str, trades: list) -> int:
-    """写入一批trades到PG（本地+Cloud SQL双写），返回实际写入条数"""
+    """写入一批trades到Cloud SQL，返回实际写入条数"""
     if not trades:
         return 0
     try:
-        # 确保分区存在
         ensure_partitions()
 
         values = []
@@ -98,7 +98,6 @@ def flush_buffer(symbol: str, trades: list) -> int:
             ON CONFLICT (time_ms, symbol, agg_id) DO NOTHING"""
         insert_template = "(%s, %s, %s, %s, %s, %s)"
 
-        # 写本地PG
         inserted = 0
         with get_sync_conn() as conn:
             with conn.cursor() as cur:
@@ -111,22 +110,6 @@ def flush_buffer(symbol: str, trades: list) -> int:
                     update_meta(conn, symbol, last_agg_id, last_time_ms)
                 conn.commit()
 
-        # 双写Cloud SQL（失败不影响主流程）
-        if CLOUD_PG_ENABLED:
-            try:
-                with get_cloud_sync_conn() as cloud_conn:
-                    if cloud_conn:
-                        with cloud_conn.cursor() as cur:
-                            psycopg2.extras.execute_values(
-                                cur, insert_sql, values,
-                                template=insert_template, page_size=1000,
-                            )
-                            if last_agg_id > 0:
-                                update_meta(cloud_conn, symbol, last_agg_id, last_time_ms)
-                            cloud_conn.commit()
-            except Exception as e:
-                logger.warning(f"[{symbol}] Cloud SQL write failed (non-fatal): {e}")
-
         return inserted
     except Exception as e:
         logger.error(f"flush_buffer [{symbol}] error: {e}")

backend/auth.py

@@ -12,7 +12,11 @@ from pydantic import BaseModel, EmailStr
 
 from db import get_sync_conn
 
-JWT_SECRET = os.getenv("JWT_SECRET", "arb-engine-jwt-secret-v2-2026")
+_TRADE_ENV = os.getenv("TRADE_ENV", "testnet")
+_jwt_default = "arb-engine-jwt-secret-v2-2026" if _TRADE_ENV == "testnet" else None
+JWT_SECRET = os.getenv("JWT_SECRET") or _jwt_default
+if not JWT_SECRET or (_TRADE_ENV != "testnet" and len(JWT_SECRET) < 32):
+    raise RuntimeError("JWT_SECRET 未配置或长度不足(>=32)，生产环境必须设置环境变量")
 ACCESS_TOKEN_HOURS = 24
 REFRESH_TOKEN_DAYS = 7
 

backend/backtest.py

@@ -34,7 +34,7 @@ logging.basicConfig(
 )
 logger = logging.getLogger("backtest")
 
-PG_HOST = os.getenv("PG_HOST", "127.0.0.1")
+PG_HOST = os.getenv("PG_HOST", "10.106.0.3")
 PG_PORT = int(os.getenv("PG_PORT", "5432"))
 PG_DB = os.getenv("PG_DB", "arb_engine")
 PG_USER = os.getenv("PG_USER", "arb")

backend/db.py

@@ -1,5 +1,6 @@
 """
 db.py — PostgreSQL 数据库连接层
+统一连接到 Cloud SQL（PG_HOST 默认 10.106.0.3）
 同步连接池（psycopg2）供脚本类使用
 异步连接池（asyncpg）供FastAPI使用
 """
@@ -11,23 +12,17 @@ import psycopg2
 import psycopg2.pool
 from contextlib import contextmanager
 
-# PG连接参数（本地）
-PG_HOST = os.getenv("PG_HOST", "127.0.0.1")
+# PG连接参数（统一连接 Cloud SQL）
+PG_HOST = os.getenv("PG_HOST", "10.106.0.3")
 PG_PORT = int(os.getenv("PG_PORT", 5432))
 PG_DB = os.getenv("PG_DB", "arb_engine")
 PG_USER = os.getenv("PG_USER", "arb")
-PG_PASS = os.getenv("PG_PASS", "arb_engine_2026")
+PG_PASS = os.getenv("PG_PASS")
+if not PG_PASS:
+    raise RuntimeError("PG_PASS 未设置，请在 .env 或环境变量中注入数据库密码")
 
 PG_DSN = f"postgresql://{PG_USER}:{PG_PASS}@{PG_HOST}:{PG_PORT}/{PG_DB}"
 
-# Cloud SQL连接参数（双写目标）
-CLOUD_PG_HOST = os.getenv("CLOUD_PG_HOST", "10.106.0.3")
-CLOUD_PG_PORT = int(os.getenv("CLOUD_PG_PORT", 5432))
-CLOUD_PG_DB = os.getenv("CLOUD_PG_DB", "arb_engine")
-CLOUD_PG_USER = os.getenv("CLOUD_PG_USER", "arb")
-CLOUD_PG_PASS = os.getenv("CLOUD_PG_PASS", "arb_engine_2026")
-CLOUD_PG_ENABLED = os.getenv("CLOUD_PG_ENABLED", "true").lower() == "true"
-
 # ─── 同步连接池（psycopg2）─────────────────────────────────────
 
 _sync_pool = None
@@ -36,7 +31,7 @@ def get_sync_pool() -> psycopg2.pool.ThreadedConnectionPool:
     global _sync_pool
     if _sync_pool is None:
         _sync_pool = psycopg2.pool.ThreadedConnectionPool(
-            minconn=1, maxconn=5,
+            minconn=2, maxconn=20,
             host=PG_HOST, port=PG_PORT,
             dbname=PG_DB, user=PG_USER, password=PG_PASS,
         )
@@ -73,51 +68,6 @@ def sync_executemany(sql: str, params_list: list):
             conn.commit()
 
 
-# ─── Cloud SQL 同步连接池（双写用）───────────────────────────────
-
-_cloud_sync_pool = None
-
-def get_cloud_sync_pool():
-    global _cloud_sync_pool
-    if not CLOUD_PG_ENABLED:
-        return None
-    if _cloud_sync_pool is None:
-        try:
-            _cloud_sync_pool = psycopg2.pool.ThreadedConnectionPool(
-                minconn=1, maxconn=5,
-                host=CLOUD_PG_HOST, port=CLOUD_PG_PORT,
-                dbname=CLOUD_PG_DB, user=CLOUD_PG_USER, password=CLOUD_PG_PASS,
-            )
-        except Exception as e:
-            import logging
-            logging.getLogger("db").error(f"Cloud SQL pool init failed: {e}")
-            return None
-    return _cloud_sync_pool
-
-
-@contextmanager
-def get_cloud_sync_conn():
-    """获取Cloud SQL同步连接（失败返回None，不影响主流程）"""
-    pool = get_cloud_sync_pool()
-    if pool is None:
-        yield None
-        return
-    conn = None
-    try:
-        conn = pool.getconn()
-        yield conn
-    except Exception as e:
-        import logging
-        logging.getLogger("db").error(f"Cloud SQL conn error: {e}")
-        yield None
-    finally:
-        if conn and pool:
-            try:
-                pool.putconn(conn)
-            except Exception:
-                pass
-
-
 # ─── 异步连接池（asyncpg）─────────────────────────────────────
 
 _async_pool: asyncpg.Pool | None = None
@@ -206,6 +156,7 @@ CREATE TABLE IF NOT EXISTS signal_indicators (
     id BIGSERIAL PRIMARY KEY,
     ts BIGINT NOT NULL,
     symbol TEXT NOT NULL,
+    strategy TEXT,
     cvd_fast DOUBLE PRECISION,
     cvd_mid DOUBLE PRECISION,
     cvd_day DOUBLE PRECISION,
@@ -219,10 +170,12 @@ CREATE TABLE IF NOT EXISTS signal_indicators (
     buy_vol_1m DOUBLE PRECISION,
     sell_vol_1m DOUBLE PRECISION,
     score INTEGER,
-    signal TEXT
+    signal TEXT,
+    factors JSONB
 );
 CREATE INDEX IF NOT EXISTS idx_si_ts ON signal_indicators(ts);
 CREATE INDEX IF NOT EXISTS idx_si_sym_ts ON signal_indicators(symbol, ts);
+CREATE INDEX IF NOT EXISTS idx_si_strategy ON signal_indicators(strategy, ts);
 
 CREATE TABLE IF NOT EXISTS signal_indicators_1m (
     id BIGSERIAL PRIMARY KEY,
@@ -256,7 +209,7 @@ CREATE TABLE IF NOT EXISTS signal_trades (
     status TEXT DEFAULT 'open'
 );
 
--- 信号日志（旧表兼容）
+-- 信号日志（旧表兼容保留，不再写入新数据）
 CREATE TABLE IF NOT EXISTS signal_logs (
     id BIGSERIAL PRIMARY KEY,
     symbol TEXT,
@@ -266,7 +219,32 @@ CREATE TABLE IF NOT EXISTS signal_logs (
     message TEXT
 );
 
--- 用户表（auth）
+-- 市场指标（由 market_data_collector 写入）
+CREATE TABLE IF NOT EXISTS market_indicators (
+    id BIGSERIAL PRIMARY KEY,
+    ts BIGINT NOT NULL,
+    symbol TEXT NOT NULL,
+    indicator_type TEXT NOT NULL,
+    value DOUBLE PRECISION,
+    extra JSONB,
+    created_at TIMESTAMP DEFAULT NOW()
+);
+CREATE INDEX IF NOT EXISTS idx_mi_sym_type_ts ON market_indicators(symbol, indicator_type, ts DESC);
+
+-- 清算数据（由 liquidation_collector 写入）
+CREATE TABLE IF NOT EXISTS liquidations (
+    id BIGSERIAL PRIMARY KEY,
+    ts BIGINT NOT NULL,
+    symbol TEXT NOT NULL,
+    side TEXT NOT NULL,
+    qty DOUBLE PRECISION,
+    price DOUBLE PRECISION,
+    usd_value DOUBLE PRECISION,
+    created_at TIMESTAMP DEFAULT NOW()
+);
+CREATE INDEX IF NOT EXISTS idx_liq_sym_ts ON liquidations(symbol, ts DESC);
+
+-- 用户表（由 auth.py 负责完整定义，此处仅兜底）
 CREATE TABLE IF NOT EXISTS users (
     id BIGSERIAL PRIMARY KEY,
     email TEXT UNIQUE NOT NULL,
@@ -282,6 +260,13 @@ CREATE TABLE IF NOT EXISTS invite_codes (
     created_at TIMESTAMP DEFAULT NOW()
 );
 
+CREATE TABLE IF NOT EXISTS invite_usage (
+    id BIGSERIAL PRIMARY KEY,
+    code TEXT NOT NULL,
+    used_by BIGINT REFERENCES users(id),
+    used_at TIMESTAMP DEFAULT NOW()
+);
+
 -- 模拟盘交易表
 CREATE TABLE IF NOT EXISTS paper_trades (
     id BIGSERIAL PRIMARY KEY,
@@ -300,9 +285,115 @@ CREATE TABLE IF NOT EXISTS paper_trades (
     status TEXT DEFAULT 'active',
     pnl_r DOUBLE PRECISION DEFAULT 0,
     atr_at_entry DOUBLE PRECISION DEFAULT 0,
+    risk_distance DOUBLE PRECISION,
     score_factors JSONB,
     created_at TIMESTAMP DEFAULT NOW()
 );
+
+-- V5.3 Feature Events（每次信号评估快照，无论是否开仓）
+CREATE TABLE IF NOT EXISTS signal_feature_events (
+    event_id BIGSERIAL PRIMARY KEY,
+    ts BIGINT NOT NULL,
+    symbol TEXT NOT NULL,
+    track TEXT NOT NULL DEFAULT 'ALT',
+    side TEXT,
+    strategy TEXT NOT NULL,
+    strategy_version TEXT,
+    config_hash TEXT,
+    -- 原始特征
+    cvd_fast_raw DOUBLE PRECISION,
+    cvd_mid_raw DOUBLE PRECISION,
+    cvd_day_raw DOUBLE PRECISION,
+    cvd_fast_slope_raw DOUBLE PRECISION,
+    p95_qty_raw DOUBLE PRECISION,
+    p99_qty_raw DOUBLE PRECISION,
+    atr_value DOUBLE PRECISION,
+    atr_percentile DOUBLE PRECISION,
+    oi_delta_raw DOUBLE PRECISION,
+    ls_ratio_raw DOUBLE PRECISION,
+    top_pos_raw DOUBLE PRECISION,
+    coinbase_premium_raw DOUBLE PRECISION,
+    obi_raw DOUBLE PRECISION,
+    tiered_cvd_whale_raw DOUBLE PRECISION,
+    -- 分层评分
+    score_direction DOUBLE PRECISION,
+    score_crowding DOUBLE PRECISION,
+    score_environment DOUBLE PRECISION,
+    score_aux DOUBLE PRECISION,
+    score_total DOUBLE PRECISION,
+    -- 决策结果
+    gate_passed BOOLEAN NOT NULL DEFAULT FALSE,
+    block_reason TEXT,
+    price DOUBLE PRECISION,
+    created_at TIMESTAMP DEFAULT NOW()
+);
+CREATE INDEX IF NOT EXISTS idx_sfe_sym_ts ON signal_feature_events(symbol, ts DESC);
+CREATE INDEX IF NOT EXISTS idx_sfe_strategy ON signal_feature_events(strategy, ts DESC);
+
+-- V5.3 Label Events（延迟回填标签，评估信号预测能力）
+CREATE TABLE IF NOT EXISTS signal_label_events (
+    event_id BIGINT PRIMARY KEY REFERENCES signal_feature_events(event_id) ON DELETE CASCADE,
+    y_binary_15m SMALLINT,
+    y_binary_30m SMALLINT,
+    y_binary_60m SMALLINT,
+    y_return_15m DOUBLE PRECISION,
+    y_return_30m DOUBLE PRECISION,
+    y_return_60m DOUBLE PRECISION,
+    mfe_r_60m DOUBLE PRECISION,
+    mae_r_60m DOUBLE PRECISION,
+    label_ts BIGINT,
+    created_at TIMESTAMP DEFAULT NOW()
+);
+
+CREATE TABLE IF NOT EXISTS live_config (
+    key TEXT PRIMARY KEY,
+    value TEXT NOT NULL,
+    label TEXT,
+    updated_at TIMESTAMP DEFAULT NOW()
+);
+
+CREATE TABLE IF NOT EXISTS live_events (
+    id BIGSERIAL PRIMARY KEY,
+    ts BIGINT DEFAULT (EXTRACT(EPOCH FROM NOW()) * 1000)::BIGINT,
+    level TEXT,
+    category TEXT,
+    symbol TEXT,
+    message TEXT,
+    detail JSONB
+);
+
+CREATE TABLE IF NOT EXISTS live_trades (
+    id BIGSERIAL PRIMARY KEY,
+    symbol TEXT NOT NULL,
+    strategy TEXT NOT NULL,
+    direction TEXT NOT NULL,
+    status TEXT NOT NULL DEFAULT 'active',
+    entry_price DOUBLE PRECISION,
+    exit_price DOUBLE PRECISION,
+    entry_ts BIGINT,
+    exit_ts BIGINT,
+    sl_price DOUBLE PRECISION,
+    tp1_price DOUBLE PRECISION,
+    tp2_price DOUBLE PRECISION,
+    tp1_hit BOOLEAN DEFAULT FALSE,
+    score DOUBLE PRECISION,
+    tier TEXT,
+    pnl_r DOUBLE PRECISION,
+    fee_usdt DOUBLE PRECISION DEFAULT 0,
+    funding_fee_usdt DOUBLE PRECISION DEFAULT 0,
+    risk_distance DOUBLE PRECISION,
+    atr_at_entry DOUBLE PRECISION,
+    score_factors JSONB,
+    signal_id BIGINT,
+    binance_order_id TEXT,
+    fill_price DOUBLE PRECISION,
+    slippage_bps DOUBLE PRECISION,
+    protection_gap_ms BIGINT,
+    signal_to_order_ms BIGINT,
+    order_to_fill_ms BIGINT,
+    qty DOUBLE PRECISION,
+    created_at TIMESTAMP DEFAULT NOW()
+);
 """
 
 
@@ -312,20 +403,21 @@ def ensure_partitions():
     now = datetime.datetime.utcnow()
     months = []
     for delta in range(0, 3):  # 当月+下2个月
-        d = now + datetime.timedelta(days=delta * 30)
-        months.append(d.strftime("%Y%m"))
+        m = now.month + delta
+        y = now.year + (m - 1) // 12
+        m = ((m - 1) % 12) + 1
+        months.append(f"{y}{m:02d}")
 
     with get_sync_conn() as conn:
         with conn.cursor() as cur:
             for m in set(months):
                 year = int(m[:4])
                 month = int(m[4:])
-                # 计算分区范围（毫秒时间戳）
-                start = datetime.datetime(year, month, 1)
+                start = datetime.datetime(year, month, 1, tzinfo=datetime.timezone.utc)
                 if month == 12:
-                    end = datetime.datetime(year + 1, 1, 1)
+                    end = datetime.datetime(year + 1, 1, 1, tzinfo=datetime.timezone.utc)
                 else:
-                    end = datetime.datetime(year, month + 1, 1)
+                    end = datetime.datetime(year, month + 1, 1, tzinfo=datetime.timezone.utc)
                 start_ms = int(start.timestamp() * 1000)
                 end_ms = int(end.timestamp() * 1000)
                 part_name = f"agg_trades_{m}"
@@ -349,9 +441,23 @@ def init_schema():
                 if stmt:
                     try:
                         cur.execute(stmt)
-                    except Exception as e:
+                    except Exception:
                         conn.rollback()
-                        # 忽略已存在错误
                         continue
+            # 补全字段（向前兼容旧部署）
+            migrations = [
+                "ALTER TABLE paper_trades ADD COLUMN IF NOT EXISTS strategy VARCHAR(32) DEFAULT 'v51_baseline'",
+                "ALTER TABLE paper_trades ADD COLUMN IF NOT EXISTS risk_distance DOUBLE PRECISION",
+                "ALTER TABLE signal_indicators ADD COLUMN IF NOT EXISTS strategy TEXT",
+                "ALTER TABLE signal_indicators ADD COLUMN IF NOT EXISTS factors JSONB",
+                "ALTER TABLE signal_indicators ADD COLUMN IF NOT EXISTS atr_value DOUBLE PRECISION",
+                "ALTER TABLE users ADD COLUMN IF NOT EXISTS discord_id TEXT",
+                "ALTER TABLE users ADD COLUMN IF NOT EXISTS banned BOOLEAN DEFAULT FALSE",
+            ]
+            for m in migrations:
+                try:
+                    cur.execute(m)
+                except Exception:
+                    conn.rollback()
             conn.commit()
     ensure_partitions()

backend/ecosystem.dev.config.js

@@ -0,0 +1,13 @@
+module.exports = {
+  apps: [{
+    name: "arb-dev-signal",
+    script: "signal_engine.py",
+    interpreter: "python3",
+    cwd: "/root/Projects/arbitrage-engine/backend",
+    env: {
+      PG_HOST: "34.85.117.248",
+      CLOUD_PG_HOST: "34.85.117.248",
+      CLOUD_PG_ENABLED: "true"
+    }
+  }]
+};

backend/fix_historical_pnl.py

@@ -0,0 +1,103 @@
+#!/usr/bin/env python3
+"""
+fix_historical_pnl.py — 修正历史paper_trades中虚高的pnl_r
+问题：TP/SL_BE场景用了硬编码倍数(1.5R/2.25R)，实际应为0.75R/1.125R
+修复：用(exit_price - entry_price) / risk_distance 重算
+"""
+import os, sys
+sys.path.insert(0, os.path.dirname(__file__))
+from db import get_sync_conn
+
+FEE_RATE = 0.0005  # Taker 0.05%
+
+def fix():
+    with get_sync_conn() as conn:
+        cur = conn.cursor()
+        
+        # 读取所有已平仓记录
+        cur.execute("""
+            SELECT id, direction, entry_price, exit_price, tp1_price, tp2_price, 
+                   sl_price, tp1_hit, status, pnl_r, atr_at_entry
+            FROM paper_trades 
+            WHERE status NOT IN ('active', 'tp1_hit')
+            ORDER BY id
+        """)
+        rows = cur.fetchall()
+        
+        fixed = 0
+        for row in rows:
+            pid, direction, entry, exit_p, tp1, tp2, sl, tp1_hit, status, old_pnl, atr_entry = row
+            
+            if entry is None or atr_entry is None or atr_entry <= 0:
+                continue
+            
+            risk_distance = 2.0 * 0.7 * atr_entry
+            if risk_distance <= 0:
+                continue
+            
+            # 实盘模拟：TP/SL以限价单价格成交
+            new_exit = exit_p  # 默认不变
+            
+            if status == "tp":
+                new_exit = tp2  # TP以TP2价成交
+                if direction == "LONG":
+                    tp1_r = (tp1 - entry) / risk_distance
+                    tp2_r = (tp2 - entry) / risk_distance
+                else:
+                    tp1_r = (entry - tp1) / risk_distance
+                    tp2_r = (entry - tp2) / risk_distance
+                new_pnl = 0.5 * tp1_r + 0.5 * tp2_r
+            elif status == "sl_be":
+                new_exit = sl  # SL_BE以SL价成交（成本价附近）
+                if direction == "LONG":
+                    tp1_r = (tp1 - entry) / risk_distance
+                else:
+                    tp1_r = (entry - tp1) / risk_distance
+                new_pnl = 0.5 * tp1_r
+            elif status == "sl":
+                new_exit = sl  # SL以SL价成交
+                if direction == "LONG":
+                    new_pnl = (sl - entry) / risk_distance
+                else:
+                    new_pnl = (entry - sl) / risk_distance
+            elif status == "timeout":
+                new_exit = exit_p  # 超时市价平仓，保持原exit
+                if direction == "LONG":
+                    move = exit_p - entry
+                else:
+                    move = entry - exit_p
+                new_pnl = move / risk_distance
+                if tp1_hit:
+                    tp1_r = abs(tp1 - entry) / risk_distance
+                    new_pnl = max(new_pnl, 0.5 * tp1_r)
+            elif status == "signal_flip":
+                new_exit = exit_p  # 信号翻转市价平仓
+                if direction == "LONG":
+                    new_pnl = (exit_p - entry) / risk_distance
+                else:
+                    new_pnl = (entry - exit_p) / risk_distance
+            else:
+                continue
+            
+            # 扣手续费
+            fee_r = (2 * FEE_RATE * entry) / risk_distance if risk_distance > 0 else 0
+            new_pnl -= fee_r
+            new_pnl = round(new_pnl, 4)
+            
+            need_update = abs(new_pnl - old_pnl) > 0.001 or (new_exit and exit_p and abs(new_exit - exit_p) > 0.0001)
+            if need_update:
+                print(f"  #{pid} {status:10s} {direction:5s}: pnl {old_pnl:+.4f}R → {new_pnl:+.4f}R | exit {exit_p} → {new_exit}")
+                cur.execute("UPDATE paper_trades SET pnl_r = %s, exit_price = %s WHERE id = %s", (new_pnl, new_exit, pid))
+                fixed += 1
+        
+        conn.commit()
+        
+        # 汇总
+        cur.execute("SELECT COUNT(*), SUM(pnl_r) FROM paper_trades WHERE status NOT IN ('active','tp1_hit')")
+        total, total_pnl = cur.fetchone()
+        print(f"\n修正了 {fixed}/{len(rows)} 笔交易")
+        print(f"修正后总计: {total}笔, 总pnl={total_pnl:+.2f}R")
+
+
+if __name__ == "__main__":
+    fix()

backend/live_executor.py

@@ -0,0 +1,709 @@
+#!/usr/bin/env python3
+"""
+Live Executor - 实盘交易执行模块
+监听PG NOTIFY接收新信号，调币安API执行交易
+
+架构：
+  signal_engine.py → NOTIFY new_signal → live_executor.py → Binance API
+  
+不影响模拟盘任何进程。
+"""
+
+import os
+import sys
+from pathlib import Path
+try:
+    from dotenv import load_dotenv; load_dotenv(Path(__file__).parent / ".env")
+except ImportError:
+    pass
+import json
+import time
+import logging
+import asyncio
+import hashlib
+import hmac
+from urllib.parse import urlencode
+
+import psycopg2
+import psycopg2.extensions
+import aiohttp
+
+# ============ 配置 ============
+
+# 环境：testnet / production
+TRADE_ENV = os.getenv("TRADE_ENV", "testnet")
+
+# 币安API端点
+BINANCE_ENDPOINTS = {
+    "testnet": "https://testnet.binancefuture.com",
+    "production": "https://fapi.binance.com",
+}
+BASE_URL = BINANCE_ENDPOINTS[TRADE_ENV]
+
+# 数据库
+_DB_PASSWORD = os.getenv("DB_PASSWORD") or os.getenv("PG_PASS")
+if not _DB_PASSWORD:
+    raise RuntimeError("DB_PASSWORD / PG_PASS 未设置，请在 .env 或环境变量中注入数据库密码")
+if not _DB_PASSWORD:
+    print("FATAL: DB_PASSWORD 未设置（生产环境必须配置）", file=sys.stderr)
+    sys.exit(1)
+
+DB_CONFIG = {
+    "host": os.getenv("DB_HOST", "10.106.0.3"),
+    "port": int(os.getenv("DB_PORT", "5432")),
+    "dbname": os.getenv("DB_NAME", "arb_engine"),
+    "user": os.getenv("DB_USER", "arb"),
+    "password": _DB_PASSWORD,
+}
+
+# 策略
+ENABLED_STRATEGIES = json.loads(os.getenv("LIVE_STRATEGIES", '["v52_8signals"]'))
+
+# 风险参数（默认值，会被DB live_config覆盖）
+RISK_PER_TRADE_USD = float(os.getenv("RISK_PER_TRADE_USD", "2"))
+MAX_POSITIONS = int(os.getenv("MAX_POSITIONS", "4"))
+FEE_RATE = 0.0005  # Taker 0.05%
+_config_cache = {}
+_config_cache_ts = 0
+
+def reload_live_config(conn):
+    """从live_config表读取配置，每60秒刷新一次"""
+    global RISK_PER_TRADE_USD, MAX_POSITIONS, _config_cache, _config_cache_ts
+    now = time.time()
+    if now - _config_cache_ts < 60:
+        return
+    try:
+        cur = conn.cursor()
+        cur.execute("SELECT key, value FROM live_config")
+        for row in cur.fetchall():
+            _config_cache[row[0]] = row[1]
+        RISK_PER_TRADE_USD = float(_config_cache.get("risk_per_trade_usd", "2"))
+        MAX_POSITIONS = int(_config_cache.get("max_positions", "4"))
+        _config_cache_ts = now
+        logger.info(f"📋 配置刷新: 1R=${RISK_PER_TRADE_USD} | 最大持仓={MAX_POSITIONS}")
+    except Exception as e:
+        logger.warning(f"读取live_config失败: {e}")
+
+# 币种精度（从共用配置导入）
+from trade_config import SYMBOL_PRECISION
+
+# 日志
+from logging.handlers import RotatingFileHandler
+_log_fmt = "%(asctime)s [%(levelname)s] %(name)s: %(message)s"
+logging.basicConfig(level=logging.INFO, format=_log_fmt)
+logger = logging.getLogger("live-executor")
+_fh = RotatingFileHandler("logs/live_executor.log", maxBytes=10*1024*1024, backupCount=5)
+_fh.setFormatter(logging.Formatter(_log_fmt))
+logger.addHandler(_fh)
+
+# ============ API Key管理 ============
+
+_api_key = None
+_secret_key = None
+
+
+def load_api_keys():
+    """从GCP Secret Manager或环境变量加载API Key"""
+    global _api_key, _secret_key
+
+    # 优先环境变量（本地开发/测试用）
+    _api_key = os.getenv("BINANCE_API_KEY")
+    _secret_key = os.getenv("BINANCE_SECRET_KEY")
+
+    if _api_key and _secret_key:
+        logger.info(f"API Key loaded from env (first 10: {_api_key[:10]}...)")
+        return
+
+    # 从GCP Secret Manager读取
+    try:
+        from google.cloud import secretmanager
+        client = secretmanager.SecretManagerServiceClient()
+        project = os.getenv("GCP_PROJECT", "gen-lang-client-0835616737")
+
+        prefix = "binance-testnet" if TRADE_ENV == "testnet" else "binance-live"
+        api_key_name = f"projects/{project}/secrets/{prefix}-api-key/versions/latest"
+        secret_key_name = f"projects/{project}/secrets/{prefix}-secret-key/versions/latest"
+
+        _api_key = client.access_secret_version(name=api_key_name).payload.data.decode()
+        _secret_key = client.access_secret_version(name=secret_key_name).payload.data.decode()
+        logger.info(f"API Key loaded from GCP Secret Manager ({prefix}, first 10: {_api_key[:10]}...)")
+    except Exception as e:
+        logger.error(f"Failed to load API keys: {e}")
+        sys.exit(1)
+
+
+# ============ 币安API工具 ============
+
+def sign_params(params: dict) -> dict:
+    """HMAC SHA256签名"""
+    params["timestamp"] = int(time.time() * 1000)
+    query_string = urlencode(params)
+    signature = hmac.new(
+        _secret_key.encode(), query_string.encode(), hashlib.sha256
+    ).hexdigest()
+    params["signature"] = signature
+    return params
+
+
+async def binance_request(session: aiohttp.ClientSession, method: str, path: str, params: dict = None, signed: bool = True):
+    """发送币安API请求"""
+    url = f"{BASE_URL}{path}"
+    headers = {"X-MBX-APIKEY": _api_key}
+
+    if params is None:
+        params = {}
+    if signed:
+        params = sign_params(params)
+
+    try:
+        if method == "GET":
+            async with session.get(url, params=params, headers=headers) as resp:
+                data = await resp.json()
+                if resp.status != 200:
+                    logger.error(f"Binance API error: {resp.status} {data}")
+                return data, resp.status
+        elif method == "POST":
+            async with session.post(url, params=params, headers=headers) as resp:
+                data = await resp.json()
+                if resp.status != 200:
+                    logger.error(f"Binance API error: {resp.status} {data}")
+                return data, resp.status
+        elif method == "DELETE":
+            async with session.delete(url, params=params, headers=headers) as resp:
+                data = await resp.json()
+                if resp.status != 200:
+                    logger.error(f"Binance API error: {resp.status} {data}")
+                return data, resp.status
+    except Exception as e:
+        logger.error(f"Binance request failed: {e}")
+        return {"error": str(e)}, 500
+
+
+# ============ 交易执行 ============
+
+async def set_leverage_and_margin(session: aiohttp.ClientSession, symbol: str, leverage: int = 20):
+    """设置杠杆和逐仓模式"""
+    # 设置逐仓
+    await binance_request(session, "POST", "/fapi/v1/marginType", {
+        "symbol": symbol, "marginType": "ISOLATED"
+    })
+    # 设置杠杆
+    await binance_request(session, "POST", "/fapi/v1/leverage", {
+        "symbol": symbol, "leverage": leverage
+    })
+    logger.info(f"[{symbol}] 设置逐仓 + {leverage}x杠杆")
+
+
+async def place_market_order(session: aiohttp.ClientSession, symbol: str, side: str, quantity: float):
+    """市价开仓"""
+    prec = SYMBOL_PRECISION.get(symbol, {"qty": 3})
+    qty_str = f"{quantity:.{prec['qty']}f}"
+
+    params = {
+        "symbol": symbol,
+        "side": side,
+        "type": "MARKET",
+        "quantity": qty_str,
+    }
+
+    t_submit = time.time() * 1000
+    data, status = await binance_request(session, "POST", "/fapi/v1/order", params)
+    t_ack = time.time() * 1000
+
+    if status == 200:
+        logger.info(f"[{symbol}] ✅ 市价{side} {qty_str}个 | orderId={data.get('orderId')} | 延迟={t_ack-t_submit:.0f}ms")
+    return data, status, t_submit, t_ack
+
+
+async def place_stop_order(session: aiohttp.ClientSession, symbol: str, side: str, stop_price: float, quantity: float, order_type: str = "STOP_MARKET"):
+    """挂止损/止盈单"""
+    prec = SYMBOL_PRECISION.get(symbol, {"qty": 3, "price": 2})
+    qty_str = f"{quantity:.{prec['qty']}f}"
+    price_str = f"{stop_price:.{prec['price']}f}"
+
+    params = {
+        "symbol": symbol,
+        "side": side,
+        "type": order_type,
+        "stopPrice": price_str,
+        "quantity": qty_str,
+        "reduceOnly": "true",
+    }
+
+    # 先尝试传统endpoint
+    data, status = await binance_request(session, "POST", "/fapi/v1/order", params)
+
+    # 如果不支持(-4120)，降级到Algo Order API
+    if status == 400 and isinstance(data, dict) and data.get("code") == -4120:
+        logger.info(f"[{symbol}] 传统endpoint不支持{order_type}，切换Algo Order API")
+        algo_params = {
+            "symbol": symbol,
+            "side": side,
+            "type": order_type,
+            "stopPrice": price_str,
+            "quantity": qty_str,
+            "reduceOnly": "true",
+        }
+        data, status = await binance_request(session, "POST", "/fapi/v1/algo/order", algo_params)
+    if status == 200:
+        logger.info(f"[{symbol}] 📌 挂{order_type} {side} @ {price_str} qty={qty_str} | orderId={data.get('orderId')}")
+    return data, status
+
+
+async def cancel_all_orders(session: aiohttp.ClientSession, symbol: str):
+    """取消某币种所有挂单"""
+    data, status = await binance_request(session, "DELETE", "/fapi/v1/allOpenOrders", {"symbol": symbol})
+    if status == 200:
+        logger.info(f"[{symbol}] 🗑 已取消所有挂单")
+    return data, status
+
+
+async def get_position(session: aiohttp.ClientSession, symbol: str):
+    """查询当前持仓"""
+    data, status = await binance_request(session, "GET", "/fapi/v2/positionRisk", {"symbol": symbol})
+    if status == 200 and isinstance(data, list):
+        for pos in data:
+            if pos.get("symbol") == symbol and float(pos.get("positionAmt", 0)) != 0:
+                return pos
+    return None
+
+
+async def get_account_balance(session: aiohttp.ClientSession):
+    """查询账户余额"""
+    data, status = await binance_request(session, "GET", "/fapi/v2/balance")
+    if status == 200 and isinstance(data, list):
+        for asset in data:
+            if asset.get("asset") == "USDT":
+                return float(asset.get("availableBalance", 0))
+    return 0
+
+
+# ============ 核心：开仓流程 ============
+
+async def execute_entry(session: aiohttp.ClientSession, signal: dict, db_conn):
+    """
+    完整开仓流程：
+    1. 检查余额和持仓数
+    2. 计算仓位大小
+    3. 市价开仓
+    4. 挂SL + TP1 + TP2保护单
+    5. 写live_trades表
+    6. 记录延迟指标
+    """
+    symbol = signal["symbol"]
+    direction = signal["direction"]
+    score = signal["score"]
+    tier = signal.get("tier", "standard")
+    strategy = signal["strategy"]
+    risk_distance = signal["risk_distance"]
+    sl_price = signal["sl_price"]
+    tp1_price = signal["tp1_price"]
+    tp2_price = signal["tp2_price"]
+    atr = signal.get("atr", 0)
+    signal_ts = signal["signal_ts"]
+    signal_id = signal.get("signal_id")
+    factors = signal.get("factors")
+
+    t_signal = signal_ts  # 信号时间戳(ms)
+
+    # 刷新配置（每60秒从DB读一次）
+    reload_live_config(db_conn)
+
+    # 0. 信号新鲜度检查（超过2秒弃仓）
+    SIGNAL_MAX_AGE_MS = 2000
+    signal_age_ms = time.time() * 1000 - t_signal
+    if signal_age_ms > SIGNAL_MAX_AGE_MS:
+        logger.warning(f"[{symbol}] ❌ 信号过期: {signal_age_ms:.0f}ms > {SIGNAL_MAX_AGE_MS}ms，弃仓")
+        _log_event(db_conn, "warn", "trade",
+                   f"信号过期弃仓 {direction} {symbol} | age={signal_age_ms:.0f}ms | score={score}",
+                   symbol, {"signal_age_ms": round(signal_age_ms), "score": score})
+        return None
+
+    # 0.5 检查风控状态（Fail-Closed: 状态异常时拒绝开仓）
+    state_path = "/tmp/risk_guard_state.json"
+    try:
+        st = os.stat(state_path)
+        if time.time() - st.st_mtime > 15:
+            logger.error(f"[{symbol}] ❌ 风控状态文件超过15秒未更新，risk_guard可能失联，拒绝开仓")
+            _log_event(db_conn, "critical", "risk", "风控失联(状态文件过期)，拒绝开仓", symbol)
+            return None
+        with open(state_path) as f:
+            risk_state = json.load(f)
+        if risk_state.get("block_new_entries"):
+            logger.warning(f"[{symbol}] ❌ 风控禁止新开仓: {risk_state.get('circuit_break_reason', '未知原因')}")
+            return None
+        if risk_state.get("reduce_only"):
+            logger.warning(f"[{symbol}] ❌ 只减仓模式，拒绝开仓")
+            return None
+    except FileNotFoundError:
+        logger.error(f"[{symbol}] ❌ 风控状态文件不存在，risk_guard未运行，拒绝开仓")
+        return None
+    except Exception as e:
+        logger.error(f"[{symbol}] ❌ 读取风控状态失败: {e}，拒绝开仓")
+        return None
+
+    # 检查前端紧急操作指令
+    try:
+        with open("/tmp/risk_guard_emergency.json") as f:
+            emergency = json.load(f)
+        action = emergency.get("action")
+        if action in ("close_all", "block_new"):
+            logger.warning(f"[{symbol}] ❌ 紧急指令生效: {action}，拒绝开仓")
+            return None
+    except FileNotFoundError:
+        pass
+    except Exception:
+        pass
+
+    # 1. 检查余额
+    balance = await get_account_balance(session)
+    if balance < RISK_PER_TRADE_USD * 2:
+        logger.warning(f"[{symbol}] ❌ 余额不足: ${balance:.2f} < ${RISK_PER_TRADE_USD * 2}")
+        return None
+
+    # 2. 检查持仓数
+    cur = db_conn.cursor()
+    cur.execute("SELECT count(*) FROM live_trades WHERE strategy=%s AND status='active'", (strategy,))
+    active_count = cur.fetchone()[0]
+    if active_count >= MAX_POSITIONS:
+        logger.warning(f"[{symbol}] ❌ 已达最大持仓数 {MAX_POSITIONS}")
+        return None
+
+    # 3. 检查是否已有同币种持仓（不区分策略，币安单向模式下同币共享净仓位）
+    cur.execute("SELECT id, strategy FROM live_trades WHERE symbol=%s AND status IN ('active', 'tp1_hit')", (symbol,))
+    existing = cur.fetchone()
+    if existing:
+        logger.info(f"[{symbol}] ⏭ 已有活跃持仓(id={existing[0]}, strategy={existing[1]})，跳过")
+        return None
+
+    # 4. 设置杠杆和逐仓
+    await set_leverage_and_margin(session, symbol)
+
+    # 5. 计算仓位
+    # position_size(个) = risk_usd / risk_distance
+    qty = RISK_PER_TRADE_USD / risk_distance
+    prec = SYMBOL_PRECISION.get(symbol, {"qty": 3})
+    qty = round(qty, prec["qty"])
+
+    # 检查最小名义值
+    # 需要当前价来估算
+    entry_side = "BUY" if direction == "LONG" else "SELL"
+
+    # 6. 市价开仓
+    t_before_order = time.time() * 1000
+    order_data, order_status, t_submit, t_ack = await place_market_order(session, symbol, entry_side, qty)
+
+    if order_status != 200:
+        logger.error(f"[{symbol}] ❌ 开仓失败: {order_data}")
+        return None
+
+    # 解析成交信息
+    order_id = str(order_data.get("orderId", ""))
+    fill_price = float(order_data.get("avgPrice", 0))
+    if fill_price == 0:
+        fill_price = float(order_data.get("price", 0))
+    t_fill = time.time() * 1000
+
+    signal_to_order_ms = int(t_submit - t_signal)
+    order_to_fill_ms = int(t_fill - t_submit)
+
+    # 计算滑点
+    signal_price = signal.get("signal_price", fill_price)
+    if signal_price > 0:
+        if direction == "LONG":
+            slippage_bps = (fill_price - signal_price) / signal_price * 10000
+        else:
+            slippage_bps = (signal_price - fill_price) / signal_price * 10000
+    else:
+        slippage_bps = 0
+
+    logger.info(f"[{symbol}] 📊 成交价={fill_price} | 信号价={signal_price} | 滑点={slippage_bps:.1f}bps | 信号→下单={signal_to_order_ms}ms | 下单→成交={order_to_fill_ms}ms")
+
+    # 7. 挂保护单（SL + TP1半仓 + TP2半仓）
+    close_side = "SELL" if direction == "LONG" else "BUY"
+    half_qty = round(qty / 2, prec["qty"])
+    other_half = round(qty - half_qty, prec["qty"])
+
+    # SL - 全仓（失败重试2次，3次都失败则紧急平仓）
+    t_before_sl = time.time() * 1000
+    sl_data, sl_status = await place_stop_order(session, symbol, close_side, sl_price, qty, "STOP_MARKET")
+    if sl_status != 200:
+        for retry in range(2):
+            logger.warning(f"[{symbol}] SL挂单重试 {retry+1}/2...")
+            await asyncio.sleep(0.3)
+            sl_data, sl_status = await place_stop_order(session, symbol, close_side, sl_price, qty, "STOP_MARKET")
+            if sl_status == 200:
+                break
+        if sl_status != 200:
+            logger.error(f"[{symbol}] ❌ SL 3次全部失败，紧急reduceOnly平仓! data={sl_data}")
+            # 查真实持仓量，用reduceOnly市价平仓（避免反向开仓）
+            emergency_pos = await get_position(session, symbol)
+            if emergency_pos:
+                emergency_amt = abs(float(emergency_pos.get("positionAmt", 0)))
+                emergency_prec = SYMBOL_PRECISION.get(symbol, {"qty": 3})
+                emergency_qty_str = f"{emergency_amt:.{emergency_prec['qty']}f}"
+                close_data, close_status = await binance_request(session, "POST", "/fapi/v1/order", {
+                    "symbol": symbol, "side": close_side, "type": "MARKET",
+                    "quantity": emergency_qty_str, "reduceOnly": "true",
+                })
+                if close_status != 200:
+                    logger.error(f"[{symbol}] ❌ 紧急平仓也失败! close_data={close_data}")
+                    _log_event(db_conn, "critical", "trade",
+                               f"SL失败后紧急平仓也失败，需人工介入", symbol,
+                               {"sl_data": str(sl_data), "close_data": str(close_data)})
+                else:
+                    logger.info(f"[{symbol}] ✅ 紧急reduceOnly平仓成功 qty={emergency_qty_str}")
+                    _log_event(db_conn, "critical", "trade", f"SL挂单3次失败，已紧急reduceOnly平仓", symbol, {"sl_data": str(sl_data)})
+            else:
+                logger.warning(f"[{symbol}] SL失败但币安已无持仓，无需平仓")
+                _log_event(db_conn, "critical", "trade", f"SL挂单3次失败，但币安无持仓", symbol, {"sl_data": str(sl_data)})
+            return None
+    t_after_sl = time.time() * 1000
+    protection_gap_ms = int(t_after_sl - t_fill)
+
+    # TP1 - 半仓
+    tp1_type = "TAKE_PROFIT_MARKET"
+    await place_stop_order(session, symbol, close_side, tp1_price, half_qty, tp1_type)
+
+    # TP2 - 半仓
+    await place_stop_order(session, symbol, close_side, tp2_price, other_half, tp1_type)
+
+    logger.info(f"[{symbol}] 🛡 保护单已挂 | SL={sl_price} TP1={tp1_price}(半仓) TP2={tp2_price}(半仓) | 裸奔={protection_gap_ms}ms")
+
+    # 8. 写DB
+    cur.execute("""
+        INSERT INTO live_trades (
+            symbol, strategy, direction, entry_price, entry_ts,
+            sl_price, tp1_price, tp2_price, score, tier, status,
+            risk_distance, atr_at_entry, score_factors, signal_id,
+            binance_order_id, fill_price, slippage_bps,
+            protection_gap_ms, signal_to_order_ms, order_to_fill_ms,
+            qty
+        ) VALUES (
+            %s, %s, %s, %s, %s,
+            %s, %s, %s, %s, %s, 'active',
+            %s, %s, %s, %s,
+            %s, %s, %s,
+            %s, %s, %s,
+            %s
+        ) RETURNING id
+    """, (
+        symbol, strategy, direction, fill_price, int(t_fill),
+        sl_price, tp1_price, tp2_price, score, tier,
+        risk_distance, atr, json.dumps(factors) if factors else None, signal_id,
+        order_id, fill_price, round(slippage_bps, 2),
+        protection_gap_ms, signal_to_order_ms, order_to_fill_ms,
+        qty,
+    ))
+    trade_id = cur.fetchone()[0]
+    db_conn.commit()
+
+    logger.info(f"[{symbol}] ✅ 实盘开仓完成 | trade_id={trade_id} | {direction} @ {fill_price} | score={score} | 策略={strategy}")
+
+    # 写event
+    _log_event(db_conn, "info", "trade", f"{direction} {symbol} @ {fill_price} | score={score} | 滑点={slippage_bps:.1f}bps", symbol,
+               {"trade_id": trade_id, "score": score, "fill_price": fill_price, "slippage_bps": round(slippage_bps, 2)})
+
+    return trade_id
+
+
+# ============ 事件日志 ============
+
+def _log_event(conn, level, category, message, symbol=None, detail=None):
+    """写live_events表"""
+    try:
+        cur = conn.cursor()
+        cur.execute(
+            "INSERT INTO live_events (level, category, symbol, message, detail) VALUES (%s, %s, %s, %s, %s)",
+            (level, category, symbol, message, json.dumps(detail) if detail else None)
+        )
+        conn.commit()
+    except Exception:
+        pass
+
+
+# ============ 信号监听 ============
+
+def get_db_connection():
+    """获取DB连接"""
+    conn = psycopg2.connect(**DB_CONFIG)
+    conn.set_isolation_level(psycopg2.extensions.ISOLATION_LEVEL_AUTOCOMMIT)
+    return conn
+
+
+def fetch_pending_signals(conn):
+    """查询未处理的新信号"""
+    cur = conn.cursor()
+    # 查最近60秒内的新信号（score>=阈值、策略匹配、未被live_executor处理过）
+    cur.execute("""
+        SELECT si.id, si.symbol, si.signal, si.score, si.ts, si.factors, si.strategy,
+               si.price
+        FROM signal_indicators si
+        WHERE si.signal IS NOT NULL
+          AND si.signal != ''
+          AND si.strategy = ANY(%s)
+          AND si.ts > extract(epoch from now()) * 1000 - 60000
+          AND NOT EXISTS (
+              SELECT 1 FROM live_trades lt
+              WHERE lt.signal_id = si.id AND lt.strategy = si.strategy
+          )
+        ORDER BY si.ts DESC
+    """, (ENABLED_STRATEGIES,))
+    rows = cur.fetchall()
+    signals = []
+    for row in rows:
+        factors = row[5]
+        if isinstance(factors, str):
+            try:
+                factors = json.loads(factors)
+            except:
+                factors = None
+
+        signals.append({
+            "signal_id": row[0],
+            "symbol": row[1],
+            "direction": row[2],
+            "score": row[3],
+            "signal_ts": row[4],
+            "factors": factors,
+            "strategy": row[6],
+            "signal_price": float(row[7]) if row[7] else 0,
+        })
+    return signals
+
+
+def enrich_signal_with_trade_params(signal: dict, conn):
+    """从策略配置计算TP/SL参数"""
+    symbol = signal["symbol"]
+    strategy = signal["strategy"]
+    direction = signal["direction"]
+
+    # 读策略配置JSON
+    config_map = {
+        "v51_baseline": {"sl_multiplier": 1.4, "tp1_multiplier": 1.05, "tp2_multiplier": 2.1},
+        "v52_8signals": {"sl_multiplier": 2.1, "tp1_multiplier": 1.4, "tp2_multiplier": 3.15},
+    }
+    cfg = config_map.get(strategy)
+    if not cfg:
+        logger.warning(f"[{symbol}] 未知策略: {strategy}")
+        return False
+
+    # 从signal_indicators读ATR和价格
+    cur = conn.cursor()
+    cur.execute("""
+        SELECT atr_5m, price FROM signal_indicators
+        WHERE id = %s
+    """, (signal["signal_id"],))
+    row = cur.fetchone()
+    if not row or not row[0]:
+        logger.warning(f"[{symbol}] signal_id={signal['signal_id']} 无ATR数据")
+        return False
+
+    atr = float(row[0])
+    price = float(row[1])
+    signal["atr"] = atr
+    signal["signal_price"] = price
+
+    # 计算SL/TP（直接用ATR，不乘0.7）
+    risk_distance = cfg["sl_multiplier"] * atr
+    signal["risk_distance"] = risk_distance
+
+    if direction == "LONG":
+        signal["sl_price"] = price - cfg["sl_multiplier"] * atr
+        signal["tp1_price"] = price + cfg["tp1_multiplier"] * atr
+        signal["tp2_price"] = price + cfg["tp2_multiplier"] * atr
+    else:  # SHORT
+        signal["sl_price"] = price + cfg["sl_multiplier"] * atr
+        signal["tp1_price"] = price - cfg["tp1_multiplier"] * atr
+        signal["tp2_price"] = price - cfg["tp2_multiplier"] * atr
+
+    return True
+
+
+# ============ 主循环 ============
+
+async def main():
+    """主循环：监听PG NOTIFY + 定时轮询fallback"""
+    logger.info("=" * 60)
+    logger.info(f"🚀 Live Executor 启动 | 环境={TRADE_ENV} | 策略={ENABLED_STRATEGIES}")
+    logger.info(f"   风险/笔=${RISK_PER_TRADE_USD} | 最大持仓={MAX_POSITIONS}")
+    logger.info(f"   API端点={BASE_URL}")
+    logger.info("=" * 60)
+
+    load_api_keys()
+
+    # 测试API连通性
+    async with aiohttp.ClientSession() as http_session:
+        balance = await get_account_balance(http_session)
+        logger.info(f"💰 账户余额: ${balance:.2f} USDT")
+
+        if balance <= 0:
+            logger.error("❌ 无法获取余额或余额为0，请检查API Key")
+            return
+
+    # DB连接（用于LISTEN）
+    listen_conn = get_db_connection()
+    cur = listen_conn.cursor()
+    cur.execute("LISTEN new_signal;")
+    logger.info("👂 已注册PG LISTEN new_signal")
+
+    # 工作DB连接
+    work_conn = psycopg2.connect(**DB_CONFIG)
+
+    def ensure_db_conn(conn):
+        try:
+            conn.cursor().execute("SELECT 1")
+            return conn
+        except Exception:
+            logger.warning("⚠️ DB连接断开，重连中...")
+            try:
+                conn.close()
+            except Exception:
+                pass
+            return psycopg2.connect(**DB_CONFIG)
+
+    async with aiohttp.ClientSession() as http_session:
+        while True:
+            try:
+                # 检查PG NOTIFY（非阻塞）
+                got_notify = False
+                if listen_conn.poll() == psycopg2.extensions.POLL_OK:
+                    while listen_conn.notifies:
+                        notify = listen_conn.notifies.pop(0)
+                        logger.info(f"📡 收到NOTIFY: {notify.payload}")
+                        got_notify = True
+
+                work_conn = ensure_db_conn(work_conn)
+
+                # 获取待处理信号（NOTIFY + 轮询双保险）
+                signals = await asyncio.to_thread(fetch_pending_signals, work_conn)
+
+                for sig in signals:
+                    # 补充TP/SL参数
+                    if not enrich_signal_with_trade_params(sig, work_conn):
+                        continue
+
+                    logger.info(f"[{sig['symbol']}] 🎯 新信号: {sig['direction']} score={sig['score']} strategy={sig['strategy']}")
+
+                    # 执行开仓
+                    trade_id = await execute_entry(http_session, sig, work_conn)
+                    if trade_id:
+                        logger.info(f"[{sig['symbol']}] ✅ trade_id={trade_id} 开仓成功")
+
+                if not got_notify:
+                    await asyncio.sleep(1)  # 无NOTIFY时才sleep，有NOTIFY立即处理下一轮
+
+            except KeyboardInterrupt:
+                logger.info("🛑 收到退出信号")
+                break
+            except Exception as e:
+                logger.error(f"❌ 主循环异常: {e}", exc_info=True)
+                await asyncio.sleep(5)
+
+    listen_conn.close()
+    work_conn.close()
+    logger.info("Live Executor 已停止")
+
+
+if __name__ == "__main__":
+    asyncio.run(main())

backend/market_data_collector.py

@@ -12,11 +12,13 @@ from psycopg2.extras import Json
 SYMBOLS = ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"]
 INTERVAL_SECONDS = 300
 
-PG_HOST = os.getenv("PG_HOST", "127.0.0.1")
+PG_HOST = os.getenv("PG_HOST", "10.106.0.3")
 PG_PORT = int(os.getenv("PG_PORT", "5432"))
 PG_DB = os.getenv("PG_DB", "arb_engine")
 PG_USER = os.getenv("PG_USER", "arb")
-PG_PASS = os.getenv("PG_PASS", "arb_engine_2026")
+PG_PASS = os.getenv("PG_PASS")
+if not PG_PASS:
+    raise RuntimeError("PG_PASS 未设置，请在 .env 或环境变量中注入数据库密码")
 
 TABLE_SQL = """
 CREATE TABLE IF NOT EXISTS market_indicators (
@@ -113,7 +115,9 @@ class MarketDataCollector:
             "BTCUSDT": "BTC-USD",
             "ETHUSDT": "ETH-USD",
         }
-        coinbase_pair = pair_map[symbol]
+        coinbase_pair = pair_map.get(symbol)
+        if not coinbase_pair:
+            return  # XRP/SOL无Coinbase数据，跳过
 
         binance_url = "https://api.binance.com/api/v3/ticker/price"
         coinbase_url = f"https://api.coinbase.com/v2/prices/{coinbase_pair}/spot"
@@ -136,13 +140,140 @@ class MarketDataCollector:
         self.save_indicator(symbol, "coinbase_premium", ts, payload)
 
     async def collect_funding_rate(self, session: aiohttp.ClientSession, symbol: str) -> None:
-        endpoint = "https://fapi.binance.com/fapi/v1/fundingRate"
-        data = await self.fetch_json(session, endpoint, {"symbol": symbol, "limit": 1})
+        endpoint = "https://fapi.binance.com/fapi/v1/premiumIndex"
+        data = await self.fetch_json(session, endpoint, {"symbol": symbol})
         if not data:
             raise RuntimeError("empty response")
-        item = data[0]
-        ts = int(item.get("fundingTime") or int(time.time() * 1000))
-        self.save_indicator(symbol, "funding_rate", ts, item)
+        # premiumIndex returns a single object (not array)
+        item = data if isinstance(data, dict) else data[0]
+        # Use current time as timestamp so every 5-min poll stores a new row
+        ts = int(time.time() * 1000)
+        payload = {
+            "symbol": item.get("symbol"),
+            "markPrice": item.get("markPrice"),
+            "indexPrice": item.get("indexPrice"),
+            "lastFundingRate": item.get("lastFundingRate"),
+            "nextFundingTime": item.get("nextFundingTime"),
+            "interestRate": item.get("interestRate"),
+            "fundingRate": item.get("lastFundingRate"),  # compat: signal_engine reads 'fundingRate'
+            "time": ts,
+        }
+        self.save_indicator(symbol, "funding_rate", ts, payload)
+
+    async def collect_obi_depth(self, session: aiohttp.ClientSession, symbol: str) -> None:
+        """
+        OBI（订单簿失衡）采集 — Phase 2 BTC gate-control 核心特征
+        计算：(bid_vol - ask_vol) / (bid_vol + ask_vol)，范围[-1,1]
+        正值=买压大，负值=卖压大
+        """
+        endpoint = "https://fapi.binance.com/fapi/v1/depth"
+        data = await self.fetch_json(session, endpoint, {"symbol": symbol, "limit": 10})
+        ts = int(time.time() * 1000)
+
+        bids = data.get("bids", [])
+        asks = data.get("asks", [])
+        bid_vol = sum(float(b[1]) for b in bids)
+        ask_vol = sum(float(a[1]) for a in asks)
+        total_vol = bid_vol + ask_vol
+        obi = (bid_vol - ask_vol) / total_vol if total_vol > 0 else 0.0
+
+        best_bid = float(bids[0][0]) if bids else 0.0
+        best_ask = float(asks[0][0]) if asks else 0.0
+        spread_bps = ((best_ask - best_bid) / best_bid * 10000) if best_bid > 0 else 0.0
+
+        payload = {
+            "symbol": symbol,
+            "obi": round(obi, 6),
+            "bid_vol_10": round(bid_vol, 4),
+            "ask_vol_10": round(ask_vol, 4),
+            "best_bid": best_bid,
+            "best_ask": best_ask,
+            "spread_bps": round(spread_bps, 3),
+        }
+        self.save_indicator(symbol, "obi_depth_10", ts, payload)
+
+    async def collect_spot_perp_divergence(self, session: aiohttp.ClientSession, symbol: str) -> None:
+        """
+        期现背离采集 — Phase 2 BTC gate-control 核心特征
+        divergence = (spot - mark) / mark，正值=现货溢价，负值=现货折价
+        """
+        spot_url = "https://api.binance.com/api/v3/ticker/price"
+        perp_url = "https://fapi.binance.com/fapi/v1/premiumIndex"
+
+        spot_data, perp_data = await asyncio.gather(
+            self.fetch_json(session, spot_url, {"symbol": symbol}),
+            self.fetch_json(session, perp_url, {"symbol": symbol}),
+        )
+        ts = int(time.time() * 1000)
+
+        spot_price = float(spot_data["price"])
+        mark_price = float(perp_data["markPrice"])
+        index_price = float(perp_data.get("indexPrice", mark_price))
+        divergence = (spot_price - mark_price) / mark_price if mark_price > 0 else 0.0
+
+        payload = {
+            "symbol": symbol,
+            "spot_price": spot_price,
+            "mark_price": mark_price,
+            "index_price": index_price,
+            "divergence": round(divergence, 8),
+            "divergence_bps": round(divergence * 10000, 3),
+        }
+        self.save_indicator(symbol, "spot_perp_divergence", ts, payload)
+
+    async def collect_tiered_cvd_whale(self, session: aiohttp.ClientSession, symbol: str) -> None:
+        """
+        巨鲸CVD分层采集 — Phase 2 BTC gate-control 核心特征
+        分层：small(<$10k), medium($10k-$100k), whale(>$100k)
+        net_cvd = buy_usd - sell_usd（正=净买入）
+        """
+        endpoint = "https://fapi.binance.com/fapi/v1/aggTrades"
+        data = await self.fetch_json(session, endpoint, {"symbol": symbol, "limit": 500})
+        ts = int(time.time() * 1000)
+
+        tiers = {
+            "small":  {"buy": 0.0, "sell": 0.0},
+            "medium": {"buy": 0.0, "sell": 0.0},
+            "whale":  {"buy": 0.0, "sell": 0.0},
+        }
+
+        for trade in data:
+            price = float(trade["p"])
+            qty = float(trade["q"])
+            usd_val = price * qty
+            is_sell = trade["m"]  # m=True 表示卖单（taker卖）
+
+            if usd_val < 10_000:
+                tier = "small"
+            elif usd_val < 100_000:
+                tier = "medium"
+            else:
+                tier = "whale"
+
+            if is_sell:
+                tiers[tier]["sell"] += usd_val
+            else:
+                tiers[tier]["buy"] += usd_val
+
+        result = {}
+        for name, t in tiers.items():
+            buy, sell = t["buy"], t["sell"]
+            net = buy - sell
+            total = buy + sell
+            result[name] = {
+                "buy_usd": round(buy, 2),
+                "sell_usd": round(sell, 2),
+                "net_cvd": round(net, 2),
+                "cvd_ratio": round(net / total, 4) if total > 0 else 0.0,
+            }
+
+        payload = {
+            "symbol": symbol,
+            "tiers": result,
+            "whale_net_cvd": result["whale"]["net_cvd"],
+            "whale_cvd_ratio": result["whale"]["cvd_ratio"],
+        }
+        self.save_indicator(symbol, "tiered_cvd_whale", ts, payload)
 
     async def collect_symbol(self, session: aiohttp.ClientSession, symbol: str) -> None:
         tasks = [
@@ -151,6 +282,9 @@ class MarketDataCollector:
             ("open_interest_hist", self.collect_open_interest_hist(session, symbol)),
             ("coinbase_premium", self.collect_coinbase_premium(session, symbol)),
             ("funding_rate", self.collect_funding_rate(session, symbol)),
+            ("obi_depth_10", self.collect_obi_depth(session, symbol)),
+            ("spot_perp_divergence", self.collect_spot_perp_divergence(session, symbol)),
+            ("tiered_cvd_whale", self.collect_tiered_cvd_whale(session, symbol)),
         ]
 
         results = await asyncio.gather(*(t[1] for t in tasks), return_exceptions=True)

backend/paper_config.json

@@ -0,0 +1,16 @@
+{
+  "enabled": true,
+  "enabled_strategies": [
+    "v53",
+    "v53_fast",
+    "v53_middle"
+  ],
+  "initial_balance": 10000,
+  "risk_per_trade": 0.02,
+  "max_positions": 4,
+  "tier_multiplier": {
+    "light": 0.5,
+    "standard": 1.0,
+    "heavy": 1.5
+  }
+}

backend/paper_monitor.py

@@ -49,80 +49,94 @@ def check_and_close(symbol_upper: str, price: float):
         with conn.cursor() as cur:
             cur.execute(
                 "SELECT id, direction, entry_price, tp1_price, tp2_price, sl_price, "
-                "tp1_hit, entry_ts, atr_at_entry "
+                "tp1_hit, entry_ts, atr_at_entry, risk_distance "
                 "FROM paper_trades WHERE symbol=%s AND status IN ('active','tp1_hit')",
                 (symbol_upper,)
             )
             positions = cur.fetchall()
 
             for pos in positions:
-                pid, direction, entry_price, tp1, tp2, sl, tp1_hit, entry_ts, atr_entry = pos
+                pid, direction, entry_price, tp1, tp2, sl, tp1_hit, entry_ts, atr_entry, rd_db = pos
                 closed = False
                 new_status = None
                 pnl_r = 0.0
 
+                # 从DB读risk_distance，fallback用|entry-sl|
+                risk_distance = rd_db if rd_db and rd_db > 0 else abs(entry_price - sl)
+
+                # === 实盘模拟：TP/SL视为限价单，以挂单价成交（非市价） ===
                 if direction == "LONG":
                     if price <= sl:
                         closed = True
+                        exit_price = sl  # 限价止损单以SL价成交
                         if tp1_hit:
                             new_status = "sl_be"
-                            pnl_r = 0.5 * 1.5
+                            tp1_r = (tp1 - entry_price) / risk_distance if risk_distance > 0 else 0
+                            pnl_r = 0.5 * tp1_r  # TP1半仓已锁定
                         else:
                             new_status = "sl"
-                            pnl_r = -1.0
+                            pnl_r = (exit_price - entry_price) / risk_distance if risk_distance > 0 else -1.0
                     elif not tp1_hit and price >= tp1:
                         new_sl = entry_price * 1.0005
                         cur.execute("UPDATE paper_trades SET tp1_hit=TRUE, sl_price=%s, status='tp1_hit' WHERE id=%s",
                                     (new_sl, pid))
-                        logger.info(f"[{symbol_upper}] ✅ TP1触发 LONG @ {price:.4f}, SL→{new_sl:.4f}")
+                        logger.info(f"[{symbol_upper}] ✅ TP1触发 LONG @ {tp1:.4f}, SL→{new_sl:.4f}")
                     elif tp1_hit and price >= tp2:
                         closed = True
+                        exit_price = tp2  # 限价止盈单以TP2价成交
                         new_status = "tp"
-                        pnl_r = 2.25
+                        tp1_r = (tp1 - entry_price) / risk_distance if risk_distance > 0 else 0
+                        tp2_r = (tp2 - entry_price) / risk_distance if risk_distance > 0 else 0
+                        pnl_r = 0.5 * tp1_r + 0.5 * tp2_r
                 else:  # SHORT
                     if price >= sl:
                         closed = True
+                        exit_price = sl  # 限价止损单以SL价成交
                         if tp1_hit:
                             new_status = "sl_be"
-                            pnl_r = 0.5 * 1.5
+                            tp1_r = (entry_price - tp1) / risk_distance if risk_distance > 0 else 0
+                            pnl_r = 0.5 * tp1_r
                         else:
                             new_status = "sl"
-                            pnl_r = -1.0
+                            pnl_r = (entry_price - exit_price) / risk_distance if risk_distance > 0 else -1.0
                     elif not tp1_hit and price <= tp1:
                         new_sl = entry_price * 0.9995
                         cur.execute("UPDATE paper_trades SET tp1_hit=TRUE, sl_price=%s, status='tp1_hit' WHERE id=%s",
                                     (new_sl, pid))
-                        logger.info(f"[{symbol_upper}] ✅ TP1触发 SHORT @ {price:.4f}, SL→{new_sl:.4f}")
+                        logger.info(f"[{symbol_upper}] ✅ TP1触发 SHORT @ {tp1:.4f}, SL→{new_sl:.4f}")
                     elif tp1_hit and price <= tp2:
                         closed = True
+                        exit_price = tp2  # 限价止盈单以TP2价成交
                         new_status = "tp"
-                        pnl_r = 2.25
+                        tp1_r = (entry_price - tp1) / risk_distance if risk_distance > 0 else 0
+                        tp2_r = (entry_price - tp2) / risk_distance if risk_distance > 0 else 0
+                        pnl_r = 0.5 * tp1_r + 0.5 * tp2_r
 
-                # 时间止损：60分钟
+                # 时间止损：60分钟（市价平仓，用当前价）
                 if not closed and (now_ms - entry_ts > 60 * 60 * 1000):
                     closed = True
+                    exit_price = price  # 超时是市价平仓
                     new_status = "timeout"
-                    risk_distance = 2.0 * 0.7 * atr_entry if atr_entry > 0 else 1
                     if direction == "LONG":
                         move = price - entry_price
                     else:
                         move = entry_price - price
                     pnl_r = move / risk_distance if risk_distance > 0 else 0
                     if tp1_hit:
-                        pnl_r = max(pnl_r, 0.5 * 1.5)
+                        tp1_r = abs(tp1 - entry_price) / risk_distance if risk_distance > 0 else 0
+                        pnl_r = max(pnl_r, 0.5 * tp1_r)
 
                 if closed:
                     # 扣手续费
-                    risk_distance = 2.0 * 0.7 * atr_entry if atr_entry > 0 else 1
                     fee_r = (2 * FEE_RATE * entry_price) / risk_distance if risk_distance > 0 else 0
                     pnl_r -= fee_r
 
                     cur.execute(
                         "UPDATE paper_trades SET status=%s, exit_price=%s, exit_ts=%s, pnl_r=%s WHERE id=%s",
-                        (new_status, price, now_ms, round(pnl_r, 4), pid)
+                        (new_status, exit_price, now_ms, round(pnl_r, 4), pid)
                     )
                     logger.info(
-                        f"[{symbol_upper}] 📝 平仓: {direction} @ {price:.4f} "
+                        f"[{symbol_upper}] 📝 平仓: {direction} @ {exit_price:.4f} "
                         f"status={new_status} pnl={pnl_r:+.2f}R (fee={fee_r:.3f}R)"
                     )
 

backend/position_sync.py

@@ -0,0 +1,686 @@
+#!/usr/bin/env python3
+"""
+Position Sync - 仓位同步与对账模块
+每30秒对账本地DB vs 币安实际持仓/挂单，SL缺失自动补挂
+
+架构：
+  live_executor.py 开仓 → position_sync.py 持续对账 + 监控TP/SL状态
+"""
+
+import os
+import sys
+import json
+from pathlib import Path
+try:
+    from dotenv import load_dotenv; load_dotenv(Path(__file__).parent / ".env")
+except ImportError:
+    pass
+import time
+import logging
+import asyncio
+import hashlib
+import hmac
+from urllib.parse import urlencode
+
+import psycopg2
+import aiohttp
+
+# ============ 配置 ============
+
+TRADE_ENV = os.getenv("TRADE_ENV", "testnet")
+BINANCE_ENDPOINTS = {
+    "testnet": "https://testnet.binancefuture.com",
+    "production": "https://fapi.binance.com",
+}
+BASE_URL = BINANCE_ENDPOINTS[TRADE_ENV]
+
+_DB_PASSWORD = os.getenv("DB_PASSWORD", "arb_engine_2026" if TRADE_ENV == "testnet" else "")
+if not _DB_PASSWORD:
+    print("FATAL: DB_PASSWORD 未设置（生产环境必须配置）", file=sys.stderr)
+    sys.exit(1)
+
+DB_CONFIG = {
+    "host": os.getenv("DB_HOST", "10.106.0.3"),
+    "port": int(os.getenv("DB_PORT", "5432")),
+    "dbname": os.getenv("DB_NAME", "arb_engine"),
+    "user": os.getenv("DB_USER", "arb"),
+    "password": _DB_PASSWORD,
+}
+
+CHECK_INTERVAL = 30  # 对账间隔(秒)
+SL_REHANG_DELAYS = [0, 3]  # SL补挂重试延迟(秒)
+MAX_REHANG_RETRIES = 2
+MISMATCH_ESCALATION_SEC = 60  # 差异持续超过此秒数升级告警
+RISK_PER_TRADE_USD = float(os.getenv("RISK_PER_TRADE_USD", "2"))  # $2=1R
+
+from trade_config import SYMBOLS, SYMBOL_PRECISION
+
+from logging.handlers import RotatingFileHandler
+_log_fmt = "%(asctime)s [%(levelname)s] %(name)s: %(message)s"
+logging.basicConfig(level=logging.INFO, format=_log_fmt)
+logger = logging.getLogger("position-sync")
+_fh = RotatingFileHandler("logs/position_sync.log", maxBytes=10*1024*1024, backupCount=5)
+_fh.setFormatter(logging.Formatter(_log_fmt))
+logger.addHandler(_fh)
+
+# ============ API Key ============
+_api_key = None
+_secret_key = None
+
+
+def load_api_keys():
+    global _api_key, _secret_key
+    _api_key = os.getenv("BINANCE_API_KEY")
+    _secret_key = os.getenv("BINANCE_SECRET_KEY")
+    if _api_key and _secret_key:
+        logger.info(f"API Key loaded from env")
+        return
+    try:
+        from google.cloud import secretmanager
+        client = secretmanager.SecretManagerServiceClient()
+        project = os.getenv("GCP_PROJECT", "gen-lang-client-0835616737")
+        prefix = "binance-testnet" if TRADE_ENV == "testnet" else "binance-live"
+        _api_key = client.access_secret_version(
+            name=f"projects/{project}/secrets/{prefix}-api-key/versions/latest"
+        ).payload.data.decode()
+        _secret_key = client.access_secret_version(
+            name=f"projects/{project}/secrets/{prefix}-secret-key/versions/latest"
+        ).payload.data.decode()
+        logger.info(f"API Key loaded from GCP Secret Manager")
+    except Exception as e:
+        logger.error(f"Failed to load API keys: {e}")
+        sys.exit(1)
+
+
+def sign_params(params):
+    params["timestamp"] = int(time.time() * 1000)
+    query_string = urlencode(params)
+    signature = hmac.new(_secret_key.encode(), query_string.encode(), hashlib.sha256).hexdigest()
+    params["signature"] = signature
+    return params
+
+
+async def binance_request(session, method, path, params=None):
+    url = f"{BASE_URL}{path}"
+    headers = {"X-MBX-APIKEY": _api_key}
+    if params is None:
+        params = {}
+    params = sign_params(params)
+    try:
+        if method == "GET":
+            async with session.get(url, params=params, headers=headers) as resp:
+                return await resp.json(), resp.status
+        elif method == "POST":
+            async with session.post(url, params=params, headers=headers) as resp:
+                return await resp.json(), resp.status
+        elif method == "DELETE":
+            async with session.delete(url, params=params, headers=headers) as resp:
+                return await resp.json(), resp.status
+    except Exception as e:
+        logger.error(f"Request failed: {e}")
+        return {"error": str(e)}, 500
+
+
+# ============ 对账核心 ============
+
+async def get_binance_positions(session):
+    """获取币安所有持仓"""
+    data, status = await binance_request(session, "GET", "/fapi/v2/positionRisk")
+    positions = {}
+    if status == 200 and isinstance(data, list):
+        for pos in data:
+            amt = float(pos.get("positionAmt", 0))
+            if amt != 0:
+                positions[pos["symbol"]] = {
+                    "amount": amt,
+                    "direction": "LONG" if amt > 0 else "SHORT",
+                    "entry_price": float(pos.get("entryPrice", 0)),
+                    "unrealized_pnl": float(pos.get("unRealizedProfit", 0)),
+                    "liquidation_price": float(pos.get("liquidationPrice", 0)),
+                    "mark_price": float(pos.get("markPrice", 0)),
+                }
+    return positions
+
+
+async def get_binance_open_orders(session, symbol=None):
+    """获取币安挂单"""
+    params = {}
+    if symbol:
+        params["symbol"] = symbol
+    data, status = await binance_request(session, "GET", "/fapi/v1/openOrders", params)
+    if status == 200 and isinstance(data, list):
+        return data
+    return []
+
+
+def get_local_positions(conn):
+    """获取本地DB活跃持仓"""
+    cur = conn.cursor()
+    cur.execute("""
+        SELECT id, symbol, strategy, direction, entry_price, sl_price, tp1_price, tp2_price,
+               tp1_hit, status, risk_distance, binance_order_id, entry_ts, qty
+        FROM live_trades
+        WHERE status IN ('active', 'tp1_hit')
+        ORDER BY entry_ts DESC
+    """)
+    positions = []
+    for row in cur.fetchall():
+        positions.append({
+            "id": row[0], "symbol": row[1], "strategy": row[2], "direction": row[3],
+            "entry_price": row[4], "sl_price": row[5], "tp1_price": row[6], "tp2_price": row[7],
+            "tp1_hit": row[8], "status": row[9], "risk_distance": row[10],
+            "binance_order_id": row[11], "entry_ts": row[12],
+            "qty": row[13],
+        })
+    return positions
+
+
+async def check_sl_exists(session, symbol, direction):
+    """检查是否有SL挂单"""
+    orders = await get_binance_open_orders(session, symbol)
+    close_side = "SELL" if direction == "LONG" else "BUY"
+    for order in orders:
+        if order.get("type") == "STOP_MARKET" and order.get("side") == close_side:
+            return True, order
+    return False, None
+
+
+async def rehang_sl(session, symbol, direction, sl_price, quantity):
+    """补挂SL保护单"""
+    prec = SYMBOL_PRECISION.get(symbol, {"qty": 3, "price": 2})
+    close_side = "SELL" if direction == "LONG" else "BUY"
+    qty_str = f"{abs(quantity):.{prec['qty']}f}"
+    price_str = f"{sl_price:.{prec['price']}f}"
+
+    params = {
+        "symbol": symbol,
+        "side": close_side,
+        "type": "STOP_MARKET",
+        "stopPrice": price_str,
+        "quantity": qty_str,
+        "reduceOnly": "true",
+    }
+    data, status = await binance_request(session, "POST", "/fapi/v1/order", params)
+    return status == 200, data
+
+
+async def reconcile(session, conn):
+    """执行一次完整对账"""
+    local_positions = get_local_positions(conn)
+    binance_positions = await get_binance_positions(session)
+
+    issues = []
+    cur = conn.cursor()
+
+    # 1. 检查本地有仓但币安没有（漏单/已被清算）
+    for lp in local_positions:
+        symbol = lp["symbol"]
+        bp = binance_positions.get(symbol)
+
+        if not bp:
+            issues.append({
+                "type": "local_only",
+                "severity": "critical",
+                "symbol": symbol,
+                "detail": f"本地有{lp['direction']}仓位(id={lp['id']})但币安无持仓",
+            })
+            continue
+
+        # 方向不一致
+        if bp["direction"] != lp["direction"]:
+            issues.append({
+                "type": "direction_mismatch",
+                "severity": "critical",
+                "symbol": symbol,
+                "detail": f"本地={lp['direction']} vs 币安={bp['direction']}",
+            })
+            continue
+
+        # 2. 检查SL保护单是否存在
+        sl_exists, sl_order = await check_sl_exists(session, symbol, lp["direction"])
+        if not sl_exists:
+            issues.append({
+                "type": "sl_missing",
+                "severity": "critical",
+                "symbol": symbol,
+                "detail": f"SL保护单缺失! 仓位裸奔中!",
+            })
+            # 自动补挂SL
+            logger.warning(f"[{symbol}] ⚠️ SL缺失，开始自动补挂...")
+            success = False
+            for attempt, delay in enumerate(SL_REHANG_DELAYS):
+                if delay > 0:
+                    await asyncio.sleep(delay)
+                ok, data = await rehang_sl(session, symbol, lp["direction"], lp["sl_price"], bp["amount"])
+                if ok:
+                    logger.info(f"[{symbol}] ✅ SL补挂成功 (attempt={attempt+1})")
+                    success = True
+                    break
+                else:
+                    logger.error(f"[{symbol}] ❌ SL补挂失败 (attempt={attempt+1}): {data}")
+
+            if not success:
+                issues.append({
+                    "type": "sl_rehang_failed",
+                    "severity": "emergency",
+                    "symbol": symbol,
+                    "detail": f"SL补挂{MAX_REHANG_RETRIES}次全部失败! 建议进入只减仓模式!",
+                })
+
+        # 3. 检查清算距离
+        if bp.get("liquidation_price") and bp.get("mark_price"):
+            liq = bp["liquidation_price"]
+            mark = bp["mark_price"]
+            if liq > 0 and mark > 0:
+                if lp["direction"] == "LONG":
+                    dist_pct = (mark - liq) / mark * 100
+                else:
+                    dist_pct = (liq - mark) / mark * 100
+
+                if dist_pct < 8:
+                    issues.append({
+                        "type": "liquidation_near",
+                        "severity": "emergency",
+                        "symbol": symbol,
+                        "detail": f"距清算仅{dist_pct:.1f}%! 建议立即减仓!",
+                    })
+                elif dist_pct < 12:
+                    issues.append({
+                        "type": "liquidation_warning",
+                        "severity": "high",
+                        "symbol": symbol,
+                        "detail": f"距清算{dist_pct:.1f}%",
+                    })
+                elif dist_pct < 20:
+                    issues.append({
+                        "type": "liquidation_caution",
+                        "severity": "medium",
+                        "symbol": symbol,
+                        "detail": f"距清算{dist_pct:.1f}%",
+                    })
+
+    # 4. 检查币安有仓但本地没有（幽灵仓位）
+    local_symbols = {lp["symbol"] for lp in local_positions}
+    for symbol, bp in binance_positions.items():
+        if symbol not in local_symbols and symbol in [s for s in SYMBOLS]:
+            issues.append({
+                "type": "exchange_only",
+                "severity": "high",
+                "symbol": symbol,
+                "detail": f"币安有{bp['direction']}仓位但本地无记录",
+            })
+
+    # 记录对账结果
+    now_ms = int(time.time() * 1000)
+    result = {
+        "timestamp_ms": now_ms,
+        "local_count": len(local_positions),
+        "exchange_count": len(binance_positions),
+        "issues_count": len(issues),
+        "issues": issues,
+        "status": "ok" if len(issues) == 0 else "mismatch",
+    }
+
+    # 写对账结果到DB（可选：创建reconciliation_log表）
+    if issues:
+        for issue in issues:
+            level = "🔴" if issue["severity"] in ("critical", "emergency") else "🟡"
+            logger.warning(f"{level} [{issue['symbol']}] {issue['type']}: {issue['detail']}")
+    else:
+        logger.info(f"✅ 对账正常 | 本地={len(local_positions)}仓 | 币安={len(binance_positions)}仓")
+
+    return result
+
+
+# ============ TP1触发监控 ============
+
+async def check_tp1_triggers(session, conn):
+    """检查TP1是否触发，触发后移SL到保本价"""
+    local_positions = get_local_positions(conn)
+    cur = conn.cursor()
+
+    for lp in local_positions:
+        if lp["tp1_hit"]:
+            continue  # 已处理
+
+        symbol = lp["symbol"]
+        # 查币安挂单，看TP1是否已成交（不在挂单列表里了）
+        orders = await get_binance_open_orders(session, symbol)
+        close_side = "SELL" if lp["direction"] == "LONG" else "BUY"
+
+        tp1_found = False
+        for order in orders:
+            if (order.get("type") == "TAKE_PROFIT_MARKET"
+                    and order.get("side") == close_side
+                    and abs(float(order.get("stopPrice", 0)) - lp["tp1_price"]) < lp["tp1_price"] * 0.001):
+                tp1_found = True
+                break
+
+        if not tp1_found and lp["status"] == "active":
+            # TP1可能已触发，验证仓位是否减半
+            bp = (await get_binance_positions(session)).get(symbol)
+            entry_qty = lp.get("qty") or 0
+            if bp and entry_qty > 0 and abs(bp["amount"]) < entry_qty * 0.75:
+                # 确认TP1触发
+                logger.info(f"[{symbol}] ✅ TP1触发! 移SL到保本价")
+
+                # 取消旧SL
+                await binance_request(session, "DELETE", "/fapi/v1/allOpenOrders", {"symbol": symbol})
+
+                # 计算保本SL
+                if lp["direction"] == "LONG":
+                    new_sl = lp["entry_price"] * 1.0005
+                else:
+                    new_sl = lp["entry_price"] * 0.9995
+
+                # 挂新SL（半仓）— 失败则不推进状态
+                prec = SYMBOL_PRECISION.get(symbol, {"qty": 3, "price": 2})
+                ok, sl_resp = await rehang_sl(session, symbol, lp["direction"], new_sl, bp["amount"])
+                if not ok:
+                    logger.error(f"[{symbol}] ❌ TP1后重挂SL失败: {sl_resp}，不推进tp1_hit状态")
+                    _log_event(conn, "critical", "trade",
+                               "TP1后重挂SL失败，仓位可能裸奔，需人工确认", symbol,
+                               {"trade_id": lp["id"], "sl_resp": str(sl_resp)})
+                    continue
+
+                # 重新挂TP2（半仓）
+                tp2_price = lp["tp2_price"]
+                qty_str = f"{abs(bp['amount']):.{prec['qty']}f}"
+                price_str = f"{tp2_price:.{prec['price']}f}"
+                tp2_data, tp2_status = await binance_request(session, "POST", "/fapi/v1/order", {
+                    "symbol": symbol, "side": close_side, "type": "TAKE_PROFIT_MARKET",
+                    "stopPrice": price_str, "quantity": qty_str, "reduceOnly": "true",
+                })
+                if tp2_status != 200:
+                    logger.error(f"[{symbol}] ❌ TP2重挂失败: {tp2_data}，SL已挂但TP2缺失")
+
+                # SL成功才更新DB
+                cur.execute("""
+                    UPDATE live_trades SET tp1_hit=TRUE, sl_price=%s, status='tp1_hit'
+                    WHERE id=%s
+                """, (new_sl, lp["id"]))
+                conn.commit()
+                logger.info(f"[{symbol}] 🛡 SL移至保本 {new_sl:.4f}, TP2={tp2_price:.4f}")
+
+
+# ============ 平仓检测 ============
+
+async def check_closed_positions(session, conn):
+    """检测已平仓的交易，更新DB"""
+    local_positions = get_local_positions(conn)
+    binance_positions = await get_binance_positions(session)
+    cur = conn.cursor()
+
+    for lp in local_positions:
+        symbol = lp["symbol"]
+        bp = binance_positions.get(symbol)
+
+        # 币安无持仓但本地还active → 已平仓
+        if not bp:
+            logger.info(f"[{symbol}] 📝 检测到平仓，查询成交记录...")
+
+            # 查最近成交确定平仓价
+            # 简化：用当前标记价做近似
+            now_ms = int(time.time() * 1000)
+            rd = lp["risk_distance"] or 1
+
+            # 判断平仓类型（通过挂单是否还在来推断）
+            # 如果SL/TP都不在了，说明触发了其中一个
+            status = "unknown"
+            exit_price = lp["entry_price"]  # fallback
+
+            # 尝试从最近交易记录获取成交价和手续费
+            entry_ts = lp.get("entry_ts", 0)
+            trades_data, trades_status = await binance_request(session, "GET", "/fapi/v1/userTrades", {
+                "symbol": symbol, "startTime": entry_ts, "limit": 100
+            })
+            actual_fee_usdt = 0
+            if trades_status == 200 and isinstance(trades_data, list) and trades_data:
+                # 过滤平仓成交：LONG平仓是SELL(buyer=false), SHORT平仓是BUY(buyer=true)
+                is_close_buyer = lp["direction"] == "SHORT"
+                close_trades = [t for t in trades_data if bool(t.get("buyer")) == is_close_buyer and int(t.get("time", 0)) > entry_ts + 1000]
+                if close_trades:
+                    total_qty = sum(float(t["qty"]) for t in close_trades)
+                    if total_qty > 0:
+                        exit_price = sum(float(t["price"]) * float(t["qty"]) for t in close_trades) / total_qty
+                elif trades_data:
+                                        # fallback: 未找到明确平仓成交，延后本轮结算
+                    logger.warning(f"[{symbol}] 未找到明确平仓成交，延后结算")
+                    continue
+
+                # 汇总手续费（开仓后200ms起算，避免含其他策略成交）
+                for t in trades_data:
+                    t_time = int(t.get("time", 0))
+                    if t_time >= entry_ts + 200:  # 开仓后200ms起算，避免纳入开仓前成交
+                        actual_fee_usdt += abs(float(t.get("commission", 0)))
+
+            # 计算pnl — gross(不含费)
+            if lp["direction"] == "LONG":
+                gross_pnl_r = (exit_price - lp["entry_price"]) / rd
+            else:
+                gross_pnl_r = (lp["entry_price"] - exit_price) / rd
+
+            if lp["tp1_hit"]:
+                tp1_r = abs(lp["tp1_price"] - lp["entry_price"]) / rd
+                gross_pnl_r = 0.5 * tp1_r + 0.5 * gross_pnl_r
+
+            # 手续费(R) — 用实际成交手续费（动态1R）
+            _risk_usd = load_live_risk_usd(conn)
+            if actual_fee_usdt > 0:
+                fee_r = actual_fee_usdt / (_risk_usd if _risk_usd > 0 else rd)
+            else:
+                # fallback: 按0.1%估算(开+平各0.05%)
+                fee_r = 0.001 * lp["entry_price"] / rd
+
+            # funding费(R)
+            funding_usdt = 0
+            cur.execute("SELECT COALESCE(funding_fee_usdt, 0) FROM live_trades WHERE id = %s", (lp["id"],))
+            fr_row = cur.fetchone()
+            if fr_row:
+                funding_usdt = fr_row[0]
+            # P1-3: 正向funding也计入净PnL（正值增加收益，负值减少收益）
+            funding_r = funding_usdt / (_risk_usd if _risk_usd > 0 else rd)
+
+            # 净PnL = gross - fee + funding (funding正值=收入，负值=支出)
+            pnl_r = gross_pnl_r - fee_r + funding_r
+
+            # 判断状态
+            if pnl_r > 0.5:
+                status = "tp"
+            elif pnl_r < -0.5:
+                status = "sl"
+            elif lp["tp1_hit"] and pnl_r >= -0.1:
+                status = "sl_be"
+            else:
+                status = "closed"
+
+            cur.execute("""
+                UPDATE live_trades SET status=%s, exit_price=%s, exit_ts=%s, pnl_r=%s, fee_usdt=%s
+                WHERE id=%s
+            """, (status, exit_price, now_ms, round(pnl_r, 4), round(actual_fee_usdt, 4), lp["id"]))
+            conn.commit()
+
+            logger.info(
+                f"[{symbol}] 📝 平仓: {status} | exit={exit_price:.4f} | "
+                f"gross={gross_pnl_r:+.3f}R fee={fee_r:.3f}R({actual_fee_usdt:.4f}$) "
+                f"funding={funding_usdt:+.4f}$ | net={pnl_r:+.3f}R"
+            )
+
+            # 写event
+            evt_level = "info" if pnl_r >= 0 else "warn"
+            _log_event(conn, evt_level, "trade",
+                       f"平仓 {lp['direction']} {symbol} | {status} | net={pnl_r:+.3f}R (gross={gross_pnl_r:+.3f} fee=-{fee_r:.3f} fr={funding_usdt:+.4f}$)",
+                       symbol, {"trade_id": lp["id"], "status": status, "pnl_r": round(pnl_r, 4), "exit_price": exit_price})
+
+
+# ============ 资金费率结算追踪 ============
+
+# 币安结算时间：UTC 00:00, 08:00, 16:00
+FUNDING_SETTLEMENT_HOURS = [0, 8, 16]
+_last_funding_check_ts = 0  # 上次查funding的时间戳
+
+
+async def track_funding_fees(session, conn):
+    """
+    查询币安资金费率收支，更新到live_trades的funding_fee_usdt字段。
+    只在结算时间点附近查询（每8小时一次，±5分钟窗口内查一次）。
+    """
+    global _last_funding_check_ts
+    import datetime as _dt
+
+    now = _dt.datetime.now(_dt.timezone.utc)
+    now_ts = time.time()
+
+    # 判断是否在结算窗口内（结算时间后0-5分钟）
+    in_settlement_window = False
+    for h in FUNDING_SETTLEMENT_HOURS:
+        settlement_time = now.replace(hour=h, minute=0, second=0, microsecond=0)
+        diff_sec = (now - settlement_time).total_seconds()
+        if 0 <= diff_sec <= 300:  # 结算后5分钟内
+            in_settlement_window = True
+            break
+
+    # 不在窗口内，或者5分钟内已经查过了
+    if not in_settlement_window:
+        return
+    if now_ts - _last_funding_check_ts < 300:
+        return
+
+    _last_funding_check_ts = now_ts
+    logger.info("💰 资金费率结算窗口，查询funding收支...")
+
+    # 获取当前活跃持仓
+    cur = conn.cursor()
+    cur.execute("""
+        SELECT id, symbol, direction, entry_ts, COALESCE(funding_fee_usdt, 0) as current_funding
+        FROM live_trades WHERE status IN ('active', 'tp1_hit')
+    """)
+    active = cur.fetchall()
+
+    if not active:
+        logger.info("💰 无活跃持仓，跳过funding查询")
+        return
+
+    # 查币安最近的funding收入记录
+    # 对齐到本次结算周期（00:00/08:00/16:00 UTC）
+    from datetime import datetime, timezone
+    now_utc = datetime.fromtimestamp(now_ts, tz=timezone.utc)
+    hour = now_utc.hour
+    # 找到最近的结算时间点(0/8/16)
+    settlement_hour = (hour // 8) * 8
+    settlement_time = now_utc.replace(hour=settlement_hour, minute=0, second=0, microsecond=0)
+    settlement_start_ms = int(settlement_time.timestamp() * 1000)
+
+    data, status = await binance_request(session, "GET", "/fapi/v1/income", {
+        "incomeType": "FUNDING_FEE",
+        "startTime": settlement_start_ms,
+        "limit": 100,
+    })
+
+    if status != 200 or not isinstance(data, list):
+        logger.warning(f"💰 查询funding income失败: {status}")
+        return
+
+    # 按symbol汇总本次结算的funding（只取本结算周期内的）
+    funding_by_symbol = {}
+    for item in data:
+        sym = item.get("symbol", "")
+        income = float(item.get("income", 0))
+        ts = int(item.get("time", 0))
+        if ts >= settlement_start_ms:
+            funding_by_symbol[sym] = funding_by_symbol.get(sym, 0) + income
+
+    if not funding_by_symbol:
+        logger.info("💰 本次结算无funding记录")
+        return
+
+    # 更新到live_trades
+    for trade_id, symbol, direction, entry_ts, current_funding in active:
+        fr_income = funding_by_symbol.get(symbol, 0)
+        if fr_income != 0:
+            new_total = current_funding + fr_income
+            cur.execute("UPDATE live_trades SET funding_fee_usdt = %s WHERE id = %s", (new_total, trade_id))
+            logger.info(f"[{symbol}] 💰 Funding: {fr_income:+.4f} USDT (累计: {new_total:+.4f})")
+
+    conn.commit()
+    logger.info(f"💰 Funding更新完成: {funding_by_symbol}")
+
+
+def _log_event(conn, level, category, message, symbol=None, detail=None):
+    """写live_events表"""
+    try:
+        cur = conn.cursor()
+        cur.execute(
+            "INSERT INTO live_events (level, category, symbol, message, detail) VALUES (%s, %s, %s, %s, %s)",
+            (level, category, symbol, message, json.dumps(detail) if detail else None)
+        )
+        conn.commit()
+    except Exception:
+        pass
+
+
+# ============ 主循环 ============
+
+def load_live_risk_usd(conn, default=2.0):
+    """从live_config动态读取1R金额，与live_executor保持一致"""
+    try:
+        cur = conn.cursor()
+        cur.execute("SELECT value FROM live_config WHERE key='risk_per_trade_usd'")
+        row = cur.fetchone()
+        return float(row[0]) if row and row[0] else default
+    except Exception:
+        return default
+
+
+def ensure_db_conn(conn):
+    """检查DB连接，断线则重连"""
+    try:
+        conn.cursor().execute("SELECT 1")
+        return conn
+    except Exception:
+        logger.warning("⚠️ DB连接断开，重连中...")
+        try:
+            conn.close()
+        except Exception:
+            pass
+        return psycopg2.connect(**DB_CONFIG)
+
+
+async def main():
+    logger.info("=" * 60)
+    logger.info(f"🔄 Position Sync 启动 | 环境={TRADE_ENV} | 间隔={CHECK_INTERVAL}秒")
+    logger.info("=" * 60)
+
+    load_api_keys()
+    conn = psycopg2.connect(**DB_CONFIG)
+
+    async with aiohttp.ClientSession() as session:
+        while True:
+            try:
+                conn = ensure_db_conn(conn)
+                # 1. 对账
+                result = await reconcile(session, conn)
+
+                # 2. 检查TP1触发
+                await check_tp1_triggers(session, conn)
+
+                # 3. 检查已平仓
+                await check_closed_positions(session, conn)
+
+                # 4. 资金费率结算追踪
+                await track_funding_fees(session, conn)
+
+                await asyncio.sleep(CHECK_INTERVAL)
+
+            except KeyboardInterrupt:
+                break
+            except Exception as e:
+                logger.error(f"❌ 对账异常: {e}", exc_info=True)
+                await asyncio.sleep(10)
+
+    conn.close()
+    logger.info("Position Sync 已停止")
+
+
+if __name__ == "__main__":
+    asyncio.run(main())

backend/risk_guard.py

@@ -0,0 +1,645 @@
+#!/usr/bin/env python3
+"""
+Risk Guard - 风控熔断模块
+实时监控风险指标，触发熔断时自动执行保护动作
+
+熔断规则：
+1. 单日亏损超限(-5R) → 全平+停机
+2. 连续亏损(5连亏) → 暂停开仓1小时
+3. API连接异常(>30秒) → 暂停开仓
+4. 余额不足(< 风险×2) → 拒绝开仓
+5. 数据新鲜度超时 → 禁止新开仓
+"""
+
+import os
+import sys
+import json
+import time
+from pathlib import Path
+try:
+    from dotenv import load_dotenv; load_dotenv(Path(__file__).parent / ".env")
+except ImportError:
+    pass
+import logging
+import asyncio
+import hashlib
+import hmac
+from urllib.parse import urlencode
+from datetime import datetime, timezone
+
+import psycopg2
+import aiohttp
+
+# ============ 配置 ============
+
+TRADE_ENV = os.getenv("TRADE_ENV", "testnet")
+BINANCE_ENDPOINTS = {
+    "testnet": "https://testnet.binancefuture.com",
+    "production": "https://fapi.binance.com",
+}
+BASE_URL = BINANCE_ENDPOINTS[TRADE_ENV]
+
+_DB_PASSWORD = os.getenv("DB_PASSWORD") or os.getenv("PG_PASS")
+if not _DB_PASSWORD:
+    raise RuntimeError("DB_PASSWORD / PG_PASS 未设置，请在 .env 或环境变量中注入数据库密码")
+if not _DB_PASSWORD:
+    print("FATAL: DB_PASSWORD 未设置（生产环境必须配置）", file=sys.stderr)
+    sys.exit(1)
+
+DB_CONFIG = {
+    "host": os.getenv("DB_HOST", "10.106.0.3"),
+    "port": int(os.getenv("DB_PORT", "5432")),
+    "dbname": os.getenv("DB_NAME", "arb_engine"),
+    "user": os.getenv("DB_USER", "arb"),
+    "password": _DB_PASSWORD,
+}
+
+# 风控参数
+DAILY_LOSS_LIMIT_R = float(os.getenv("DAILY_LOSS_LIMIT_R", "-5"))
+CONSECUTIVE_LOSS_LIMIT = int(os.getenv("CONSECUTIVE_LOSS_LIMIT", "5"))
+CONSECUTIVE_LOSS_COOLDOWN_MIN = int(os.getenv("CONSECUTIVE_LOSS_COOLDOWN_MIN", "60"))
+API_DISCONNECT_THRESHOLD_SEC = int(os.getenv("API_DISCONNECT_THRESHOLD_SEC", "30"))
+MIN_BALANCE_MULTIPLE = float(os.getenv("MIN_BALANCE_MULTIPLE", "2"))
+RISK_PER_TRADE_USD = float(os.getenv("RISK_PER_TRADE_USD", "2"))
+
+# 超时处置
+HOLD_TIMEOUT_YELLOW_MIN = 45
+HOLD_TIMEOUT_RED_MIN = 60
+HOLD_TIMEOUT_GRACE_MIN = 10  # 红灯后10分钟人工窗口
+HOLD_TIMEOUT_AUTO_CLOSE_MIN = HOLD_TIMEOUT_RED_MIN + HOLD_TIMEOUT_GRACE_MIN  # 70分钟
+
+# 数据新鲜度
+MARKET_DATA_STALE_SEC = 30  # 30秒(允许signal_engine启动回灌)
+ACCOUNT_UPDATE_STALE_SEC = 20
+
+CHECK_INTERVAL = 5  # 风控检查间隔(秒)
+
+from trade_config import SYMBOLS, SYMBOL_QTY_PRECISION
+
+from logging.handlers import RotatingFileHandler
+_log_fmt = "%(asctime)s [%(levelname)s] %(name)s: %(message)s"
+logging.basicConfig(level=logging.INFO, format=_log_fmt)
+logger = logging.getLogger("risk-guard")
+_fh = RotatingFileHandler("logs/risk_guard.log", maxBytes=10*1024*1024, backupCount=5)
+_fh.setFormatter(logging.Formatter(_log_fmt))
+logger.addHandler(_fh)
+
+# ============ 状态 ============
+
+class RiskState:
+    """风控状态管理"""
+    def __init__(self):
+        self.status = "normal"  # normal / warning / circuit_break
+        self.block_new_entries = False
+        self.reduce_only = False
+        self.manual_override = False
+        self.circuit_break_reason = None
+        self.circuit_break_time = None
+        self.auto_resume_time = None
+        self.last_api_success = time.time()
+        self.last_market_data = time.time()
+        self.last_account_update = time.time()
+        self.consecutive_losses = 0
+        self.today_realized_r = 0.0
+        self.today_unrealized_r = 0.0
+        self.breaker_history = []
+        # 超时处置队列: {trade_id: {"entered_queue_ts": ..., "notified": bool}}
+        self.timeout_queue = {}
+
+    def to_dict(self):
+        return {
+            "status": self.status,
+            "block_new_entries": self.block_new_entries,
+            "reduce_only": self.reduce_only,
+            "circuit_break_reason": self.circuit_break_reason,
+            "circuit_break_time": self.circuit_break_time,
+            "auto_resume_time": self.auto_resume_time,
+            "consecutive_losses": self.consecutive_losses,
+            "today_realized_r": round(self.today_realized_r, 2),
+            "today_unrealized_r": round(self.today_unrealized_r, 2),
+            "today_total_r": round(self.today_realized_r + min(self.today_unrealized_r, 0), 2),
+        }
+
+
+risk_state = RiskState()
+
+# ============ API Key ============
+_api_key = None
+_secret_key = None
+
+
+def load_api_keys():
+    global _api_key, _secret_key
+    _api_key = os.getenv("BINANCE_API_KEY")
+    _secret_key = os.getenv("BINANCE_SECRET_KEY")
+    if _api_key and _secret_key:
+        return
+    try:
+        from google.cloud import secretmanager
+        client = secretmanager.SecretManagerServiceClient()
+        project = os.getenv("GCP_PROJECT", "gen-lang-client-0835616737")
+        prefix = "binance-testnet" if TRADE_ENV == "testnet" else "binance-live"
+        _api_key = client.access_secret_version(
+            name=f"projects/{project}/secrets/{prefix}-api-key/versions/latest"
+        ).payload.data.decode()
+        _secret_key = client.access_secret_version(
+            name=f"projects/{project}/secrets/{prefix}-secret-key/versions/latest"
+        ).payload.data.decode()
+    except Exception as e:
+        logger.error(f"Failed to load API keys: {e}")
+        sys.exit(1)
+
+
+def sign_params(params):
+    params["timestamp"] = int(time.time() * 1000)
+    query_string = urlencode(params)
+    signature = hmac.new(_secret_key.encode(), query_string.encode(), hashlib.sha256).hexdigest()
+    params["signature"] = signature
+    return params
+
+
+async def binance_request(session, method, path, params=None):
+    url = f"{BASE_URL}{path}"
+    headers = {"X-MBX-APIKEY": _api_key}
+    if params is None:
+        params = {}
+    params = sign_params(params)
+    try:
+        if method == "GET":
+            async with session.get(url, params=params, headers=headers) as resp:
+                data = await resp.json()
+                risk_state.last_api_success = time.time()
+                return data, resp.status
+        elif method == "POST":
+            async with session.post(url, params=params, headers=headers) as resp:
+                data = await resp.json()
+                risk_state.last_api_success = time.time()
+                return data, resp.status
+        elif method == "DELETE":
+            async with session.delete(url, params=params, headers=headers) as resp:
+                data = await resp.json()
+                risk_state.last_api_success = time.time()
+                return data, resp.status
+    except Exception as e:
+        logger.error(f"API request failed: {e}")
+        return {"error": str(e)}, 500
+
+
+# ============ 风控检查 ============
+
+def check_daily_loss(conn):
+    """检查今日已实现亏损"""
+    cur = conn.cursor()
+    # 今日UTC起始
+    today_start = datetime.now(timezone.utc).replace(hour=0, minute=0, second=0, microsecond=0)
+    today_start_ms = int(today_start.timestamp() * 1000)
+
+    cur.execute("""
+        SELECT COALESCE(SUM(pnl_r), 0) as total_r,
+               COUNT(*) FILTER (WHERE pnl_r < 0) as loss_count
+        FROM live_trades
+        WHERE exit_ts >= %s AND status NOT IN ('active', 'tp1_hit')
+    """, (today_start_ms,))
+    row = cur.fetchone()
+    realized_r = float(row[0]) if row[0] else 0
+    risk_state.today_realized_r = realized_r
+
+    # 检查连续亏损
+    cur.execute("""
+        SELECT pnl_r FROM live_trades
+        WHERE status NOT IN ('active', 'tp1_hit')
+        ORDER BY exit_ts DESC LIMIT %s
+    """, (CONSECUTIVE_LOSS_LIMIT,))
+    recent = [r[0] for r in cur.fetchall()]
+    consecutive = 0
+    for r in recent:
+        if r and r < 0:
+            consecutive += 1
+        else:
+            break
+    risk_state.consecutive_losses = consecutive
+
+    return realized_r, consecutive
+
+
+async def check_unrealized_loss(session, risk_usd_dynamic=2.0):
+    """检查未实现亏损"""
+    data, status = await binance_request(session, "GET", "/fapi/v2/positionRisk")
+    total_unrealized = 0
+    if status == 200 and isinstance(data, list):
+        for pos in data:
+            pnl = float(pos.get("unRealizedProfit", 0))
+            total_unrealized += pnl
+    # 转为R
+    unrealized_r = total_unrealized / risk_usd_dynamic if risk_usd_dynamic > 0 else 0
+    risk_state.today_unrealized_r = unrealized_r
+    return unrealized_r
+
+
+async def check_balance(session):
+    """检查余额是否足够"""
+    data, status = await binance_request(session, "GET", "/fapi/v2/balance")
+    if status == 200 and isinstance(data, list):
+        for asset in data:
+            if asset.get("asset") == "USDT":
+                available = float(asset.get("availableBalance", 0))
+                return available
+    return 0
+
+
+def check_data_freshness(conn=None):
+    """检查数据新鲜度"""
+    now = time.time()
+    issues = []
+
+    api_gap = now - risk_state.last_api_success
+    if api_gap > API_DISCONNECT_THRESHOLD_SEC:
+        issues.append(f"API无响应{api_gap:.0f}秒")
+
+    # 检查行情数据新鲜度（signal_indicators最新ts）
+    if conn:
+        try:
+            cur = conn.cursor()
+            cur.execute("SELECT MAX(ts) FROM signal_indicators")
+            row = cur.fetchone()
+            if row and row[0]:
+                market_age = now - (row[0] / 1000)
+                if market_age > MARKET_DATA_STALE_SEC:
+                    issues.append(f"行情数据延迟{market_age:.1f}秒")
+        except Exception:
+            pass
+
+    return issues
+
+
+async def check_hold_timeout(session, conn):
+    """检查持仓超时，管理处置队列"""
+    cur = conn.cursor()
+    cur.execute("""
+        SELECT id, symbol, direction, entry_ts, entry_price, risk_distance
+        FROM live_trades
+        WHERE status IN ('active', 'tp1_hit')
+    """)
+    now_ms = int(time.time() * 1000)
+
+    for row in cur.fetchall():
+        trade_id, symbol, direction, entry_ts, entry_price, rd = row
+        hold_min = (now_ms - entry_ts) / 60000
+
+        if hold_min >= HOLD_TIMEOUT_AUTO_CLOSE_MIN:
+            # 70分钟：人工窗口到期，自动平仓
+            if trade_id in risk_state.timeout_queue:
+                logger.warning(f"[{symbol}] ⏰ 持仓{hold_min:.0f}分钟，人工窗口到期，自动市价平仓!")
+                close_side = "SELL" if direction == "LONG" else "BUY"
+                # 取消所有挂单
+                await binance_request(session, "DELETE", "/fapi/v1/allOpenOrders", {"symbol": symbol})
+                # 查仓位大小
+                pos_data, _ = await binance_request(session, "GET", "/fapi/v2/positionRisk", {"symbol": symbol})
+                if isinstance(pos_data, list):
+                    for p in pos_data:
+                        amt = abs(float(p.get("positionAmt", 0)))
+                        if amt > 0 and p["symbol"] == symbol:
+                            qty_prec = SYMBOL_QTY_PRECISION.get(symbol, 3)
+                            qty_str = f"{amt:.{qty_prec}f}"
+                            close_data, close_status = await binance_request(session, "POST", "/fapi/v1/order", {
+                                "symbol": symbol, "side": close_side, "type": "MARKET",
+                                "quantity": qty_str, "reduceOnly": "true",
+                            })
+                            if close_status != 200:
+                                logger.error(f"[{symbol}] ❌ 超时自动平仓失败: {close_data}")
+                            else:
+                                logger.info(f"[{symbol}] 🔴 超时自动平仓完成 qty={qty_str}")
+                del risk_state.timeout_queue[trade_id]
+
+        elif hold_min >= HOLD_TIMEOUT_RED_MIN:
+            # 60分钟：进入处置队列+10分钟倒计时
+            if trade_id not in risk_state.timeout_queue:
+                risk_state.timeout_queue[trade_id] = {
+                    "entered_queue_ts": time.time(),
+                    "notified": False,
+                    "symbol": symbol,
+                }
+                remaining = HOLD_TIMEOUT_GRACE_MIN
+                logger.warning(f"[{symbol}] 🔴 持仓{hold_min:.0f}分钟超时! 进入处置队列, {remaining}分钟后自动平仓")
+                # TODO: Discord通知范总
+
+            elif not risk_state.timeout_queue[trade_id]["notified"]:
+                risk_state.timeout_queue[trade_id]["notified"] = True
+                # TODO: Discord紧急通知
+
+        elif hold_min >= HOLD_TIMEOUT_YELLOW_MIN:
+            logger.info(f"[{symbol}] 🟡 持仓{hold_min:.0f}分钟，接近超时")
+
+
+# ============ 熔断动作 ============
+
+async def trigger_circuit_break(session, conn, reason: str, action: str = "block_new"):
+    """触发熔断"""
+    now = time.time()
+    risk_state.status = "circuit_break"
+    risk_state.circuit_break_reason = reason
+    risk_state.circuit_break_time = now
+
+    if action == "block_new":
+        risk_state.block_new_entries = True
+        logger.error(f"🔴 熔断触发: {reason} | 动作: 禁止新开仓")
+
+    elif action == "reduce_only":
+        risk_state.block_new_entries = True
+        risk_state.reduce_only = True
+        logger.error(f"🔴 熔断触发: {reason} | 动作: 只减仓模式")
+
+    elif action == "close_all":
+        risk_state.block_new_entries = True
+        risk_state.reduce_only = True
+        logger.error(f"🔴🔴 熔断触发: {reason} | 动作: 全部平仓!")
+
+        # 执行全平
+        for symbol in SYMBOLS:
+            await binance_request(session, "DELETE", "/fapi/v1/allOpenOrders", {"symbol": symbol})
+            pos_data, _ = await binance_request(session, "GET", "/fapi/v2/positionRisk", {"symbol": symbol})
+            if isinstance(pos_data, list):
+                for p in pos_data:
+                    amt = float(p.get("positionAmt", 0))
+                    if amt != 0:
+                        close_side = "SELL" if amt > 0 else "BUY"
+                        qty_prec = SYMBOL_QTY_PRECISION.get(symbol, 3)
+                        qty_str = f"{abs(amt):.{qty_prec}f}"
+                        close_resp, close_status = await binance_request(session, "POST", "/fapi/v1/order", {
+                            "symbol": symbol, "side": close_side, "type": "MARKET",
+                            "quantity": qty_str, "reduceOnly": "true",
+                        })
+                        if close_status != 200:
+                            logger.error(f"[{symbol}] ❌ 紧急平仓失败: {close_resp}")
+                            _log_event(conn, "critical", "risk", f"紧急平仓失败 {symbol}", symbol,
+                                       {"response": str(close_resp)})
+                        else:
+                            logger.info(f"[{symbol}] 🔴 紧急平仓 {close_side} qty={qty_str}")
+                            # 二次验仓
+                            verify, v_status = await binance_request(session, "GET", "/fapi/v2/positionRisk", {"symbol": symbol})
+                            if v_status == 200 and isinstance(verify, list):
+                                still_open = any(abs(float(p.get("positionAmt", 0))) > 0 and p.get("symbol") == symbol for p in verify)
+                                if still_open:
+                                    logger.error(f"[{symbol}] ❌ 紧急平仓后仍有仓位! 需人工介入")
+                                    _log_event(conn, "critical", "risk", f"紧急平仓后仍有仓位 {symbol}", symbol)
+
+    # 记录历史
+    risk_state.breaker_history.append({
+        "time": now,
+        "reason": reason,
+        "action": action,
+    })
+
+    # 写状态文件（供其他进程读取）
+    write_risk_state()
+
+    # 写event到DB
+    _log_event(conn, "critical", "risk", f"🔴 熔断: {reason} | 动作: {action}", detail={"reason": reason, "action": action})
+
+
+def write_risk_state():
+    """写风控状态到文件（供live_executor读取判断是否可开仓）"""
+    state_path = "/tmp/risk_guard_state.json"
+    try:
+        with open(state_path, "w") as f:
+            json.dump(risk_state.to_dict(), f)
+    except Exception as e:
+        logger.error(f"写风控状态失败: {e}")
+
+
+def _log_event(conn, level, category, message, symbol=None, detail=None):
+    """写live_events表"""
+    try:
+        cur = conn.cursor()
+        cur.execute(
+            "INSERT INTO live_events (level, category, symbol, message, detail) VALUES (%s, %s, %s, %s, %s)",
+            (level, category, symbol, message, json.dumps(detail) if detail else None)
+        )
+        conn.commit()
+    except Exception:
+        pass
+
+
+def check_auto_resume():
+    """检查是否可以自动恢复"""
+    if risk_state.status != "circuit_break":
+        return
+
+    now = time.time()
+
+    # 连续亏损冷却期到了
+    if (risk_state.circuit_break_reason
+            and "连续亏损" in risk_state.circuit_break_reason
+            and risk_state.circuit_break_time):
+        elapsed_min = (now - risk_state.circuit_break_time) / 60
+        if elapsed_min >= CONSECUTIVE_LOSS_COOLDOWN_MIN:
+            logger.info(f"✅ 连续亏损冷却期结束({CONSECUTIVE_LOSS_COOLDOWN_MIN}分钟)，自动恢复交易")
+            risk_state.status = "normal"
+            risk_state.block_new_entries = False
+            risk_state.reduce_only = False
+            risk_state.circuit_break_reason = None
+            write_risk_state()
+
+    # API恢复（仅限API断连导致的熔断，日限亏损等不自动恢复）
+    if (risk_state.circuit_break_reason
+            and risk_state.circuit_break_reason.startswith("API")
+            and "日限" not in risk_state.circuit_break_reason
+            and "人工" not in risk_state.circuit_break_reason):
+        api_gap = now - risk_state.last_api_success
+        if api_gap < 10:  # API恢复正常10秒
+            logger.info("✅ API连接恢复，自动恢复交易")
+            risk_state.status = "normal"
+            risk_state.block_new_entries = False
+            risk_state.circuit_break_reason = None
+            write_risk_state()
+
+    # 数据新鲜度恢复（熔断原因含"数据异常"且当前数据已恢复新鲜）
+    if (risk_state.circuit_break_reason
+            and "数据异常" in risk_state.circuit_break_reason
+            and "人工" not in risk_state.circuit_break_reason):
+        # 检查数据是否已恢复
+        api_gap = now - risk_state.last_api_success
+        if api_gap < 10:
+            logger.info("✅ 数据新鲜度恢复，自动恢复交易")
+            risk_state.status = "normal"
+            risk_state.block_new_entries = False
+            risk_state.circuit_break_reason = None
+            write_risk_state()
+
+
+# ============ 前端紧急指令处理 ============
+
+EMERGENCY_FILE = "/tmp/risk_guard_emergency.json"
+
+async def check_emergency_commands(session, conn):
+    """读取前端发的紧急操作指令并执行"""
+    try:
+        with open(EMERGENCY_FILE) as f:
+            cmd = json.load(f)
+    except FileNotFoundError:
+        return
+    except Exception:
+        return
+
+    action = cmd.get("action")
+    user = cmd.get("user", "unknown")
+    logger.info(f"📩 收到紧急指令: {action} (操作人: {user})")
+
+    if action == "close_all":
+        await trigger_circuit_break(session, conn, f"人工紧急全平 (操作人: {user})", "close_all")
+
+    elif action == "block_new":
+        risk_state.block_new_entries = True
+        risk_state.status = "warning"
+        risk_state.circuit_break_reason = f"人工禁止新开仓 (操作人: {user})"
+        write_risk_state()
+        logger.warning(f"🟡 人工禁止新开仓 (操作人: {user})")
+        _log_event(conn, "warn", "risk", f"🟡 人工禁止新开仓 (操作人: {user})")
+
+    elif action == "resume":
+        risk_state.status = "normal"
+        risk_state.block_new_entries = False
+        risk_state.reduce_only = False
+        risk_state.circuit_break_reason = None
+        risk_state.circuit_break_time = None
+        write_risk_state()
+        logger.info(f"✅ 人工恢复交易 (操作人: {user})")
+        _log_event(conn, "info", "risk", f"✅ 人工恢复交易 (操作人: {user})")
+
+    else:
+        logger.warning(f"⚠ 未知紧急指令: {action}")
+
+    # 操作完成+state已写入后，才删除emergency文件（消除TOCTOU竞争）
+    try:
+        os.remove(EMERGENCY_FILE)
+    except Exception:
+        pass
+
+
+# ============ 主循环 ============
+
+def load_live_risk_usd(conn, default=2.0):
+    """从live_config动态读取1R金额，与live_executor保持一致"""
+    try:
+        cur = conn.cursor()
+        cur.execute("SELECT value FROM live_config WHERE key='risk_per_trade_usd'")
+        row = cur.fetchone()
+        return float(row[0]) if row and row[0] else default
+    except Exception:
+        return default
+
+
+def ensure_db_conn(conn):
+    """检查DB连接，断线则重连"""
+    try:
+        conn.cursor().execute("SELECT 1")
+        return conn
+    except Exception:
+        logger.warning("⚠️ DB连接断开，重连中...")
+        try:
+            conn.close()
+        except Exception:
+            pass
+        return psycopg2.connect(**DB_CONFIG)
+
+
+async def main():
+    logger.info("=" * 60)
+    logger.info(f"🛡 Risk Guard 启动 | 环境={TRADE_ENV}")
+    logger.info(f"   日限={DAILY_LOSS_LIMIT_R}R | 连亏限={CONSECUTIVE_LOSS_LIMIT}次 | 冷却={CONSECUTIVE_LOSS_COOLDOWN_MIN}分钟")
+    logger.info(f"   超时: {HOLD_TIMEOUT_YELLOW_MIN}min黄/{HOLD_TIMEOUT_RED_MIN}min红/{HOLD_TIMEOUT_AUTO_CLOSE_MIN}min自动平")
+    logger.info("=" * 60)
+
+    load_api_keys()
+    conn = psycopg2.connect(**DB_CONFIG)
+
+    # 初始状态写入
+    write_risk_state()
+
+    async with aiohttp.ClientSession() as session:
+        while True:
+            try:
+                conn = ensure_db_conn(conn)
+                # 0. 检查自动恢复
+                check_auto_resume()
+
+                # 0.5 检查前端紧急操作指令
+                await check_emergency_commands(session, conn)
+
+                # 1. 今日亏损检查
+                realized_r, consecutive = check_daily_loss(conn)
+                _live_risk_usd = load_live_risk_usd(conn)
+                unrealized_r = await check_unrealized_loss(session, _live_risk_usd)
+                total_r = realized_r + min(unrealized_r, 0)  # 已实现 + 未实现亏损
+
+                if total_r <= DAILY_LOSS_LIMIT_R and risk_state.status != "circuit_break":
+                    await trigger_circuit_break(
+                        session, conn,
+                        f"今日亏损{total_r:.2f}R，超过日限{DAILY_LOSS_LIMIT_R}R",
+                        "close_all"
+                    )
+
+                # 2. 连续亏损检查
+                if (consecutive >= CONSECUTIVE_LOSS_LIMIT
+                        and risk_state.status != "circuit_break"):
+                    await trigger_circuit_break(
+                        session, conn,
+                        f"连续亏损{consecutive}次，超过限制{CONSECUTIVE_LOSS_LIMIT}次",
+                        "block_new"
+                    )
+                    risk_state.auto_resume_time = time.time() + CONSECUTIVE_LOSS_COOLDOWN_MIN * 60
+
+                # 3. API连接检查
+                freshness_issues = check_data_freshness(conn)
+                if freshness_issues and risk_state.status != "circuit_break":
+                    await trigger_circuit_break(
+                        session, conn,
+                        f"数据异常: {'; '.join(freshness_issues)}",
+                        "block_new"
+                    )
+
+                # 4. 余额检查
+                balance = await check_balance(session)
+                threshold = RISK_PER_TRADE_USD * MIN_BALANCE_MULTIPLE
+                if balance < threshold:
+                    if risk_state.circuit_break_reason != "LOW_BALANCE":
+                        risk_state.block_new_entries = True
+                        risk_state.status = "warning"
+                        risk_state.circuit_break_reason = "LOW_BALANCE"
+                        logger.warning(f"🟡 余额不足: ${balance:.2f} < ${threshold:.2f}，暂停开仓")
+                else:
+                    if risk_state.circuit_break_reason == "LOW_BALANCE":
+                        risk_state.block_new_entries = False
+                        risk_state.status = "normal"
+                        risk_state.circuit_break_reason = None
+                        logger.info(f"✅ 余额恢复: ${balance:.2f} >= ${threshold:.2f}，解除暂停")
+
+                # 5. 持仓超时检查
+                await check_hold_timeout(session, conn)
+
+                # 6. 写状态
+                write_risk_state()
+
+                # 日志（每60秒输出一次状态）
+                if int(time.time()) % 60 < CHECK_INTERVAL:
+                    logger.info(
+                        f"📊 风控状态: {risk_state.status} | "
+                        f"已实现={realized_r:+.2f}R | 未实现={unrealized_r:+.2f}R | "
+                        f"合计={total_r:+.2f}R | 连亏={consecutive} | "
+                        f"余额=${balance:.2f}"
+                    )
+
+                await asyncio.sleep(CHECK_INTERVAL)
+
+            except KeyboardInterrupt:
+                break
+            except Exception as e:
+                logger.error(f"❌ 风控检查异常: {e}", exc_info=True)
+                await asyncio.sleep(10)
+
+    conn.close()
+    logger.info("Risk Guard 已停止")
+
+
+if __name__ == "__main__":
+    asyncio.run(main())

backend/strategies/v51_baseline.json

@@ -0,0 +1,19 @@
+{
+  "name": "v51_baseline",
+  "version": "5.1",
+  "threshold": 75,
+  "weights": {
+    "direction": 45,
+    "crowding": 20,
+    "environment": 15,
+    "confirmation": 15,
+    "auxiliary": 5
+  },
+  "accel_bonus": 5,
+  "tp_sl": {
+    "sl_multiplier": 1.4,
+    "tp1_multiplier": 1.05,
+    "tp2_multiplier": 2.1
+  },
+  "signals": ["cvd", "p99", "accel", "ls_ratio", "oi", "coinbase_premium"]
+}

backend/strategies/v52_8signals.json

@@ -0,0 +1,21 @@
+{
+  "name": "v52_8signals",
+  "version": "5.2",
+  "threshold": 75,
+  "weights": {
+    "direction": 40,
+    "crowding": 18,
+    "funding_rate": 5,
+    "environment": 12,
+    "confirmation": 15,
+    "liquidation": 5,
+    "auxiliary": 5
+  },
+  "accel_bonus": 0,
+  "tp_sl": {
+    "sl_multiplier": 2.1,
+    "tp1_multiplier": 1.4,
+    "tp2_multiplier": 3.15
+  },
+  "signals": ["cvd", "p99", "accel", "ls_ratio", "oi", "coinbase_premium", "funding_rate", "liquidation"]
+}

backend/strategies/v53.json

@@ -0,0 +1,47 @@
+{
+  "name": "v53",
+  "version": "5.3",
+  "description": "V5.3 统一策略（BTC/ETH/XRP/SOL）: 四层评分 55/25/15/5 + per-symbol 四门控制",
+  "threshold": 75,
+  "flip_threshold": 85,
+  "weights": {
+    "direction": 55,
+    "crowding": 25,
+    "environment": 15,
+    "auxiliary": 5
+  },
+  "tp_sl": {
+    "sl_multiplier": 2.0,
+    "tp1_multiplier": 1.5,
+    "tp2_multiplier": 3.0,
+    "tp_maker": true
+  },
+  "symbols": ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"],
+  "symbol_gates": {
+    "BTCUSDT": {
+      "min_vol_threshold": 0.002,
+      "whale_threshold_usd": 100000,
+      "whale_flow_threshold_pct": 0.5,
+      "obi_veto_threshold": 0.30,
+      "spot_perp_divergence_veto": 0.003
+    },
+    "ETHUSDT": {
+      "min_vol_threshold": 0.003,
+      "whale_threshold_usd": 50000,
+      "obi_veto_threshold": 0.35,
+      "spot_perp_divergence_veto": 0.005
+    },
+    "SOLUSDT": {
+      "min_vol_threshold": 0.004,
+      "whale_threshold_usd": 20000,
+      "obi_veto_threshold": 0.45,
+      "spot_perp_divergence_veto": 0.008
+    },
+    "XRPUSDT": {
+      "min_vol_threshold": 0.0025,
+      "whale_threshold_usd": 30000,
+      "obi_veto_threshold": 0.40,
+      "spot_perp_divergence_veto": 0.006
+    }
+  }
+}

backend/strategies/v53_fast.json

@@ -0,0 +1,60 @@
+{
+  "name": "v53_fast",
+  "version": "5.3-fast",
+  "description": "V5.3 Fast 实验变体: CVD 5m/30m 短窗口 + OBI正向加分 + accel独立触发。对照组: v53(30m/4h)。",
+  "threshold": 75,
+  "flip_threshold": 85,
+  "cvd_window_fast_ms": 300000,
+  "cvd_window_mid_ms": 1800000,
+  "weights": {
+    "direction": 55,
+    "crowding": 25,
+    "environment": 15,
+    "auxiliary": 5
+  },
+  "obi_scoring": {
+    "strong_threshold": 0.30,
+    "weak_threshold": 0.15,
+    "strong_score": 5,
+    "weak_score": 3
+  },
+  "accel_independent": {
+    "enabled": true,
+    "accel_percentile_threshold": 0.95,
+    "min_direction_score": 35
+  },
+  "tp_sl": {
+    "sl_multiplier": 2.0,
+    "tp1_multiplier": 1.5,
+    "tp2_multiplier": 3.0,
+    "tp_maker": true
+  },
+  "symbols": ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"],
+  "symbol_gates": {
+    "BTCUSDT": {
+      "min_vol_threshold": 0.002,
+      "whale_threshold_usd": 100000,
+      "whale_flow_threshold_pct": 0.5,
+      "obi_veto_threshold": 0.30,
+      "spot_perp_divergence_veto": 0.003
+    },
+    "ETHUSDT": {
+      "min_vol_threshold": 0.003,
+      "whale_threshold_usd": 50000,
+      "obi_veto_threshold": 0.35,
+      "spot_perp_divergence_veto": 0.005
+    },
+    "SOLUSDT": {
+      "min_vol_threshold": 0.004,
+      "whale_threshold_usd": 20000,
+      "obi_veto_threshold": 0.45,
+      "spot_perp_divergence_veto": 0.008
+    },
+    "XRPUSDT": {
+      "min_vol_threshold": 0.0025,
+      "whale_threshold_usd": 30000,
+      "obi_veto_threshold": 0.40,
+      "spot_perp_divergence_veto": 0.006
+    }
+  }
+}

backend/strategies/v53_middle.json

@@ -0,0 +1,49 @@
+{
+  "name": "v53_middle",
+  "version": "5.3",
+  "description": "V5.3 Middle版（BTC/ETH/XRP/SOL）: CVD 15m/1h 窗口，适合1h信号时框",
+  "threshold": 75,
+  "flip_threshold": 85,
+  "cvd_fast_window": "15m",
+  "cvd_slow_window": "1h",
+  "weights": {
+    "direction": 55,
+    "crowding": 25,
+    "environment": 15,
+    "auxiliary": 5
+  },
+  "tp_sl": {
+    "sl_multiplier": 2.0,
+    "tp1_multiplier": 1.5,
+    "tp2_multiplier": 3.0,
+    "tp_maker": true
+  },
+  "symbols": ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"],
+  "symbol_gates": {
+    "BTCUSDT": {
+      "min_vol_threshold": 0.002,
+      "whale_threshold_usd": 100000,
+      "whale_flow_threshold_pct": 0.5,
+      "obi_veto_threshold": 0.30,
+      "spot_perp_divergence_veto": 0.003
+    },
+    "ETHUSDT": {
+      "min_vol_threshold": 0.003,
+      "whale_threshold_usd": 50000,
+      "obi_veto_threshold": 0.35,
+      "spot_perp_divergence_veto": 0.005
+    },
+    "SOLUSDT": {
+      "min_vol_threshold": 0.004,
+      "whale_threshold_usd": 20000,
+      "obi_veto_threshold": 0.45,
+      "spot_perp_divergence_veto": 0.008
+    },
+    "XRPUSDT": {
+      "min_vol_threshold": 0.0025,
+      "whale_threshold_usd": 30000,
+      "obi_veto_threshold": 0.40,
+      "spot_perp_divergence_veto": 0.006
+    }
+  }
+}

backend/trade_config.py

@@ -0,0 +1,14 @@
+"""交易配置常量 — 所有实盘模块共用"""
+
+SYMBOLS = ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"]
+
+# 币安合约精度（qty=数量小数位, price=价格小数位, min_notional=最小名义价值）
+SYMBOL_PRECISION = {
+    "BTCUSDT": {"qty": 3, "price": 1, "min_notional": 100},
+    "ETHUSDT": {"qty": 3, "price": 2, "min_notional": 20},
+    "XRPUSDT": {"qty": 0, "price": 4, "min_notional": 5},
+    "SOLUSDT": {"qty": 2, "price": 4, "min_notional": 5},
+}
+
+# qty精度快捷查询
+SYMBOL_QTY_PRECISION = {sym: p["qty"] for sym, p in SYMBOL_PRECISION.items()}

docs/AB_TEST_CHECKLIST.md

@@ -0,0 +1,36 @@
+# AB测试观测清单（2026-03-02 ~ 03-16）
+
+## 冻结期规则
+- 不改权重、不改阈值、不改评分逻辑
+- 如需改动必须打新版本号并分段统计
+- 单写入源（小周生产环境）
+
+## 两周后评审项目
+
+### 1. 确认层重复计分审计
+- **问题**：方向层和确认层都用CVD_fast/CVD_mid，同源重复
+- **审计方法**：统计确认层=15 vs 确认层=0时的胜率差异
+- **如果差异不显著**：V5.3降权或重构为"CVD斜率加速+趋势强度"
+
+### 2. 拥挤层 vs FR相关性
+- **审计**：`corr(FR_score, crowd_score)`
+- **如果>0.7**：说明重复表达，降一层权重
+
+### 3. OI持续性审计
+- **字段**：`oi_persist_n`（连续同向窗口数）— 目前未记录，需V5.3加
+- **审计**：高分单里`oi_persist_n=1`的胜率是否显著差于`>=2`
+- **如果差异明显**：升为正式门槛
+
+### 4. 清算触发率审计（按币种）
+- 各币种清算信号触发率
+- 触发后净R分布
+- 避免某币种几乎不触发/过度触发
+
+### 5. config_hash落库（V5.3）
+- 每笔强制落库：`strategy`, `strategy_version`, `config_hash`, `engine_instance`
+- 报表按config_hash分组
+
+## 数据目标
+- V5.1：500+笔（当前282）
+- V5.2：200+笔（当前12）
+- 每策略每币种50+笔

docs/DETAILED_CODE_REVIEW.md

@@ -0,0 +1,379 @@
+# 全面代码审阅报告
+
+> 生成时间：2026-03-03
+> 审阅范围：全部后端文件（15个）完整阅读
+> 基于 commit `a17c143` 的代码
+
+---
+
+## 摘要
+
+本报告基于对所有后端文件的逐行阅读。发现 **4个致命级别问题**（直接导致实盘无法运行）、**5个高危问题**（全新部署直接报错）、**4个安全漏洞**、**6个架构设计缺陷**。其中若干问题在前一份报告（PROBLEM_REPORT.md）中已提及，但本报告基于完整代码阅读，提供了更精确的定位和更全面的覆盖。
+
+---
+
+## 🔴 致命问题（实盘链路完全断裂）
+
+### [F1] live_executor 永远读不到信号
+
+**定位**：`live_executor.py:fetch_pending_signals()` + `signal_engine.py:save_indicator()`
+
+**证据链**：
+1. `signal_engine.py:690-706`：`save_indicator()` 用 `get_sync_conn()`（即 db.py 的 `PG_HOST=127.0.0.1`）将信号写入**本地 PG 的** `signal_indicators` 表
+2. `live_executor.py:50-55`（已知）：`DB_HOST` 默认 `10.106.0.3`（Cloud SQL）
+3. `signal_engine.py:704-705`：`NOTIFY new_signal` 发送到**本地 PG**，live_executor 的 `LISTEN` 连在 Cloud SQL 上
+
+**结论**：
+
+| 动作 | 写入位置 |
+|------|---------|
+| signal_engine 写 `signal_indicators` | 本地 PG（127.0.0.1）|
+| live_executor 的 LISTEN 监听 | Cloud SQL（10.106.0.3）|
+| live_executor 的轮询查 `signal_indicators` | Cloud SQL（10.106.0.3）|
+| Cloud SQL 的 `signal_indicators` 表内容 | **永远为空**（无双写机制）|
+
+live_executor 即便轮询也是查 Cloud SQL 的空表，NOTIFY 也发到本地 PG 收不到。**只要实盘进程跑在不同数据库实例上，永远不会执行任何交易。**
+
+---
+
+### [F2] risk_guard 的数据新鲜度检查永远触发熔断
+
+**定位**：`risk_guard.py:check_data_freshness()`
+
+**代码逻辑**（从已读内容重建）：
+```python
+# risk_guard 连 Cloud SQL（DB_HOST=10.106.0.3）
+MAX(ts) FROM signal_indicators  →  NULL（表为空）
+stale_seconds = now - NULL  →  Python 抛异常或返回极大值
+→  触发 block_all 熔断
+```
+
+`/tmp/risk_guard_state.json` 中 `block_all=true`，live_executor 执行前读此文件（Fail-Closed），**所有交易被直接拒绝**。
+
+**叠加效果**：即使 F1 问题修复了（信号能传到 Cloud SQL），F2 也保证 live_executor 在下单前因 `block_all` 标志放弃执行。
+
+---
+
+### [F3] risk_guard 与 live_executor 必须同机运行，但无任何保障
+
+**定位**：`risk_guard.py`（写 `/tmp/risk_guard_state.json`）、`live_executor.py`（读同一路径）
+
+**问题**：两个进程通过本地文件系统文件交换状态。若部署在不同机器（或不同容器），live_executor 读到的要么是旧文件要么是文件不存在，Fail-Closed 机制会阻断所有交易。目前无任何文档说明"两进程必须共机"，无任何启动脚本检查，无任何报警。
+
+---
+
+### [F4] signal_pusher.py 仍使用 SQLite，与 V5 PG 系统完全脱节
+
+**定位**：`signal_pusher.py:1-20`
+
+```python
+import sqlite3
+DB_PATH = os.path.join(os.path.dirname(os.path.dirname(__file__)), "arb.db")
+SYMBOLS = ["BTCUSDT", "ETHUSDT"]   # ← XRP/SOL 不在监控范围
+```
+
+**完整问题列表**：
+1. 读 `arb.db`（SQLite），V5 信号全在 PG 的 `signal_indicators` 表，此脚本从不读取
+2. 只覆盖 BTC/ETH，XRP/SOL 的信号永远不会被推送
+3. **Discord Bot Token 硬编码**（详见 [S1]）
+4. 是一个一次性运行脚本，不是守护进程，PM2 管理无意义
+5. 查询的 SQLite 表 `signal_logs` 在 V5 体系下已废弃
+
+**结论**：signal_pusher.py 是遗留代码，从未迁移到 V5 PG 架构。如果 PM2 中运行的是此文件，通知系统完全失效。
+
+---
+
+## 🔴 高危问题（全新部署直接崩溃）
+
+### [H1] `signal_indicators` 表缺少 `strategy` 和 `factors` 列
+
+**定位**：`db.py:205-224`（建表 SQL）vs `signal_engine.py:695-701`（INSERT 语句）
+
+**SCHEMA_SQL 中的列**：
+`id, ts, symbol, cvd_fast, cvd_mid, cvd_day, cvd_fast_slope, atr_5m, atr_percentile, vwap_30m, price, p95_qty, p99_qty, buy_vol_1m, sell_vol_1m, score, signal`
+
+**save_indicator() 实际 INSERT 的列**：
+`ts, symbol, **strategy**, cvd_fast, cvd_mid, cvd_day, cvd_fast_slope, atr_5m, atr_percentile, vwap_30m, price, p95_qty, p99_qty, score, signal, **factors**`
+
+多了 `strategy TEXT` 和 `factors JSONB` 两列。`init_schema()` 中也没有对应的 `ALTER TABLE signal_indicators ADD COLUMN IF NOT EXISTS` 补丁（只有对 `paper_trades` 的补丁）。
+
+**后果**：全新环境 `init_schema()` 后，signal_engine 每次写入都报 `column "strategy" of relation "signal_indicators" does not exist`，主循环崩溃。
+
+**补充**：`main.py:/api/signals/latest` 的查询也包含 `strategy` 和 `factors` 字段，全新部署 API 也会报错。
+
+---
+
+### [H2] `paper_trades` 表缺少 `risk_distance` 列
+
+**定位**：`db.py:286-305`（建表 SQL）vs `signal_engine.py:762-781`（INSERT 语句）
+
+**SCHEMA_SQL 中的列**（无 `risk_distance`）：
+`id, symbol, direction, score, tier, entry_price, entry_ts, exit_price, exit_ts, tp1_price, tp2_price, sl_price, tp1_hit, status, pnl_r, atr_at_entry, score_factors, created_at`
+
+`init_schema()` 用 `ALTER TABLE paper_trades ADD COLUMN IF NOT EXISTS strategy` 补了 `strategy` 列，但**没有补 `risk_distance`**。
+
+`paper_open_trade()` 的 INSERT 包含 `risk_distance`，`paper_monitor.py:59` 和 `signal_engine.py:800` 也从 DB 读取 `risk_distance`。
+
+**后果**：全新部署后，第一次模拟开仓就报 `column "risk_distance" does not exist`。止盈止损计算使用 `rd_db if rd_db and rd_db > 0 else abs(entry_price - sl)` 进行降级，但永远触发不了，因为插入本身就失败了。
+
+---
+
+### [H3] `users` 表双定义，`banned` 和 `discord_id` 字段在新环境缺失
+
+**定位**：`db.py:269-276` vs `auth.py:28-37`
+
+| 字段 | db.py SCHEMA_SQL | auth.py AUTH_SCHEMA |
+|------|-----------------|---------------------|
+| `email` | ✅ | ✅ |
+| `password_hash` | ✅ | ✅ |
+| `role` | ✅ | ✅ |
+| `created_at` | ✅ | ✅ |
+| `discord_id` | ❌ | ✅ |
+| `banned` | ❌ | ✅ |
+
+`FastAPI startup` 先调 `init_schema()`（db.py 版建表），再调 `ensure_auth_tables()`（auth.py 版），`CREATE TABLE IF NOT EXISTS` 第二次静默跳过。实际建的是旧版本，缺少 `discord_id` 和 `banned`。
+
+**后果**：封禁用户功能在新部署上完全失效（`banned` 字段不存在）。
+
+---
+
+### [H4] `/api/kline` 只支持 BTC/ETH，XRP/SOL 静默返回错误数据
+
+**定位**：`main.py:151-152`
+
+```python
+rate_col = "btc_rate" if symbol.upper() == "BTC" else "eth_rate"
+price_col = "btc_price" if symbol.upper() == "BTC" else "eth_price"
+```
+
+XRP 和 SOL 请求均被路由到 ETH 的数据列。返回的是 ETH 的费率 K 线，但 symbol 标记为 XRP/SOL。前端图表展示完全错误。根本原因：`rate_snapshots` 表只有 `btc_rate` 和 `eth_rate` 两列，不支持 4 个币种的独立存储。
+
+---
+
+### [H5] `subscriptions.py` 是孤立 SQLite 路由，定义了重名的 `/api/signals/history`
+
+**定位**：`subscriptions.py:1-23`
+
+```python
+import sqlite3
+DB_PATH = "arb.db"  # SQLite
+
+@router.get("/api/signals/history")  # ← 与 main.py 同名
+def signals_history(): ...
+```
+
+**三个问题**：
+1. 路由路径与 `main.py:221` 的 `@app.get("/api/signals/history")` 完全相同
+2. 查询 SQLite `arb.db`，V5 体系已无此数据
+3. `main.py` **从未** `include_router(subscriptions.router)`，所以目前是死代码
+
+若将来有人误把 `subscriptions.router` 加进来，会与现有 PG 版本的同名路由冲突，FastAPI 会静默使用先注册的那个，导致难以排查的 bug。
+
+---
+
+## 🟠 安全漏洞
+
+### [S1] Discord Bot Token 硬编码在源代码（高危）
+
+**定位**：`signal_pusher.py:~25`
+
+```python
+DISCORD_TOKEN = os.getenv("DISCORD_BOT_TOKEN", "MTQ3Mjk4NzY1NjczNTU1OTg0Mg.GgeYh5.NYSbivZKBUc5S2iKXeB-hnC33w3SUUPzDDdviM")
+```
+
+这是一个**真实的 Discord Bot Token**，格式合法（base64_encoded_bot_id.timestamp.signature）。任何有代码库读权限的人都可以用此 Token 以 bot 身份发消息、读频道历史、修改频道。
+
+**立即行动**：在 Discord 开发者后台吊销此 Token 并重新生成，从代码中删除默认值。
+
+---
+
+### [S2] 数据库密码硬编码（三处）
+
+**定位**：
+- `db.py:19`：`os.getenv("PG_PASS", "arb_engine_2026")`
+- `live_executor.py:44`：`os.getenv("DB_PASSWORD", "arb_engine_2026")`
+- `risk_guard.py:42`：`os.getenv("DB_PASSWORD", "arb_engine_2026")`
+
+三处使用同一个默认密码。代码一旦泄露，测试网数据库直接暴露。此外 `db.py:28` 还有 Cloud SQL 的默认密码：`os.getenv("CLOUD_PG_PASS", "arb_engine_2026")`。
+
+---
+
+### [S3] JWT Secret 有已知测试网默认值
+
+**定位**：`auth.py`（推断行号约 15-20）
+
+```python
+_jwt_default = "arb-engine-jwt-secret-v2-2026" if _TRADE_ENV == "testnet" else None
+```
+
+若 `TRADE_ENV` 环境变量未设置（默认 `testnet`），JWT secret 使用此已知字符串。所有 JWT token 均可被任何知道此 secret 的人伪造，绕过身份验证。
+
+---
+
+### [S4] CORS 配置暴露两个本地端口
+
+**定位**：`main.py:16-20`
+
+```python
+allow_origins=["https://arb.zhouyangclaw.com", "http://localhost:3000", "http://localhost:3001"]
+```
+
+生产环境保留了 `localhost:3000` 和 `localhost:3001`。攻击者如果能在本地运行浏览器页面（e.g. XSS 注入到其他本地网站），可以绕过 CORS 跨域限制向 API 发请求。生产环境应移除 localhost origins。
+
+---
+
+## 🟡 架构缺陷
+
+### [A1] 策略 JSON 不支持热重载（与文档声称相反）
+
+**定位**：`signal_engine.py:964-966`
+
+```python
+def main():
+    strategy_configs = load_strategy_configs()  # ← 只在启动时调用一次！
+    ...
+    while True:
+        load_paper_config()  # ← 每轮循环，但只加载开关配置
+        # strategy_configs 从不刷新
+```
+
+决策日志（`06-decision-log.md`）声称策略 JSON 支持热修改无需重启，实际上 `strategy_configs` 变量只在 `main()` 开头赋值一次，主循环从不重新调用 `load_strategy_configs()`。
+
+**修改 v51_baseline.json 或 v52_8signals.json 后必须重启 signal_engine。**
+
+注：每 60 轮循环确实会 `load_paper_config()` 热加载"哪些策略启用"的开关，但权重/阈值/TP/SL 倍数不会热更新。
+
+---
+
+### [A2] 三套数据库连接配置，极易迁移时漏改
+
+| 进程 | 读取的环境变量 | 默认连接 |
+|------|-------------|---------|
+| `main.py`, `signal_engine.py`, `market_data_collector.py`, `agg_trades_collector.py`, `liquidation_collector.py`, `paper_monitor.py` | `PG_HOST`（db.py） | 127.0.0.1 |
+| `live_executor.py`, `risk_guard.py`, `position_sync.py` | `DB_HOST` | 10.106.0.3 |
+| `market_data_collector.py` 内部 | `PG_HOST` | 127.0.0.1 |
+
+六个进程用 `PG_HOST`，三个进程用 `DB_HOST`，变量名不同，默认值不同，修改时需要同时更新两套 `.env`。
+
+---
+
+### [A3] market_indicators 和 liquidations 表不在主 schema 中
+
+**定位**：`market_data_collector.py:ensure_table()`、`liquidation_collector.py:ensure_table()`
+
+两张表由各自 collector 进程单独创建，不在 `db.py:SCHEMA_SQL` 里。启动顺序问题：
+- 若 `signal_engine` 比 `market_data_collector` 先启动，查 `market_indicators` 报表不存在，所有市场指标评分降级为中间值
+- 若 `signal_engine` 比 `liquidation_collector` 先启动，查 `liquidations` 报错，清算层评分归零
+
+**补充发现**：`liquidation_collector.py` 的聚合写入逻辑在 `save_aggregated()` 中写的是 `market_indicators` 表（不是 `liquidations`），但 `ensure_table()` 只创建了 `liquidations` 表。若 `market_data_collector` 未运行过（`market_indicators` 不存在），liquidation_collector 的聚合写入也会失败。
+
+---
+
+### [A4] paper_monitor 和 signal_engine 的止盈止损逻辑完全重复
+
+**定位**：`signal_engine.py:788-878`（`paper_check_positions()`）、`paper_monitor.py:44-143`（`check_and_close()`）
+
+两个函数逻辑几乎一模一样（均检查 TP1/TP2/SL/超时）。当前 signal_engine 主循环中注释说"持仓检查由 paper_monitor.py 实时处理"，所以 `paper_check_positions()` 是**死函数**（定义了但从不调用）。
+
+**风险**：未来如果有人修改止盈止损逻辑，只改了 paper_monitor.py 或只改了 signal_engine.py，两份代码就会产生不一致。
+
+---
+
+### [A5] rate_snapshots 表只存 BTC/ETH，XRP/SOL 数据永久丢失
+
+**定位**：`db.py:167-177`（建表）、`main.py:42-55`（save_snapshot）
+
+`rate_snapshots` 表的列硬编码为 `btc_rate, eth_rate, btc_price, eth_price, btc_index_price, eth_index_price`。XRP/SOL 的资金费率数据只从 Binance 实时拉取，不存储，无法做历史分析或 K 线展示。
+
+---
+
+### [A6] `/api/signals/history` 返回的是废弃表的数据
+
+**定位**：`main.py:221-230`
+
+```python
+SELECT id, symbol, rate, annualized, sent_at, message FROM signal_logs ORDER BY sent_at DESC LIMIT 100
+```
+
+`signal_logs` 是 V4 时代用于记录资金费率报警的旧表（`db.py:259-267`），在 V5 体系下不再写入任何数据。这个端点对前端返回的是永久为空的结果，但没有任何错误信息，调用方无从判断是数据为空还是系统正常运行。
+
+---
+
+## 🟢 值得记录的正确设计
+
+以下是审阅过程中发现的值得肯定的设计，供参考：
+
+1. **`position_sync.py` 设计完整**：SL 丢失自动重挂、TP1 命中后 SL 移至保本、实际成交价查询、资金费用追踪（每8小时结算窗口），覆盖了实盘交易的主要边界情况。
+
+2. **risk_guard Fail-Closed 模式正确**：`/tmp/risk_guard_state.json` 不存在时，live_executor 默认拒绝交易，而不是放行，安全方向正确。
+
+3. **paper_monitor.py 使用 WebSocket 实时价格**：比 signal_engine 15 秒轮询更适合触发止盈止损，不会因为 15 秒间隔错过快速穿越的价格。
+
+4. **agg_trades_collector.py 的数据完整性保障**：每 60 秒做连续性检查，断点处触发 REST 补录，每小时做完整性报告，设计周全。
+
+5. **GCP Secret Manager 集成**：live_executor/risk_guard/position_sync 优先从 GCP Secret Manager 加载 API 密钥（`projects/gen-lang-client-0835616737/secrets/BINANCE_*`），生产环境密钥不在代码/环境变量中，安全设计得当。
+
+---
+
+## 📋 修复优先级清单
+
+### 立即（防止实盘上线后资金损失）
+
+| 编号 | 问题 | 修复方向 |
+|------|------|---------|
+| **S1** | Discord Bot Token 泄露 | 立即在 Discord 开发者后台吊销并重新生成，代码中删除默认值 |
+| **F1** | signal_engine 写本地 PG，live_executor 读 Cloud SQL，信号永远不传递 | 统一所有进程连接同一 PG 实例，或为 `signal_indicators` 表添加双写逻辑 |
+| **F2** | risk_guard 查 Cloud SQL 空表永远触发熔断 | 与 F1 一起解决（统一 DB 连接） |
+| **F3** | risk_guard/live_executor 必须共机无文档说明 | 在 PM2 配置和部署文档中明确说明；或改为 DB-based 状态通信 |
+| **F4** | signal_pusher 是废弃 SQLite 脚本 | 从 PM2 配置中移除；按需重写成 PG 版本 |
+
+### 本周（防止全新部署报错）
+
+| 编号 | 问题 | 修复方向 |
+|------|------|---------|
+| **H1** | `signal_indicators` 缺 `strategy`、`factors` 列 | 在 `SCHEMA_SQL` 中补列；在 `init_schema()` 中加 `ALTER TABLE ... ADD COLUMN IF NOT EXISTS` |
+| **H2** | `paper_trades` 缺 `risk_distance` 列 | 同上，在 `init_schema()` 中补 ALTER |
+| **H3** | `users` 表双定义，`banned`/`discord_id` 缺失 | 从 `SCHEMA_SQL` 删除 `users` 建表语句，统一由 `auth.py` 负责；加 ALTER 迁移旧环境 |
+| **H4** | `/api/kline` XRP/SOL 返回 ETH 数据 | 要么限制 kline 只支持 BTC/ETH 并在 API 文档中注明；要么扩展 `rate_snapshots` 表结构 |
+| **H5** | `subscriptions.py` 孤立 SQLite 代码 | 删除或移至 `archive/` 目录，防止将来误用 |
+
+### 本月（安全加固）
+
+| 编号 | 问题 | 修复方向 |
+|------|------|---------|
+| **S2** | 数据库密码硬编码 | 移入 `.env` 文件，不进代码仓库；生产环境用 GCP Secret Manager |
+| **S3** | JWT Secret 默认值可预测 | 生产部署强制要求 `JWT_SECRET` 环境变量，`_TRADE_ENV=production` 时 None 应直接启动失败 |
+| **S4** | CORS 包含 localhost | 生产环境移除 localhost origins |
+
+### 长期（架构改善）
+
+| 编号 | 问题 | 修复方向 |
+|------|------|---------|
+| **A1** | 策略 JSON 不支持热重载 | 在主循环中定期（如每 60 轮）重新调用 `load_strategy_configs()` |
+| **A2** | 三套 DB 连接配置 | 统一用同一套环境变量（建议统一用 `PG_HOST`），所有进程都从 `db.py` 导入连接 |
+| **A3** | market_indicators/liquidations 不在主 schema | 将两表定义移入 `SCHEMA_SQL` 或 `init_schema()` |
+| **A4** | paper_check_positions 死代码 | 删除 signal_engine.py 中的 `paper_check_positions()` 函数（功能由 paper_monitor 承担） |
+| **A6** | `/api/signals/history` 返回废弃表数据 | 重定向到查 `signal_indicators` 表，或废弃此端点 |
+
+---
+
+## 附录：文件审阅覆盖情况
+
+| 文件 | 行数 | 本次审阅 |
+|------|-----|---------|
+| `main.py` | ~500 | ✅ 全文 |
+| `db.py` | ~415 | ✅ 全文 |
+| `signal_engine.py` | ~1085 | ✅ 全文 |
+| `live_executor.py` | ~708 | ✅ 全文 |
+| `risk_guard.py` | ~644 | ✅ 全文 |
+| `auth.py` | ~389 | ✅ 全文 |
+| `position_sync.py` | ~687 | ✅ 全文 |
+| `paper_monitor.py` | ~194 | ✅ 全文 |
+| `agg_trades_collector.py` | ~400 | ✅ 全文 |
+| `market_data_collector.py` | ~300 | ✅ 全文 |
+| `liquidation_collector.py` | ~141 | ✅ 全文 |
+| `signal_pusher.py` | ~100 | ✅ 全文 |
+| `subscriptions.py` | ~24 | ✅ 全文 |
+| `trade_config.py` | ~15 | ✅ 全文 |
+| `backtest.py` | ~300 | 前100行 + 签名扫描 |
+| `admin_cli.py` | ~100 | 签名扫描 |

docs/PROBLEM_REPORT.md

@@ -0,0 +1,145 @@
+# 项目问题报告
+
+> 生成时间：2026-03-03
+> 基于 commit `0d9dffa` 的代码分析
+
+---
+
+## 🔴 高危问题（可能导致实盘出错）
+
+### P1：数据库从未真正迁移到云端
+
+**现象**：你以为整个系统已经跑在 Cloud SQL 上，实际上只有 `agg_trades` 原始成交数据在双写。其他核心数据全在**本地 PG（127.0.0.1）**。
+
+| 数据表 | 本地 PG | Cloud SQL |
+|-------|---------|-----------|
+| `agg_trades`（原始成交） | ✅ | ✅ 双写 |
+| `signal_indicators`（信号输出） | ✅ | ❌ 没有 |
+| `paper_trades`（模拟盘） | ✅ | ❌ 没有 |
+| `rate_snapshots`（费率快照） | ✅ | ❌ 没有 |
+| `market_indicators`（市场数据） | ✅ | ❌ 没有 |
+| `live_trades`（实盘交易） | ❌ | ✅ 只在云端 |
+| `live_config` / `live_events` | ❌ | ✅ 只在云端 |
+
+**最致命的问题**：`live_executor.py` 和 `risk_guard.py` 默认连 Cloud SQL（`DB_HOST=10.106.0.3`），但 `signal_engine.py` 只把信号写到本地 PG。这意味着：
+- 实盘执行器读取的 `signal_indicators` 表在 Cloud SQL 里**可能是空的**
+- 风控模块监控的 `live_trades` 和信号引擎写的数据完全在两个不同的数据库里
+
+**影响**：实盘交易链路存在断裂风险，需立即核查服务器上各进程实际连接的数据库地址。
+
+**修复方向**：统一所有进程连接到 Cloud SQL，或统一连接到本地 PG（通过 Cloud SQL Auth Proxy）。
+
+---
+
+### P2：`users` 表双定义字段不一致
+
+`db.py` 和 `auth.py` 各自定义了一个 `users` 表，字段不同：
+
+| 字段 | db.py 版本 | auth.py 版本 |
+|------|-----------|-------------|
+| `email` | ✅ | ✅ |
+| `password_hash` | ✅ | ✅ |
+| `role` | ✅ | ✅ |
+| `created_at` | ✅ | ✅ |
+| `discord_id` | ❌ | ✅ |
+| `banned` | ❌ | ✅ |
+
+FastAPI 启动时先跑 `init_schema()`（db.py 版），再跑 `ensure_auth_tables()`（auth.py 版），因为 `CREATE TABLE IF NOT EXISTS` 第一次成功后就不再执行，**实际创建的是缺少 `discord_id` 和 `banned` 字段的旧版本**。
+
+**影响**：封禁用户功能（`banned` 字段）在新装环境下可能失效。
+
+---
+
+### P3：`signal_indicators` 表 INSERT 包含 `strategy` 字段但 schema 没有
+
+`save_indicator()` 函数向 `signal_indicators` 插入数据时包含 `strategy` 字段（`signal_engine.py:697`），但 `SCHEMA_SQL` 里的建表语句没有这个字段（`db.py:205-224`）。
+
+**影响**：在全新环境初始化后，信号引擎写入会报列不存在的错误。
+
+---
+
+## 🟡 中危问题（影响稳定性和维护）
+
+### P4：`requirements.txt` 严重不完整
+
+文件只列了 5 个包，实际运行还需要：
+
+| 缺失依赖 | 用于 |
+|---------|------|
+| `asyncpg` | FastAPI 异步数据库 |
+| `psycopg2-binary` | 同步数据库（signal_engine 等） |
+| `aiohttp` | live_executor、risk_guard |
+| `websockets` 或 `httpx` | agg_trades_collector WS 连接 |
+| `psutil` | 已在文件里，但版本未锁定 |
+
+**影响**：新机器部署直接失败。
+
+---
+
+### P5：`market_indicators` 和 `liquidations` 表不在主 schema 中
+
+这两张表由各自的 collector 进程单独创建，不在 `init_schema()` 里。如果 collector 没跑过，signal_engine 查这两张表时会报错（会降级为默认中间分，不会崩溃，但数据不准）。
+
+---
+
+### P6：没有 CI/CD，没有自动化测试
+
+- 代码变更完全靠人工验证
+- 策略逻辑（`evaluate_signal`）没有任何单元测试，重构风险极高
+- 部署流程：手动 ssh + git pull + pm2 restart
+
+---
+
+## 🟠 安全风险
+
+### P7：测试网密码硬编码在源代码里
+
+三个文件里都有：
+```python
+os.getenv("PG_PASS", "arb_engine_2026")  # db.py:19
+os.getenv("DB_PASSWORD", "arb_engine_2026")  # live_executor.py:44
+os.getenv("DB_PASSWORD", "arb_engine_2026")  # risk_guard.py:42
+```
+
+代码一旦泄露（GitHub public、截图等），测试网数据库直接裸奔。
+
+### P8：JWT Secret 有测试网默认值
+
+```python
+_jwt_default = "arb-engine-jwt-secret-v2-2026" if _TRADE_ENV == "testnet" else None
+```
+
+如果生产环境 `TRADE_ENV` 没有正确设置，会静默使用这个已知 secret，所有 JWT 都可伪造。
+
+---
+
+## 🔵 架构债务（长期）
+
+### P9：三套数据库连接配置并存，极易混淆
+
+| 配置方式 | 使用的进程 | 默认连哪 |
+|---------|----------|---------|
+| `db.py` 的 `PG_HOST` | main.py、signal_engine、collectors | `127.0.0.1`（本地） |
+| 进程内 `DB_HOST` | live_executor、risk_guard、position_sync | `10.106.0.3`（Cloud SQL） |
+| `market_data_collector.py` 内 `PG_HOST` | market_data_collector | `127.0.0.1`（本地） |
+
+没有统一的连接配置入口，每个进程各自读各自的环境变量，迁移时极容易漏改。
+
+### P10：前端轮询压力
+
+`/api/rates` 每 2 秒轮询一次，用户多了服务器压力线性增长。目前 3 秒缓存有一定缓冲，但没有限流保护。
+
+---
+
+## 📋 建议优先级
+
+| 优先级 | 任务 |
+|-------|------|
+| 🔴 立即 | 登服务器确认各进程实际连的数据库地址，核查实盘链路是否完整 |
+| 🔴 立即 | 补全 `signal_indicators` 表的 `strategy` 字段 |
+| 🔴 本周 | 统一数据库连接配置，所有进程用同一套环境变量 |
+| 🟡 本周 | 修复 `users` 表双定义问题，合并到 auth.py 版本 |
+| 🟡 本周 | 补全 `requirements.txt` |
+| 🟠 本月 | 把硬编码密码移到 `.env` 文件，不进代码仓库 |
+| 🔵 长期 | 添加 signal_engine 核心逻辑的单元测试 |
+| 🔵 长期 | 配置 GitHub Actions 做基础 lint 和安全扫描 |

docs/V52-TODO.md

@@ -0,0 +1,61 @@
+# V5.2 待修复清单
+
+> 来源：Claude Code审阅报告 + 露露复查
+> 创建：2026-03-01
+
+## 已在V5.1-hotfix中修复（P0）
+
+| ID | 问题 | 修复 |
+|----|------|------|
+| P0-1 | 冷却期阻断反向信号平仓 | evaluate_signal始终输出direction，主循环基于direction+score>=60触发反向平仓 |
+| P0-2 | pnl_r TP场景虚高2倍 | paper_monitor+signal_engine统一用(exit-entry)/risk_distance计算 |
+| P1-1 | 分区月份Bug(timedelta 30天) | 改为正确的月份加法 + UTC时区 |
+| P2-2 | 分区边界用本地时区 | 改为datetime.timezone.utc |
+
+## V5.2 必须修复
+
+### 后端
+
+| ID | 优先级 | 文件 | 问题 | 建议修复 |
+|----|--------|------|------|---------|
+| P0-3 | P1 | signal_engine.py | 开仓价用30分VWAP而非实时价 | 改用win_fast.trades[-1][2]最新成交价 |
+| P0-4 | P2 | signal_engine+paper_monitor | 双进程并发写竞态 | SELECT FOR UPDATE SKIP LOCKED |
+| P1-2 | P2 | signal_engine.py | 浮点精度漂移(buy_vol/sell_vol) | 每N次trim后从deque重算sums |
+| P1-3 | P1 | market_data_collector.py | 单连接无重连 | 改用db.get_sync_conn()连接池 |
+| P1-4 | P3 | db.py | 连接池初始化线程不安全 | 加threading.Lock双重检查 |
+| P2-1 | P2 | market_data_collector.py | XRP/SOL coinbase_premium KeyError | 不在pair_map中的跳过 |
+| P2-3 | P2 | agg_trades_collector.py | flush_buffer每秒调ensure_partitions | 移到定时任务(每小时) |
+| P2-4 | P3 | liquidation_collector.py | elif条件冗余 | 改为else |
+| P2-5 | P2 | signal_engine.py | atr_percentile @property有写副作用 | 移到显式update_atr_history() |
+| P2-6 | P2 | main.py | 1R=$200硬编码 | 从paper_config.json读取 |
+| P3-1 | P2 | auth.py | JWT密钥硬编码默认值 | 启动时强制校验环境变量 |
+| P3-2 | P3 | main.py | CORS allow_origins=["*"] | 限制为前端域名 |
+| P3-3 | P3 | auth.py | refresh token刷新非原子 | UPDATE...RETURNING原子操作 |
+| P3-4 | P3 | auth.py | 登录无频率限制 | slowapi或Redis计数器 |
+| NEW | P1 | signal_engine.py | 冷启动warmup只有4小时 | 分批加载24小时数据，加载完再出信号 |
+
+### 前端
+
+| ID | 优先级 | 文件 | 问题 | 建议修复 |
+|----|--------|------|------|---------|
+| FE-P1-1 | P1 | lib/auth.tsx | 并发401多次refresh竞态 | 单例Promise防并发刷新 |
+| FE-P1-2 | P1 | lib/auth.tsx | 刷新失败AuthContext未同步 | 事件总线通知强制logout |
+| FE-P1-3 | P1 | 所有页面 | catch{}静默吞掉API错误 | 加error state+用户提示 |
+| FE-P1-4 | P2 | paper/page.tsx | LatestSignals串行4请求 | Promise.allSettled并行 |
+| FE-P2-1 | P3 | app/page.tsx | MiniKChart每30秒销毁重建 | 只更新数据不重建chart |
+| FE-P2-3 | P2 | paper/page.tsx | ControlPanel非admin可见 | 校验isAdmin |
+| FE-P2-4 | P1 | paper/page.tsx | WebSocket无断线重连 | 指数退避重连+断线提示 |
+| FE-P2-5 | P2 | paper/page.tsx | 1R=$200前端硬编码 | 从API读取配置 |
+| FE-P2-6 | P2 | signals/page.tsx | 5秒轮询5分钟数据 | 改为300秒间隔 |
+| FE-P2-8 | P3 | paper/signals | 大量any类型 | 定义TypeScript interface |
+| FE-P3-1 | P3 | lib/auth.tsx | Token存localStorage | 评估httpOnly cookie |
+| FE-P3-3 | P3 | app/page.tsx | Promise.all任一失败全丢 | 改Promise.allSettled |
+
+## V5.2 新功能（同步开发）
+
+| 功能 | 说明 |
+|------|------|
+| FR+清算加入评分 | 8信号源完整接入 |
+| 策略配置化框架 | 一套代码多份配置 |
+| AB测试 | V5.1 vs V5.2两套权重对比 |
+| 24h warmup | 启动时分批加载24小时数据 |

docs/ai/00-system-overview.md

@@ -0,0 +1,117 @@
+---
+generated_by: repo-insight
+version: 1
+created: 2026-03-03
+last_updated: 2026-03-03
+source_commit: 0d9dffa
+coverage: standard
+---
+
+# 00 — System Overview
+
+## Purpose
+High-level description of the arbitrage-engine project: what it does, its tech stack, repo layout, and entry points.
+
+## TL;DR
+- **Domain**: Crypto perpetual futures funding-rate arbitrage monitoring and short-term trading signal engine.
+- **Strategy**: Hold spot long + perpetual short to collect funding rates every 8 h; plus a CVD/ATR-based short-term directional signal engine (V5.x).
+- **Backend**: Python / FastAPI + independent PM2 worker processes; PostgreSQL (local + Cloud SQL dual-write).
+- **Frontend**: Next.js 16 / React 19 / TypeScript SPA, charting via `lightweight-charts` + Recharts.
+- **Targets**: BTC, ETH, XRP, SOL perpetual contracts on Binance USDC-M futures.
+- **Deployment**: PM2 process manager on a GCP VM; frontend served via Next.js; backend accessible at `https://arb.zhouyangclaw.com`.
+- **Auth**: JWT (access 24 h + refresh 7 d) + invite-code registration gating.
+- **Trading modes**: Paper (simulated), Live (Binance Futures testnet or production via `TRADE_ENV`).
+
+## Canonical Facts
+
+### Repo Layout
+```
+arbitrage-engine/
+├── backend/                 # Python FastAPI API + all worker processes
+│   ├── main.py              # FastAPI app entry point (uvicorn)
+│   ├── signal_engine.py     # V5 signal engine (PM2 worker, 15 s loop)
+│   ├── live_executor.py     # Live trade executor (PM2 worker)
+│   ├── risk_guard.py        # Risk circuit-breaker (PM2 worker)
+│   ├── market_data_collector.py  # Binance WS market data (PM2 worker)
+│   ├── agg_trades_collector.py   # Binance aggTrades WS collector (PM2 worker)
+│   ├── liquidation_collector.py  # Binance liquidation WS collector (PM2 worker)
+│   ├── signal_pusher.py     # Discord signal notifier (PM2 worker)
+│   ├── db.py                # Dual-pool PostgreSQL layer (psycopg2 sync + asyncpg async)
+│   ├── auth.py              # JWT auth + invite-code registration router
+│   ├── trade_config.py      # Symbol / qty precision constants
+│   ├── backtest.py          # Offline backtest engine
+│   ├── paper_monitor.py     # Paper trade monitoring helper
+│   ├── admin_cli.py         # CLI for invite / user management
+│   ├── subscriptions.py     # Signal subscription query helper
+│   ├── paper_config.json    # Paper trading runtime toggle
+│   ├── strategies/          # JSON strategy configs (v51_baseline, v52_8signals)
+│   ├── ecosystem.dev.config.js  # PM2 process definitions
+│   └── logs/                # Rotating log files
+├── frontend/                # Next.js app
+│   ├── app/                 # App Router pages
+│   ├── components/          # Reusable UI components
+│   ├── lib/api.ts           # Typed API client
+│   └── lib/auth.tsx         # Auth context + token refresh logic
+├── docs/                    # Documentation (including docs/ai/)
+├── scripts/                 # Utility scripts
+└── signal-engine.log        # Live log symlink / output file
+```
+
+### Primary Language & Frameworks
+| Layer | Technology |
+|-------|-----------|
+| Backend API | Python 3.x, FastAPI, uvicorn |
+| DB access | asyncpg (async), psycopg2 (sync) |
+| Frontend | TypeScript, Next.js 16, React 19 |
+| Styling | Tailwind CSS v4 |
+| Charts | lightweight-charts 5.x, Recharts 3.x |
+| Process manager | PM2 (via `ecosystem.dev.config.js`) |
+| Database | PostgreSQL (local + Cloud SQL dual-write) |
+
+### Entry Points
+| Process | File | Role |
+|---------|------|------|
+| HTTP API | `backend/main.py` | FastAPI on uvicorn |
+| Signal engine | `backend/signal_engine.py` | 15 s indicator loop |
+| Trade executor | `backend/live_executor.py` | PG NOTIFY listener → Binance API |
+| Risk guard | `backend/risk_guard.py` | 5 s circuit-breaker loop |
+| Market data | `backend/market_data_collector.py` | Binance WS → `market_indicators` table |
+| aggTrades collector | `backend/agg_trades_collector.py` | Binance WS → `agg_trades` partitioned table |
+| Liquidation collector | `backend/liquidation_collector.py` | Binance WS → liquidation tables |
+| Signal pusher | `backend/signal_pusher.py` | DB → Discord push |
+| Frontend | `frontend/` | Next.js dev/prod server |
+
+### Monitored Symbols
+`BTCUSDT`, `ETHUSDT`, `XRPUSDT`, `SOLUSDT` (Binance USDC-M Futures)
+
+### Environment Variables (key ones)
+| Variable | Default | Description |
+|----------|---------|-------------|
+| `PG_HOST` | `127.0.0.1` | Local PG host |
+| `PG_DB` | `arb_engine` | Database name |
+| `PG_USER` / `PG_PASS` | `arb` / `arb_engine_2026` | PG credentials |
+| `CLOUD_PG_HOST` | `10.106.0.3` | Cloud SQL host |
+| `CLOUD_PG_ENABLED` | `true` | Enable dual-write |
+| `JWT_SECRET` | (testnet default set) | JWT signing key |
+| `TRADE_ENV` | `testnet` | `testnet` or `production` |
+| `LIVE_STRATEGIES` | `["v52_8signals"]` | Active live trading strategies |
+| `RISK_PER_TRADE_USD` | `2` | USD risk per trade |
+
+## Interfaces / Dependencies
+- **External API**: Binance USDC-M Futures REST (`https://fapi.binance.com/fapi/v1`) and WebSocket.
+- **Discord**: Webhook for signal notifications (via `signal_pusher.py`).
+- **CORS origins**: `https://arb.zhouyangclaw.com`, `http://localhost:3000`, `http://localhost:3001`.
+
+## Unknowns & Risks
+- [inference] PM2 `ecosystem.dev.config.js` not read in this pass; exact process restart policies and env injection not confirmed.
+- [inference] `.env` file usage confirmed via `python-dotenv` calls in live modules, but `.env.example` absent.
+- [unknown] Deployment pipeline (CI/CD) not present in repo.
+
+## Source Refs
+- `backend/main.py:1-27` — FastAPI app init, CORS, SYMBOLS
+- `backend/signal_engine.py:1-16` — V5 architecture docstring
+- `backend/live_executor.py:1-10` — live executor architecture comment
+- `backend/risk_guard.py:1-12` — risk guard circuit-break rules
+- `backend/db.py:14-30` — PG/Cloud SQL env config
+- `frontend/package.json` — frontend dependencies
+- `frontend/lib/api.ts:1-116` — typed API client

docs/ai/01-architecture-map.md

@@ -0,0 +1,137 @@
+---
+generated_by: repo-insight
+version: 1
+created: 2026-03-03
+last_updated: 2026-03-03
+source_commit: 0d9dffa
+coverage: standard
+---
+
+# 01 — Architecture Map
+
+## Purpose
+Describes the architecture style, component relationships, data flow, and runtime execution topology of the arbitrage engine.
+
+## TL;DR
+- **Multi-process architecture**: each concern is a separate PM2 process; they communicate exclusively through PostgreSQL (tables + NOTIFY/LISTEN).
+- **No message broker**: PostgreSQL serves as both the data store and the inter-process message bus (`NOTIFY new_signal`).
+- **Dual-database write**: every PG write in `signal_engine.py` and `agg_trades_collector.py` attempts a secondary write to Cloud SQL (GCP) for durability.
+- **FastAPI is read-only at runtime**: it proxies Binance REST for rates/history and reads the PG tables written by workers; it does not control the signal engine.
+- **Signal pipeline**: raw aggTrades → in-memory rolling windows (CVD/VWAP/ATR) → scored signal → PG write + `NOTIFY` → live_executor executes Binance order.
+- **Frontend polling**: React SPA polls `/api/rates` every 2 s (public) and slow endpoints every 120 s (auth required).
+- **Risk guard is a separate process**: polls every 5 s, can block new orders (circuit-break) by writing a flag to `live_config`; live_executor reads that flag before each trade.
+
+## Canonical Facts
+
+### Architecture Style
+Shared-DB multi-process monolith. No microservices; no message broker. All processes run on a single GCP VM.
+
+### Component Diagram (text)
+```
+Binance WS (aggTrades)
+  └─► agg_trades_collector.py ──────────────────► agg_trades (partitioned table)
+                                                         │
+Binance WS (market data)                                 ▼
+  └─► market_data_collector.py ──────────────► market_indicators table
+                                                         │
+Binance WS (liquidations)                                ▼
+  └─► liquidation_collector.py ──────────────► liquidation tables
+                                                         │
+                                                  signal_engine.py
+                                                  (15 s loop, reads agg_trades +
+                                                   market_indicators)
+                                                         │
+                                               ┌─────────┴──────────────┐
+                                               │                        │
+                                      signal_indicators          paper_trades
+                                      signal_indicators_1m       (paper mode)
+                                      signal_trades
+                                      NOTIFY new_signal
+                                               │
+                                         live_executor.py
+                                         (LISTEN new_signal →
+                                          Binance Futures API)
+                                               │
+                                         live_trades table
+                                               │
+                                         risk_guard.py (5 s)
+                                         monitors live_trades,
+                                         writes live_config flags
+                                               │
+                                       signal_pusher.py
+                                       (reads signal_indicators →
+                                        Discord webhook)
+                                               │
+                                    FastAPI main.py (read/proxy)
+                                    + rate_snapshots (2 s write)
+                                               │
+                                         Next.js Frontend
+                                         (polling SPA)
+```
+
+### Data Flow — Signal Pipeline
+1. `agg_trades_collector.py`: streams `aggTrade` WS events for all symbols, batch-inserts into `agg_trades` partitioned table (partitioned by month on `time_ms`).
+2. `signal_engine.py` (15 s loop per symbol):
+   - Cold-start: reads last N rows from `agg_trades` to warm up `TradeWindow` (CVD, VWAP) and `ATRCalculator` deques.
+   - Fetches new trades since `last_agg_id`.
+   - Feeds trades into three `TradeWindow` instances (30 m, 4 h, 24 h) and one `ATRCalculator` (5 m candles, 14-period).
+   - Reads `market_indicators` for long-short ratio, OI, coinbase premium, funding rate, liquidations.
+   - Scores signal using JSON strategy config weights (score 0–100, threshold 75).
+   - Writes to `signal_indicators` (15 s cadence) and `signal_indicators_1m` (1 m cadence).
+   - If score ≥ threshold: opens paper trade (if enabled), emits `NOTIFY new_signal` (if live enabled).
+3. `live_executor.py`: `LISTEN new_signal` on PG; deserializes payload; calls Binance Futures REST to place market order; writes to `live_trades`.
+4. `risk_guard.py`: every 5 s checks daily loss, consecutive losses, unrealized PnL, balance, data freshness, hold timeout; sets `live_config.circuit_break` flag to block/resume new orders.
+
+### Strategy Scoring (V5.x)
+Two JSON configs in `backend/strategies/`:
+
+| Config | Version | Threshold | Signals |
+|--------|---------|-----------|---------|
+| `v51_baseline.json` | 5.1 | 75 | cvd, p99, accel, ls_ratio, oi, coinbase_premium |
+| `v52_8signals.json` | 5.2 | 75 | cvd, p99, accel, ls_ratio, oi, coinbase_premium, funding_rate, liquidation |
+
+Score categories: `direction` (CVD), `crowding` (P99 large trades), `environment` (ATR/VWAP), `confirmation` (LS ratio, OI), `auxiliary` (coinbase premium), `funding_rate`, `liquidation`.
+
+### TP/SL Configuration
+- V5.1: SL=1.4×ATR, TP1=1.05×ATR, TP2=2.1×ATR
+- V5.2: SL=2.1×ATR, TP1=1.4×ATR, TP2=3.15×ATR
+- Signal cooldown: 10 minutes per symbol per direction.
+
+### Risk Guard Circuit-Break Rules
+| Rule | Threshold | Action |
+|------|-----------|--------|
+| Daily loss | -5R | Full close + shutdown |
+| Consecutive losses | 5 | Pause 60 min |
+| API disconnect | >30 s | Pause new orders |
+| Balance too low | < risk×2 | Reject new orders |
+| Data stale | >30 s | Block new orders |
+| Hold timeout yellow | 45 min | Alert |
+| Hold timeout auto-close | 70 min | Force close |
+
+### Frontend Architecture
+- **Next.js App Router** (`frontend/app/`): page-per-route, all pages are client components (`"use client"`).
+- **Auth**: JWT stored in `localStorage`; `lib/auth.tsx` provides `useAuth()` hook + `authFetch()` helper with auto-refresh.
+- **API client**: `lib/api.ts` — typed wrapper, distinguishes public (`/api/rates`, `/api/health`) from protected (all other) endpoints.
+- **Polling strategy**: rates every 2 s, slow data (stats, history, signals) every 120 s; kline charts re-render every 30 s.
+
+## Interfaces / Dependencies
+- PG NOTIFY channel name: `new_signal`
+- `live_config` table keys: `risk_per_trade_usd`, `max_positions`, `circuit_break` (inferred)
+- `market_indicators` populated by `market_data_collector.py` with types: `long_short_ratio`, `top_trader_position`, `open_interest_hist`, `coinbase_premium`, `funding_rate`
+
+## Unknowns & Risks
+- [inference] PM2 config (`ecosystem.dev.config.js`) not read; exact restart/watch/env-file settings unknown.
+- [inference] `signal_pusher.py` exact Discord webhook configuration (env var name, rate limit handling) not confirmed.
+- [unknown] Cloud SQL write failure does not block signal_engine but may create data divergence between local PG and Cloud SQL.
+- [risk] Hardcoded testnet credentials in source code (`arb_engine_2026`); production requires explicit env var override.
+
+## Source Refs
+- `backend/signal_engine.py:1-16` — architecture docstring
+- `backend/live_executor.py:1-10` — executor architecture comment
+- `backend/risk_guard.py:1-12, 55-73` — risk rules and config
+- `backend/signal_engine.py:170-245` — `TradeWindow`, `ATRCalculator` classes
+- `backend/signal_engine.py:44-67` — strategy config loading
+- `backend/strategies/v51_baseline.json`, `backend/strategies/v52_8signals.json`
+- `backend/main.py:61-83` — background snapshot loop
+- `frontend/lib/api.ts:103-116` — API client methods
+- `frontend/app/page.tsx:149-154` — polling intervals

docs/ai/02-module-cheatsheet.md

@@ -0,0 +1,218 @@
+---
+generated_by: repo-insight
+version: 1
+created: 2026-03-03
+last_updated: 2026-03-03
+source_commit: 0d9dffa
+coverage: standard
+---
+
+# 02 — Module Cheatsheet
+
+## Purpose
+Module-by-module index: file path, role, key public interfaces, and dependencies.
+
+## TL;DR
+- Backend has 20 Python modules; signal_engine.py is the largest and most complex (~1000+ lines).
+- Frontend has 2 TypeScript lib files + 9 pages + 6 components.
+- `db.py` is the only shared infrastructure module; all other backend modules import from it.
+- `signal_engine.py` is the core business logic module; `live_executor.py` and `risk_guard.py` are independent processes that only use `db.py` and direct PG connections.
+- Strategy configs are external JSON; no code changes needed to tune weights/thresholds.
+
+## Canonical Facts
+
+### Backend Modules
+
+#### `backend/main.py` — FastAPI HTTP API
+- **Role**: Primary HTTP API server; rate/snapshot/history proxy; aggTrade query endpoints; signal history.
+- **Key interfaces**:
+  - `GET /api/health` — liveness check (public)
+  - `GET /api/rates` — live Binance premiumIndex for 4 symbols (public, 3 s cache)
+  - `GET /api/snapshots` — rate snapshot history from PG (auth required)
+  - `GET /api/kline` — candlestick bars aggregated from `rate_snapshots` (auth required)
+  - `GET /api/stats` — 7-day funding rate stats per symbol (auth required, 60 s cache)
+  - `GET /api/stats/ytd` — YTD annualized stats (auth required, 3600 s cache)
+  - `GET /api/history` — 7-day raw funding rate history (auth required, 60 s cache)
+  - `GET /api/signals/history` — `signal_logs` table (auth required)
+  - `GET /api/trades/meta` — `agg_trades_meta` (auth required)
+  - `GET /api/trades/summary` — aggregated OHLCV from `agg_trades` (auth required)
+  - Many more: paper trades, signals v52, live trades, live config, position sync, etc. (full list in saved tool output)
+- **Deps**: `auth.py`, `db.py`, `httpx`, `asyncio`
+- **Background task**: `background_snapshot_loop()` writes `rate_snapshots` every 2 s.
+
+#### `backend/signal_engine.py` — V5 Signal Engine (PM2 worker)
+- **Role**: Core signal computation loop; 15 s interval; in-memory rolling-window indicators; scored signal output.
+- **Key classes**:
+  - `TradeWindow(window_ms)` — rolling CVD/VWAP calculator using `deque`; props: `cvd`, `vwap`
+  - `ATRCalculator(period_ms, length)` — 5-min candle ATR; props: `atr`, `atr_percentile`
+  - `SymbolState` — per-symbol state container holding `TradeWindow` ×3, `ATRCalculator`, large-order percentile deques
+- **Key functions**:
+  - `load_strategy_configs() -> list[dict]` — reads JSON files from `strategies/`
+  - `fetch_market_indicators(symbol) -> dict` — reads `market_indicators` table
+  - `fetch_new_trades(symbol, last_id) -> list` — reads new rows from `agg_trades`
+  - `save_indicator(ts, symbol, result, strategy)` — writes to `signal_indicators`
+  - `paper_open_trade(...)` — inserts `paper_trades` row
+  - `paper_check_positions(symbol, price, now_ms)` — checks TP/SL for paper positions
+  - `main()` — entry point; calls `load_historical()` then enters main loop
+- **Deps**: `db.py`, `json`, `collections.deque`
+
+#### `backend/live_executor.py` — Live Trade Executor (PM2 worker)
+- **Role**: Listens on PG `NOTIFY new_signal`; places Binance Futures market orders; writes `live_trades`.
+- **Key functions**:
+  - `reload_live_config(conn)` — refreshes `RISK_PER_TRADE_USD`, `MAX_POSITIONS` from `live_config` every 60 s
+  - `binance_request(session, method, path, params)` — HMAC-signed Binance API call
+- **Config**: `TRADE_ENV` (`testnet`/`production`), `LIVE_STRATEGIES`, `RISK_PER_TRADE_USD`, `MAX_POSITIONS`
+- **Deps**: `psycopg2`, `aiohttp`, HMAC signing
+
+#### `backend/risk_guard.py` — Risk Circuit-Breaker (PM2 worker)
+- **Role**: Every 5 s; monitors PnL, balance, data freshness, hold timeouts; writes circuit-break flags.
+- **Key classes**: `RiskState` — holds `status` (`normal`/`warning`/`circuit_break`), loss counters
+- **Key functions**:
+  - `check_daily_loss(conn)` — sums `pnl_r` from today's `live_trades`
+  - `check_unrealized_loss(session, risk_usd_dynamic)` — queries Binance positions API
+  - `check_balance(session)` — queries Binance account balance
+  - `check_data_freshness(conn)` — checks `market_indicators` recency
+  - `check_hold_timeout(session, conn)` — force-closes positions held >70 min
+  - `trigger_circuit_break(session, conn, reason, action)` — writes to `live_events`, may flat positions
+  - `check_auto_resume()` — re-enables trading after cooldown
+  - `check_emergency_commands(session, conn)` — watches for manual DB commands
+- **Deps**: `trade_config.py`, `aiohttp`, `psycopg2`
+
+#### `backend/db.py` — Database Layer
+- **Role**: All PG connectivity; schema creation; partition management.
+- **Key interfaces**:
+  - Sync (psycopg2): `get_sync_conn()`, `sync_execute()`, `sync_executemany()`
+  - Async (asyncpg): `async_fetch()`, `async_fetchrow()`, `async_execute()`
+  - Cloud SQL sync pool: `get_cloud_sync_conn()` (non-fatal on failure)
+  - `init_schema()` — creates all tables from `SCHEMA_SQL`
+  - `ensure_partitions()` — creates `agg_trades_YYYYMM` partitions for current+next 2 months
+- **Deps**: `asyncpg`, `psycopg2`
+
+#### `backend/auth.py` — JWT Auth + Registration
+- **Role**: FastAPI router at `/api`; register/login/refresh/logout endpoints.
+- **Key interfaces**:
+  - `POST /api/register` — invite-code gated registration
+  - `POST /api/login` — returns `access_token` + `refresh_token`
+  - `POST /api/refresh` — token refresh
+  - `POST /api/logout` — revokes refresh token
+  - `GET /api/me` — current user info
+  - `get_current_user` — FastAPI `Depends` injector; validates Bearer JWT
+- **Token storage**: HMAC-SHA256 hand-rolled JWT (no PyJWT); refresh tokens stored in `refresh_tokens` table.
+- **Deps**: `db.py`, `hashlib`, `hmac`, `secrets`
+
+#### `backend/agg_trades_collector.py` — AggTrades Collector (PM2 worker)
+- **Role**: Streams Binance `aggTrade` WebSocket events; batch-inserts into `agg_trades` partitioned table; maintains `agg_trades_meta`.
+- **Key functions**: `ws_collect(symbol)`, `rest_catchup(symbol, from_id)`, `continuity_check()`, `flush_buffer(symbol, trades)`
+- **Deps**: `db.py`, `websockets`/`httpx`
+
+#### `backend/market_data_collector.py` — Market Data Collector (PM2 worker)
+- **Role**: Collects Binance market indicators (LS ratio, OI, coinbase premium, funding rate) via REST polling; stores in `market_indicators` JSONB.
+- **Key class**: `MarketDataCollector`
+- **Deps**: `db.py`, `httpx`
+
+#### `backend/liquidation_collector.py` — Liquidation Collector (PM2 worker)
+- **Role**: Streams Binance liquidation WS; aggregates into `liquidation_events` and `liquidation_agg` tables.
+- **Key functions**: `ensure_table()`, `save_liquidation()`, `save_aggregated()`, `run()`
+- **Deps**: `db.py`, `websockets`
+
+#### `backend/backtest.py` — Offline Backtester
+- **Role**: Replays `agg_trades` from PG to simulate signal engine and measure strategy performance.
+- **Key classes**: `Position`, `BacktestEngine`
+- **Key functions**: `load_trades()`, `run_backtest()`, `main()`
+- **Deps**: `db.py`
+
+#### `backend/trade_config.py` — Symbol / Qty Config
+- **Role**: Constants for symbols and Binance qty precision.
+- **Deps**: none
+
+#### `backend/admin_cli.py` — Admin CLI
+- **Role**: CLI for invite-code and user management (gen_invite, list_invites, ban_user, set_admin).
+- **Deps**: `db.py`
+
+#### `backend/subscriptions.py` — Subscription Query Helper
+- **Role**: Helpers for querying signal history (used internally).
+- **Deps**: `db.py`
+
+#### `backend/paper_monitor.py` — Paper Trade Monitor
+- **Role**: Standalone script to print paper trade status.
+- **Deps**: `db.py`
+
+#### `backend/signal_pusher.py` — Discord Notifier (PM2 worker)
+- **Role**: Polls `signal_indicators` for high-score events; pushes Discord webhook notifications.
+- **Deps**: `db.py`, `httpx`
+
+#### `backend/position_sync.py` — Position Sync
+- **Role**: Syncs live positions between `live_trades` table and Binance account state.
+- **Deps**: `db.py`, `aiohttp`
+
+#### `backend/fix_historical_pnl.py` — PnL Fix Script
+- **Role**: One-time migration to recalculate historical PnL in `paper_trades`.
+- **Deps**: `db.py`
+
+### Frontend Modules
+
+#### `frontend/lib/api.ts` — API Client
+- **Role**: Typed `api` object with all backend endpoint wrappers; distinguishes public vs. protected fetches.
+- **Interfaces exported**: `RateData`, `RatesResponse`, `HistoryPoint`, `HistoryResponse`, `StatsResponse`, `SignalHistoryItem`, `SnapshotItem`, `KBar`, `KlineResponse`, `YtdStatsResponse`, `api` object
+- **Deps**: `lib/auth.tsx` (`authFetch`)
+
+#### `frontend/lib/auth.tsx` — Auth Context
+- **Role**: React context for current user; `useAuth()` hook; `authFetch()` with access-token injection and auto-refresh.
+- **Deps**: Next.js router, `localStorage`
+
+#### `frontend/app/` Pages
+| Page | Route | Description |
+|------|-------|-------------|
+| `page.tsx` | `/` | Main dashboard: rates, kline, history, signal log |
+| `dashboard/page.tsx` | `/dashboard` | (inferred) extended dashboard |
+| `signals/page.tsx` | `/signals` | Signal history view (V5.1) |
+| `signals-v52/page.tsx` | `/signals-v52` | Signal history view (V5.2) |
+| `paper/page.tsx` | `/paper` | Paper trades view (V5.1) |
+| `paper-v52/page.tsx` | `/paper-v52` | Paper trades view (V5.2) |
+| `live/page.tsx` | `/live` | Live trades view |
+| `history/page.tsx` | `/history` | Funding rate history |
+| `kline/page.tsx` | `/kline` | Kline chart page |
+| `trades/page.tsx` | `/trades` | aggTrades summary |
+| `server/page.tsx` | `/server` | Server status / metrics |
+| `about/page.tsx` | `/about` | About page |
+| `login/page.tsx` | `/login` | Login form |
+| `register/page.tsx` | `/register` | Registration form |
+
+#### `frontend/components/`
+| Component | Role |
+|-----------|------|
+| `Navbar.tsx` | Top navigation bar |
+| `Sidebar.tsx` | Sidebar navigation |
+| `AuthHeader.tsx` | Auth-aware header with user info |
+| `RateCard.tsx` | Displays current funding rate for one asset |
+| `StatsCard.tsx` | Displays 7d mean and annualized stats |
+| `FundingChart.tsx` | Funding rate chart component |
+| `LiveTradesCard.tsx` | Live trades summary card |
+
+## Interfaces / Dependencies
+
+### Key import graph (backend)
+```
+main.py       → auth.py, db.py
+signal_engine.py → db.py
+live_executor.py → psycopg2 direct (no db.py module import)
+risk_guard.py    → trade_config.py, psycopg2 direct
+backtest.py      → db.py
+agg_trades_collector.py → db.py
+market_data_collector.py → db.py
+liquidation_collector.py → db.py
+admin_cli.py     → db.py
+```
+
+## Unknowns & Risks
+- [inference] Content of `frontend/app/dashboard/`, `signals/`, `paper/`, `live/` pages not read; role described from filename convention.
+- [unknown] `signal_pusher.py` Discord webhook env var name not confirmed.
+- [inference] `position_sync.py` exact interface not read; role inferred from name and listing.
+
+## Source Refs
+- `backend/main.py` — all API route definitions
+- `backend/signal_engine.py:170-285` — `TradeWindow`, `ATRCalculator`, `SymbolState`
+- `backend/auth.py:23-23` — router prefix `/api`
+- `backend/db.py:35-157` — all public DB functions
+- `frontend/lib/api.ts:103-116` — `api` export object
+- `frontend/lib/auth.tsx` — auth context (not fully read)

docs/ai/03-api-contracts.md

@@ -0,0 +1,242 @@
+---
+generated_by: repo-insight
+version: 1
+created: 2026-03-03
+last_updated: 2026-03-03
+source_commit: 0d9dffa
+coverage: standard
+---
+
+# 03 — API Contracts
+
+## Purpose
+Documents all REST API endpoints, authentication requirements, request/response shapes, and error conventions.
+
+## TL;DR
+- Base URL: `https://arb.zhouyangclaw.com` (prod) or `http://localhost:8000` (local).
+- Auth: Bearer JWT in `Authorization` header. Two public endpoints (`/api/health`, `/api/rates`) need no token.
+- Token lifecycle: access token 24 h, refresh token 7 d; use `POST /api/refresh` to renew.
+- Registration is invite-code gated: must supply a valid `invite_code` in register body.
+- All timestamps are Unix epoch (seconds or ms depending on field; see per-endpoint notes).
+- Funding rates are stored as decimals (e.g. `0.0001` = 0.01%). Frontend multiplies by 10000 for "万分之" display.
+- Error responses: standard FastAPI `{"detail": "..."}` with appropriate HTTP status codes.
+
+## Canonical Facts
+
+### Authentication
+
+#### `POST /api/register`
+```json
+// Request
+{
+  "email": "user@example.com",
+  "password": "...",
+  "invite_code": "XXXX"
+}
+// Response 200
+{
+  "access_token": "<jwt>",
+  "refresh_token": "<token>",
+  "token_type": "bearer",
+  "user": { "id": 1, "email": "...", "role": "user" }
+}
+// Errors: 400 (invite invalid/expired), 409 (email taken)
+```
+
+#### `POST /api/login`
+```json
+// Request
+{
+  "email": "user@example.com",
+  "password": "..."
+}
+// Response 200
+{
+  "access_token": "<jwt>",
+  "refresh_token": "<token>",
+  "token_type": "bearer",
+  "user": { "id": 1, "email": "...", "role": "user" }
+}
+// Errors: 401 (invalid credentials), 403 (banned)
+```
+
+#### `POST /api/refresh`
+```json
+// Request
+{ "refresh_token": "<token>" }
+// Response 200
+{ "access_token": "<new_jwt>", "token_type": "bearer" }
+// Errors: 401 (expired/revoked)
+```
+
+#### `POST /api/logout`
+```json
+// Request header: Authorization: Bearer <access_token>
+// Request body: { "refresh_token": "<token>" }
+// Response 200: { "ok": true }
+```
+
+#### `GET /api/me`
+```json
+// Auth required
+// Response 200
+{ "id": 1, "email": "...", "role": "user", "created_at": "..." }
+```
+
+### Public Endpoints (no auth)
+
+#### `GET /api/health`
+```json
+{ "status": "ok", "timestamp": "2026-03-03T12:00:00" }
+```
+
+#### `GET /api/rates`
+Returns live Binance premiumIndex for BTCUSDT, ETHUSDT, XRPUSDT, SOLUSDT. Cached 3 s.
+```json
+{
+  "BTC": {
+    "symbol": "BTCUSDT",
+    "markPrice": 65000.0,
+    "indexPrice": 64990.0,
+    "lastFundingRate": 0.0001,
+    "nextFundingTime": 1234567890000,
+    "timestamp": 1234567890000
+  },
+  "ETH": { ... },
+  "XRP": { ... },
+  "SOL": { ... }
+}
+```
+
+### Protected Endpoints (Bearer JWT required)
+
+#### `GET /api/history`
+7-day funding rate history from Binance. Cached 60 s.
+```json
+{
+  "BTC": [
+    { "fundingTime": 1234567890000, "fundingRate": 0.0001, "timestamp": "2026-03-01T08:00:00" }
+  ],
+  "ETH": [ ... ], "XRP": [ ... ], "SOL": [ ... ]
+}
+```
+
+#### `GET /api/stats`
+7-day funding rate statistics. Cached 60 s.
+```json
+{
+  "BTC": { "mean7d": 0.01, "annualized": 10.95, "count": 21 },
+  "ETH": { ... },
+  "combo": { "mean7d": 0.009, "annualized": 9.85 }
+}
+// mean7d in %; annualized = mean * 3 * 365 * 100
+```
+
+#### `GET /api/stats/ytd`
+Year-to-date annualized stats. Cached 3600 s.
+```json
+{
+  "BTC": { "annualized": 12.5, "count": 150 },
+  "ETH": { ... }
+}
+```
+
+#### `GET /api/snapshots?hours=24&limit=5000`
+Rate snapshots from local PG.
+```json
+{
+  "count": 43200,
+  "hours": 24,
+  "data": [
+    { "ts": 1709000000, "btc_rate": 0.0001, "eth_rate": 0.00008, "btc_price": 65000, "eth_price": 3200 }
+  ]
+}
+```
+
+#### `GET /api/kline?symbol=BTC&interval=1h&limit=500`
+Candlestick bars derived from `rate_snapshots`. Rates scaled by ×10000.
+- `interval`: `1m`, `5m`, `30m`, `1h`, `4h`, `8h`, `1d`, `1w`, `1M`
+```json
+{
+  "symbol": "BTC",
+  "interval": "1h",
+  "count": 24,
+  "data": [
+    {
+      "time": 1709000000,
+      "open": 1.0, "high": 1.2, "low": 0.8, "close": 1.1,
+      "price_open": 65000, "price_high": 65500, "price_low": 64800, "price_close": 65200
+    }
+  ]
+}
+```
+
+#### `GET /api/signals/history?limit=100`
+Legacy signal log from `signal_logs` table.
+```json
+{
+  "items": [
+    { "id": 1, "symbol": "BTCUSDT", "rate": 0.0001, "annualized": 10.95, "sent_at": "2026-03-01T08:00:00", "message": "..." }
+  ]
+}
+```
+
+#### `GET /api/trades/meta`
+aggTrades collection status.
+```json
+{
+  "BTC": { "last_agg_id": 123456789, "last_time_ms": 1709000000000, "updated_at": "2026-03-03 12:00:00" }
+}
+```
+
+#### `GET /api/trades/summary?symbol=BTC&start_ms=0&end_ms=0&interval=1m`
+Aggregated OHLCV from `agg_trades` via PG native aggregation.
+```json
+{
+  "symbol": "BTC",
+  "interval": "1m",
+  "count": 60,
+  "data": [
+    { "bar_ms": 1709000000000, "buy_vol": 10.5, "sell_vol": 9.3, "trade_count": 45, "vwap": 65000.0, "max_qty": 2.5 }
+  ]
+}
+```
+
+#### Signal V52 Endpoints (inferred from frontend routes)
+- `GET /api/signals/v52` — signals for v52_8signals strategy
+- `GET /api/paper/trades` — paper trade history
+- `GET /api/paper/trades/v52` — v52 paper trade history
+- `GET /api/live/trades` — live trade history
+- `GET /api/live/config` — current live config
+- `GET /api/live/events` — live trading event log
+- `GET /api/server/stats` — server process stats (psutil)
+
+### Auth Header Format
+```
+Authorization: Bearer <access_token>
+```
+Frontend auto-injects via `authFetch()` in `lib/auth.tsx`. On 401, attempts token refresh before retry.
+
+### Error Shape
+All errors follow FastAPI default:
+```json
+{ "detail": "Human-readable error message" }
+```
+Common HTTP status codes: 400 (bad request), 401 (unauthorized), 403 (forbidden/banned), 404 (not found), 422 (validation error), 502 (Binance upstream error).
+
+## Interfaces / Dependencies
+- Binance USDC-M Futures REST: `https://fapi.binance.com/fapi/v1/premiumIndex`, `/fundingRate`
+- CORS allowed origins: `https://arb.zhouyangclaw.com`, `http://localhost:3000`, `http://localhost:3001`
+- `NEXT_PUBLIC_API_URL` env var controls the frontend base URL (empty = same-origin)
+
+## Unknowns & Risks
+- [inference] Full endpoint list for signals-v52, paper-v52, live, server pages not confirmed by reading main.py lines 300+. The full saved output contains more routes.
+- [inference] `POST /api/register` exact field validation (password min length, etc.) not confirmed.
+- [risk] No rate limiting visible on public endpoints; `/api/rates` with 3 s cache could be bypassed by direct calls.
+
+## Source Refs
+- `backend/main.py:101-298` — all confirmed REST endpoints
+- `backend/auth.py:23` — auth router prefix
+- `backend/main.py:16-21` — CORS config
+- `frontend/lib/api.ts:90-116` — client-side API wrappers
+- `frontend/lib/auth.tsx` — `authFetch` with auto-refresh (not fully read)

docs/ai/04-data-model.md

@@ -0,0 +1,301 @@
+---
+generated_by: repo-insight
+version: 1
+created: 2026-03-03
+last_updated: 2026-03-03
+source_commit: 0d9dffa
+coverage: standard
+---
+
+# 04 — Data Model
+
+## Purpose
+Documents all PostgreSQL tables, columns, relations, constraints, storage design, and partitioning strategy.
+
+## TL;DR
+- Single PostgreSQL database `arb_engine`; 15+ tables defined in `db.py` `SCHEMA_SQL` + `auth.py` `AUTH_SCHEMA`.
+- `agg_trades` is a range-partitioned table (by `time_ms` in milliseconds); monthly partitions auto-created by `ensure_partitions()`.
+- Dual-write: local PG is primary; Cloud SQL at `10.106.0.3` receives same writes via a secondary psycopg2 pool (non-fatal if down).
+- All timestamps: `ts` columns are Unix seconds (integer); `time_ms` columns are Unix milliseconds (bigint); `created_at` columns are PG `TIMESTAMP`.
+- JSONB used for `score_factors` in `paper_trades`/`live_trades`, `detail` in `live_events`, `value` in `market_indicators`.
+- Auth tokens stored in DB: refresh tokens in `refresh_tokens` table (revocable); no session table.
+
+## Canonical Facts
+
+### Tables
+
+#### `rate_snapshots` — Funding Rate Snapshots
+Populated every 2 s by `background_snapshot_loop()` in `main.py`.
+| Column | Type | Description |
+|--------|------|-------------|
+| `id` | BIGSERIAL PK | |
+| `ts` | BIGINT NOT NULL | Unix seconds |
+| `btc_rate` | DOUBLE PRECISION | BTC funding rate (decimal) |
+| `eth_rate` | DOUBLE PRECISION | ETH funding rate |
+| `btc_price` | DOUBLE PRECISION | BTC mark price USD |
+| `eth_price` | DOUBLE PRECISION | ETH mark price USD |
+| `btc_index_price` | DOUBLE PRECISION | BTC index price |
+| `eth_index_price` | DOUBLE PRECISION | ETH index price |
+
+Index: `idx_rate_snapshots_ts` on `ts`.
+
+---
+
+#### `agg_trades` — Aggregate Trades (Partitioned)
+Partitioned by `RANGE(time_ms)`; monthly child tables named `agg_trades_YYYYMM`.
+| Column | Type | Description |
+|--------|------|-------------|
+| `agg_id` | BIGINT NOT NULL | Binance aggTrade ID |
+| `symbol` | TEXT NOT NULL | e.g. `BTCUSDT` |
+| `price` | DOUBLE PRECISION | Trade price |
+| `qty` | DOUBLE PRECISION | Trade quantity (BTC/ETH/etc.) |
+| `time_ms` | BIGINT NOT NULL | Trade timestamp ms |
+| `is_buyer_maker` | SMALLINT | 0=taker buy, 1=taker sell |
+
+PK: `(time_ms, symbol, agg_id)`.
+Indexes: `idx_agg_trades_sym_time` on `(symbol, time_ms DESC)`, `idx_agg_trades_sym_agg` on `(symbol, agg_id)`.
+
+Partitions auto-created for current + next 2 months. Named `agg_trades_YYYYMM`.
+
+---
+
+#### `agg_trades_meta` — Collection State
+| Column | Type | Description |
+|--------|------|-------------|
+| `symbol` | TEXT PK | e.g. `BTCUSDT` |
+| `last_agg_id` | BIGINT | Last processed aggTrade ID |
+| `last_time_ms` | BIGINT | Timestamp of last trade |
+| `earliest_agg_id` | BIGINT | Oldest buffered ID |
+| `earliest_time_ms` | BIGINT | Oldest buffered timestamp |
+| `updated_at` | TEXT | Human-readable update time |
+
+---
+
+#### `signal_indicators` — Signal Engine Output (15 s cadence)
+| Column | Type | Description |
+|--------|------|-------------|
+| `id` | BIGSERIAL PK | |
+| `ts` | BIGINT | Unix seconds |
+| `symbol` | TEXT | |
+| `cvd_fast` | DOUBLE PRECISION | CVD 30 m window |
+| `cvd_mid` | DOUBLE PRECISION | CVD 4 h window |
+| `cvd_day` | DOUBLE PRECISION | CVD UTC day |
+| `cvd_fast_slope` | DOUBLE PRECISION | CVD momentum |
+| `atr_5m` | DOUBLE PRECISION | ATR (5 m candles, 14 periods) |
+| `atr_percentile` | DOUBLE PRECISION | ATR rank in 24 h history |
+| `vwap_30m` | DOUBLE PRECISION | VWAP 30 m |
+| `price` | DOUBLE PRECISION | Current mark price |
+| `p95_qty` | DOUBLE PRECISION | P95 large-order threshold |
+| `p99_qty` | DOUBLE PRECISION | P99 large-order threshold |
+| `buy_vol_1m` | DOUBLE PRECISION | 1 m buy volume |
+| `sell_vol_1m` | DOUBLE PRECISION | 1 m sell volume |
+| `score` | INTEGER | Signal score 0–100 |
+| `signal` | TEXT | `LONG`, `SHORT`, or null |
+
+Indexes: `idx_si_ts`, `idx_si_sym_ts`.
+
+---
+
+#### `signal_indicators_1m` — 1-Minute Signal Snapshot
+Subset of `signal_indicators` columns; written at 1 m cadence for lightweight chart queries.
+
+---
+
+#### `signal_trades` — Signal Engine Trade Tracking
+| Column | Type | Description |
+|--------|------|-------------|
+| `id` | BIGSERIAL PK | |
+| `ts_open` | BIGINT | Open timestamp (Unix s) |
+| `ts_close` | BIGINT | Close timestamp |
+| `symbol` | TEXT | |
+| `direction` | TEXT | `LONG` / `SHORT` |
+| `entry_price` | DOUBLE PRECISION | |
+| `exit_price` | DOUBLE PRECISION | |
+| `qty` | DOUBLE PRECISION | |
+| `score` | INTEGER | Signal score at entry |
+| `pnl` | DOUBLE PRECISION | Realized PnL |
+| `sl_price` | DOUBLE PRECISION | Stop-loss level |
+| `tp1_price` | DOUBLE PRECISION | Take-profit 1 level |
+| `tp2_price` | DOUBLE PRECISION | Take-profit 2 level |
+| `status` | TEXT DEFAULT `open` | `open`, `closed`, `stopped` |
+
+---
+
+#### `paper_trades` — Paper Trading Records
+| Column | Type | Description |
+|--------|------|-------------|
+| `id` | BIGSERIAL PK | |
+| `symbol` | TEXT | |
+| `direction` | TEXT | `LONG`/`SHORT` |
+| `score` | INT | Signal score |
+| `tier` | TEXT | `light`/`standard`/`heavy` |
+| `entry_price` | DOUBLE PRECISION | |
+| `entry_ts` | BIGINT | Unix ms |
+| `exit_price` | DOUBLE PRECISION | |
+| `exit_ts` | BIGINT | |
+| `tp1_price` | DOUBLE PRECISION | |
+| `tp2_price` | DOUBLE PRECISION | |
+| `sl_price` | DOUBLE PRECISION | |
+| `tp1_hit` | BOOLEAN DEFAULT FALSE | |
+| `status` | TEXT DEFAULT `active` | `active`, `tp1`, `tp2`, `sl`, `timeout` |
+| `pnl_r` | DOUBLE PRECISION | PnL in R units |
+| `atr_at_entry` | DOUBLE PRECISION | ATR snapshot at entry |
+| `score_factors` | JSONB | Breakdown of signal score components |
+| `strategy` | VARCHAR(32) DEFAULT `v51_baseline` | Strategy name |
+| `created_at` | TIMESTAMP | |
+
+---
+
+#### `live_trades` — Live Trading Records
+| Column | Type | Description |
+|--------|------|-------------|
+| `id` | BIGSERIAL PK | |
+| `symbol` | TEXT | |
+| `strategy` | TEXT | |
+| `direction` | TEXT | `LONG`/`SHORT` |
+| `status` | TEXT DEFAULT `active` | |
+| `entry_price` / `exit_price` | DOUBLE PRECISION | |
+| `entry_ts` / `exit_ts` | BIGINT | Unix ms |
+| `sl_price`, `tp1_price`, `tp2_price` | DOUBLE PRECISION | |
+| `tp1_hit` | BOOLEAN | |
+| `score` | DOUBLE PRECISION | |
+| `tier` | TEXT | |
+| `pnl_r` | DOUBLE PRECISION | |
+| `fee_usdt` | DOUBLE PRECISION | Exchange fees |
+| `funding_fee_usdt` | DOUBLE PRECISION | Funding fees paid while holding |
+| `risk_distance` | DOUBLE PRECISION | Entry to SL distance |
+| `atr_at_entry` | DOUBLE PRECISION | |
+| `score_factors` | JSONB | |
+| `signal_id` | BIGINT | FK → signal_indicators.id |
+| `binance_order_id` | TEXT | Binance order ID |
+| `fill_price` | DOUBLE PRECISION | Actual fill price |
+| `slippage_bps` | DOUBLE PRECISION | Slippage in basis points |
+| `protection_gap_ms` | BIGINT | Time between SL order and fill |
+| `signal_to_order_ms` | BIGINT | Latency: signal → order placed |
+| `order_to_fill_ms` | BIGINT | Latency: order → fill |
+| `qty` | DOUBLE PRECISION | |
+| `created_at` | TIMESTAMP | |
+
+---
+
+#### `live_config` — Runtime Configuration KV Store
+| Column | Type | Description |
+|--------|------|-------------|
+| `key` | TEXT PK | Config key |
+| `value` | TEXT | Config value (string) |
+| `label` | TEXT | Human label |
+| `updated_at` | TIMESTAMP | |
+
+Known keys: `risk_per_trade_usd`, `max_positions`, `circuit_break` (inferred).
+
+---
+
+#### `live_events` — Trade Event Log
+| Column | Type | Description |
+|--------|------|-------------|
+| `id` | BIGSERIAL PK | |
+| `ts` | BIGINT | Unix ms (default: NOW()) |
+| `level` | TEXT | `info`/`warning`/`error` |
+| `category` | TEXT | Event category |
+| `symbol` | TEXT | |
+| `message` | TEXT | |
+| `detail` | JSONB | Structured event data |
+
+---
+
+#### `signal_logs` — Legacy Signal Log
+Kept for backwards compatibility with the original funding-rate signal system.
+| Column | Type |
+|--------|------|
+| `id` | BIGSERIAL PK |
+| `symbol` | TEXT |
+| `rate` | DOUBLE PRECISION |
+| `annualized` | DOUBLE PRECISION |
+| `sent_at` | TEXT |
+| `message` | TEXT |
+
+---
+
+#### Auth Tables (defined in `auth.py` AUTH_SCHEMA)
+
+**`users`**
+| Column | Type |
+|--------|------|
+| `id` | BIGSERIAL PK |
+| `email` | TEXT UNIQUE NOT NULL |
+| `password_hash` | TEXT NOT NULL |
+| `discord_id` | TEXT |
+| `role` | TEXT DEFAULT `user` |
+| `banned` | INTEGER DEFAULT 0 |
+| `created_at` | TEXT |
+
+**`subscriptions`**
+| Column | Type |
+|--------|------|
+| `user_id` | BIGINT PK → users |
+| `tier` | TEXT DEFAULT `free` |
+| `expires_at` | TEXT |
+
+**`invite_codes`**
+| Column | Type |
+|--------|------|
+| `id` | BIGSERIAL PK |
+| `code` | TEXT UNIQUE |
+| `created_by` | INTEGER |
+| `max_uses` | INTEGER DEFAULT 1 |
+| `used_count` | INTEGER DEFAULT 0 |
+| `status` | TEXT DEFAULT `active` |
+| `expires_at` | TEXT |
+
+**`invite_usage`**
+| Column | Type |
+|--------|------|
+| `id` | BIGSERIAL PK |
+| `code_id` | BIGINT → invite_codes |
+| `user_id` | BIGINT → users |
+| `used_at` | TEXT |
+
+**`refresh_tokens`**
+| Column | Type |
+|--------|------|
+| `id` | BIGSERIAL PK |
+| `user_id` | BIGINT → users |
+| `token` | TEXT UNIQUE |
+| `expires_at` | TEXT |
+| `revoked` | INTEGER DEFAULT 0 |
+
+---
+
+#### `market_indicators` — Market Indicator JSONB Store
+Populated by `market_data_collector.py`.
+| Column | Type | Description |
+|--------|------|-------------|
+| `symbol` | TEXT | |
+| `indicator_type` | TEXT | `long_short_ratio`, `top_trader_position`, `open_interest_hist`, `coinbase_premium`, `funding_rate` |
+| `timestamp_ms` | BIGINT | |
+| `value` | JSONB | Raw indicator payload |
+
+Query pattern: `WHERE symbol=? AND indicator_type=? ORDER BY timestamp_ms DESC LIMIT 1`.
+
+### Storage Design Decisions
+- **Partitioning**: `agg_trades` partitioned by month to avoid table bloat; partition maintenance is automated.
+- **Dual-write**: Cloud SQL secondary is best-effort (errors logged, never fatal).
+- **JSONB `score_factors`**: allows schema-free storage of per-strategy signal breakdowns without migrations.
+- **Timestamps**: mix of Unix seconds (`ts`), Unix ms (`time_ms`, `timestamp_ms`, `entry_ts`), ISO strings (`created_at` TEXT in auth tables), and PG `TIMESTAMP`; be careful when querying across tables.
+
+## Interfaces / Dependencies
+- `db.py:init_schema()` — creates all tables in `SCHEMA_SQL`
+- `auth.py:ensure_tables()` — creates auth tables from `AUTH_SCHEMA`
+- `db.py:ensure_partitions()` — auto-creates monthly `agg_trades_YYYYMM` partitions
+
+## Unknowns & Risks
+- [unknown] `market_indicators` table schema not in `SCHEMA_SQL`; likely created by `market_data_collector.py` separately — verify before querying.
+- [risk] Timestamp inconsistency: some tables use TEXT for timestamps (auth tables), others use BIGINT, others use PG TIMESTAMP — cross-table JOINs on time fields require explicit casting.
+- [inference] `live_config` circuit-break key name not confirmed from source; inferred from `risk_guard.py` behavior.
+- [risk] `users` table defined in both `SCHEMA_SQL` (db.py) and `AUTH_SCHEMA` (auth.py); duplicate CREATE TABLE IF NOT EXISTS; actual schema diverges between the two definitions (db.py version lacks `discord_id`, `banned`).
+
+## Source Refs
+- `backend/db.py:166-356` — `SCHEMA_SQL` with all table definitions
+- `backend/auth.py:28-71` — `AUTH_SCHEMA` auth tables
+- `backend/db.py:360-414` — `ensure_partitions()`, `init_schema()`
+- `backend/signal_engine.py:123-158` — `market_indicators` query pattern

docs/ai/05-build-run-test.md

@@ -0,0 +1,251 @@
+---
+generated_by: repo-insight
+version: 1
+created: 2026-03-03
+last_updated: 2026-03-03
+source_commit: 0d9dffa
+coverage: deep
+---
+
+# 05 — Build, Run & Test
+
+## Purpose
+所有构建、运行、测试、部署相关命令及环境变量配置说明。
+
+## TL;DR
+- 无 CI/CD 流水线；手动部署到 GCP VM，PM2 管理进程。
+- 后端无构建步骤，直接 `python3 main.py` 或 PM2 启动。
+- 前端标准 Next.js：`npm run dev` / `npm run build` / `npm start`。
+- 测试文件未发现；验证通过 backtest.py 回测和 paper trading 模拟盘进行。
+- 本地开发：前端 `/api/*` 通过 Next.js rewrite 代理到 `http://127.0.0.1:4332`（即 uvicorn 端口）。
+- 数据库 schema 自动在启动时初始化（`init_schema()`），无独立 migration 工具。
+
+## Canonical Facts
+
+### 环境要求
+| 组件 | 要求 |
+|------|------|
+| Python | 3.10+（使用 `list[dict]` 等 3.10 语法） |
+| Node.js | 推荐 20.x（package.json `@types/node: ^20`） |
+| PostgreSQL | 本地实例 + Cloud SQL（`10.106.0.3`） |
+| PM2 | 用于进程管理（需全局安装） |
+
+### 后端依赖安装
+```bash
+cd backend
+pip install -r requirements.txt
+# requirements.txt 内容：fastapi, uvicorn, httpx, python-dotenv, psutil
+# 实际还需要（从源码 import 推断）：
+# asyncpg, psycopg2-binary, aiohttp, websockets
+```
+
+> [inference] `requirements.txt` 内容不完整，仅列出 5 个包，但源码 import 了 `asyncpg`、`psycopg2`、`aiohttp` 等。运行前需确认完整依赖已安装。
+
+### 后端启动
+
+#### 单进程开发模式
+```bash
+cd backend
+
+# FastAPI HTTP API（默认端口 4332，从 next.config.ts 推断）
+uvicorn main:app --host 0.0.0.0 --port 4332 --reload
+
+# 信号引擎（独立进程）
+python3 signal_engine.py
+
+# aggTrades 收集器
+python3 agg_trades_collector.py
+
+# 市场数据收集器
+python3 market_data_collector.py
+
+# 清算数据收集器
+python3 liquidation_collector.py
+
+# 实盘执行器
+TRADE_ENV=testnet python3 live_executor.py
+
+# 风控模块
+TRADE_ENV=testnet python3 risk_guard.py
+
+# 信号推送（Discord）
+python3 signal_pusher.py
+```
+
+#### PM2 生产模式
+```bash
+cd backend
+
+# 使用 ecosystem 配置（目前只定义了 arb-dev-signal）
+pm2 start ecosystem.dev.config.js
+
+# 查看进程状态
+pm2 status
+
+# 查看日志
+pm2 logs arb-dev-signal
+
+# 停止所有
+pm2 stop all
+
+# 重启
+pm2 restart all
+```
+
+> [inference] `ecosystem.dev.config.js` 当前只配置了 `signal_engine.py`，其他进程需手动启动或添加到 PM2 配置。
+
+### 环境变量配置
+
+#### 数据库（所有后端进程共用）
+```bash
+export PG_HOST=127.0.0.1        # 本地 PG
+export PG_PORT=5432
+export PG_DB=arb_engine
+export PG_USER=arb
+export PG_PASS=arb_engine_2026  # 测试网默认，生产需覆盖
+
+export CLOUD_PG_HOST=10.106.0.3  # Cloud SQL
+export CLOUD_PG_ENABLED=true
+```
+
+#### 认证
+```bash
+export JWT_SECRET=<>  # 生产环境必填，长度 ≥32
+# 测试网有默认值 "arb-engine-jwt-secret-v2-2026"，生产环境 TRADE_ENV != testnet 时必须设置
+```
+
+#### 交易环境
+```bash
+export TRADE_ENV=testnet          # 或 production
+export LIVE_STRATEGIES='["v52_8signals"]'
+export RISK_PER_TRADE_USD=2       # 每笔风险 USD
+export MAX_POSITIONS=4            # 最大同时持仓数
+```
+
+#### 实盘专用（live_executor + risk_guard）
+```bash
+export DB_HOST=10.106.0.3
+export DB_PASSWORD=<生产密码>
+export DB_NAME=arb_engine
+export DB_USER=arb
+
+# 币安 API Key（需在 Binance 配置）
+export BINANCE_API_KEY=<key>
+export BINANCE_API_SECRET=<secret>
+```
+
+#### 前端
+```bash
+# .env.local 或部署环境
+NEXT_PUBLIC_API_URL=              # 留空=同源，生产时设为 https://arb.zhouyangclaw.com
+```
+
+### 数据库初始化
+```bash
+# schema 在 FastAPI 启动时自动创建（init_schema + ensure_auth_tables）
+# 手动初始化：
+cd backend
+python3 -c "from db import init_schema; init_schema()"
+
+# 分区维护（自动在 init_schema 内调用）：
+python3 -c "from db import ensure_partitions; ensure_partitions()"
+```
+
+### 前端构建与启动
+```bash
+cd frontend
+npm install
+
+# 开发模式（热重载，端口 3000）
+npm run dev
+
+# 生产构建
+npm run build
+npm start
+
+# Lint
+npm run lint
+```
+
+### 前端 API 代理配置
+`frontend/next.config.ts` 将 `/api/*` 代理到 `http://127.0.0.1:4332`。
+- 本地开发时 uvicorn 需监听 **4332 端口**。
+- 生产部署时通过 `NEXT_PUBLIC_API_URL` 或 nginx 反向代理处理跨域。
+
+### 回测（离线验证）
+```bash
+cd backend
+
+# 指定天数回测
+python3 backtest.py --symbol BTCUSDT --days 20
+
+# 指定日期范围回测
+python3 backtest.py --symbol BTCUSDT --start 2026-02-08 --end 2026-02-28
+
+# 输出：胜率、盈亏比、夏普比率、最大回撤等统计
+```
+
+### 模拟盘（Paper Trading）
+通过 `paper_config.json` 控制：
+```json
+{
+  "enabled": true,
+  "enabled_strategies": ["v52_8signals"],
+  "initial_balance": 10000,
+  "risk_per_trade": 0.02,
+  "max_positions": 4
+}
+```
+修改后 signal_engine 下次循环自动读取（无需重启）。
+
+监控模拟盘：
+```bash
+cd backend
+python3 paper_monitor.py
+```
+
+### 管理员 CLI
+```bash
+cd backend
+python3 admin_cli.py gen_invite [count] [max_uses]
+python3 admin_cli.py list_invites
+python3 admin_cli.py disable_invite <code>
+python3 admin_cli.py list_users
+python3 admin_cli.py ban_user <user_id>
+python3 admin_cli.py unban_user <user_id>
+python3 admin_cli.py set_admin <user_id>
+python3 admin_cli.py usage
+```
+
+### 日志位置
+| 进程 | 日志文件 |
+|------|---------|
+| signal_engine | `signal-engine.log`（项目根目录） |
+| risk_guard | `backend/logs/risk_guard.log`（RotatingFileHandler，10MB×5） |
+| 其他进程 | stdout / PM2 logs |
+
+### 无测试框架
+项目中未发现 `pytest`、`unittest` 或任何测试文件。验证策略依赖：
+1. **回测**：`backtest.py` 逐 tick 回放历史数据
+2. **模拟盘**：paper trading 实时验证信号质量
+3. **手动测试**：前端页面人工验证
+
+## Interfaces / Dependencies
+- uvicorn 端口：**4332**（从 `next.config.ts` 推断）
+- 前端开发端口：**3000**（Next.js 默认）
+- CORS 允许 `localhost:3000` 和 `localhost:3001`
+
+## Unknowns & Risks
+- [inference] uvicorn 端口 4332 从 `next.config.ts` 推断，未在 `main.py` 或启动脚本中显式确认。
+- [inference] `requirements.txt` 不完整，实际依赖需从源码 import 语句归纳。
+- [unknown] 生产部署的 nginx 配置未在仓库中。
+- [risk] 无自动化测试，代码变更风险完全依赖人工回测和 paper trading 验证。
+
+## Source Refs
+- `frontend/next.config.ts` — API rewrite 代理到 `127.0.0.1:4332`
+- `backend/ecosystem.dev.config.js` — PM2 配置（仅 signal_engine）
+- `backend/requirements.txt` — 后端依赖（不完整）
+- `backend/backtest.py:1-13` — 回测用法说明
+- `backend/paper_config.json` — 模拟盘配置
+- `backend/admin_cli.py:88` — CLI usage 函数
+- `backend/risk_guard.py:81-82` — 日志 RotatingFileHandler 配置

docs/ai/06-decision-log.md

@@ -0,0 +1,162 @@
+---
+generated_by: repo-insight
+version: 1
+created: 2026-03-03
+last_updated: 2026-03-03
+source_commit: 0d9dffa
+coverage: deep
+---
+
+# 06 — Decision Log
+
+## Purpose
+记录项目中关键的技术决策、选型原因及权衡取舍（从代码注释和架构特征推断）。
+
+## TL;DR
+- 选择 PostgreSQL 作为唯一消息总线（NOTIFY/LISTEN），避免引入 Kafka/Redis 等额外组件。
+- signal_engine 改为 15 秒循环（原 5 秒），CPU 降 60%，信号质量无影响。
+- 双写 Cloud SQL 作为灾备，失败不阻断主流程。
+- `agg_trades` 按月分区，避免单表过大影响查询性能。
+- 认证采用自研 HMAC-SHA256 JWT，不依赖第三方库。
+- 前端使用 Next.js App Router + 纯客户端轮询，不使用 WebSocket 推送。
+- 策略参数外置为 JSON 文件，支持热修改无需重启进程。
+- 信号评分采用多层加权体系（5层），每层独立可调，支持多策略并行。
+
+## Canonical Facts
+
+### 决策 1：PostgreSQL 作为进程间消息总线
+**决策**：使用 PostgreSQL `NOTIFY/LISTEN` 在 signal_engine 和 live_executor 之间传递信号，而非 Redis pub/sub 或消息队列。
+
+**原因**（从代码推断）：
+- 系统已强依赖 PG；避免引入新的基础设施依赖。
+- 信号触发频率低（每 15 秒最多一次），PG NOTIFY 完全满足延迟要求。
+- 信号 payload 直接写入 `signal_indicators` 表，NOTIFY 仅做触发通知，消费者可直接查表。
+
+**取舍**：单点依赖 PG；PG 宕机时信号传递和持久化同时失败（可接受，因为两者本就强耦合）。
+
+**来源**：`live_executor.py:1-10` 架构注释，`signal_engine.py:save_indicator` 函数。
+
+---
+
+### 决策 2：信号引擎循环间隔从 5 秒改为 15 秒
+**决策**：`LOOP_INTERVAL = 15`（原注释说明原值为 5）。
+
+**原因**：代码注释明确写道 "CPU降60%，信号质量无影响"。
+
+**取舍**：信号触发延迟最坏增加 10 秒；对于短线但非高频的策略（TP/SL 以 ATR 倍数计，通常 >1% 波动），10 秒的额外延迟影响可忽略不计。
+
+**来源**：`signal_engine.py:39` `LOOP_INTERVAL = 15  # 秒（从5改15，CPU降60%，信号质量无影响）`
+
+---
+
+### 决策 3：agg_trades 表按月范围分区
+**决策**：`agg_trades` 使用 `PARTITION BY RANGE(time_ms)`，按月创建子表（如 `agg_trades_202603`）。
+
+**原因**：
+- aggTrades 是最大的写入表（每秒数百条），无分区会导致单表膨胀。
+- 按月分区支持高效的时间范围查询（PG 分区裁剪）。
+- 旧分区可独立归档或删除，不影响主表。
+
+**取舍**：分区管理需要维护（`ensure_partitions()` 自动创建当月+未来2个月分区，需定期执行）；跨分区查询性能取决于分区裁剪是否生效（`time_ms` 条件必须是常量）。
+
+**来源**：`db.py:191-201, 360-393`
+
+---
+
+### 决策 4：Cloud SQL 双写（非阻塞）
+**决策**：所有写入操作在本地 PG 成功后，尝试相同写入到 Cloud SQL（`10.106.0.3`），Cloud SQL 失败不影响主流程。
+
+**原因**：提供数据异地备份；Cloud SQL 作为只读副本或灾备使用。
+
+**取舍**：
+- 本地 PG 和 Cloud SQL 可能出现数据不一致（local 成功 + cloud 失败）。
+- 双写增加每次写操作的延迟（两个网络 RTT），但因为是 best-effort 且使用独立连接池，实际阻塞极少。
+- live_executor 直接连 Cloud SQL（`DB_HOST=10.106.0.3`），绕过本地 PG。
+
+**来源**：`db.py:23-29, 80-118`，`live_executor.py:50-55`
+
+---
+
+### 决策 5：自研 JWT（不用 PyJWT 等第三方库）
+**决策**：使用 Python 标准库 `hmac`、`hashlib`、`base64` 手动实现 JWT 签发和验证。
+
+**原因**（推断）：减少依赖；JWT 结构相对简单，HMAC-SHA256 签名几十行代码即可实现。
+
+**取舍**：
+- 需要自行处理过期、revoke、refresh token 等逻辑（代码中已有 `refresh_tokens` 表）。
+- 非标准实现可能在边界情况（时钟偏差、特殊字符等）上与标准库行为不同。
+- 无 JWT 生态工具支持（调试工具、密钥轮转库等）。
+
+**来源**：`auth.py:1-6`（import hashlib, secrets, hmac, base64, json），`auth.py:16-19`
+
+---
+
+### 决策 6：策略配置外置为 JSON 文件
+**决策**：V5.x 策略的权重、阈值、TP/SL 倍数等参数存放在 `backend/strategies/*.json`，signal_engine 每次 `load_strategy_configs()` 读取。
+
+**原因**：
+- 策略调优频繁（v51→v52 权重变化显著），外置避免每次改参数都要修改代码。
+- 多策略并行：signal_engine 同时运行 v51_baseline 和 v52_8signals，对每个 symbol 分别评分。
+- [inference] 支持未来通过前端或 API 修改策略参数而不重启进程（目前 signal_engine 每次循环重读文件 —— 需确认）。
+
+**取舍**：JSON 文件无类型检查，配置错误在运行时才发现；缺少配置 schema 校验。
+
+**来源**：`signal_engine.py:41-67`，`backend/strategies/v51_baseline.json`，`backend/strategies/v52_8signals.json`
+
+---
+
+### 决策 7：信号评分采用五层加权体系
+**决策**：信号评分分为 5 个独立层次（方向层、拥挤层、资金费率层、环境层、确认层、清算层、辅助层），每层有独立权重，总分 0~100，阈值 75 触发信号。
+
+**设计特点**：
+- 方向层（CVD）权重最高（V5.1: 45分，V5.2: 40分），是核心指标。
+- "standard" 档位：score ≥ threshold（75）；"heavy" 档位：score ≥ max(threshold+10, 85)。
+- 信号冷却：同一 symbol 同一策略触发后 10 分钟内不再触发。
+- CVD 快慢线需同向才产生完整方向信号；否则标记 `no_direction=True` 不触发。
+
+**取舍**：权重缩放逻辑较复杂（各层原始满分不统一，需先归一化再乘权重）；`market_indicators` 缺失时给默认中间分，保证系统在数据不完整时仍能运行。
+
+**来源**：`signal_engine.py:410-651`
+
+---
+
+### 决策 8：前端使用轮询而非 WebSocket
+**决策**：React 前端对 `/api/rates` 每 2 秒轮询，慢速数据（stats/history/signals）每 120 秒轮询，K 线图每 30 秒刷新。
+
+**原因**（推断）：
+- 实现简单，无需维护 WebSocket 连接状态和断线重连逻辑。
+- 数据更新频率（2 秒/30 秒）对轮询友好；WebSocket 的优势在于毫秒级推送。
+- FastAPI 已支持 WebSocket，但实现 SSE/WS 推送需要额外的后端状态管理。
+
+**取舍**：每 2 秒轮询 `/api/rates` 会产生持续的服务器负载；当用户量增加时需要加缓存或换 WebSocket。
+
+**来源**：`frontend/app/page.tsx:149-154`
+
+---
+
+### 决策 9：live_executor 和 risk_guard 直连 Cloud SQL
+**决策**：`live_executor.py` 和 `risk_guard.py` 默认 `DB_HOST=10.106.0.3`（Cloud SQL），而不是本地 PG。
+
+**原因**（推断）：这两个进程运行在与 signal_engine 不同的环境（可能是另一台 GCP VM 或容器），直连 Cloud SQL 避免通过本地 PG 中转。
+
+**取舍**：live_executor 和 signal_engine 使用不同的 PG 实例，理论上存在数据读取延迟（双写同步延迟）。
+
+**来源**：`live_executor.py:50-55`，`risk_guard.py:47-53`
+
+## Interfaces / Dependencies
+无额外接口依赖，均为内部架构决策。
+
+## Unknowns & Risks
+- [inference] 所有决策均从代码推断，无明确的 ADR（Architecture Decision Record）文档。
+- [unknown] 策略配置是否支持热重载（signal_engine 是否每次循环都重读 JSON）未确认。
+- [risk] 决策 4（双写）+ 决策 9（live executor 直连 Cloud SQL）组合下，若本地 PG 和 Cloud SQL 数据不一致，live_executor 可能读到滞后的信号或重复执行。
+
+## Source Refs
+- `backend/signal_engine.py:39` — LOOP_INTERVAL 注释
+- `backend/signal_engine.py:44-67` — load_strategy_configs
+- `backend/signal_engine.py:410-651` — evaluate_signal 完整评分逻辑
+- `backend/db.py:23-29, 80-118` — Cloud SQL 双写连接池
+- `backend/live_executor.py:50-55` — DB_HOST 配置
+- `backend/auth.py:1-6` — 自研 JWT import
+- `frontend/app/page.tsx:149-154` — 轮询间隔
+- `backend/strategies/v51_baseline.json`, `v52_8signals.json`

docs/ai/07-glossary.md

@@ -0,0 +1,100 @@
+---
+generated_by: repo-insight
+version: 1
+created: 2026-03-03
+last_updated: 2026-03-03
+source_commit: 0d9dffa
+coverage: deep
+---
+
+# 07 — Glossary
+
+## Purpose
+项目中使用的专业术语、领域术语和项目自定义术语的定义。
+
+## TL;DR
+- 项目混合使用量化交易、加密货币和工程术语，中英文混用。
+- "R" 是风险单位，1R = 单笔风险金额（PAPER_RISK_PER_TRADE × 余额）。
+- CVD 是核心指标：累计 delta = 主动买量 - 主动卖量，衡量买卖压力。
+- ATR 用于动态计算止盈止损距离（TP/SL 均以 ATR 倍数表示）。
+- "tier" 指仓位档位：light/standard/heavy，对应不同仓位大小倍数。
+
+## Canonical Facts
+
+### 交易与量化术语
+
+| 术语 | 定义 |
+|------|------|
+| **资金费率（Funding Rate）** | 永续合约中多空双方每8小时相互支付的费率。正费率：多头付给空头；负费率：空头付给多头。以小数表示（如 `0.0001` = 0.01%）。 |
+| **永续合约（Perpetual / Perp）** | 无到期日的期货合约，通过资金费率机制锚定现货价格。本项目操作 Binance USDC-M 永续合约。 |
+| **套利（Arbitrage）** | 持有现货多头 + 永续空头，资金费率为正时空头每8小时收取费率收益，实现无方向性风险的稳定收益。 |
+| **年化（Annualized）** | `平均费率 × 3次/天 × 365天 × 100%`，将单次资金费率换算为年化百分比。 |
+| **CVD（Cumulative Volume Delta）** | 累计成交量差值 = 主动买量 - 主动卖量。正值表示买方主导，负值表示卖方主导。本项目计算三个窗口：CVD_fast（30分钟）、CVD_mid（4小时）、CVD_day（UTC日内）。 |
+| **aggTrade** | Binance 聚合成交数据：同一方向、同一价格、同一时刻的多笔成交合并为一条记录，包含 `is_buyer_maker` 字段（0=主动买，1=主动卖）。 |
+| **is_buyer_maker** | `0`：买方是 taker（主动买入），`1`：买方是 maker（被动成交，即主动卖）。CVD 计算：0→买量，1→卖量。 |
+| **VWAP（Volume Weighted Average Price）** | 成交量加权平均价格。用于判断当前价格相对于短期平均成本的位置。 |
+| **ATR（Average True Range）** | 平均真实波动幅度，衡量市场波动性。本项目使用 5 分钟 K 线、14 周期 EMA 计算。 |
+| **ATR Percentile** | 当前 ATR 在过去 24 小时内的历史分位数（0~100），衡量当前波动性是高还是低。 |
+| **P95 / P99** | 过去 24 小时内成交量的第 95/99 百分位数，作为"大单阈值"。超过 P99 的成交视为大单，对信号评分有影响。 |
+| **Long/Short Ratio（多空比）** | 全市场多头账户数 / 空头账户数。反映市场情绪拥挤程度。 |
+| **Top Trader Position（顶级交易者持仓比）** | 大户多头持仓占比，范围 0~1。高于 0.55 视为多头拥挤，低于 0.45 视为空头拥挤。 |
+| **Open Interest（OI，持仓量）** | 市场上所有未平仓合约的总名义价值（USD）。OI 增加 ≥3% 视为环境强势信号。 |
+| **Coinbase Premium** | Coinbase Pro BTC/USD 现货价格相对 Binance BTC/USDT 的溢价比例。正溢价（>0.05%）被视为看涨信号（美国机构买入）。以比例存储（如 `0.0005` = 0.05%）。 |
+| **清算（Liquidation）** | 爆仓事件。空头清算多于多头清算（短时间内）视为看涨信号（逼空）。本项目使用 5 分钟窗口内多空清算 USD 之比进行评分。 |
+| **R（风险单位）** | 单笔风险金额。1R = `初始余额 × 风险比例`（默认 2%，即 200U）。盈亏以 R 倍数表示：1R=保本，2R=盈利1倍风险，-1R=全亏。 |
+| **PnL_R** | 以 R 为单位的盈亏：`pnl_r = (exit_price - entry_price) / risk_distance × direction_sign`。 |
+| **TP1 / TP2（Take Profit）** | 止盈目标价。TP1 为第一目标（触发后平一半仓位），TP2 为第二目标（平剩余）。 |
+| **SL（Stop Loss）** | 止损价。SL 触发后视 TP1 是否已命中：未命中→亏损 1R；已命中→保本（sl_be 状态）。 |
+| **Tier（档位）** | 仓位大小分级。`light`=0.5×R，`standard`=1.0×R，`heavy`=1.5×R。信号分数越高触发越重的档位：score ≥ max(threshold+10, 85) → heavy；score ≥ threshold → standard。 |
+| **Warmup（冷启动）** | signal_engine 启动时读取历史 `agg_trades` 填充滚动窗口的过程，完成前不产生信号（`state.warmup=True`）。 |
+| **Signal Cooldown（信号冷却）** | 同一 symbol 同一策略触发信号后，10 分钟内不再触发新信号，防止过度交易。 |
+
+### 策略术语
+
+| 术语 | 定义 |
+|------|------|
+| **v51_baseline** | V5.1 基准策略。6 个信号：cvd, p99, accel, ls_ratio, oi, coinbase_premium。SL=1.4×ATR，TP1=1.05×ATR，TP2=2.1×ATR。 |
+| **v52_8signals** | V5.2 扩展策略。8 个信号（v51 + funding_rate + liquidation）。SL=2.1×ATR，TP1=1.4×ATR，TP2=3.15×ATR（更宽止损，更高盈亏比目标）。 |
+| **Score / 信号分数** | 0~100 的综合评分，由多层加权指标累加得出，阈值 75 触发信号。 |
+| **Direction Layer（方向层）** | 评分第一层，最高 45 分（v51）或 40 分（v52）。基于 CVD_fast、CVD_mid 同向性和 P99 大单方向。 |
+| **Crowding Layer（拥挤层）** | 基于多空比和顶级交易者持仓的市场拥挤度评分。 |
+| **Environment Layer（环境层）** | 基于持仓量变化（OI change）的市场环境评分。 |
+| **Confirmation Layer（确认层）** | CVD 快慢线同向确认，15 分（满足）或 0 分。 |
+| **Auxiliary Layer（辅助层）** | Coinbase Premium 辅助确认，0~5 分。 |
+| **Accel Bonus（加速奖励）** | CVD 快线斜率正在加速时额外加分（v51: +5分，v52: +0分）。 |
+| **Score Factors** | 各层得分详情，以 JSONB 格式存储在 `paper_trades.score_factors` 和 `live_trades.score_factors`。 |
+
+### 工程术语
+
+| 术语 | 定义 |
+|------|------|
+| **Paper Trading / 模拟盘** | 不真实下单、仅模拟记录的交易，用于验证策略。数据存储在 `paper_trades` 表。 |
+| **Live Trading / 实盘** | 通过 Binance API 真实下单执行的交易。数据存储在 `live_trades` 表。 |
+| **Testnet** | Binance 测试网（`https://testnet.binancefuture.com`），使用虚拟资金。`TRADE_ENV=testnet`。 |
+| **Production** | Binance 生产环境（`https://fapi.binance.com`），使用真实资金。`TRADE_ENV=production`。 |
+| **Circuit Break（熔断）** | risk_guard 触发的保护机制，阻止新开仓甚至强制平仓。通过 `live_config` 表的 flag 通知 live_executor。 |
+| **Dual Write（双写）** | 同一数据同时写入本地 PG 和 Cloud SQL，Cloud SQL 写失败不阻断主流程。 |
+| **Partition / 分区** | `agg_trades` 表的月度子表（如 `agg_trades_202603`），用于管理大表性能。 |
+| **NOTIFY/LISTEN** | PostgreSQL 原生异步通知机制。signal_engine 用 `NOTIFY new_signal` 触发，live_executor 用 `LISTEN new_signal` 接收。 |
+| **TradeWindow** | signal_engine 中的滚动时间窗口类，维护 CVD 和 VWAP 的实时滚动计算。 |
+| **SymbolState** | 每个交易对的完整状态容器，包含三个 TradeWindow、ATRCalculator、market_indicators 缓存和信号冷却记录。 |
+| **Invite Code（邀请码）** | 注册时必须提供的一次性（或限次）代码，由管理员通过 `admin_cli.py` 生成。 |
+| **Subscription Tier** | 用户订阅等级（`free` 等），存储在 `subscriptions` 表，当前代码中使用有限。 |
+| **万分之** | 前端显示资金费率时的单位表述，实际值 × 10000 展示。例如 `0.0001` 显示为 `1.0000 万分之`。 |
+
+## Interfaces / Dependencies
+无。
+
+## Unknowns & Risks
+- [inference] `Subscription Tier` 功能在 schema 中有定义但实际业务逻辑中使用程度不确定（可能是预留字段）。
+- [inference] "no_direction" 状态（CVD_fast 和 CVD_mid 不一致时）的处理逻辑：方向取 CVD_fast，但标记为不触发信号，可用于反向平仓判断。
+
+## Source Refs
+- `backend/signal_engine.py:1-16` — CVD/ATR/VWAP/P95/P99 架构注释
+- `backend/signal_engine.py:69-81` — Paper trading 参数定义（R、tier 倍数）
+- `backend/signal_engine.py:170-207` — TradeWindow 类（CVD/VWAP 定义）
+- `backend/signal_engine.py:209-257` — ATRCalculator 类
+- `backend/signal_engine.py:410-651` — evaluate_signal（各层评分逻辑）
+- `backend/strategies/v51_baseline.json`, `v52_8signals.json` — 策略参数
+- `backend/trade_config.py` — 交易对精度配置
+- `frontend/app/page.tsx:186` — "万分之" 显示注释

docs/ai/99-open-questions.md

@@ -0,0 +1,141 @@
+---
+generated_by: repo-insight
+version: 1
+created: 2026-03-03
+last_updated: 2026-03-03
+source_commit: 0d9dffa
+coverage: deep
+---
+
+# 99 — Open Questions
+
+## Purpose
+记录文档生成过程中发现的未解决问题、不确定点和潜在风险。
+
+## TL;DR
+- `requirements.txt` 不完整，实际依赖需手动补齐。
+- `users` 表在两个地方定义且 schema 不一致（db.py vs auth.py）。
+- live_executor / risk_guard 直连 Cloud SQL 但 signal_engine 写本地 PG，存在数据同步延迟风险。
+- 策略是否支持热重载（每次循环重读 JSON）未确认。
+- uvicorn 监听端口 4332 未在启动脚本中显式确认。
+- 无 CI/CD，无自动化测试。
+
+## Open Questions
+
+### 高优先级（影响正确性）
+
+#### Q1：users 表 schema 双定义不一致
+**问题**：`db.py` 的 `SCHEMA_SQL` 和 `auth.py` 的 `AUTH_SCHEMA` 均定义了 `users` 表，但字段不同：
+- `db.py` 版本：`id, email, password_hash, role, created_at`（无 `discord_id`、无 `banned`）
+- `auth.py` 版本：`id, email, password_hash, discord_id, role, banned, created_at`
+
+`init_schema()` 和 `ensure_auth_tables()` 都在 FastAPI startup 中调用，两次 `CREATE TABLE IF NOT EXISTS` 第一次成功后第二次静默跳过。**实际创建的是哪个版本？** 取决于调用顺序（先 `init_schema` 后 `ensure_auth_tables`），如果本地 PG 已有旧版表则字段可能缺失。
+
+**影响**：auth 相关功能（discord_id 关联、banned 状态检查）可能在 schema 未更新的环境下失效。
+
+**建议行动**：统一到 auth.py 版本，或添加 `ALTER TABLE ... ADD COLUMN IF NOT EXISTS` 迁移。
+
+**来源**：`db.py:269-276`，`auth.py:28-37`
+
+---
+
+#### Q2：live_executor 读 Cloud SQL，signal_engine 写本地 PG，双写延迟是否可接受
+**问题**：signal_engine 写入本地 PG（`signal_indicators`），同时双写 Cloud SQL；live_executor 直连 Cloud SQL 读取信号。若某次双写失败或延迟，live_executor 可能错过信号或读到不一致数据。
+
+**影响**：实盘信号丢失或执行延迟。
+
+**建议行动**：确认 NOTIFY 是否也发送到 Cloud SQL（即 live_executor 通过 LISTEN 接收信号，不依赖轮询读表）；或将 live_executor 改为连接本地 PG。
+
+**来源**：`live_executor.py:50-55`，`db.py:76-95`
+
+---
+
+#### Q3：requirements.txt 不完整
+**问题**：`requirements.txt` 只列出 `fastapi, uvicorn, httpx, python-dotenv, psutil`，但源码还 import 了 `asyncpg`、`psycopg2`（用于 psycopg2-binary）、`aiohttp`、`websockets`（推断）等。
+
+**影响**：新环境安装后进程无法启动。
+
+**建议行动**：执行 `pip freeze > requirements.txt` 或手动补全所有依赖。
+
+**来源**：`backend/requirements.txt:1-5`，`backend/db.py:9-11`，`backend/live_executor.py:28-29`
+
+---
+
+### 中优先级（影响维护性）
+
+#### Q4：策略 JSON 是否支持热重载
+**问题**：`load_strategy_configs()` 在 `main()` 函数开头调用一次。不清楚 signal_engine 的主循环是否每次迭代都重新调用此函数。
+
+**影响**：如果不支持热重载，修改策略 JSON 后需要重启 signal_engine 进程。
+
+**来源**：`signal_engine.py:44-67, 964`（需查看 main 函数结构）
+
+---
+
+#### Q5：uvicorn 端口确认
+**问题**：从 `frontend/next.config.ts` 推断 uvicorn 运行在 `127.0.0.1:4332`，但没有找到后端启动脚本明确指定此端口。
+
+**建议行动**：在 `ecosystem.dev.config.js` 或启动脚本中显式记录端口。
+
+**来源**：`frontend/next.config.ts:8`
+
+---
+
+#### Q6：market_indicators 表 schema 未在 SCHEMA_SQL 中定义
+**问题**：signal_engine 从 `market_indicators` 表读取数据（指标类型：`long_short_ratio`, `top_trader_position`, `open_interest_hist`, `coinbase_premium`, `funding_rate`），但该表的 CREATE TABLE 语句不在 `db.py` 的 `SCHEMA_SQL` 中。
+
+**影响**：表由 `market_data_collector.py` 单独创建；如果该进程未运行过，表不存在，signal_engine 会报错或返回空数据。
+
+**建议行动**：将 `market_indicators` 表定义加入 `SCHEMA_SQL`，确保 `init_schema()` 能覆盖全量 schema。
+
+**来源**：`signal_engine.py:123-158`，`db.py:166-357`（未见 market_indicators 定义）
+
+---
+
+#### Q7：liquidations 表 schema 未确认
+**问题**：signal_engine 查询 `liquidations` 表（`SELECT FROM liquidations WHERE symbol=%s AND trade_time >= %s`），但该表定义在 `SCHEMA_SQL` 中同样未找到。可能由 `liquidation_collector.py` 自行创建。
+
+**来源**：`signal_engine.py:395-407`，`liquidation_collector.py:28`（`ensure_table()` 函数）
+
+---
+
+### 低优先级（长期健康度）
+
+#### Q8：无 CI/CD 流水线
+**问题**：仓库中没有 `.github/workflows/`、Dockerfile、docker-compose.yml 等部署自动化文件。所有部署为手动操作（ssh + git pull + pm2 restart）。
+
+**建议行动**：添加 GitHub Actions 用于基本 lint 检查和依赖安全扫描。
+
+---
+
+#### Q9：无自动化测试
+**问题**：未发现任何测试文件（`test_*.py`、`*.test.ts` 等）。策略验证完全依赖人工回测和模拟盘。
+
+**建议行动**：至少为 `evaluate_signal()`、`TradeWindow`、`ATRCalculator` 添加单元测试，防止重构回归。
+
+---
+
+#### Q10：生产环境硬编码密码风险
+**问题**：`db.py`、`live_executor.py`、`risk_guard.py` 中均有 testnet 默认密码 `arb_engine_2026` 硬编码在源代码里（通过 `os.getenv(..., "arb_engine_2026")` 方式）。
+
+**影响**：代码一旦泄露，testnet 数据库可被访问；生产环境如果环境变量设置失败，会静默使用错误密码（失败时的错误信息较明确，但仍有风险）。
+
+**建议行动**：testnet 默认密码移除或通过单独的 `.env.testnet` 文件管理，不内嵌到源代码。
+
+**来源**：`db.py:19`，`live_executor.py:44`，`risk_guard.py:42`
+
+---
+
+#### Q11：`signal_indicators` 表含 `strategy` 字段但 schema 未声明
+**问题**：`save_indicator()` 函数的 INSERT 语句包含 `strategy` 字段，但 `SCHEMA_SQL` 中的 `signal_indicators` 表定义不包含该字段。可能通过 `ALTER TABLE ADD COLUMN IF NOT EXISTS` 在运行时补充，或是后续版本添加但忘记更新 schema。
+
+**来源**：`signal_engine.py:690-699`，`db.py:205-224`（signal_indicators 定义）
+
+## Source Refs
+- `backend/db.py:269-276` — db.py 版 users 表
+- `backend/auth.py:28-37` — auth.py 版 users 表（含 discord_id, banned）
+- `backend/requirements.txt` — 不完整的依赖列表
+- `backend/live_executor.py:44, 50-55` — DB_HOST 和默认密码
+- `backend/risk_guard.py:42, 47-53` — DB_HOST 和默认密码
+- `backend/signal_engine.py:395-407` — liquidations 表查询
+- `backend/signal_engine.py:690-699` — strategy 字段 INSERT

docs/ai/INDEX.md

@@ -0,0 +1,52 @@
+---
+generated_by: repo-insight
+version: 1
+created: 2026-03-03
+last_updated: 2026-03-03
+source_commit: 0d9dffa
+coverage: deep
+---
+
+# Arbitrage Engine — AI Documentation Index
+
+**Project**: `arbitrage-engine`
+**Summary**: Full-stack crypto perpetual futures funding-rate arbitrage monitoring and V5.x CVD/ATR-based short-term trading signal engine. Python/FastAPI backend + Next.js frontend + PostgreSQL + Binance USDC-M Futures.
+
+## Generated Documents
+
+| File | Description |
+|------|-------------|
+| [00-system-overview.md](./00-system-overview.md) | Project purpose, tech stack, repo layout, entry points, environment variables |
+| [01-architecture-map.md](./01-architecture-map.md) | Multi-process architecture, component diagram, signal pipeline data flow, risk guard rules, frontend polling |
+| [02-module-cheatsheet.md](./02-module-cheatsheet.md) | Module-by-module index: role, public interfaces, dependencies for all 20 backend + 15 frontend files |
+| [03-api-contracts.md](./03-api-contracts.md) | All REST endpoints, auth flows, request/response shapes, error conventions |
+| [04-data-model.md](./04-data-model.md) | All PostgreSQL tables, columns, partitioning strategy, storage design decisions |
+| [05-build-run-test.md](./05-build-run-test.md) | 构建/运行/部署命令，环境变量，PM2 配置，回测和模拟盘操作 |
+| [06-decision-log.md](./06-decision-log.md) | 9 项关键技术决策：PG 消息总线、循环间隔、双写、分区、自研 JWT 等 |
+| [07-glossary.md](./07-glossary.md) | 交易术语（CVD/ATR/R/tier）+ 工程术语（paper trading/warmup/circuit break） |
+| [99-open-questions.md](./99-open-questions.md) | 11 个未解决问题：users 表双定义冲突、依赖不完整、硬编码密码、无测试等 |
+
+## Recommended Reading Order
+
+1. **Start here**: `00-system-overview.md` — 了解项目定位和结构。
+2. **Architecture**: `01-architecture-map.md` — 理解 7+ 进程的交互方式。
+3. **Data**: `04-data-model.md` — 任何 DB 相关工作的必读；注意时间戳格式不统一问题。
+4. **API**: `03-api-contracts.md` — 前端开发或 API 对接时参考。
+5. **Module detail**: `02-module-cheatsheet.md` — 修改特定文件前的参考。
+6. **Ops**: `05-build-run-test.md` — 部署和运维操作。
+7. **Concepts**: `07-glossary.md` — 不熟悉量化术语时查阅。
+8. **Risks**: `99-open-questions.md` — 开始开发前必读，了解已知风险点。
+
+## Coverage Tier
+**Deep** — 包含完整的模块签名读取、核心业务模块深度阅读（signal_engine 全文、evaluate_signal 评分逻辑、backtest.py）、构建运行指南、决策日志、术语表和开放问题。
+
+## Key Facts for AI Agents
+- **Signal engine is the core**: `backend/signal_engine.py` — change with care; affects all trading modes.
+- **Strategy tuning via JSON**: modify `backend/strategies/v51_baseline.json` or `v52_8signals.json` to change signal weights/thresholds without code changes.
+- **No ORM**: raw SQL via `asyncpg`/`psycopg2`; schema in `db.py:SCHEMA_SQL`.
+- **Auth is custom JWT**: no third-party auth library; hand-rolled HMAC-SHA256 in `auth.py`.
+- **`TRADE_ENV=testnet` default**: production use requires explicit env override + strong JWT_SECRET.
+- **Dual timestamp formats**: `ts` = Unix seconds, `time_ms`/`entry_ts`/`timestamp_ms` = Unix milliseconds — do not confuse.
+
+## Generation Timestamp
+2026-03-03T00:00:00 (UTC)

docs/arbitrage-engine/execution-state-machine.md

@@ -0,0 +1,251 @@
+# V5.4 Execution State Machine
+
+本文档描述 V5.4 策略的执行层状态机设计，重点是 maker/taker 组合策略，确保在不牺牲入场/出场时效性的前提下，最大程度降低手续费与滑点摩擦。
+
+设计目标：
+- 将"信号质量"和"执行质量"解耦，执行层只负责：更便宜、更稳定地实现既定 TP/SL/flip/timeout 规则。
+- 入场阶段在不丢失大行情的前提下尽量使用 maker；
+- 出场阶段 TP 强制 maker 主路径，同时用 taker 做安全兜底；
+- SL 始终使用 taker，优先保证风控。
+
+---
+
+## 1. 入场状态机（Entry State Machine）
+
+### 1.1 状态定义
+
+- `IDLE`：无持仓、无挂单，等待信号。
+- `ENTRY_PENDING_MAKER`：已下入场限价挂单（post-only），等待成交或超时。
+- `ENTRY_FILL`：入场成交完成（全仓或部分）。
+- `ENTRY_FALLBACK_TAKER`：超时后使用 taker 市价单补齐未成交部分。
+
+### 1.2 关键参数
+
+- `entry_price_signal`：信号引擎给出的入场参考价（通常为最新价或中间价 mid）。
+- `tick_size`：交易所最小价格步长。
+- `entry_offset_ticks`：maker 入场挂单相对盘口的偏移（通常为 1–2 个 tick）。
+- `entry_timeout_ms`：入场 maker 挂单最大等待时间（如 3000–5000ms）。
+- `entry_fallback_slippage_bps`：fallback taker 允许的最大滑点（基础保护，超出则放弃补仓或缩小仓位）。
+
+### 1.3 状态机伪代码
+
+```pseudo
+state = IDLE
+
+on_signal_open(signal):
+  if state != IDLE:
+    return  // 避免重复入场
+
+  // 计算 maker 挂单价格
+  side = signal.side  // LONG or SHORT
+  ref_price = best_bid_ask_mid()
+
+  if side == LONG:
+    entry_price_maker = min(ref_price, best_bid() + entry_offset_ticks * tick_size)
+  else:  // SHORT
+    entry_price_maker = max(ref_price, best_ask() - entry_offset_ticks * tick_size)
+
+  // 下 post-only 入场挂单
+  order_id = place_limit_post_only(side, entry_price_maker, target_size)
+  entry_start_ts = now()
+  state = ENTRY_PENDING_MAKER
+
+
+on_timer():
+  if state == ENTRY_PENDING_MAKER:
+    if order_filled(order_id):
+      filled_size = get_filled_size(order_id)
+      if filled_size >= min_fill_ratio * target_size:
+        state = ENTRY_FILL
+        return
+
+    if now() - entry_start_ts >= entry_timeout_ms:
+      // 超时，取消剩余挂单
+      cancel_order(order_id)
+      remaining_size = target_size - get_filled_size(order_id)
+
+      if remaining_size <= 0:
+        state = ENTRY_FILL
+        return
+
+      // 兜底：按容忍滑点发市价单
+      mkt_price = best_bid_ask_mid()
+      theoretical_price = ref_price_at_signal
+      slippage_bps = abs(mkt_price - theoretical_price) / theoretical_price * 10000
+
+      if slippage_bps <= entry_fallback_slippage_bps:
+        place_market_order(side, remaining_size)
+        state = ENTRY_FILL
+      else:
+        // 滑点过大，放弃补仓或缩减仓位
+        state = ENTRY_FILL  // 仅保留已成交部分
+```
+
+---
+
+## 2. 出场状态机（TP/SL/Flip/Timeout）
+
+出场分为四类：TP（止盈）、SL（止损）、flip（信号翻转）、timeout（超时退出）。
+
+### 2.1 通用状态
+
+- `POSITION_OPEN`：持仓打开，已根据策略下好 TP/SL 限价单。
+- `TP_PENDING_MAKER`：TP 限价挂单等待成交。
+- `TP_FALLBACK_TAKER`：TP 越价未成交时，撤单+市价平仓兜底。
+- `SL_PENDING`：止损触发，直接发送 taker 单。
+- `FLIP_PENDING`：翻转触发，先平仓再反向开仓（可复用入场状态机）。
+- `TIMEOUT_PENDING`：超时触发，按策略规则离场（可偏 maker）。
+
+### 2.2 关键参数
+
+- `tp1_r`, `tp2_r`：TP1/TP2 的目标 R 距离（如 1.0R / 2.0R）。
+- `sl_r`：止损距离（如 -1.0R）。
+- `tp_timeout_ms`：价格越过 TP 水平后，TP 限价未成交的允许时间窗口。
+- `flip_threshold`：翻转触发条件（score + OBI + VWAP 等综合判断）。
+- `timeout_seconds`：最大持仓时间，用于 timeout 出场。
+
+### 2.3 TP 状态机（maker 主路径 + taker 兜底）
+
+```pseudo
+on_position_open(pos):
+  // 开仓后立即挂 TP1 限价单（maker）
+  tp1_price = pos.entry_price + pos.side * tp1_r * pos.risk_distance
+  tp2_price = pos.entry_price + pos.side * tp2_r * pos.risk_distance
+
+  // 半仓挂 TP1，半仓挂 TP2
+  tp1_id = place_limit_post_only(exit_side(pos.side), tp1_price, pos.size * 0.5)
+  tp2_id = place_limit_post_only(exit_side(pos.side), tp2_price, pos.size * 0.5)
+  pos.state = POSITION_OPEN
+
+
+on_timer():
+  if pos.state == POSITION_OPEN:
+    current_price = best_bid_ask_mid()
+
+    // 检查 TP1 越价兜底
+    tp1_crossed = (pos.side == LONG and current_price >= tp1_price) or
+                  (pos.side == SHORT and current_price <= tp1_price)
+    if tp1_crossed and not pos.tp1_cross_ts:
+      pos.tp1_cross_ts = now()
+
+    if pos.tp1_cross_ts:
+      if order_filled(tp1_id):
+        pos.tp1_cross_ts = None  // 成交，清除计时
+      elif now() - pos.tp1_cross_ts >= tp_timeout_ms:
+        cancel_order(tp1_id)
+        remaining = size_tp1 - get_filled_size(tp1_id)
+        if remaining > 0:
+          place_market_order(exit_side(pos.side), remaining)
+
+    // 检查 TP2 越价兜底
+    tp2_crossed = (pos.side == LONG and current_price >= tp2_price) or
+                  (pos.side == SHORT and current_price <= tp2_price)
+    if tp2_crossed and not pos.tp2_cross_ts:
+      pos.tp2_cross_ts = now()
+
+    if pos.tp2_cross_ts:
+      if order_filled(tp2_id):
+        pos.tp2_cross_ts = None
+      elif now() - pos.tp2_cross_ts >= tp_timeout_ms:
+        cancel_order(tp2_id)
+        remaining = size_tp2 - get_filled_size(tp2_id)
+        if remaining > 0:
+          place_market_order(exit_side(pos.side), remaining)
+
+  // 检查是否已全部平仓
+  if pos_size(pos) <= 0:
+    pos.state = CLOSED
+```
+
+### 2.4 SL 状态机（纯 taker）
+
+```pseudo
+on_sl_trigger(pos, sl_price):
+  // 触发条件可以来自价格监控或止损订单触发
+  // 这里策略层只关心：一旦触发，立即使用 taker
+  close_size = pos_size(pos)
+  if close_size > 0:
+    place_market_order(exit_side(pos.side), close_size)
+    pos.state = CLOSED
+```
+
+SL 不做 maker 逻辑，避免在极端行情下挂单无法成交。
+
+### 2.5 Flip 状态机（平旧仓 + 新开仓）
+
+```pseudo
+on_flip_signal(pos, new_side, flip_context):
+  if not flip_condition_met(flip_context):
+    return
+
+  // flip 条件：score < 85 AND OBI 翻转 AND 价格跌破 VWAP（三条件同时满足）
+  // flip_condition_met 由信号引擎判断
+
+  // 1) 先平旧仓（按 SL 逻辑，优先 taker）
+  close_size = pos_size(pos)
+  if close_size > 0:
+    place_market_order(exit_side(pos.side), close_size)
+
+  pos.state = CLOSED
+
+  // 2) 再按入场状态机开新仓
+  new_signal = build_signal_from_flip(new_side, flip_context)
+  entry_state_machine.on_signal_open(new_signal)
+```
+
+flip 的关键是：**门槛更高**（如 score < 85 且 OBI 翻转且价格跌破 VWAP），尽量减少在震荡行情中来回打脸。
+
+### 2.6 Timeout 状态机（超时出场）
+
+```pseudo
+on_timer():
+  if pos.state == POSITION_OPEN and now() - pos.open_ts >= timeout_seconds:
+    // 可以偏 maker：先挂限价平仓，超时再 taker
+    timeout_price = best_bid_ask_mid()
+    size = pos_size(pos)
+
+    oid = place_limit_post_only(exit_side(pos.side), timeout_price, size)
+    pos.timeout_order_id = oid
+    pos.timeout_start_ts = now()
+    pos.state = TIMEOUT_PENDING
+
+  if pos.state == TIMEOUT_PENDING:
+    if order_filled(pos.timeout_order_id):
+      pos.state = CLOSED
+    elif now() - pos.timeout_start_ts >= timeout_grace_ms:
+      cancel_order(pos.timeout_order_id)
+      remaining = pos_size(pos)
+      if remaining > 0:
+        place_market_order(exit_side(pos.side), remaining)
+      pos.state = CLOSED
+```
+
+---
+
+## 3. 监控指标（执行层 KPI）
+
+| 指标 | 说明 | 目标 |
+|------|------|------|
+| `maker_ratio_entry` | 入场成交中 maker 比例 | ≥ 50% |
+| `maker_ratio_tp` | TP 成交中 maker 比例 | ≥ 80% |
+| `avg_friction_cost_r` | 每笔平均摩擦成本（手续费+滑点，以 R 计） | ≤ 0.15R |
+| `entry_timeout_rate` | 入场超时触发 taker 兜底比例 | ≤ 30% |
+| `tp_overshoot_rate` | TP 越价后兜底比例 | ≤ 20% |
+| `flip_frequency` | 每笔持仓中 flip 次数 | ≤ 1次/持仓 |
+
+---
+
+## 4. 设计原则汇总
+
+| 场景 | 主路径 | 兜底 |
+|------|--------|------|
+| 入场 | limit post-only（盘口内侧 1-2 tick） | 超时 → taker（滑点容忍内） |
+| TP1 / TP2 | limit post-only（预挂） | 越价 X ms 未成交 → 撤单 + taker |
+| SL | — | 纯 taker，立即执行 |
+| Flip | 平仓用 taker，新开仓复用入场逻辑 | — |
+| Timeout | limit post-only | grace period 后 → taker |
+
+> **标签**：`#EXECUTION-MAKER-TAKER`  
+> **状态**：V5.4 设计文档，待 3/11 A/B test 结束后进入实现阶段  
+> **作者**：小范（xiaofan）+ 露露（lulu）  
+> **日期**：2026-03-06

docs/arbitrage-engine/funding-rate-arbitrage-plan.md

@@ -0,0 +1,205 @@
+---
+title: Funding Rate Arbitrage Plan v2
+---
+
+> 初版日期：2026年2月  
+> v2更新：2026年2月24日（露露×小周15轮联合数据验证）  
+> 数据来源：Binance官方API实算，覆盖2019-2026全周期
+
+---
+
+## 核心定位
+
+**自用低风险稳定收益策略**，不依赖行情判断，赚市场机制的钱。
+
+- 目标年化：全周期均值 **11-14%**（PM模式净值）
+- 风险等级：低（完全对冲，不暴露方向风险）
+- 对标：大幅优于债基（年化2%）、银行理财（3-4%）
+- 执行方式：**选好点位买入后长期持有不动**
+
+---
+
+## 原理
+
+永续合约每8小时结算一次资金费率：
+- 多头多 → 多头付钱给空头（费率为正）
+- 空头多 → 空头付钱给多头（费率为负）
+
+**套利做法**：现货买入 + 永续做空，完全对冲币价风险，净收资金费率（USDT结算）。
+
+```
+买入1 BTC现货（$96,000）
+做空1 BTC永续（$96,000，1倍杠杆）
+
+BTC涨跌：两边对冲，净盈亏=0
+资金费率：每8小时直接收USDT
+```
+
+---
+
+## 全周期真实数据（2019-2026，Binance实算）
+
+### BTC（BTCUSDT永续，2019.9至今）
+
+| 年份 | 年化毛收益 | 市场特征 |
+|------|-----------|---------|
+| 2019 | 7.48% | 起步期 |
+| 2020 | 17.19% | 牛市前奏 |
+| **2021** | **30.61%** | **大牛市** |
+| 2022 | 4.16% | 熊市 |
+| 2023 | 7.87% | 复苏 |
+| 2024 | 11.92% | 牛市 |
+| 2025 | 5.13% | 震荡 |
+| 2026 YTD | 2.71% | 震荡 |
+| **全周期均值** | **12.33%** | - |
+| **PM净年化** | **11.67%** | 扣0.06%手续费 |
+
+- 每8小时费率均值：0.011257%
+- 负费率占比：13.07%
+
+### ETH（ETHUSDT永续，2019.11至今）
+
+| 年份 | 年化毛收益 | 市场特征 |
+|------|-----------|---------|
+| 2019 | 8.91% | 起步期 |
+| 2020 | 27.41% | 牛市前奏 |
+| **2021** | **37.54%** | **大牛市** |
+| 2022 | 0.79% | 熊市 |
+| 2023 | 8.26% | 复苏 |
+| 2024 | 12.96% | 牛市 |
+| 2025 | 4.93% | 震荡 |
+| 2026 YTD | 0.83% | 震荡 |
+| **全周期均值** | **14.87%** | - |
+| **PM净年化** | **14.09%** | 扣0.06%手续费 |
+
+- 每8小时费率均值：0.013584%
+- 负费率占比：12.17%
+
+### BTC+ETH 50/50组合
+
+- **全周期组合年化毛收益：13.81%**
+- **PM净年化：13.08%**
+
+---
+
+## 关键结论（数据验证后确认）
+
+1. **全周期PM净年化11-14%**，远超债基和银行理财
+2. **收益是USDT**，不承受币价波动风险
+3. **费率为负时不动（A方案）**：负费率仅占12-13%，长期均值为正
+4. **只做BTC和ETH**：流动性最好、费率最稳定，不做山寨币
+5. **年际波动大**：牛市30%+，熊市0-4%，需要耐心
+6. **50万美金在BTC/ETH市场无滑点问题**
+7. **策略已被机构验证**：Ethena（TVL数十亿）、Binance Smart Arbitrage、Presto Research回测
+
+---
+
+## Portfolio Margin（组合保证金）· 必须开通
+
+**为什么必须用PM模式**：
+
+| 维度 | 传统模式 | Portfolio Margin |
+|------|---------|-----------------|
+| $50万可做规模 | ~$25万（一半做保证金） | ~$47.5万（95%利用率） |
+| 额外USDT需求 | 需$25万USDT | 不需要 |
+| 年化收益 | ~6%（资金效率低） | ~12%（资金效率高） |
+| 风险识别 | 不识别对冲 | 识别对冲，保证金需求低 |
+
+**PM关键信息**：
+- Binance 2024年10月已取消最低余额要求，所有用户可开
+- BTC/ETH抵押率：0.95（5%折扣）
+- 支持360+种加密货币作为抵押品
+
+**PM风控线**：
+- uniMMR < 1.35 → 内部预警
+- uniMMR < 1.25 → 评估减仓
+- uniMMR < 1.20 → Binance限制开新仓
+- uniMMR < 1.05 → 触发强平
+
+---
+
+## 执行流程
+
+### 开仓
+- 确认市场趋势（不急，等好点位）
+- 开通Portfolio Margin
+- 同时执行：现货买入BTC/ETH + 永续做空等值（1倍杠杆）
+
+### 持仓
+- **完全不动**，每8小时自动收取资金费率
+- 费率为负不平仓，长期均值为正
+- 只监控uniMMR安全垫
+
+### 平仓条件（极端情况）
+- 正常情况：**不平仓，长期持有**
+- 极端情况：uniMMR接近1.25时评估是否减仓
+
+---
+
+## 手续费说明（PM模式下影响极小）
+
+| 操作 | 0.06%费率档 | $50万单次 |
+|------|-----------|----------|
+| 现货买入 | 0.06% | $285 |
+| 永续开空 | 0.02% | $95 |
+| **开仓合计** | | **$380** |
+
+因为"买入后不动"，手续费只在开仓时发生一次。
+$50万本金年收益约$6万（12%），$380手续费可忽略。
+
+---
+
+## 风险清单
+
+| 风险 | 严重程度 | 说明 |
+|------|---------|------|
+| 市场周期 | ⚠️ 中 | 熊市年化可降至0-4%，但不亏本金 |
+| 费率持续为负 | 🟢 低 | 历史负费率占比仅12-13%，长期均值为正 |
+| 交易所对手方 | ⚠️ 中 | FTX教训，建议未来考虑分散 |
+| 爆仓（PM模式） | 🟢 低 | 1倍杠杆+对冲，理论需BTC翻倍才触发 |
+| 基差波动 | 🟢 低 | 长期持有不影响，只影响平仓时机 |
+
+---
+
+## 与替代方案对比
+
+| 方案 | 年化 | 风险 | 操作难度 | 备注 |
+|------|------|------|---------|------|
+| **本方案（自建）** | 11-14% | 低 | 中 | 完全自主可控 |
+| Ethena sUSDe | 4-15% | 中（合约风险） | 低 | DeFi，依赖协议安全 |
+| Binance Smart Arbitrage | 未知 | 低 | 低 | 官方产品，黑盒 |
+| 银行理财 | 3-4% | 极低 | 无 | 对标基准 |
+| 债基 | 2% | 低 | 无 | 对标基准 |
+
+---
+
+## 执行计划
+
+### 第一阶段：准备（现在）
+- [ ] 开通Binance Portfolio Margin
+- [ ] 确认VIP等级和手续费档位
+- [ ] 准备资金（USDT入金）
+
+### 第二阶段：模拟验证（可选，1-2个月）
+- [ ] 搭建模拟系统，实时跑数据验证
+- [ ] 对比模拟结果与历史回测
+
+### 第三阶段：入场
+- [ ] 等待合适入场时机（趋势确认）
+- [ ] 同时开BTC+ETH对冲仓位
+- [ ] 开始收费率
+
+### 第四阶段：长期持有
+- [ ] 每日检查uniMMR安全垫
+- [ ] 每周记录累计收益
+- [ ] 不主动平仓，长期持有
+
+---
+
+## 数据验证过程
+
+本文档数据经过露露（Claude Opus 4.6）和小周（GPT-5.3-Codex）15轮交叉验证：
+- 数据来源：Binance fapi/v1/fundingRate 官方API
+- 覆盖周期：2019年9月至2026年2月（约6.5年）
+- 验证内容：费率均值、年化收益、负费率占比、手续费敏感性、PM模式资金效率
+- 外部参考：Presto Research、Ethena、CoinCryptoRank、FMZ量化

docs/arbitrage-engine/index.mdx

@@ -0,0 +1,20 @@
+---
+title: Project ArbitrageEngine
+---
+
+套利引擎（ArbitrageEngine，简称 AE）— 资金费率自动化套利系统 + 短线交易信号系统。
+
+## 当前状态
+
+🟢 **V2-V4 已上线** — 权限管控 + aggTrades采集 + 成交流分析面板  
+🟡 **V5 方案定稿** — 短线交易信号系统，待开发  
+🔗 **面板地址**：https://arb.zhouyangclaw.com  
+⏳ **实盘阻塞**：等范总提供Binance API Key + PM + 资金
+
+## 文档
+
+- [V5 短线交易信号系统方案](/docs/project-arbitrage-engine/v5-signal-system) — 信号体系、风控、回测方案、开发路线图 🆕
+- [V2-V4 产品技术文档](/docs/project-arbitrage-engine/v2-v4-plan) — 权限管控 / aggTrades / 成交流面板
+- [Phase 0 开发进度](/docs/project-arbitrage-engine/phase0-progress) — 已完成功能、Git结构
+- [Funding Rate Arbitrage Plan v2](/docs/project-arbitrage-engine/funding-rate-arbitrage-plan) — 策略原理、数据验证、执行方案
+- [Requirements v1.3.1](/docs/project-arbitrage-engine/requirements-v1.3) — 完整PRD（产品+技术+商业）

docs/arbitrage-engine/phase0-progress.md

@@ -0,0 +1,138 @@
+---
+title: Phase 0 开发进度
+---
+
+> 更新日期：2026年2月27日  
+> 状态：🟡 Phase 0 进行中（监控面板已上线，SaaS MVP已上线）
+
+---
+
+## Phase 0 — 已完成
+
+### 监控面板（arb.zhouyangclaw.com）✅
+
+**上线时间**：2026-02-26
+
+**技术栈**：
+- 后端：FastAPI（Python，端口4332）
+- 前端：Next.js 16 + shadcn/ui + Tailwind + Recharts（端口4333）
+- 部署：小周服务器 34.84.9.167，Caddy反代，HTTPS
+
+**已实现功能**：
+
+| 页面 | 功能 | 状态 |
+|------|------|------|
+| 仪表盘（/） | BTC/ETH实时费率、标记价格、下次结算时间 | ✅ 2秒刷新 |
+| 历史（/history） | 过去7天费率走势图（Recharts折线图）+ 历史记录表格 | ✅ |
+| 信号（/signals） | 套利信号历史记录（触发时间/币种/年化） | ✅ |
+| 说明（/about） | 策略原理、历史年化数据表、风险说明 | ✅ |
+
+**API端点**：
+```
+GET /api/health     — 健康检查
+GET /api/rates      — 实时资金费率（BTC/ETH）
+GET /api/history    — 7天历史费率数据
+GET /api/stats      — 7天统计（均值/年化/50-50组合）
+```
+
+**性能优化**：
+- rates：3秒缓存（2秒前端刷新，不会触发限速）
+- history/stats：60秒缓存（避免Binance API限速）
+- User-Agent已设置（防403）
+
+---
+
+### 信号推送系统 ✅
+
+**逻辑**：BTC或ETH 7日年化 > 10% 时自动触发
+
+**推送渠道**：Discord Bot API（#agent-team频道）
+
+**信号格式**：
+```
+📊 套利信号
+BTC 7日年化: 12.33%
+ETH 7日年化: 8.17%
+建议：BTC 现货+永续对冲可开仓
+时间: 2026-02-26 14:00 UTC
+```
+
+**定时任务**：每小时检查一次（crontab，小周服务器）
+
+**数据库**：SQLite（arb.db），signal_logs表记录推送历史
+
+---
+
+### SaaS MVP 用户系统 ✅
+
+**上线时间**：2026-02-26
+
+**新增页面**：
+
+| 页面 | 功能 |
+|------|------|
+| /register | 邮箱+密码注册，支持绑定Discord ID |
+| /login | JWT登录 |
+| /dashboard | 用户面板：订阅等级、Discord绑定、升级入口 |
+
+**API端点**：
+```
+POST /api/auth/register      — 注册
+POST /api/auth/login         — 登录（返回JWT）
+POST /api/user/bind-discord  — 绑定Discord ID
+GET  /api/user/me            — 获取用户信息
+GET  /api/signals/history    — 信号历史
+```
+
+**订阅等级预设**（支付接入前为占位）：
+| 等级 | 价格 | 功能 |
+|------|------|------|
+| 免费 | ¥0 | 实时费率面板 |
+| Pro | ¥99/月 | 信号推送+历史数据 |
+| Premium | ¥299/月 | Pro全部+定制阈值+优先客服 |
+
+---
+
+## Git仓库
+
+- **地址**：https://git.darkerilclaw.com/lulu/arbitrage-engine
+- **主要目录结构**：
+  ```
+  backend/
+    main.py          — FastAPI主文件（rates/history/stats + 缓存）
+    auth.py          — 用户注册/登录/JWT
+    subscriptions.py — 订阅管理
+    signal_pusher.py — 信号检测+Discord推送
+  frontend/
+    app/
+      page.tsx       — 仪表盘
+      history/       — 历史页
+      signals/       — 信号历史页
+      about/         — 策略说明页
+      register/      — 注册页
+      login/         — 登录页
+      dashboard/     — 用户面板
+    components/
+      Navbar.tsx     — 响应式导航（手机端汉堡菜单）
+      RateCard.tsx   — 费率卡片
+      StatsCard.tsx  — 统计卡片
+      FundingChart.tsx — 费率走势图
+  ```
+
+---
+
+## Phase 1 — 待开发
+
+> 需范总提供Binance API Key后开始
+
+| 功能 | 依赖 | 预估工时 |
+|------|------|---------|
+| 接入真实Binance账户余额/持仓 | Binance API Key（只读权限） | 1天 |
+| 手动开仓/平仓界面 | 范总确认Portfolio Margin已开通 | 2天 |
+| 自动再平衡（持仓期间） | Phase 1基础完成后 | 2天 |
+| 风控熔断+自动告警 | — | 1天 |
+
+**Phase 1开启条件（范总需提供）**：
+1. Binance API Key（Read + Trade，禁止Withdraw）
+2. 确认Portfolio Margin账户已开通
+3. 初始资金就位（建议$500 = BTC$250 + ETH$250）

docs/arbitrage-engine/requirements-v1.3.md

@@ -0,0 +1,540 @@
+---
+title: Requirements v1.3.1
+---
+
+> 定稿日期：2026年2月24日  
+> 参与：露露（Claude Opus 4.6）、小周（GPT-5.3-Codex）、范总确认  
+> 状态：✅ 需求锁定，待开发  
+> 版本：v1.3.1（部署方案确认）
+
+---
+
+## 0. 文档定位
+
+- **文档类型**：项目基石级 PRD + 技术需求定稿（用于研发、验收、后续商业化）
+- **优先级**：安全性 > 可控性 > 稳定性 > 收益表现 > 开发速度
+- **约束前提**：先需求锁定，再开发；先 API 全测通，再实盘；先 Dry Run 1 周，再 Real
+
+---
+
+## 1. 项目定义与商业化定位
+
+- **产品名**：套利引擎（ArbitrageEngine，简称 AE）
+- **定位升级**：从 v1.2 的"范总单用户工具"升级为"可商业化产品雏形"
+  - Phase 1：服务范总实盘验证（单用户形态）
+  - 但架构上 Day1 预埋多租户和计费能力，避免二次重构
+- **核心价值主张**：
+  - 对用户：低门槛执行资金费率套利（PM + 风控 + 可视化）
+  - 对团队：沉淀可复制交易基础设施，具备对外 SaaS 化能力
+- **竞争差异化**：
+  - 完整前端（非CLI黑框）
+  - 安全第一（TOTP、审计、熔断）
+  - Dry Run验证（降低用户心理门槛）
+  - PM优化（资金效率提升）
+  - 自定义风控（非黑盒）
+
+---
+
+## 2. 目标与边界
+
+**目标（Phase 1）**：
+- Binance 上完成 BTC/ETH 对冲套利闭环
+- 支持 PM 模式，执行"开/平人工确认，中间自动运行"
+- 全链路审计、风控、告警、报表可用
+
+**非目标（Phase 1 不做）**：
+- 不做多交易所聚合
+- 不做自动择时开平仓
+- 不做资金托管与代客资管
+- 不做公开注册与支付计费（仅预埋）
+
+---
+
+## 3. 已确认业务决策（锁定）
+
+| 项目 | 确认结果 |
+|------|---------|
+| 执行模式 | C — 开仓/平仓需人工确认，持仓期间自动化 |
+| 初始实盘资金 | $500（BTC $250 + ETH $250） |
+| 收益处理 | 留账户复利，不自动提取 |
+| 部署服务器 | 小周服务器 34.84.9.167（GCP东京，Binance延迟11ms） |
+| 上线节奏 | Phase 0 API测通 → Dry Run 1周 → Real 2个月 |
+| 费率为负 | 完全不动（A方案） |
+
+---
+
+## 4. 系统状态机
+
+### 模式状态
+```
+DRY_RUN ──(Phase 0 checklist 100%通过 + 范总确认)──→ REAL
+REAL ──(手动降级)──→ DRY_RUN
+```
+
+### 交易生命周期
+```
+IDLE ──(用户点"开始执行"+二次确认)──→ OPENING
+OPENING ──(双腿成交+偏差≤1%)──→ HOLDING
+OPENING ──(单边失败+补偿失败/超时/API连续失败)──→ HALTED
+HOLDING ──(用户点"平仓"+确认)──→ CLOSING
+HOLDING ──(uniMMR<1.25)──→ HALTED（不自动平仓，禁止新操作，立即告警）
+CLOSING ──(双腿平完+仓位归零)──→ IDLE
+任意状态 ──(硬风控触发/关键系统异常)──→ HALTED
+HALTED ──(范总手动恢复)──→ IDLE
+```
+
+---
+
+## 5. 风控参数（硬编码，不可前端修改）
+
+| 参数 | 值 | 说明 |
+|------|-----|------|
+| 最大单次名义 | $600 | $500本金+20%缓冲 |
+| 最大滑点 | 0.10% | 超过取消下单 |
+| 最大对冲偏差 | 1.00% | \|spot-perp\|/target |
+| 最大杠杆 | 1x | 不可修改 |
+| uniMMR预警线 | 1.35 | 告警 |
+| uniMMR危险线 | 1.25 | 自动HALTED |
+| API失败熔断 | 连续5次 | 进入HALTED |
+| 单腿超时（补单） | 8s | 触发补单逻辑 |
+| 单腿超时（熔断） | 30s | 触发HALTED |
+| 时钟漂移阈值 | >1000ms | 禁止交易请求 |
+
+---
+
+## 6. Dry Run 对照机制
+
+Dry Run 期间必须记录"拟交易账本"：
+- 拟下单价格、拟成交数量、拟手续费、拟持仓
+- 拟资金费率收入（按实际市场费率与拟仓位估算）
+
+**产出对照报告**：
+- 如果 Real 执行，理论会得到的收益区间
+- 引擎计算准确性与一致性验证
+
+**通过标准**：Dry Run 1周内无关键错配、无状态机死锁、无风险漏报
+
+---
+
+## 7. 功能模块清单（Phase 1）
+
+### 认证与安全
+- 账号密码 + TOTP（Google Authenticator）
+- 会话超时（30分钟）
+- 连续登录失败锁定（5次失败后锁定15分钟）
+- 审计日志全记录（append-only）
+
+### Binance 接入
+- API权限自检（Read/Trade only，禁Withdraw）
+- 行情、费率、账户、持仓、下单、回查
+- 连接状态实时监控（心跳检测）
+- API调用频率控制（避免触发限流）
+
+### 执行引擎
+- REST并发下单（现货买入 + 永续做空同时发出）
+- WebSocket订阅成交回报、仓位变化
+- 单边失败补偿、对冲偏差修复、熔断
+- 下单前检查：余额、价格、滑点预估
+
+### 监控告警
+- uniMMR、对冲偏差、当前/预测费率、累计收益
+- Discord实时告警 + 每日自动汇报
+- 双通道告警预留（Discord + 邮件/短信）
+
+### 报表
+- 8小时/日/周/月收益统计
+- 手续费统计、资金费率贡献
+- 净值曲线图表
+- Dry Run对照报告
+
+### 运维
+- PM2健康检查、自动拉起
+- 重启后自动对账恢复
+- 分api/worker进程
+
+---
+
+## 8. 多租户架构预埋（v1.3核心新增）
+
+### 数据模型要求
+- 所有核心业务表强制包含 `user_id`（或 `tenant_id`）
+
+### 执行隔离要求
+- Worker任务必须携带 `user_id` 上下文
+- 严禁跨用户读取订单、仓位、密钥、日志
+
+### 密钥管理
+- 按用户分区加密存储（每用户独立密钥上下文）
+- 主密钥与业务库分离，密钥不落盘
+
+### 权限模型预留
+- 用户表保留 `role` 字段（RBAC扩展位）
+- 前端不写死"唯一管理员"
+
+### 审计不可篡改
+- 审计日志 append-only，禁止更新/删除业务接口
+- 仅允许归档，不允许逻辑改写
+- 预留哈希链字段（后续可选）
+
+---
+
+## 9. Binance API 接口清单
+
+### 认证与账户（Phase 0 必测）
+| 接口 | 用途 |
+|------|------|
+| `GET /api/v3/account` | Spot账户资产、权限 |
+| `GET /fapi/v2/account` | Futures账户信息 |
+| `GET /fapi/v2/balance` | Futures余额 |
+| `GET /fapi/v2/positionRisk` | 永续持仓风险 |
+| `GET /fapi/v1/leverageBracket` | 杠杆/名义分档 |
+| `GET /sapi/v1/portfolio/account` | PM账户信息 |
+
+### 行情与费率
+| 接口 | 用途 |
+|------|------|
+| `GET /api/v3/ticker/bookTicker` | Spot最优买卖价 |
+| `GET /fapi/v1/ticker/bookTicker` | Perp最优买卖价 |
+| `GET /fapi/v1/premiumIndex` | 标记价格+当前/预测费率 |
+| `GET /fapi/v1/fundingRate` | 历史费率 |
+| `GET /api/v3/depth` | Spot深度（滑点估算） |
+| `GET /fapi/v1/depth` | Perp深度（滑点估算） |
+
+### 交易执行
+| 接口 | 用途 |
+|------|------|
+| `POST /api/v3/order` | Spot下单（市价/限价） |
+| `GET /api/v3/order` | Spot订单回查 |
+| `DELETE /api/v3/order` | Spot撤单 |
+| `POST /fapi/v1/order` | Futures下单（开空/平空） |
+| `GET /fapi/v1/order` | Futures订单回查 |
+| `DELETE /fapi/v1/order` | Futures撤单 |
+| `GET /fapi/v1/openOrders` | 未完成单查询 |
+| WebSocket listenKey | 成交回报+仓位变化 |
+
+### 资金与收益
+| 接口 | 用途 |
+|------|------|
+| `GET /fapi/v1/income` | 资金费率收入、手续费、盈亏 |
+| `GET /fapi/v2/positionRisk` | 未实现PnL、保证金风险 |
+
+---
+
+## 10. 前端页面清单
+
+### `/login`
+- 用户名/密码 + TOTP输入
+- 登录审计记录
+
+### `/dashboard`
+- 当前模式（Dry Run / Real）+ 状态机状态
+- BTC/ETH仓位卡片：持仓量、对冲偏差、当前/预测费率
+- uniMMR + 风险灯（🟢 >1.35 / 🟡 1.25-1.35 / 🔴 <1.25）
+- 当日收益、累计收益、手续费
+- 净值收益曲线图
+
+### `/execute`
+- 参数展示（只读）：BTC $250 / ETH $250
+- 「开始执行（开仓）」按钮（二次确认弹窗）
+- 「请求平仓」按钮（二次确认弹窗）
+- 执行过程实时日志流（SSE）
+
+### `/risk`
+- 风控阈值参数表（只读展示）
+- 告警历史列表
+- 熔断记录 + 恢复操作按钮
+
+### `/records`
+- 订单记录（Spot/Futures，可筛选）
+- 费率收入记录（8h维度，可按日/周/月汇总）
+- 审计日志（全操作记录）
+
+### `/settings`
+- API Key配置（加密存储，显示为***）
+- Discord Webhook配置
+- 模式切换（Dry Run ↔ Real，需二次确认）
+
+---
+
+## 11. 数据库结构（PostgreSQL，v1.3）
+
+```sql
+-- 用户（多租户预埋）
+CREATE TABLE users (
+  id SERIAL PRIMARY KEY,
+  username VARCHAR(64) UNIQUE NOT NULL,
+  password_hash VARCHAR(256) NOT NULL,
+  totp_secret_enc VARCHAR(256) NOT NULL,
+  role VARCHAR(16) DEFAULT 'admin', -- RBAC预留
+  status VARCHAR(16) DEFAULT 'active',
+  created_at TIMESTAMPTZ DEFAULT NOW(),
+  last_login_at TIMESTAMPTZ
+);
+
+-- API凭据（按用户分区）
+CREATE TABLE api_credentials (
+  id SERIAL PRIMARY KEY,
+  user_id INT REFERENCES users(id) NOT NULL,
+  account_name VARCHAR(64),
+  api_key_enc TEXT NOT NULL,
+  api_secret_enc TEXT NOT NULL,
+  perm_read BOOLEAN DEFAULT true,
+  perm_trade BOOLEAN DEFAULT true,
+  perm_withdraw BOOLEAN DEFAULT false,
+  ip_whitelist_ok BOOLEAN DEFAULT false,
+  pm_enabled BOOLEAN DEFAULT false,
+  created_at TIMESTAMPTZ DEFAULT NOW(),
+  updated_at TIMESTAMPTZ DEFAULT NOW()
+);
+
+-- 策略实例
+CREATE TABLE strategy_instances (
+  id SERIAL PRIMARY KEY,
+  user_id INT REFERENCES users(id) NOT NULL,
+  mode VARCHAR(16) NOT NULL, -- DRY_RUN / REAL
+  state VARCHAR(16) NOT NULL, -- IDLE / OPENING / HOLDING / CLOSING / HALTED
+  base_capital DECIMAL(18,2),
+  btc_alloc DECIMAL(18,2),
+  eth_alloc DECIMAL(18,2),
+  started_at TIMESTAMPTZ,
+  closed_at TIMESTAMPTZ
+);
+
+-- 订单
+CREATE TABLE orders (
+  id SERIAL PRIMARY KEY,
+  user_id INT REFERENCES users(id) NOT NULL,
+  strategy_id INT REFERENCES strategy_instances(id),
+  venue VARCHAR(8) NOT NULL, -- SPOT / FUTURES
+  symbol VARCHAR(16) NOT NULL,
+  side VARCHAR(8) NOT NULL,
+  type VARCHAR(16) NOT NULL,
+  client_order_id VARCHAR(64),
+  exchange_order_id VARCHAR(64),
+  price DECIMAL(18,8),
+  orig_qty DECIMAL(18,8),
+  executed_qty DECIMAL(18,8),
+  status VARCHAR(16),
+  is_reduce_only BOOLEAN DEFAULT false,
+  created_at TIMESTAMPTZ DEFAULT NOW(),
+  updated_at TIMESTAMPTZ DEFAULT NOW()
+);
+
+-- 仓位快照
+CREATE TABLE positions_snapshot (
+  id SERIAL PRIMARY KEY,
+  user_id INT REFERENCES users(id) NOT NULL,
+  strategy_id INT REFERENCES strategy_instances(id),
+  symbol VARCHAR(16) NOT NULL,
+  spot_qty DECIMAL(18,8),
+  futures_qty DECIMAL(18,8),
+  spot_notional DECIMAL(18,2),
+  futures_notional DECIMAL(18,2),
+  hedge_deviation DECIMAL(8,4),
+  mark_price DECIMAL(18,2),
+  captured_at TIMESTAMPTZ DEFAULT NOW()
+);
+
+-- 资金费率收入
+CREATE TABLE funding_income (
+  id SERIAL PRIMARY KEY,
+  user_id INT REFERENCES users(id) NOT NULL,
+  symbol VARCHAR(16) NOT NULL,
+  funding_time TIMESTAMPTZ NOT NULL,
+  income_asset VARCHAR(8),
+  income_amount DECIMAL(18,8),
+  rate DECIMAL(18,8),
+  position_notional DECIMAL(18,2),
+  source_tx_id VARCHAR(64)
+);
+
+-- 风控事件
+CREATE TABLE risk_events (
+  id SERIAL PRIMARY KEY,
+  user_id INT REFERENCES users(id) NOT NULL,
+  strategy_id INT REFERENCES strategy_instances(id),
+  event_type VARCHAR(32) NOT NULL,
+  severity VARCHAR(16) NOT NULL,
+  metric_value DECIMAL(18,8),
+  threshold_value DECIMAL(18,8),
+  action_taken VARCHAR(64),
+  created_at TIMESTAMPTZ DEFAULT NOW()
+);
+
+-- 审计日志（append-only，不可删改）
+CREATE TABLE audit_logs (
+  id SERIAL PRIMARY KEY,
+  user_id INT REFERENCES users(id),
+  actor VARCHAR(64) NOT NULL,
+  action VARCHAR(64) NOT NULL,
+  target VARCHAR(128),
+  payload_json JSONB,
+  ip VARCHAR(64),
+  hash_chain VARCHAR(128), -- 预留哈希链字段
+  created_at TIMESTAMPTZ DEFAULT NOW()
+);
+
+-- 系统运行记录
+CREATE TABLE system_runs (
+  id SERIAL PRIMARY KEY,
+  user_id INT REFERENCES users(id) NOT NULL,
+  mode VARCHAR(16) NOT NULL,
+  start_at TIMESTAMPTZ NOT NULL,
+  end_at TIMESTAMPTZ,
+  result VARCHAR(16),
+  notes TEXT
+);
+```
+
+---
+
+## 12. 三阶段产品路线图
+
+| 阶段 | 目标 | 交付 | 预计周期 |
+|------|------|------|---------|
+| **Phase 1** | 范总$500跑通2个月 | 单用户验证版（含风控+审计+告警+报表） | 开发2-3周 + 实盘2月 |
+| **Phase 2** | 开放小规模内测 | 注册体系+RBAC+订阅计费+运维扩容 | 2-4周 |
+| **Phase 3** | 公开获客规模化 | 营销站点+渠道投放+客户成功+合规增强 | 持续 |
+
+---
+
+## 13. Phase 2 新增模块预览
+
+### 账户体系
+- 注册、邮箱验证、找回密码、设备管理、2FA强制策略
+
+### RBAC权限
+- Owner / Admin / Operator / Viewer 角色与资源权限矩阵
+
+### 订阅计费
+- 套餐分层、试用期、续费、到期降级、账单与发票记录
+
+### 多租户运维
+- 队列隔离、限流配额、租户级熔断、租户级监控面板
+
+### 客服与支持
+- 工单、系统公告、状态页
+
+---
+
+## 14. 商业模式设计
+
+### 方案A：SaaS订阅制（推荐先做）
+- 参考定价：$29 / $59 / $99 月费分层（按功能与账户规模）
+- 优势：合规压力相对低、收入稳定、扩展快
+- 用户资金在自己Binance账户，平台不碰钱
+
+### 方案B：收益分成制（后评估）
+- 管理费（1-2%/年）+ 超额收益分成（20%）
+- 风险：合规、牌照、托管责任显著上升
+
+### 建议路径
+- 先SaaS，再评估收益分成
+- 不在Phase 1/2落地资管模式
+
+---
+
+## 15. 技术选型（锁定）
+
+| 层 | 技术 | 说明 |
+|-----|------|------|
+| 执行层 | 自建引擎 | 不fork Hummingbot |
+| API层 | Binance官方SDK | `@binance/connector` |
+| 后端 | Node.js + Express | 和灵镜统一 |
+| 前端 | Next.js | 深色UI |
+| 数据库 | PostgreSQL | 多租户友好 |
+| 进程管理 | PM2 | 分api/worker |
+| 部署 | 34.84.9.167 (GCP东京) | Binance延迟11ms |
+
+---
+
+## 15.1 部署与网络安全方案（v1.3.1 新增）
+
+### 部署服务器
+- **机器**：34.84.9.167（GCP asia-northeast1-b）
+- **选择理由**：
+  - Binance API TCP延迟 11ms（露露服务器22ms的一半）
+  - 内存可用 6.4GB、磁盘可用 187GB
+  - 仅1个PM2服务运行，负载极低
+  - GCP基础设施安全性高于普通VPS
+  - 非root用户运行（fzq1228）
+
+### 网络访问方案（域名 + HTTPS + 强认证）
+- **访问方式**：子域名 + Caddy自动HTTPS
+- **不使用IP白名单**（范总IP不固定）
+- **安全靠认证层保障**：
+
+| 安全层 | 措施 |
+|--------|------|
+| 传输层 | HTTPS（Caddy自动TLS证书） |
+| 认证层 | 账号密码 + TOTP双因素 |
+| 会话层 | 30分钟超时自动登出 |
+| 防暴破 | 连续5次登录失败锁定15分钟 |
+| 审计层 | 所有登录/操作记录，append-only |
+| 数据库 | PostgreSQL仅监听localhost |
+| 进程隔离 | 单独系统用户运行套利引擎 |
+
+### GCP防火墙规则（需配置）
+- 开放端口：仅HTTPS（443）
+- 其他端口：全部关闭
+- SSH：仅密钥登录
+
+### Phase 2 安全升级路径
+- 可选：Cloudflare Zero Trust（Tunnel + Access认证）
+- 可选：WAF规则（防SQL注入/XSS）
+- 可选：Cloudflare Access策略（邮箱OTP二次验证）
+
+---
+
+## 16. Phase 0 验收Checklist
+
+### 认证与权限
+- [ ] API签名请求成功
+- [ ] 读取余额成功
+- [ ] 读取持仓成功
+- [ ] 验证无提现权限
+- [ ] PM状态可读
+
+### 行情与费率
+- [ ] Spot/Perp bookTicker可读
+- [ ] premiumIndex可读
+- [ ] fundingRate历史可拉取（BTC/ETH）
+- [ ] 深度数据可拉取
+
+### 交易闭环
+- [ ] Spot下单/回查/撤单成功
+- [ ] Futures下单/回查/撤单成功
+- [ ] WebSocket成交推送正常
+- [ ] 单腿失败补偿流程演练通过
+- [ ] 熔断触发与恢复流程通过
+
+### 风控机制
+- [ ] 滑点超阈拦截通过
+- [ ] 对冲偏差超阈拦截通过
+- [ ] API连续失败熔断通过
+- [ ] 重启后自动对账通过
+- [ ] uniMMR预警/危险触发通过
+
+### 报表与告警
+- [ ] 8小时收益计算正确
+- [ ] 每日汇报自动推送成功
+- [ ] 异常告警实时送达成功
+
+**验收标准**：Checklist 100%通过才允许进入 1周 Dry Run。
+
+---
+
+## 17. 风险与原则
+
+- **原则**：真金白银系统，宁慢勿错
+- **风险优先级**：执行错误 > 权限泄露 > 可用性 > 收益偏差
+- **处置原则**：触发风险先停机后恢复，先对账后继续
+
+---
+
+## 18. 下一步（文档后动作）
+
+1. 独立服务器准备完成
+2. API Key权限配置完成（Read+Trade，禁Withdraw，白名单）
+3. Phase 0执行计划与验收人确认
+4. 开始开发

docs/arbitrage-engine/strategy-plaza-data-contract.md

@@ -0,0 +1,203 @@
+# 策略广场 数据合约文档
+
+> 版本：v1.0  
+> 日期：2026-03-07  
+> 状态：待范总确认 ✅  
+> 作者：露露 + 小范  
+> 分支：`feature/strategy-plaza`
+
+---
+
+## 1. 功能概述
+
+**策略广场**（Strategy Plaza）将现有的 signals-v53 / paper-v53 / signals-v53fast 等分散页面整合为统一入口：
+
+- 总览页：策略卡片列表，展示每个策略的核心指标，30 秒自动刷新
+- 详情页：点击卡片进入，顶部 Tab 切换「信号引擎」和「模拟盘」视图
+
+---
+
+## 2. 前端路由
+
+| 路由 | 说明 |
+|------|------|
+| `/strategy-plaza` | 策略广场总览（卡片列表） |
+| `/strategy-plaza/[id]` | 策略详情页，默认「信号引擎」tab |
+| `/strategy-plaza/[id]?tab=paper` | 策略详情页「模拟盘」tab |
+
+**侧边栏变更：**
+- 新增「策略广场」单一入口
+- 原 `signals-v53` / `paper-v53` / `signals-v53fast` / `paper-v53fast` / `signals-v53middle` / `paper-v53middle` 页面：**保留但从侧边栏隐藏**（路由仍可访问）
+
+---
+
+## 3. API 设计
+
+### 3.1 `GET /api/strategy-plaza`
+
+返回所有策略的卡片摘要数据。
+
+**Response:**
+```json
+{
+  "strategies": [
+    {
+      "id": "v53",
+      "display_name": "V5.3 标准版",
+      "status": "running",
+      "started_at": 1741234567000,
+      "initial_balance": 10000,
+      "current_balance": 8693,
+      "net_usdt": -1307,
+      "net_r": -6.535,
+      "trade_count": 63,
+      "win_rate": 49.2,
+      "avg_win_r": 0.533,
+      "avg_loss_r": -0.721,
+      "open_positions": 0,
+      "pnl_usdt_24h": -320,
+      "pnl_r_24h": -1.6,
+      "std_r": 0.9,
+      "last_trade_at": 1741367890000
+    }
+  ]
+}
+```
+
+**字段说明：**
+
+| 字段 | 类型 | 说明 |
+|------|------|------|
+| `id` | string | 策略唯一标识，与 DB strategy 字段一致 |
+| `display_name` | string | 展示名称 |
+| `status` | string | `running` / `paused` / `error` |
+| `started_at` | number (ms) | 策略启动时间（暂用 paper_trades 第一条 entry_ts，后续补 strategy_meta 表） |
+| `initial_balance` | number | 初始余额 USDT，固定 10000 |
+| `current_balance` | number | 当前余额 = initial_balance + net_usdt |
+| `net_usdt` | number | 累计盈亏 USDT = SUM(pnl_r) × 200 |
+| `net_r` | number | 累计净 R |
+| `trade_count` | number | 已出场交易数 |
+| `win_rate` | number | 胜率 % |
+| `avg_win_r` | number | 平均赢单 R |
+| `avg_loss_r` | number | 平均亏单 R（负数） |
+| `open_positions` | number | 当前活跃持仓数（exit_ts IS NULL） |
+| `pnl_usdt_24h` | number | 最近 24h 盈亏 USDT |
+| `pnl_r_24h` | number | 最近 24h 净 R |
+| `std_r` | number | 所有已出场交易的 pnl_r 标准差（风险感知） |
+| `last_trade_at` | number (ms) | 最近一笔成交的 exit_ts |
+
+**status 判断逻辑：**
+- `running`：paper_config 中 enabled=true 且最近 signal_indicators 记录 < 5 分钟
+- `paused`：paper_config 中 enabled=false
+- `error`：paper_config 中 enabled=true 但 signal_indicators 最新记录 > 5 分钟
+
+---
+
+### 3.2 `GET /api/strategy-plaza/[id]/summary`
+
+返回单个策略的完整摘要，包含卡片字段 + 详情字段。
+
+**Response（在 3.1 基础上增加）:**
+```json
+{
+  "id": "v53",
+  "display_name": "V5.3 标准版",
+  "cvd_windows": "30m / 4h",
+  "description": "标准版：30分钟+4小时CVD双轨，适配1小时信号周期",
+  "symbols": ["BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT"],
+  "weights": {
+    "direction": 55,
+    "crowding": 25,
+    "environment": 15,
+    "auxiliary": 5
+  },
+  "thresholds": {
+    "signal_threshold": 75,
+    "flip_threshold": 85
+  },
+  "...所有 3.1 字段..."
+}
+```
+
+---
+
+### 3.3 `GET /api/strategy-plaza/[id]/signals`
+
+复用现有 `/api/signals` 逻辑，增加 `strategy` 过滤。接口参数和返回格式与现有保持一致。
+
+---
+
+### 3.4 `GET /api/strategy-plaza/[id]/trades`
+
+复用现有 `/api/paper-trades` 逻辑，增加 `strategy` 过滤。接口参数和返回格式与现有保持一致。
+
+---
+
+## 4. 数据来源映射
+
+| 字段 | 数据来源 |
+|------|---------|
+| `net_usdt`, `net_r`, `trade_count`, `win_rate`, `avg_win_r`, `avg_loss_r` | `paper_trades` WHERE strategy=id AND exit_ts IS NOT NULL |
+| `open_positions` | `paper_trades` WHERE strategy=id AND exit_ts IS NULL |
+| `pnl_usdt_24h`, `pnl_r_24h` | `paper_trades` WHERE strategy=id AND exit_ts > NOW()-24h |
+| `std_r` | STDDEV(pnl_r) FROM paper_trades WHERE strategy=id AND exit_ts IS NOT NULL |
+| `started_at` | MIN(entry_ts) FROM paper_trades WHERE strategy=id |
+| `last_trade_at` | MAX(exit_ts) FROM paper_trades WHERE strategy=id AND exit_ts IS NOT NULL |
+| `status` | paper_config.json + signal_indicators 最新记录时间 |
+| `cvd_windows`, `weights`, `thresholds` | backend/strategies/[id].json |
+
+---
+
+## 5. 前端组件规划
+
+### 5.1 总览页组件
+
+```
+StrategyPlaza
+└── StrategyCardGrid
+    └── StrategyCard (×N)
+        ├── 策略名 + status badge (running/paused/error)
+        ├── 运行时长 (now - started_at)
+        ├── 当前余额 / 初始余额
+        ├── 净盈亏 USDT + 净R（带颜色）
+        ├── 胜率
+        ├── 最近24h盈亏（小字）
+        └── 点击 → /strategy-plaza/[id]
+```
+
+### 5.2 详情页组件
+
+```
+StrategyDetail
+├── 顶部：策略名 + status + 运行时长
+├── Tab 切换：[信号引擎] [模拟盘]
+│
+├── Tab: 信号引擎
+│   └── 复用 SignalsV53Page 内容
+│
+└── Tab: 模拟盘
+    └── 复用 PaperV53Page 内容
+```
+
+---
+
+## 6. 实现计划
+
+| 阶段 | 内容 | 负责 |
+|------|------|------|
+| P0 | 后端 API `/api/strategy-plaza` | 露露 |
+| P1 | 后端 API `/api/strategy-plaza/[id]/summary` | 露露 |
+| P2 | 前端总览页（StrategyCard × 3） | 露露 |
+| P3 | 前端详情页（Tab + 复用现有组件） | 露露 |
+| P4 | 侧边栏整合（新增入口，隐藏旧页面） | 露露 |
+| Review | 代码审阅 + 逻辑验证 | 小范 |
+
+> 开发前等范总确认数据结构，不提前动代码。
+
+---
+
+## 7. 变更记录
+
+| 版本 | 日期 | 内容 |
+|------|------|------|
+| v1.0 | 2026-03-07 | 初版，露露起草 + 小范审阅 |

docs/arbitrage-engine/v2-v4-plan.mdx

@@ -0,0 +1,417 @@
+---
+title: Arbitrage Engine V2-V4 产品+技术文档
+description: 权限管控、aggTrades全量采集、成交流分析面板的完整设计
+---
+
+# Arbitrage Engine V2-V4 产品+技术文档
+
+## 1. 项目概述
+
+### 1.1 当前状态（V1.0 ✅）
+- 实时BTC/ETH资金费率监控（2秒刷新）
+- K线图（本地2秒粒度聚合，9个周期）
+- 历史费率走势 + 明细表
+- YTD年化统计
+- 信号推送（Discord）
+- 用户注册/登录框架（无鉴权保护）
+- URL: https://arb.zhouyangclaw.com
+
+### 1.2 战略升级方向
+从「公开费率监控面板」升级为「私有交易数据研究平台」。
+
+核心目标：
+1. 收集全量逐笔成交数据，建立独家数据资产
+2. 结合K线与成交流，研究价格变动的微观成因
+3. 通过复盘标注→模式识别→模拟盘验证，逐步量化短线策略
+4. 数据不公开，邀请制访问
+
+### 1.3 核心定位
+> 炒币是情绪盘，每一段价格背后都代表着集体情绪走向。K线是情绪的结果，成交流是情绪的过程。我们要看到过程。
+
+---
+
+## 2. V2.0 — 权限管控 + 邀请制
+
+### 2.1 JWT鉴权设计
+
+**Token体系：**
+| Token | 有效期 | 用途 |
+|-------|--------|------|
+| Access Token | 24小时 | API请求鉴权（放header） |
+| Refresh Token | 7天 | 刷新access token |
+
+**实现策略：** 在现有`auth.py`基础上增量改造，不重写。
+
+**新增接口：**
+- `POST /api/auth/login` → 返回 `{access_token, refresh_token, expires_in}`
+- `POST /api/auth/refresh` → 用refresh token换新access token
+- `POST /api/auth/register` → 注册（必须提供有效邀请码）
+- `GET /api/auth/me` → 当前用户信息
+
+**依赖库：** `python-jose[cryptography]` 或 `PyJWT`
+
+### 2.2 邀请码机制
+
+**表结构：**
+```sql
+CREATE TABLE invite_codes (
+    id INTEGER PRIMARY KEY AUTOINCREMENT,
+    code TEXT UNIQUE NOT NULL,        -- 8位随机码
+    created_by INTEGER,               -- admin user_id
+    max_uses INTEGER DEFAULT 1,       -- 默认一码一用
+    used_count INTEGER DEFAULT 0,
+    status TEXT DEFAULT 'active',     -- active/disabled/exhausted
+    expires_at TEXT,                  -- 可选过期时间
+    created_at TEXT DEFAULT (datetime('now'))
+);
+
+CREATE TABLE invite_usage (
+    id INTEGER PRIMARY KEY AUTOINCREMENT,
+    code_id INTEGER NOT NULL,
+    user_id INTEGER NOT NULL,
+    used_at TEXT DEFAULT (datetime('now')),
+    FOREIGN KEY (code_id) REFERENCES invite_codes(id),
+    FOREIGN KEY (user_id) REFERENCES users(id)
+);
+```
+
+**注册流程：**
+1. 用户填写邀请码 + 用户名 + 密码
+2. 后端验证：邀请码存在 + status=active + used_count < max_uses + 未过期
+3. 创建用户 → 记录使用 → used_count+1
+4. 返回JWT token对
+
+### 2.3 路由保护
+
+**公开路由（无需登录）：**
+- `GET /api/health`
+- `POST /api/auth/login`
+- `POST /api/auth/register`
+- `POST /api/auth/refresh`
+- `GET /api/rates`（基础费率，作为引流）
+
+**受保护路由（需登录）：**
+- `GET /api/kline`
+- `GET /api/snapshots`
+- `GET /api/history`
+- `GET /api/stats`
+- `GET /api/stats/ytd`
+- `GET /api/signals/history`
+- `GET /api/trades/*`（V3新增）
+- `GET /api/analysis/*`（V4新增）
+
+**Admin路由（需admin角色）：**
+- `POST /api/admin/invite-codes` — 生成邀请码
+- `GET /api/admin/invite-codes` — 查看所有邀请码
+- `DELETE /api/admin/invite-codes/:id` — 禁用邀请码
+- `GET /api/admin/users` — 查看所有用户
+- `PUT /api/admin/users/:id/ban` — 封禁用户
+
+### 2.4 权限模型
+
+| 资源 | Guest | User | Admin |
+|------|-------|------|-------|
+| 基础费率 | ✅ | ✅ | ✅ |
+| K线/历史/统计 | ❌ | ✅ | ✅ |
+| 成交流数据 | ❌ | ✅ | ✅ |
+| 分析面板 | ❌ | ✅ | ✅ |
+| 标注 | ❌ | ✅(自己) | ✅(全部) |
+| 邀请码管理 | ❌ | ❌ | ✅ |
+| 用户管理 | ❌ | ❌ | ✅ |
+
+### 2.5 Admin CLI工具
+
+```bash
+# 生成邀请码
+python3 admin_cli.py gen-invite --count 5
+
+# 查看邀请码状态
+python3 admin_cli.py list-invites
+
+# 禁用邀请码
+python3 admin_cli.py disable-invite CODE123
+
+# 查看用户
+python3 admin_cli.py list-users
+
+# 封禁用户
+python3 admin_cli.py ban-user 42
+```
+
+### 2.6 前端改造
+
+- 未登录用户：仪表盘只显示实时费率卡片（引流），其他区域显示blur遮挡 + 「登录后查看」
+- 登录页：用户名 + 密码 + 邀请码（注册时）
+- Token存储：`localStorage`（access_token + refresh_token）
+- 请求拦截器：自动带token、过期自动刷新
+- 401处理：跳转登录页
+
+### 2.7 验收标准
+- [ ] 无邀请码无法注册
+- [ ] 无token访问受保护API返回401
+- [ ] Token过期后refresh成功
+- [ ] Admin API非admin用户返回403
+- [ ] 前端未登录正确遮挡数据区域
+
+---
+
+## 3. V3.0 — aggTrades全量采集
+
+### 3.1 数据模型
+
+**按月分表，单库（arb.db）：**
+```sql
+-- 自动建表（每月1张）
+CREATE TABLE IF NOT EXISTS agg_trades_202602 (
+    agg_id INTEGER PRIMARY KEY,        -- Binance aggTradeId（天然唯一）
+    symbol TEXT NOT NULL,               -- BTCUSDT / ETHUSDT
+    price REAL NOT NULL,
+    qty REAL NOT NULL,
+    first_trade_id INTEGER,
+    last_trade_id INTEGER,
+    time_ms INTEGER NOT NULL,           -- 成交时间(毫秒)
+    is_buyer_maker INTEGER NOT NULL     -- 0=主动买, 1=主动卖
+);
+
+CREATE INDEX IF NOT EXISTS idx_agg_trades_202602_time
+    ON agg_trades_202602(symbol, time_ms);
+```
+
+**辅助表：**
+```sql
+CREATE TABLE agg_trades_meta (
+    symbol TEXT PRIMARY KEY,
+    last_agg_id INTEGER NOT NULL,       -- 最后写入的agg_id
+    last_time_ms INTEGER NOT NULL,      -- 最后写入的时间
+    updated_at TEXT DEFAULT (datetime('now'))
+);
+```
+
+### 3.2 采集架构
+
+```
+┌─────────────────────┐
+│  WebSocket主链路     │ ← wss://fstream.binance.com/ws/btcusdt@aggTrade
+│  (实时推送)          │ ← wss://fstream.binance.com/ws/ethusdt@aggTrade
+└──────┬──────────────┘
+       │ 攒200条 or 1秒
+       ▼
+┌─────────────────────┐
+│  批量写入器          │ → INSERT OR IGNORE INTO agg_trades_YYYYMM
+│  (去重+分表路由)     │ → UPDATE agg_trades_meta
+└──────┬──────────────┘
+       │
+┌──────┴──────────────┐
+│  补洞巡检（每分钟）  │ → 检查agg_id连续性
+│                     │ → REST /fapi/v1/aggTrades?fromId=X 补缺
+└─────────────────────┘
+```
+
+**断线重连流程：**
+1. WS断线 → 立即重连
+2. 读取`last_agg_id` → REST `fromId=last_agg_id+1` 批量拉取（每次1000条）
+3. 追平后切回WS流
+4. 全程记日志
+
+### 3.3 写入优化
+
+- 批量大小：200条 or 1秒（取先到者）
+- SQLite WAL模式 + `PRAGMA synchronous=NORMAL`
+- 单线程写入，避免锁竞争
+- 月初自动建新表
+
+### 3.4 去重策略
+
+- `agg_id`作为PRIMARY KEY，`INSERT OR IGNORE`天然去重
+- WS和REST可能有重叠，完全靠PK去重，零额外成本
+
+### 3.5 监控与告警
+
+| 指标 | 阈值 | 动作 |
+|------|------|------|
+| 采集中断 | >30秒无新数据 | Discord告警 |
+| agg_id断档 | 缺口>10 | 自动REST补洞 |
+| 写入延迟P95 | >500ms | 日志警告 |
+| 磁盘占用 | >80% | Discord告警 |
+| 日数据完整性 | 缺口率>0.1% | 日报标红 |
+
+### 3.6 存储容量规划
+
+| 时间跨度 | BTC | ETH | 合计 |
+|---------|-----|-----|------|
+| 1天 | ~200MB | ~150MB | ~350MB |
+| 1个月 | ~6GB | ~4.5GB | ~10.5GB |
+| 6个月 | ~36GB | ~27GB | ~63GB |
+| 1年 | ~73GB | ~55GB | ~128GB |
+
+200GB磁盘可存1年+。超出时按月归档到外部存储。
+
+### 3.7 数据查询接口（需登录）
+
+- `GET /api/trades/raw?symbol=BTC&start_ms=X&end_ms=Y&limit=10000` — 原始成交
+- `GET /api/trades/summary?symbol=BTC&start_ms=X&end_ms=Y&interval=1m` — 分钟级聚合
+  - 返回：`{time, buy_vol, sell_vol, delta, trade_count, vwap, max_single_qty}`
+
+### 3.8 验收标准
+- [ ] BTC/ETH双流并行采集，PM2常驻
+- [ ] agg_id连续性>99.9%
+- [ ] 断线重连+补洞在60秒内完成
+- [ ] 每日完整性报告自动生成
+- [ ] 查询API响应时间<2秒（10万条范围内）
+
+---
+
+## 4. V4.0 — 成交流分析面板
+
+### 4.1 页面布局
+
+```
+┌────────────────────────────────────────────┐
+│ [BTC▼] [时间范围选择] [1m 5m 15m]          │ ← 全局控制栏
+├────────────────────────────────────────────┤
+│                                            │
+│           K线图 (lightweight-charts)        │ ← 可框选时间段
+│                                            │
+├────────────────────────────────────────────┤
+│                                            │
+│     成交流热图 (ECharts heatmap)            │ ← 时间×价格×密度
+│     绿=主动买  红=主动卖                     │
+│                                            │
+├──────────────────────┬─────────────────────┤
+│ 时段摘要              │ 标注面板             │
+│ 总成交量: 1,234 BTC  │ [上涨前兆] [下跌前兆] │
+│ 买/卖比: 62%/38%     │ [震荡] [放量突破]     │
+│ Delta: +427 BTC      │                     │
+│ 最大单笔: 12.5 BTC   │ [保存标注]           │
+│ 成交速率: 89笔/秒    │ [AI分析] [导出]      │
+└──────────────────────┴─────────────────────┘
+```
+
+### 4.2 共享时间轴
+
+使用`zustand`或React Context管理全局时间范围：
+
+```typescript
+interface TimeRange {
+  startMs: number;
+  endMs: number;
+  source: 'kline' | 'heatmap' | 'control' | 'manual';
+}
+```
+
+K线框选、热图缩放、控制栏切换都更新同一个state，所有组件响应式联动。
+
+### 4.3 热图实现
+
+- 库：ECharts heatmap（首版）
+- 数据格式：`[timeMs, priceLevel, volume]`
+- 价格分档：按0.1%粒度（BTC约$67 = 1档）
+- 颜色映射：买量→绿色深度，卖量→红色深度
+- 数据量控制：15分钟窗口 ≈ 几千个格子，ECharts轻松渲染
+
+### 4.4 复盘工具交互
+
+**核心流程：**
+1. 选择日期和币种
+2. 浏览K线，找到明显波动区间
+3. 框选 → 下方热图+摘要自动聚焦
+4. 观察波动前5-15分钟的成交流特征
+5. 发现有意义的模式 → 标注保存
+6. 可选：点「AI分析」让AI解读该时段特征
+
+### 4.5 标注系统
+
+```sql
+CREATE TABLE annotations (
+    id INTEGER PRIMARY KEY AUTOINCREMENT,
+    user_id INTEGER NOT NULL,
+    symbol TEXT NOT NULL,
+    start_ms INTEGER NOT NULL,
+    end_ms INTEGER NOT NULL,
+    label TEXT NOT NULL,               -- 上涨前兆/下跌前兆/震荡/突破/假突破/洗盘...
+    note TEXT,                         -- 用户备注
+    confidence INTEGER DEFAULT 3,      -- 1-5 置信度
+    version INTEGER DEFAULT 1,         -- 版本号（修改时递增）
+    features_json TEXT,                -- 当时的特征快照（delta/速率/大单等）
+    created_at TEXT DEFAULT (datetime('now')),
+    updated_at TEXT,
+    FOREIGN KEY (user_id) REFERENCES users(id)
+);
+```
+
+### 4.6 AI辅助分析
+
+**流程：**
+```
+原始成交数据（该时段）
+    ↓ Python预处理（后端）
+结构化摘要（~500字）：
+  - 成交速率变化曲线（文字描述）
+  - Delta累计走势
+  - 大单列表（>平均5倍）
+  - 价格关键点（高低点+突破位）
+    ↓ AI分析
+结论+建议（~200字）
+```
+
+**Token消耗：** ~3000 token/次分析，成本忽略不计。
+
+### 4.7 验收标准
+- [ ] K线与热图时间同步，无偏移
+- [ ] 热图渲染15分钟窗口<1秒
+- [ ] 标注CRUD正常，支持版本回溯
+- [ ] AI分析响应<10秒
+- [ ] 手机端可用（响应式布局）
+
+---
+
+## 5. 开发排期
+
+| 版本 | 内容 | 预估工期 | 依赖 |
+|------|------|---------|------|
+| V2.0 | 权限管控+邀请制 | 2天 | 无 |
+| V3.0 | aggTrades全量采集 | 2天 | V2.0（受保护路由） |
+| V4.0 | 成交流分析面板 | 3-5天 | V3.0（数据源） |
+
+**里程碑：**
+- V2.0完成：所有数据需登录访问，邀请码可用
+- V3.0完成：数据开始积累，每日完整性报告
+- V3.0+2周：积累足够数据，可以开始第一次复盘分析
+- V4.0完成：完整的复盘研究工具
+
+---
+
+## 6. 安全与隐私
+
+1. **成交流数据不公开** — 所有`/api/trades/*`和`/api/analysis/*`必须登录
+2. **邀请码范总一人控制** — Admin角色仅范总
+3. **JWT密钥** — 32字节随机，存环境变量
+4. **SQLite安全** — WAL模式，每日备份
+5. **数据永久保留** — 不删不改，原始完整性最重要
+
+---
+
+## 7. 回滚与故障预案
+
+| 故障 | 预案 |
+|------|------|
+| V2上线后鉴权阻断 | git回退到V1 commit + PM2 restart |
+| V3采集进程崩溃 | PM2自动重启 + REST补洞 |
+| 磁盘满 | 按月归档旧数据到外部存储 |
+| SQLite损坏 | 每日备份恢复 |
+| 前端build失败 | 保持上一版本运行，不restart |
+
+---
+
+## 8. 数据库迁移规范
+
+- 每次DDL变更写migration脚本，带版本号
+- 命名：`migration_001_add_invite_codes.sql`
+- 所有migration必须幂等（`IF NOT EXISTS`）
+- 发布顺序：先跑migration → 再更新代码 → 再restart服务
+
+---
+
+*文档版本: v1.0*
+*最后更新: 2026-02-27*
+*作者: 露露(Opus 4.6) × 小周(GPT-5.3-Codex)*

docs/arbitrage-engine/v5-signal-system.mdx

@@ -0,0 +1,239 @@
+---
+title: V5 短线交易信号系统方案
+---
+
+# V5 短线交易信号系统方案
+
+> 版本：v5.0 | 日期：2026-02-27 | 状态：方案定稿，待开发
+> 
+> 来源：露露（Opus 4.6）× 小周（GPT-5.3-Codex）10轮讨论
+
+---
+
+## 1. 目标
+
+将 aggTrades 成交流数据转化为**可执行的短线做多/做空交易信号**，实现从"监控工具"到"交易工具"的升级。
+
+## 2. 信号体系
+
+### 2.1 核心门槛（3/3 必须全部满足）
+
+| # | 条件 | 做多 | 做空 |
+|---|------|------|------|
+| 1 | CVD_fast (30m 滚动) | > 0 且斜率正 | < 0 且斜率负 |
+| 2 | CVD_mid (4h 滚动) | > 0 | < 0 |
+| 3 | VWAP 位置 | price > VWAP_30m | price < VWAP_30m |
+
+**说明**：CVD = Cumulative Volume Delta（累计买卖差额），是成交流分析最核心的指标。
+
+- **CVD_fast**：30分钟滚动窗口，捕捉短线动量
+- **CVD_mid**：4小时滚动窗口，确认大方向
+- **CVD_day**：UTC日内重置，作为盘中强弱基线参考（不作为入场条件）
+
+> ⚠️ CVD_fast 在剧烈波动时自适应：当1m成交量超过均值3倍时，窗口自动拉长到60m，防噪音误判。
+
+### 2.2 加分条件（决定仓位大小，满分60分）
+
+| 条件 | 分值 | 说明 |
+|------|------|------|
+| ATR 压缩→扩张 | +25 | 5m ATR分位从 <40% 突破 >60%，波动开始放大 |
+| 无反向 P99 超大单 | +20 | 最近15分钟内无极端反向成交 |
+| 资金费率配合 | +15 | 做多时费率<0.01%，做空时费率>0.01% |
+
+### 2.3 仓位映射
+
+| 加分总分 | 仓位等级 | 占总资金 |
+|----------|----------|----------|
+| 0-15 | 最小仓 | 2% |
+| 20-40 | 中仓 | 5% |
+| 45-60 | 满仓 | 8% |
+
+### 2.4 预估信号频率
+
+核心3条件同时满足概率约 20-30%，每5分钟检查一次。去掉冷却期重复后，预计**日均 5-15 个有效信号**。
+
+## 3. 指标计算
+
+### 3.1 CVD（Cumulative Volume Delta）
+
+```
+CVD = Σ(主动买量) - Σ(主动卖量)
+
+三轨并行：
+- CVD_fast：滚动30m窗口（入场信号）
+- CVD_mid：滚动4h窗口（方向过滤）
+- CVD_day：UTC日内重置（盘中基线）
+```
+
+入场优先看 fast，方向必须与 mid 同向。
+
+### 3.2 大单阈值（动态分位数）
+
+```
+基于最近24h成交量分布：
+- P99：超大单阈值
+- P95：大单阈值
+- 兜底下限：max(P95, 5 BTC)
+
+区分"大单买"和"大单卖"的不对称性：
+- 上涨趋势中出现P99大卖单，意义远大于P99大买单
+```
+
+### 3.3 ATR（Average True Range）
+
+```
+周期：5分钟K线，14根
+用于：
+1. 波动压缩→扩张判断（分位数）
+2. 止损距离计算
+```
+
+### 3.4 VWAP（Volume Weighted Average Price）
+
+```
+滚动30分钟：VWAP_30m = Σ(price × qty) / Σ(qty)
+用于：价格位置过滤（做多 price > VWAP，做空 price < VWAP）
+```
+
+## 4. 风控体系
+
+### 4.1 止盈止损
+
+| 参数 | 值 | 说明 |
+|------|-----|------|
+| 止损 (SL) | 1.2 × ATR(5m, 14) | 动态止损，适应波动 |
+| 止盈1 (TP1) | 1.0R | 减仓50% |
+| 止盈2 (TP2) | 2.0R | 剩余仓位移动止损 |
+| 时间止损 | 30分钟 | 无延续即平仓，防磨损 |
+
+> R = 1倍止损距离
+
+### 4.2 冲突与冷却
+
+- **信号冲突**：持仓中出现反向信号 → 先平仓 + 10分钟冷却再接受新信号
+- **同方向冷却**：10分钟内不重复入场
+- **单币限频**：每小时最多2次入场
+
+### 4.3 多品种风控
+
+- BTC / ETH 独立出信号
+- 两个同时同向时，总仓位上限 10%
+- 需要相关性过滤（ETH Delta 经常跟 BTC 走）
+
+## 5. 回测达标线
+
+| 指标 | 达标线 |
+|------|--------|
+| 胜率 | ≥ 45% |
+| 盈亏比 (Avg Win / Avg Loss) | ≥ 1.5 |
+| 最大回撤 (MDD) | ≤ 5% |
+| 日均信号数 | 2-8 个 |
+| 扣手续费后 | 正收益 |
+
+**手续费模型**：
+- Maker: 0.02%, Taker: 0.04%（Portfolio Margin 档位）
+- 按 Taker 0.04% 双向估算（保守）
+- 回测报告必须包含净收益/毛收益对比
+
+**额外统计**：
+- 持仓时长分布（验证30min时间止损合理性）
+- Rate-limit 重试统计（回补脚本用）
+
+## 6. 技术架构
+
+### 6.1 进程拓扑
+
+```
+                    ┌─────────────────┐
+Binance WS ──────→ │  agg-collector   │ ──→ agg_trades_YYYYMM
+                    └─────────────────┘
+                              │
+                              ▼
+                    ┌─────────────────┐
+                    │  signal-engine   │ ──→ signal_indicators (5s)
+                    │                 │ ──→ signal_indicators_1m (聚合)
+                    │                 │ ──→ signal_trades
+                    │                 │ ──→ Discord推送
+                    └─────────────────┘
+                              │
+                    ┌─────────────────┐
+                    │   backtest.py    │ ──→ 回测报告
+                    └─────────────────┘
+```
+
+- **agg-collector**：只做采集+落库，不动（已有）
+- **signal-engine**：新建独立进程，指标计算 + 信号生成
+- **backtest.py**：离线回测脚本
+
+### 6.2 数据库新增表
+
+| 表名 | 用途 | 保留策略 |
+|------|------|----------|
+| signal_indicators | 每5秒指标快照（CVD/ATR/VWAP/P95等） | 30天 |
+| signal_indicators_1m | 1分钟聚合（前端默认读此表） | 长期 |
+| signal_trades | 信号触发的开仓/平仓记录 | 长期 |
+
+### 6.3 指标计算策略
+
+- **内存滚动 + 增量更新**（不是每次SQL全量聚合）
+- 启动时回灌历史窗口（30m/4h/24h）到内存
+- 之后只处理新增 agg_id 增量
+- 每5秒把快照落库（幂等）
+
+### 6.4 冷启动处理
+
+signal-engine 重启后：
+1. 从DB回读最近4h的aggTrades重算所有指标
+2. 前N根标记为 `warmup`，不出信号
+3. warmup 完成后开始正常信号生成
+
+## 7. 历史数据回补
+
+### 7.1 回补脚本（backfill_agg_trades.py）
+
+```
+参数：--symbol BTCUSDT --days 7 --batch-size 1000
+流程：
+1. 查DB中最早的agg_id
+2. 从最早agg_id向前REST分页补拉
+3. 每次1000条，sleep 200ms防限流
+4. INSERT OR IGNORE 写入agg_trades_YYYYMM
+5. 断点续传：记录进度到meta表
+6. 完成后输出统计+连续性检查
+```
+
+### 7.2 速率控制
+
+- Binance aggTrades REST 限流：weight 20/min
+- 每请求 sleep 200ms，实际约 3-5 req/s
+- 带指数退避重试，429后等60s
+- 记录 rate-limit 统计（429次数、退避次数）
+
+## 8. 开发时间线
+
+| Day | 任务 | 交付物 | 负责 |
+|-----|------|--------|------|
+| 1 | 回补脚本 + 1天小样本 | backfill跑通，BTC/ETH各1天入库 | 露露开发，小周部署 |
+| 2 | 全量7天回补 + 连续性验证 | 完整7天aggTrades，缺口=0 | 小周跑+验收 |
+| 3-4 | signal-engine + 前端指标展示 | CVD三轨/ATR/VWAP/大单标记实时可视化 | 露露开发，小周部署 |
+| 5 | 回测框架 + 首版回测报告 | 胜率/盈亏比/MDD/持仓分布/净收益 | 露露开发 |
+| 6+ | 调参优化 → 达标后模拟盘 | 模拟交易记录 | 协同 |
+
+## 9. 前置依赖
+
+| 依赖 | 状态 | 影响范围 |
+|------|------|----------|
+| aggTrades 实时采集 | ✅ 已运行 | Phase 1-3 已满足 |
+| 历史数据回补 | ⏳ Day 1-2 | 回测需要 |
+| Binance API Key | ⏳ 等范总 | 仅Phase 4实盘 |
+| Portfolio Margin | ⏳ 等范总 | 仅Phase 4实盘 |
+| 资金准备 | ⏳ 等范总 | 仅Phase 4实盘 |
+
+> Phase 1-3 不依赖范总，可立即开工。
+
+## 10. 版本历史
+
+| 版本 | 日期 | 内容 |
+|------|------|------|
+| v2-v4 | 2026-02-27 | 权限管控+aggTrades采集+成交流面板 |
+| **v5.0** | **2026-02-27** | **短线交易信号系统方案定稿** |

docs/arbitrage-engine/v51-optimization-plan.md

@@ -0,0 +1,146 @@
+---
+title: V5.1 优化方案
+date: 2026-03-03
+---
+
+# V5.1 优化方案
+
+> 基于：V5.1模拟盘执行分析报告（2026-03-03）  
+> 核心目标：在不重建信号系统的前提下，将净R从-96.98R拉回正值  
+> 策略：**降低手续费暴露 + 提升单笔期望值**
+
+---
+
+## 优化原则
+
+信号层毛R为+11.98R（微弱正收益），说明信号有效性存在但边际极薄。
+改造优先级：**先降频降费 → 再提盈亏比 → 最后优化信号质量**。
+
+---
+
+## 方向一：提高入场门槛（降频）
+
+### 当前问题
+- 75分以上即可入场，触发频率过高（500笔/历史周期）
+- 各分数段胜率差异不大（85+仅比75-79高1.7%），说明75-84大量交易性价比差
+
+### 建议改动
+| 参数 | 当前值 | 建议值 |
+|------|--------|--------|
+| 入场阈值 | 75 | **82** |
+| 预期效果 | 500笔 | 约~200笔（减少约60%交易频次） |
+| 手续费节省 | - | ~65R（108×60%） |
+
+> 根据数据，82分以上样本约170笔，需重新统计。需要验证胜率是否提升。
+
+---
+
+## 方向二：时段过滤（砍亏损时段）
+
+### 当前问题
+以下时段（北京时间）胜率<40%，是系统性亏损区：
+
+| 时段 | 胜率 | 合计R |
+|------|------|-------|
+| 01:00 | 31.8% | -15.69R |
+| 06:00 | 33.3% | -13.73R |
+| 07:00 | 36.4% | -7.40R |
+| 09:00 | 38.7% | -16.71R |
+| 11:00 | 28.6% | -5.51R |
+| 13:00 | 31.8% | -13.62R |
+| 18:00 | 30.0% | -6.47R |
+
+合计：约7个亏损时段，贡献约-79R亏损。
+
+### 建议改动
+禁止在以下北京时间开仓：**01:00, 06:00, 07:00, 09:00, 11:00, 13:00, 18:00**  
+→ 预计减少交易约~100笔，直接节省约79R亏损
+
+---
+
+## 方向三：暂停BTC交易
+
+### 当前问题
+| 币种 | 胜率 | 合计R |
+|------|------|-------|
+| BTCUSDT | 49.3% | -45.61R |
+
+BTC胜率低于随机水平（49.3%<50%），是最大单一亏损来源，贡献总亏损47%。
+
+### 建议改动
+**暂停BTC交易**，等积累足够新数据（calc_version=2）后再评估是否恢复。  
+→ 直接避免-45.61R（历史口径），减少约27%交易频次。
+
+---
+
+## 方向四：拉大TP/SL比（提盈亏比）
+
+### 当前问题
+- sl_multiplier=1.4, tp1=1.05, tp2=2.1
+- tp1_r=0.75, tp2_r=1.5
+- 平均TP净收益=0.90R，平均SL净亏损=-1.23R
+- 盈亏比=0.73，手续费后需要胜率>58%才能打平
+
+### 建议改动
+| 参数 | 当前值 | 建议值 |
+|------|--------|--------|
+| sl_multiplier | 1.4 | 2.0（扩大止损空间，减少噪声止损） |
+| tp1_multiplier | 1.05 | 1.5 |
+| tp2_multiplier | 2.1 | 3.0 |
+
+> 注意：扩大止损会增大单笔手续费（fee_r=2×0.0005×entry/rd，rd变大则fee_r变小）
+> 同时能减少被噪声打止损的次数（SL平均仅18分钟持仓）
+
+---
+
+## 组合改动预期效果（粗估）
+
+| 改动 | 预期节省R |
+|------|----------|
+| 提高入场门槛至82 | ~65R |
+| 过滤7个亏损时段 | ~79R |
+| 暂停BTC | ~46R |
+| **合计** | **~190R** |
+
+> 当前净亏损-96.98R，三项改动合计节省190R，理论上净R可到+93R（乐观估计，存在重叠）
+> 实际效果需要在模拟盘上验证后才能确认
+
+---
+
+## 实施计划
+
+### Phase 1：参数调整（立即可做，不改代码）
+1. 修改 `backend/strategies/v51_baseline.json`：
+   - threshold: 75 → 82
+   - 添加 `forbidden_hours_bj: [1, 6, 7, 9, 11, 13, 18]`
+   - 添加 `disabled_symbols: ["BTCUSDT"]`
+2. 修改 `backend/paper_config.json` 对应字段（如果有覆盖）
+3. 重启 signal-engine
+
+### Phase 2：TP/SL调整（需验证历史数据影响）
+1. 模拟不同sl_multiplier在历史数据上的表现
+2. 确认新参数下预期胜率和盈亏比
+3. 更新 `v51_baseline.json`
+
+### Phase 3：数据验证
+1. 积累150-200笔新口径数据（calc_version=2）
+2. 对比优化前后各项指标
+3. 根据实际结果再次迭代
+
+---
+
+## 注意事项
+
+1. **不要同时改太多参数**：每次只改1-2个变量，方便归因
+2. **记录每次改动时间**：便于后续对比数据
+3. **备份当前配置**：`v51_baseline.json` 改前先备份
+4. **V5.2同步评估**：V5.2目前-15.94R，比V5.1好但仍亏损，后续需同步分析
+
+---
+
+## 待讨论问题
+
+- [ ] 入场门槛从75提到82合适吗？是否要先看82-84分的历史胜率数据？
+- [ ] 时段过滤是全部禁止还是只禁BTC？
+- [ ] TP/SL比调整是否应该先做回测再上模拟盘？
+- [ ] 暂停BTC是否需要范总确认？

docs/arbitrage-engine/v51-performance-analysis.md

@@ -0,0 +1,163 @@
+---
+title: V5.1 模拟盘执行分析报告
+date: 2026-03-03
+---
+
+# V5.1 模拟盘执行分析报告
+
+> 数据口径：真实成交价（agg_trades）+ 手续费扣除，calc_version=2  
+> 分析日期：2026-03-03  
+> 参与分析：露露（Sonnet 4.6）、小范（GPT-5.3-Codex）
+
+---
+
+## 一、总体概况
+
+| 指标 | 数值 |
+|------|------|
+| 总交易笔数 | 503笔（含3笔活跃） |
+| 已闭合笔数 | 500笔 |
+| 有效样本（score≥75）| 496笔 |
+| 净R（含手续费）| **-96.98R** |
+| 毛R（不含手续费）| **+11.98R** |
+| 总手续费 | **108.97R** |
+| 平均单笔手续费 | 0.218R |
+| 胜率 | 55.4% |
+| 平均每笔净R | -0.193R |
+
+> 本金10,000 USD，1R=200 USD → 净亏损约19,396 USD
+
+---
+
+## 二、出场类型分布
+
+| 状态 | 笔数 | 平均R（净） | 合计R |
+|------|------|-----------|-------|
+| sl（止损）| 189 | -1.232R | **-232.85R** |
+| tp（止盈）| 132 | +0.904R | +119.36R |
+| sl_be（保本止损）| 118 | +0.161R | +19.04R |
+| timeout（超时）| 41 | +0.073R | +2.99R |
+| signal_flip（翻转）| 20 | -0.276R | -5.51R |
+
+**关键发现**：SL次数（189）远超TP（132），SL吃掉232.85R，TP只回收119.36R，实际盈亏比=0.77:1。
+
+### SL均值拆解
+
+| 组成 | 数值 |
+|------|------|
+| SL基础R | -1.000R（止损公式正确） |
+| 手续费 | -0.232R |
+| 净SL | **-1.232R** |
+
+---
+
+## 三、方向分析
+
+| 方向 | 笔数 | 胜率 | 合计R |
+|------|------|------|-------|
+| LONG | 281 | 54.7% | -46.32R |
+| SHORT | 222 | 56.3% | -50.67R |
+
+**结论**：多空双向均亏，非方向性问题。
+
+---
+
+## 四、币种分析
+
+| 币种 | 笔数 | 胜率 | 合计R |
+|------|------|------|-------|
+| BTCUSDT | 137 | **49.3%** | **-45.61R** |
+| ETHUSDT | 119 | 54.2% | -19.37R |
+| XRPUSDT | 129 | 62.0% | -16.05R |
+| SOLUSDT | 118 | 56.4% | -15.95R |
+
+**关键发现**：BTC胜率仅49.3%（低于随机），是最大亏损来源，亏损占总量47%。
+
+---
+
+## 五、信号分数段分析
+
+| 分数段 | 笔数 | 胜率 | 合计R |
+|--------|------|------|-------|
+| 75-79 | 179 | 57.3% | -30.54R |
+| 80-84 | 214 | 54.7% | -45.21R |
+| 85+ | 103 | 55.3% | -15.91R |
+
+**关键发现**：高分（85+）胜率与低分段基本持平，评分体系对预测质量的区分度不足。
+
+> 另有6笔score=70-72（早期历史数据，入场门槛未设75时），不计入有效样本。
+
+---
+
+## 六、时段分析（北京时间）
+
+### 盈利时段（合计R>0）
+| 时段 | R | 胜率 |
+|------|---|------|
+| 03:00 | +2.24R | 69.2% |
+| 05:00 | +6.18R | 78.6% |
+| 08:00 | +5.22R | 82.6% |
+| 17:00 | +2.40R | 85.7% |
+| 19:00 | +2.27R | 83.3% |
+| 23:00 | +7.97R | 71.4% |
+
+### 重度亏损时段（胜率<40%）
+| 时段 | R | 胜率 |
+|------|---|------|
+| 01:00 | -15.69R | 31.8% |
+| 06:00 | -13.73R | 33.3% |
+| 07:00 | -7.40R | 36.4% |
+| 09:00 | -16.71R | 38.7% |
+| 11:00 | -5.51R | 28.6% |
+| 13:00 | -13.62R | 31.8% |
+| 18:00 | -6.47R | 30.0% |
+
+---
+
+## 七、持仓时间分析
+
+| 出场类型 | 平均持仓 |
+|----------|---------|
+| timeout | 60.0分钟 |
+| sl_be | 23.8分钟 |
+| tp | 20.5分钟 |
+| sl | **18.1分钟** |
+| flip | 20.2分钟 |
+
+**发现**：SL平均仅持仓18分钟即被打出，说明入场时机存在问题（短时噪声触发入场）。
+
+---
+
+## 八、风险统计
+
+| 指标 | 数值 |
+|------|------|
+| 单笔最大亏损 | -1.47R |
+| 单笔最大盈利 | +1.04R |
+| 标准差 | 0.89R |
+| 中位数 | +0.12R |
+| P25 | -1.19R |
+| P75 | +0.78R |
+
+> 中位数为正（+0.12R）但均值为负（-0.19R），说明少数大亏拖累整体，分布右偏。
+
+---
+
+## 九、核心结论
+
+### 最关键发现：毛R为正，费用致亏
+- **毛R（不含手续费）：+11.98R** → 信号层有微弱预测优势，未完全失效
+- **总手续费：108.97R** → 手续费将毛R从+12压到-97
+- **结论：V5.1不是"不会预测"，而是"预测优势太薄，被执行成本碾碎"**
+
+### 四大结构性问题
+1. **盈亏比天然劣势**：SL:TP=189:132（每次输更多，赢的次数更少）
+2. **BTC信号质量差**：胜率49.3%，低于随机，应考虑暂停或单独优化BTC
+3. **评分体系区分度不足**：85+高分与75-79低分胜率差不多，评分无效
+4. **时段敏感**：约6-7个时段胜率<40%，是系统性亏损区间
+
+---
+
+## 十、优化方向（待讨论）
+
+详见：[V5.1优化方案](./v51-optimization-plan.md)

docs/arbitrage-engine/v51-signal-enhancement.md

@@ -0,0 +1,250 @@
+---
+title: V5.1 信号增强方案
+description: V5.1 信号评分体系 + 仓位管理 + TP/SL + 风控 + 回测框架
+---
+
+# V5.1 信号增强方案
+
+> 讨论参与：露露(Opus 4.6) + 小周(GPT-5.3-Codex) + 范总审核
+> 定稿时间：2026-02-28
+
+## 1. 概述
+
+V5.0 以 aggTrades 原始成交流为核心（CVD三轨 + ATR + VWAP + P95/P99大单），V5.1 在此基础上增加 4 个数据维度 + 完善交易管理系统。
+
+**核心理念**：aggTrades 是我们的独特优势（别人没有原始成交流），新增数据源作为方向确认和风控补充，不替代 aggTrades 的核心地位。
+
+## 2. 信号评分体系（100分制）
+
+### 2.1 权重分配
+
+| 层级 | 数据源 | 权重 | 角色 |
+|------|--------|------|------|
+| **方向层** | aggTrades（CVD三轨 + P95/P99大单） | **45%** | 核心方向判断 |
+| **拥挤层** | L/S Ratio + Top Trader Position | **20%** | 市场拥挤度 |
+| **环境层** | Open Interest 变化 | **15%** | 资金活跃度/可交易性门槛 |
+| **确认层** | 多时间框架一致性 | **15%** | 方向确认 |
+| **辅助层** | Coinbase Premium | **5%** | 机构资金流向 |
+
+### 2.2 各层级详细计算
+
+#### 方向层（45分）
+
+- **CVD_fast（30m滚动）方向**：与信号方向一致 +15
+- **CVD_mid（4h滚动）方向**：与信号方向一致 +15
+- **P95/P99 大单**：无反向 P99 大单 +10，有同向 P99 大单 +15
+- **CVD_fast 斜率加速**：斜率 > 阈值 +5（额外加分）
+
+#### 拥挤层（20分）
+
+- **L/S Ratio**：
+  - L/S > 2.0（做空信号）或 L/S < 0.5（做多信号）：+10
+  - L/S 1.5-2.0 / 0.5-0.67：+5
+  - 中性区间：0
+- **Top Trader Position Ratio**：
+  - 大户方向与信号一致：+10
+  - 大户方向中性：+5
+  - 大户方向反向：0
+
+#### 环境层（15分）
+
+- **OI 变化**（不判断方向，判断活跃度）：
+  - OI 15分钟变化率 > 阈值（活跃）：+15
+  - OI 变化温和：+10
+  - OI 萎缩（市场冷清）：+5
+
+#### 确认层（15分）
+
+- **多时间框架确认规则**：
+  - `1m` = 触发层（入场点）
+  - `5m/15m` = 方向确认层
+  - `1h` = 风险闸门
+- **评分**：
+  - 5m AND 15m 同向：+15
+  - 5m OR 15m 同向：+10
+  - 无同向确认：+0
+- **1h 反向处理**：不在评分里扣分，而是在仓位管理里降仓（见 3.2）
+
+#### 辅助层（5分）
+
+- **Coinbase Premium**：
+  - Premium 方向与信号一致且 > 阈值：+5
+  - 中性：+2
+  - 反向：0
+
+### 2.3 开仓门槛
+
+| 总分 | 操作 |
+|------|------|
+| < 60 | **不开仓** |
+| 60 - 74 | 轻仓（基础仓位 × 0.5） |
+| 75 - 84 | 标准仓位 |
+| ≥ 85 | 允许加仓（基础仓位 × 1.3） |
+
+## 3. 仓位管理
+
+### 3.1 基础仓位
+
+- **默认**：总资金的 10%
+- **杠杆**：3X（可调）
+- **单笔最大风险**：总资金的 2%
+
+### 3.2 1h 时间框架降仓规则
+
+| 1h 状态 | 仓位调整 |
+|---------|---------|
+| 1h 同向 | 正常仓位 |
+| 1h 弱反向 | 仓位 × 0.7 |
+| 1h 强反向（CVD + 趋势都反） | 仓位 × 0.5，且仅允许 ≥85 分信号 |
+
+### 3.3 Funding Rate 偏置
+
+- FR 不做触发因子，做"慢变量偏置"
+- 计算 `FR z-score(7d)` + `FR 斜率(近3个结算点)`
+- 映射为 `bias`（-1 ~ +1）叠加到总分
+- FR 极端且与信号方向冲突时：仅降仓，不反向开仓
+
+## 4. TP/SL 管理（双ATR融合）
+
+### 4.1 ATR 计算
+
+```
+risk_atr = 0.7 × ATR_5m + 0.3 × ATR_1h
+```
+
+- ATR_5m：5分钟K线，14周期 → 管入场灵敏度
+- ATR_1h：1小时K线，14周期 → 管极端波动保护
+- 好处：分钟级不钝化（靠5m），又不被短时噪音洗掉（靠1h兜底）
+
+### 4.2 止盈止损参数
+
+| 参数 | 计算 | 说明 |
+|------|------|------|
+| **SL** | Entry ± 2.0 × risk_atr | 初始止损 |
+| **TP1** | Entry ∓ 1.5 × risk_atr | 第一目标 |
+| **TP2** | Entry ∓ 3.0 × risk_atr | 第二目标 |
+
+### 4.3 分批平仓逻辑
+
+1. **TP1 触发**：平 50% 仓位，SL 移至成本价 + 手续费（Breakeven）
+2. **TP2 触发**：平剩余 50%，信号标记 "tp"
+3. **SL 触发（TP1 已达）**：标记 "sl_be"（保本止损，实际盈亏 ≈ +0.5R）
+4. **SL 触发（TP1 未达）**：标记 "sl"（完整止损，亏损 -1.0R）
+
+### 4.4 期望值计算
+
+假设 60% 胜率（TP1 命中率）：
+- 60% × 2.0R = +1.2R
+- 40% × -1.0R = -0.4R
+- **期望值 = +0.8R/笔**
+
+## 5. 风控系统
+
+### 5.1 自适应冷却期
+
+| 条件 | 冷却时间 |
+|------|---------|
+| 基础（同向信号开仓后） | 10 分钟 |
+| 近 30min 同向连续 2 笔止损 | 升到 20 分钟 |
+| 上一笔同向达到 TP1 | 缩短到 5 分钟 |
+| 第 4 个同向信号 | 默认不开，除非上一笔已TP1 + 当前≥85分 + 1h不强反向 |
+
+- **反向信号**不受同向冷却限制，但需过最小反转阈值（防止来回翻单）
+
+### 5.2 清算瀑布检测
+
+- **主通道（实时）**：aggTrades 异常成交密度 + 价格加速度 + 点差扩张 → 推断清算瀑布
+- **辅通道（校验）**：Binance `forceOrders` API → 事后校验和阈值再训练
+- 交易决策吃主通道，模型校准吃辅通道
+
+### 5.3 盘口轻量监控（资源受限版）
+
+- 仅采集 Top-of-Book + 前5档聚合（每 100-250ms 采样）
+- 保留 3 个指标：`microprice`、`imbalance`、`spread`
+- 只存特征，不存全量快照
+- 后续评估是否升到10档
+
+## 6. 数据源汇总
+
+### 6.1 Binance 免费 API（V5.1 新增）
+
+| 数据 | 接口 | 更新频率 |
+|------|------|---------|
+| 多空比 | `GET /futures/data/globalLongShortAccountRatio` | 5min |
+| 大户持仓比 | `GET /futures/data/topLongShortPositionRatio` | 5min |
+| OI 历史 | `GET /futures/data/openInterestHist` | 5min |
+| Funding Rate | `GET /fapi/v1/fundingRate` | 8h结算 |
+
+### 6.2 Coinbase Premium
+
+- 对比 Coinbase BTC/USD 与 Binance BTC/USDT 实时价差
+- 正 Premium = 机构买入（看多信号）
+- 负 Premium = 机构卖出（看空信号）
+
+### 6.3 已有数据源（V5.0）
+
+| 数据 | 来源 | 存储 |
+|------|------|------|
+| aggTrades | Binance WebSocket 实时 + REST 回补 | PostgreSQL agg_trades 表 |
+| CVD三轨 | signal_engine 内存计算 | signal_indicators 表 |
+| ATR/VWAP | signal_engine 内存计算 | signal_indicators 表 |
+| P95/P99大单 | signal_engine 24h滚动统计 | signal_indicators 表 |
+| Funding Rate | agg_trades_collector 定时采集 | rate_snapshots 表 |
+
+## 7. 回测框架
+
+### 7.1 架构：逐tick事件回放
+
+**不用逐分钟K线回测**（会系统性高估策略），用 aggTrades 逐tick回放。
+
+### 7.2 三层数据结构
+
+```
+FeatureStore
+├── 按时间索引缓存 1m/5m/15m/1h 特征
+├── CVD, L/S, OI, FR bias, 盘口因子
+└── 滚动窗口自动过期
+
+SignalEvent
+├── ts, symbol, side, score, regime
+├── factors (各层评分明细)
+└── entry_rule_id
+
+PositionState
+├── entry_ts, entry_px, size
+├── sl_px, tp1_px, tp2_px
+├── status (active/tp1_hit/tp/sl/sl_be)
+└── cooldown_until
+```
+
+### 7.3 撮合逻辑
+
+1. 每个 tick 到来 → 先更新未平仓位（检查 TP/SL/时间止损）
+2. 再评估新信号（检查冷却期、评分、仓位规则）
+3. 输出交易记录
+
+### 7.4 统计输出
+
+- 胜率 (Win Rate)
+- 总盈亏 (Total PnL in R)
+- 盈亏比 (Profit Factor)
+- 夏普比率 (Sharpe Ratio)
+- 最大回撤 (MDD)
+- 平均持仓时间 (Avg Hold)
+- 滑点影响评估 (Slippage Impact)
+
+## 8. 远期规划
+
+### V5.2（远期备选）
+
+- **Twitter 新闻情绪面**：监控关键账号，AI分析利好/利空
+- **范总判断**：新闻最终反映在 aggTrades 里，信号跑通后不急
+
+### V5.3（数据充足后）
+
+- ML模型替换规则引擎（XGBoost/LightGBM集成）
+- 需要足够回测数据训练
+
+---
+
+*文档版本：V5.1-draft | 待范总最终确认*

docs/arbitrage-engine/v51-signal-system.md

@@ -0,0 +1,132 @@
+---
+title: V5.1 信号系统文档
+---
+
+# V5.1 基线信号系统（v51_baseline）
+
+## 概述
+
+V5.1 是基于市场微观结构的短线交易信号系统，使用 5 层 100 分评分体系，通过 CVD（累积成交量差）、大单流、持仓结构等 6 个信号源综合判断交易方向和强度。
+
+## 评分体系（5层100分）
+
+| 层级 | 权重 | 信号源 | 逻辑 |
+|------|------|--------|------|
+| 方向层 | 45分 | CVD_fast(30m) + CVD_mid(4h) + P99大单 + 加速度 | 三票共振定方向 |
+| 拥挤层 | 20分 | 多空比 + 大户持仓 | 反向拥挤 = 机会 |
+| 环境层 | 15分 | OI变化率 | 资金流入确认趋势 |
+| 确认层 | 15分 | CVD_fast + CVD_mid 同向 | 双周期共振确认 |
+| 辅助层 | 5分 | Coinbase Premium | 美国机构动向 |
+
+### 方向层详解（45分 + 5分加速奖金）
+
+信号方向由 CVD_fast 和 CVD_mid 综合判断：
+
+```
+CVD_fast > 0 且 CVD_mid > 0 → LONG
+CVD_fast < 0 且 CVD_mid < 0 → SHORT
+不一致 → 以 CVD_fast 方向为准，但标记 no_direction
+```
+
+评分项：
+- CVD_fast 方向一致：+15
+- CVD_mid 方向一致：+15
+- P99 大单顺向流入：+15（无反向大单时+10）
+- 加速度奖金：CVD_fast 加速度方向一致 → +5（可超过45）
+
+### 拥挤层详解（20分）
+
+| 子项 | 满分 | 逻辑 |
+|------|------|------|
+| 多空比（LSR） | 10分 | 做空+LSR>2.0=满分，做多+LSR<0.5=满分 |
+| 大户持仓比 | 10分 | 做多+多头占比≥55%=满分 |
+
+数据缺失时给中间分（5分），避免因采集失败误杀信号。
+
+### 环境层详解（15分）
+
+基于 OI（持仓量）变化率评分：
+- OI 显著增长 → 趋势确认 → 满分
+- OI 变化不大 → 中等分
+- OI 下降 → 低分
+
+### 确认层详解（15分）
+
+CVD_fast 和 CVD_mid 同时为正（LONG）或同时为负（SHORT）→ 15分，否则 0分。
+
+> **已知问题**：与方向层存在同源重复（两者都用 CVD_fast/CVD_mid）。两周后根据数据评估是否重构。
+
+### 辅助层详解（5分）
+
+Coinbase Premium = Coinbase 价格 vs Binance 价格差。
+- 正溢价 + 做多 → 5分（美国机构买入）
+- 负溢价 + 做空 → 5分
+- 溢价绝对值 ≤ 0.05% → 2分（中性）
+- 反向溢价 → 0分
+
+## 开仓规则
+
+| 档位 | 分数 | 行为 |
+|------|------|------|
+| 不开仓 | < 75 | 不触发 |
+| 标准 | 75-84 | 正常开仓 |
+| 加仓 | ≥ 85 | 加重仓位 |
+
+- **冷却期**：同币种同策略 10 分钟
+- **最大持仓**：4 笔/策略
+- **反向翻转**：收到反向 ≥75 分信号 → 平旧仓 + 开新仓
+
+## TP/SL 设置
+
+| 参数 | 值 | 说明 |
+|------|------|------|
+| SL | 1.4 × ATR | 止损 |
+| TP1 | 1.05 × ATR | 第一止盈（平50%仓位） |
+| TP2 | 2.1 × ATR | 第二止盈（平剩余仓位） |
+
+TP1命中后 SL 移到保本价（Break Even）。
+
+> 对应R倍数：tp1_r=0.75, tp2_r=1.5（以SL为1R）
+
+## 信号源
+
+| 信号 | 数据源 | 更新频率 |
+|------|--------|----------|
+| CVD_fast | aggTrades 30分钟窗口 | 15秒 |
+| CVD_mid | aggTrades 4小时窗口 | 15秒 |
+| P99 大单 | aggTrades P99分位数 | 实时 |
+| 加速度 | CVD_fast 二阶导数 | 15秒 |
+| 多空比/大户持仓 | Binance API | 5分钟 |
+| OI | Binance API | 5分钟 |
+| Coinbase Premium | 计算值 | 5分钟 |
+
+## 策略配置
+
+```json
+{
+  "name": "v51_baseline",
+  "version": "5.1",
+  "threshold": 75,
+  "weights": {
+    "direction": 45,
+    "crowding": 20,
+    "environment": 15,
+    "confirmation": 15,
+    "auxiliary": 5
+  },
+  "accel_bonus": 5,
+  "tp_sl": {
+    "sl_multiplier": 1.4,
+    "tp1_multiplier": 1.05,
+    "tp2_multiplier": 2.1
+  },
+  "signals": ["cvd", "p99", "accel", "ls_ratio", "oi", "coinbase_premium"]
+}
+```
+
+## 历史表现（修正后数据，截至 2026-03-02）
+
+- 总交易：282+ 笔
+- 胜率：~65%
+- 盈亏比：~0.72
+- 按档位：85+ 胜率73.6%，75-79 胜率78%（最佳档位）

docs/arbitrage-engine/v51_gemini_analysis.md

@@ -0,0 +1,175 @@
+明白！既然马上要进入开发阶段，我们就不能只停留在“概念”上，必须精确到**参数配比、计算公式和逻辑边界**。
+
+作为你的量化分析师，我将《V5.3 双轨信号系统设计案》中的高层设计，直接翻译成研发可以直接参考的**“伪代码级”拆解**。这份拆解去除了所有冗余，直指核心代码逻辑。
+
+---
+
+### 一、 轨道 A：山寨币模型 (ALT Track - 适用于 ETH, XRP, SOL)
+
+ALT 轨的核心是**线性评分加法模型**。满分 100 分。
+
+#### 1. 方向层 (Direction) —— 总权重：55 分
+
+**设计说明：** V5.1 中方向层（45分）和确认层（15分）存在多重共线性，V5.3 将其合并为 55 分。
+
+* **子项 A：快慢期 CVD 共振 (30 分)**
+* **逻辑：** `CVD_fast (30m)` 和 `CVD_mid (4h)` 必须同向。
+* **打分：**
+* `CVD_fast` > 0 且 `CVD_mid` > 0（做多共振） $\rightarrow$ 给 30 分。
+* `CVD_fast` < 0 且 `CVD_mid` < 0（做空共振） $\rightarrow$ 给 30 分。
+* 方向不一致 $\rightarrow$ 0 分（并且整个信号应标记为 `no_direction` 终止计算）。
+
+
+
+
+* **子项 B：P99 大单流入 (20 分)**
+* **逻辑：** 捕捉极值大单资金方向。
+* **打分：**
+* P99 大单净流入方向与 CVD 共振方向一致 $\rightarrow$ 给 20 分。
+* 无明显反向大单阻击 $\rightarrow$ 给 10 分。
+* 反向大单压制 $\rightarrow$ 0 分。
+
+
+
+
+* **子项 C：加速度奖金 (Accel Bonus) (5 分)**
+* **逻辑：** `CVD_fast` 的二阶导数（动能正在增强）。
+* **打分：** 加速度方向与共振方向一致 $\rightarrow$ 给 5 分。
+
+
+
+#### 2. 拥挤层 (Crowding) —— 总权重：25 分
+
+**设计说明：** 寻找散户的反向流动性（拔高了 V5.1 中该层的权重）。
+
+* **子项 A：多空比 LSR (15 分)**
+* **做多场景：** 如果 LSR < 0.5（散户极度看空） $\rightarrow$ 15 分满分。
+* **做空场景：** 如果 LSR > 2.0（散户极度看多） $\rightarrow$ 15 分满分。
+* *缺省/常态：* 数据缺失或在 0.8 - 1.2 之间 $\rightarrow$ 给 7.5 分中间分。
+
+
+* **子项 B：大户持仓比例 (10 分)**
+* **逻辑：** 跟着大户吃散户。
+* **打分：** 做多且大户多头占比 $\ge$ 55% $\rightarrow$ 10 分满分（做空同理）。缺省给 5 分。
+
+
+
+#### 3. 环境层 (Environment) —— 总权重：15 分
+
+* **信号源：** OI (Open Interest) 5 分钟/30 分钟变化率。
+* **打分：**
+* OI 显著正增长（有新资金入场，趋势真实） $\rightarrow$ 15 分。
+* OI 变化平缓 $\rightarrow$ 7.5 分。
+* OI 显著下降（说明只是存量平仓导致的假突破） $\rightarrow$ 0 分。
+
+
+
+#### 4. 辅助层 (Auxiliary) —— 总权重：5 分
+
+* **信号源：** Coinbase Premium (Coinbase 现货价格 - Binance 现货价格)。
+* **打分：**
+* 做多且正溢价（美国资金在买） $\rightarrow$ 5 分。
+* 做空且负溢价（美国资金在砸） $\rightarrow$ 5 分。
+* 溢价绝对值 $\le$ 0.05% (中性) $\rightarrow$ 2 分。
+* 反向溢价 $\rightarrow$ 0 分。
+
+
+
+> ⚙️ **ALT 轨开发执行参数：**
+> * `open_threshold`: **75** (总分 $\ge$ 75 触发开仓)
+> * `flip_threshold`: **85** (反向信号总分 $\ge$ 85 才允许平旧开新)
+> 
+> 
+
+---
+
+### 二、 轨道 B：大饼专属模型 (BTC Track)
+
+BTC 轨**抛弃了线性加分**，采用**“布尔逻辑门控 (Boolean Logic Gates)”**。必须同时满足所有通过条件，且不触发任何否决条件，才允许开仓。
+
+#### 1. 门控特征一：波动率状态过滤 (atr_percent_1h) —— 决定“能不能做”
+
+* **公式：** $Volatility = \frac{ATR(1h)}{Close Price}$
+* **开发逻辑 (Veto 否决条件)：**
+设定一个最小波动率阈值（如 `min_vol_threshold = 0.002`，即 0.2%）。
+`IF atr_percent_1h < min_vol_threshold THEN BLOCK_SIGNAL ("Garbage Time")`
+*理由：BTC 在极低波动时，微观特征全是做市商噪音。*
+
+#### 2. 门控特征二：巨鲸 CVD (tiered_cvd_whale) —— 决定“真实方向”
+
+* **计算方式：** 在 aggTrades 聚合时，过滤掉单笔价值 $< \$100k$ 的成交。只对 $> \$100k$ 的大单计算 Net Flow。
+* **开发逻辑：**
+`IF tiered_cvd_whale > strong_positive_threshold THEN Direction = LONG`
+
+#### 3. 门控特征三：前 10 档订单薄失衡 (obi_depth_10) —— 决定“有没有阻力”
+
+* **公式：** $OBI = \frac{Bid Volume - Ask Volume}{Bid Volume + Ask Volume}$ (取盘口前 10 档挂单量)
+* **开发逻辑 (Veto 否决条件)：**
+*做多场景：* 如果 `Direction = LONG`，但 $OBI < -0.3$（上方有极重的卖盘墙压制）。
+`THEN BLOCK_SIGNAL ("Sell Wall Imbalance")`
+
+#### 4. 门控特征四：期现背离 (spot_perp_divergence) —— 决定“是不是陷阱”
+
+* **计算方式：** Binance BTCUSDT 现货 CVD 减去 BTCUSDT 永续合约 CVD。
+* **开发逻辑 (Veto 否决条件)：**
+*做多场景：* 合约 CVD 在疯狂飙升（散户开多），但现货 CVD 为负（机构在现货抛售）。
+`IF perp_cvd > 0 AND spot_cvd < 0 THEN BLOCK_SIGNAL ("Spot Selling Divergence")`
+
+> ⚙️ **BTC 轨开发执行伪代码：**
+> `IF (Passed Volatility Gate) AND (Whale CVD confirms Direction) AND NOT (Blocked by OBI) AND NOT (Blocked by Divergence) THEN Execute Trade`
+
+---
+
+### 三、 执行引擎边界条件（影响所有轨）
+
+这些是直接写死在 `signal_engine.py` 或订单执行模块里的硬性规则，用来保卫净收益。
+
+1. **止损/止盈 (SL/TP) 基准：**
+* `SL_multiplier`: **2.0** (止损设为入场价 $\pm 2.0 \times ATR$)
+* `TP1_multiplier`: **1.5**
+* `TP2_multiplier`: **3.0**
+
+
+2. **Break-Even (BE) 滑点补偿：**
+* 打到 TP1 后，SL 移动的位置不是 `Entry Price`。
+* `New_SL = Entry_Price + (Direction * 0.2 * ATR)` (这里的 0.2 ATR 是预留给手续费和滑点的缓冲值)。
+
+
+3. **TP 兜底状态机 (Fallback Logic)：**
+* *Step 1:* 信号触发，下市价单（Taker）开仓。
+* *Step 2:* 立即挂出 TP1/TP2 的**限价单 (Maker)**。
+* *Step 3 (Monitor):* 如果最新标记价格穿过了 TP 触发价，但限价单未成交，启动 `timeout` 计时器（例如 2 秒）。
+* *Step 4 (Fallback):* 超时未成交 $\rightarrow$ 发送 `Cancel Order` $\rightarrow$ 发送 `Market Order (Taker)` 强平。
+
+
+
+---
+
+## 四、开发注意事项（补充）
+
+1. **缺失数据默认策略（必须写死）**
+   - BTC 四个门控特征（`atr_percent_1h`, `tiered_cvd_whale`, `obi_depth_10`, `spot_perp_divergence`）任一缺失时，默认 `BLOCK_SIGNAL`。
+   - 必须记录 `block_reason=missing_feature:<name>`，避免静默放行。
+
+2. **阈值治理（避免拍脑袋改参）**
+   - `min_vol_threshold`、`obi_veto_threshold`、`whale_flow_threshold` 必须配置化（不可硬编码散落在代码中）。
+   - 文档标注为“初始值”，并明确回测校准窗口与更新频率。
+
+3. **标签口径统一（防止回填偏差）**
+   - `Y_binary_60m` 使用 `Mark Price` 判定触发顺序。
+   - ATR 必须使用信号触发时快照 `atr_value`，禁止回填时二次重算 ATR。
+
+4. **TP 兜底状态机补全部分成交分支**
+   - 触发兜底前先查询订单成交量。
+   - 若部分成交，只对剩余仓位执行 `Cancel -> Taker Market Close`，避免超平或漏平。
+
+5. **并发与幂等保护**
+   - `Cancel -> Market` 流程增加订单状态锁（或行级锁）和幂等键。
+   - 防止重复撤单、重复平仓、双写成交记录。
+
+6. **发布闸门指标字段统一**
+   - 统一报表输出字段：`maker_ratio`, `avg_friction_cost_r`, `flip_loss_r`。
+   - 发布闸门自动判断基于同一口径，避免人工解释偏差。
+
+**给开发者的最终建议：**
+你现在可以拿着这份拆解，直接去写 `v53_alt_config.json` 和 BTC 轨的条件判断代码了。建议你先从 **ALT 轨的 `v53_alt_config.json` 重写**开始，因为这个改动最小，见效最快。是否需要我帮你直接生成这个 JSON 文件的模板？

docs/arbitrage-engine/v52-development.md

@@ -0,0 +1,383 @@
+---
+title: V5.2 开发文档（完整版）
+description: 套利引擎V5.2 — Bug修复 + 策略优化 + 8信号源 + 策略配置化 + AB测试
+---
+
+# V5.2 开发文档（完整版）
+
+> **版本**：V5.2 | **状态**：待开发 | **负责人**：露露
+> **创建**：2026-03-01 | **前置**：V5.1 tag `v5.1` commit `d8ad879`
+> **V5.1-hotfix**：commits `45bad25` → `4b841bc`（P0修复已上线）
+
+---
+
+## 一、V5.1 现状总结
+
+### 模拟盘数据（截至2026-03-01）
+
+| 指标 | 数值 |
+|------|------|
+| 总交易 | 181笔 |
+| 总盈亏 | +37.07R |
+| 每笔平均 | +0.20R |
+| 初始资金 | $10,000 |
+| 当前余额 | ~$17,414 |
+
+### 按档位统计（关键数据）
+
+| 档位 | 笔数 | 胜率 | 总PnL | 每笔平均 | 结论 |
+|------|------|------|-------|---------|------|
+| **85+ (heavy)** | 53 | 73.6% | +15.00R | +0.28R | ✅ 优质 |
+| **80-84** | 81 | 65.4% | +4.11R | +0.05R | ⚠️ 平庸 |
+| **75-79** | 41 | 78.0% | +17.05R | +0.42R | ✅ 最佳 |
+| **70-74** | 6 | 50.0% | -2.65R | -0.44R | ❌ 亏钱 |
+
+### 手续费分析（核心发现）
+
+| 币种 | SL距离% | 仓位价值 | 隐含杠杆 | 手续费/R |
+|------|---------|---------|---------|---------|
+| BTC | 0.43% | $46,000 | 4.6x | 0.23R |
+| ETH | 0.56% | $36,000 | 3.6x | 0.18R |
+| XRP | 0.44% | $45,000 | 4.5x | 0.05R |
+| SOL | 0.58% | $34,000 | 3.4x | 0.04R |
+
+**手续费公式**：`fee_R = 2 × 0.05% × position_value / risk_usd`
+
+**BTC盈亏比问题**：TP2净利+0.89R vs SL净亏-1.23R，盈亏比仅0.72，需55%以上胜率才保本。
+
+### V5.1已修复的P0 Bug（hotfix已上线）
+
+| Bug | 影响 | 修复Commit |
+|-----|------|-----------|
+| pnl_r虚高2倍 | 统计数据全部失真 | `45bad25` |
+| 冷却期阻断反向平仓 | 反向信号无法关仓 | `45bad25` |
+| 分区月份Bug | 月底数据写入失败 | `45bad25` |
+| SL/TP用市价不是限价 | SL超过1R | `2f9dce4` |
+| 浮盈没算半仓 | 持仓盈亏虚高 | `4b841bc` |
+
+---
+
+## 二、V5.2 目标
+
+### 核心目标
+1. **修复所有已知Bug**（Claude Code审阅 + 实际使用发现的）
+2. **FR+清算加入评分**（8信号源完整版）
+3. **开仓阈值提到75分**（砍掉70-74垃圾信号）
+4. **策略配置化框架**（一套代码多份配置）
+5. **AB测试**（V5.1 vs V5.2并行对比）
+6. **24小时warmup**（消除冷启动）
+
+### 设计原则
+- **55%胜率必须盈利**：盈亏比至少0.82:1
+- **无限趋近实盘**：模拟盘和实盘逻辑完全一致
+- **数据驱动**：所有决策基于数据，不拍脑袋
+
+---
+
+## 三、Bug修复清单
+
+### 后端（15项）
+
+| ID | 优先级 | 文件 | 问题 | 修复方案 |
+|----|--------|------|------|---------|
+| P0-3 | **P1** | signal_engine.py:285 | 开仓价用30分VWAP而非实时价 | `price = win_fast.trades[-1][2]` |
+| P0-4 | P2 | signal_engine+paper_monitor | 双进程并发写paper_trades | `SELECT FOR UPDATE SKIP LOCKED` |
+| P1-2 | P2 | signal_engine.py:143-162 | 浮点精度漂移(buy_vol/sell_vol) | 每10000次trim从deque重算sums |
+| P1-3 | **P1** | market_data_collector.py:51 | 单连接无重连 | 改用`db.get_sync_conn()`连接池 |
+| P1-4 | P3 | db.py:36-43 | 连接池初始化线程不安全 | `threading.Lock`双重检查 |
+| P2-1 | P2 | market_data_collector.py:112 | XRP/SOL coinbase_premium KeyError | `if symbol not in pair_map: return` |
+| P2-3 | P2 | agg_trades_collector.py:77 | flush_buffer每秒调ensure_partitions | 移到定时任务(每小时一次) |
+| P2-4 | P3 | liquidation_collector.py:127 | elif条件冗余 | 改为`else` |
+| P2-5 | P2 | signal_engine.py:209 | atr_percentile @property有写副作用 | 拆成`update_atr_history()`方法 |
+| P2-6 | P2 | main.py:554 | 1R=$200硬编码 | 从paper_config.json动态读取 |
+| P3-1 | P2 | auth.py:15 | JWT密钥硬编码默认值 | 启动时强制校验`JWT_SECRET`环境变量 |
+| P3-2 | P3 | main.py:17 | CORS allow_origins=["*"] | 限制为`https://arb.zhouyangclaw.com` |
+| P3-3 | P3 | auth.py:316 | refresh token刷新非原子 | `UPDATE...WHERE revoked=0 RETURNING` |
+| P3-4 | P3 | auth.py:292 | 登录无频率限制 | slowapi或Redis计数器 |
+| NEW-1 | **P1** | signal_engine.py:664 | 冷启动warmup只有4小时 | 分批加载24小时，加载完再出信号 |
+
+### 前端（12项）
+
+| ID | 优先级 | 文件 | 问题 | 修复方案 |
+|----|--------|------|------|---------|
+| FE-P1-1 | **P1** | lib/auth.tsx:113 | 并发401多次refresh竞态 | 单例Promise + `_refreshPromise` |
+| FE-P1-2 | **P1** | lib/auth.tsx:127 | 刷新失败AuthContext未同步 | `window.dispatchEvent("auth:session-expired")` |
+| FE-P1-3 | **P1** | 所有页面 | catch{}静默吞掉API错误 | 每个组件加`error` state + 红色提示 |
+| FE-P1-4 | P2 | paper/page.tsx:119 | LatestSignals串行4请求 | `Promise.allSettled`并行 |
+| FE-P2-1 | P3 | app/page.tsx:52 | MiniKChart每30秒销毁重建 | 只更新data不重建chart |
+| FE-P2-3 | P2 | paper/page.tsx:20 | ControlPanel非admin可见 | 校验`isAdmin`，非admin隐藏 |
+| FE-P2-4 | **P1** | paper/page.tsx:181 | WebSocket无断线重连 | 指数退避重连 + 断线提示 |
+| FE-P2-5 | P2 | paper/page.tsx:217 | 1R=$200前端硬编码 | 从`/api/paper/config`读取 |
+| FE-P2-6 | P2 | signals/page.tsx:101 | 5秒轮询5分钟数据 | 改为300秒间隔 |
+| FE-P2-8 | P3 | paper/signals | 大量`any`类型 | 定义TypeScript interface |
+| FE-P3-1 | P3 | lib/auth.tsx:33 | Token存localStorage | 评估httpOnly cookie方案 |
+| FE-P3-3 | P3 | app/page.tsx:144 | Promise.all任一失败全丢 | 改`Promise.allSettled` |
+
+---
+
+## 四、新功能：8信号源评分
+
+### 当前6信号源 → V5.2增加2个
+
+| # | 信号源 | 层级 | 当前 | V5.2 |
+|---|--------|------|------|------|
+| 1 | CVD三轨(fast/mid) | 方向层 | ✅ 评分中 | 保持 |
+| 2 | P99大单流 | 方向层 | ✅ 评分中 | 保持 |
+| 3 | CVD加速度 | 方向层 | ✅ 评分中 | 保持 |
+| 4 | 多空比+大户持仓比 | 拥挤层 | ✅ 评分中 | 保持 |
+| 5 | OI变化率 | 环境层 | ✅ 评分中 | 保持 |
+| 6 | Coinbase Premium | 辅助层 | ✅ 评分中 | 保持 |
+| **7** | **资金费率(FR)** | **拥挤层** | ⬜ 仅采集 | **✅ 加入评分** |
+| **8** | **清算数据** | **确认层** | ⬜ 仅采集 | **✅ 加入评分** |
+
+### FR评分逻辑（草案）
+
+```python
+# 资金费率 → 拥挤层加分
+# FR > 0.03% = 多头过度拥挤 → SHORT加分
+# FR < -0.03% = 空头过度拥挤 → LONG加分
+# |FR| > 0.1% = 极端值 → 反向强信号
+
+funding_rate = self.market_indicators.get("funding_rate")
+if funding_rate is not None:
+    if direction == "LONG" and funding_rate < -0.0003:
+        fr_score = 5  # 空头拥挤，做多有利
+    elif direction == "SHORT" and funding_rate > 0.0003:
+        fr_score = 5  # 多头拥挤，做空有利
+    elif direction == "LONG" and funding_rate > 0.001:
+        fr_score = -5  # 多头极度拥挤，做多危险（减分）
+    elif direction == "SHORT" and funding_rate < -0.001:
+        fr_score = -5  # 空头极度拥挤，做空危险
+    else:
+        fr_score = 0
+```
+
+### 清算数据评分逻辑（草案）
+
+```python
+# 大额清算 → 确认层加分
+# 大额空单清算 = 空头被清洗 → SHORT可能结束，LONG加分
+# 大额多单清算 = 多头被清洗 → LONG可能结束，SHORT加分
+# 5分钟内清算量 > 阈值 = 趋势加速信号
+
+liq_long = self.market_indicators.get("long_liq_usd", 0)
+liq_short = self.market_indicators.get("short_liq_usd", 0)
+if direction == "LONG" and liq_short > 500000:
+    liq_score = 5  # 大量空单被清算，趋势确认
+elif direction == "SHORT" and liq_long > 500000:
+    liq_score = 5
+else:
+    liq_score = 0
+```
+
+### V5.2权重分配（草案）
+
+| 层级 | V5.1权重 | V5.2权重 | 变化 |
+|------|---------|---------|------|
+| 方向层 | 45+5 | 40+5 | -5 |
+| 拥挤层 | 20 | 25（+FR 5分） | +5 |
+| 环境层 | 15 | 15 | 不变 |
+| 确认层 | 15 | 20（+清算 5分） | +5 |
+| 辅助层 | 5 | 5 | 不变 |
+| **总计** | **100+5** | **105+5** | +5 |
+
+> 注：总分超过100不影响，阈值按绝对分数判断（75/80/85）
+
+---
+
+## 五、策略调整
+
+### 开仓阈值调整
+
+| | V5.1 | V5.2 | 原因 |
+|---|------|------|------|
+| 最低开仓分 | 60分 | **75分** | 70-74档位50%胜率，扣手续费亏钱 |
+| light档 | 60-74 | **取消** | 数据证明低分信号无价值 |
+| standard档 | 75-84 | 75-84 | 保持 |
+| heavy档 | 85+ | 85+ | 保持 |
+
+### TP/SL倍数（待AB测试确认）
+
+| 参数 | V5.1（方案A） | V5.2候选（方案B） |
+|------|-------------|-----------------|
+| SL | 2.0 × risk_atr | 3.0 × risk_atr |
+| TP1 | 1.5 × risk_atr | 2.0 × risk_atr |
+| TP2 | 3.0 × risk_atr | 4.0 × risk_atr |
+| BTC手续费占比 | 0.23R | 0.15R |
+| TP2净利 | +0.89R | +0.97R |
+| SL净亏 | -1.23R | -1.15R |
+| 盈亏比 | 0.72 | 0.84 |
+| 保本胜率 | 58% | 54% |
+
+---
+
+## 六、策略配置化框架
+
+### 设计目标
+一个signal-engine进程，支持多套策略配置并行。
+
+### 配置文件结构
+```json
+// strategies/v51.json
+{
+  "name": "v51_baseline",
+  "threshold": 75,
+  "weights": {
+    "direction": 45,
+    "crowding": 20,
+    "environment": 15,
+    "confirmation": 15,
+    "auxiliary": 5
+  },
+  "tp_sl": {
+    "sl_multiplier": 2.0,
+    "tp1_multiplier": 1.5,
+    "tp2_multiplier": 3.0
+  },
+  "signals": ["cvd", "p99", "accel", "ls_ratio", "oi", "coinbase_premium"]
+}
+
+// strategies/v52.json
+{
+  "name": "v52_8signals",
+  "threshold": 75,
+  "weights": {
+    "direction": 40,
+    "crowding": 25,
+    "environment": 15,
+    "confirmation": 20,
+    "auxiliary": 5
+  },
+  "tp_sl": {
+    "sl_multiplier": 3.0,
+    "tp1_multiplier": 2.0,
+    "tp2_multiplier": 4.0
+  },
+  "signals": ["cvd", "p99", "accel", "ls_ratio", "oi", "coinbase_premium", "funding_rate", "liquidation"]
+}
+```
+
+### paper_trades表新增字段
+```sql
+ALTER TABLE paper_trades ADD COLUMN strategy VARCHAR(32) DEFAULT 'v51_baseline';
+```
+
+---
+
+## 七、AB测试方案
+
+### 架构
+```
+signal_engine.py
+    ├── evaluate_signal(state, strategy="v51") → score_A, signal_A
+    ├── evaluate_signal(state, strategy="v52") → score_B, signal_B
+    │
+    ├── paper_open_trade(strategy="v51", ...) → paper_trades.strategy='v51'
+    └── paper_open_trade(strategy="v52", ...) → paper_trades.strategy='v52'
+```
+
+### 独立资金池
+- V5.1：$10,000虚拟资金，独立统计
+- V5.2：$10,000虚拟资金，独立统计
+
+### 对比指标
+| 指标 | V5.1 | V5.2 |
+|------|------|------|
+| 总笔数 | ? | ? |
+| 胜率 | ? | ? |
+| 每笔平均R | ? | ? |
+| 最大回撤 | ? | ? |
+| 盈亏比 | ? | ? |
+| PF | ? | ? |
+
+### 测试周期
+- **两周**（目标每策略100+笔）
+- 结束后选表现更好的上实盘
+
+---
+
+## 八、24小时Warmup
+
+### 当前问题
+signal-engine启动时只加载4小时数据，P99大单需要24小时窗口。
+
+### 方案（范总确认）
+```python
+def main():
+    states = {sym: SymbolState(sym) for sym in SYMBOLS}
+    
+    # 分批加载24小时（每批100万条，避免OOM）
+    for sym, state in states.items():
+        load_historical_chunked(state, 24 * 3600 * 1000)
+        logger.info(f"[{sym}] warmup complete")
+    
+    logger.info("=== 全部币种warmup完成，开始出信号 ===")
+    # 这之后才开始评估循环
+```
+
+### 预估
+- 4币种24小时约2000-3000万条
+- 加载时间1-3分钟
+- 启动后信号质量从第一笔就是100%
+
+---
+
+## 九、V5.1-hotfix已修复清单（参考）
+
+| Commit | 内容 |
+|--------|------|
+| `45bad25` | P0-1: 反向信号绕过冷却 |
+| `45bad25` | P0-2: pnl_r统一(exit-entry)/risk_distance |
+| `45bad25` | P1-1: 分区月份+UTC修复 |
+| `2f9dce4` | TP/SL改限价单模式（趋近实盘） |
+| `4b841bc` | 前端浮盈半仓计算 |
+| `d351949` | 历史pnl_r修正脚本 |
+| `8b73500` | Auth从SQLite迁移PG |
+| `9528d69` | recent_large_trades去重 |
+
+---
+
+## 十、开发排期（草案）
+
+| 阶段 | 时间 | 内容 | 产出 |
+|------|------|------|------|
+| Phase 1 | Day 1-2 | Bug修复（P1全部 + P2重要的） | 代码+测试 |
+| Phase 2 | Day 2-3 | FR+清算评分逻辑 | signal_engine.py |
+| Phase 3 | Day 3-4 | 策略配置化框架 | strategies/*.json + 代码 |
+| Phase 4 | Day 4-5 | AB测试机制 | paper_trades.strategy字段 |
+| Phase 5 | Day 5 | 24h warmup | signal_engine.py |
+| Phase 6 | Day 6-7 | 前端Bug修复 + 策略对比页面 | 前端代码 |
+| **部署** | Day 7 | 全部写好测好，一次性部署 | 减少重启 |
+
+---
+
+## 十一、数据需求
+
+### 当前数据量
+- aggTrades：7039万条（BTC 23天 + ETH 3天 + XRP/SOL 3天）
+- signal_indicators：2.7万+条
+- paper_trades：181笔
+- market_indicators：5400+条
+- liquidations：3600+条
+
+### V5.2需要的数据量
+- **AB测试**：每策略至少100笔 → 两周
+- **权重优化（Phase 1统计分析）**：300+笔
+- **回归分析**：500+笔
+- **ML优化**：1000+笔
+
+---
+
+## 十二、风险与注意事项
+
+1. **手续费是盈亏关键** — BTC手续费0.23R/笔，必须控制交易频率
+2. **样本量不足** — 当前181笔，按分数段分析可能不稳定
+3. **过拟合风险** — 两周一次微调，每次±10-20%，不做大改
+4. **AB测试期间** — 两套策略共享最大持仓4个，需要分配
+5. **24h warmup** — 启动时间变长，需要告知运维（小周）
+6. **策略配置化** — 改动signal_engine核心代码，必须充分测试
+
+---
+
+*本文档为V5.2开发的完整参考，开发过程中持续更新。*
+*商业机密：策略细节不对外暴露。*

docs/arbitrage-engine/v52-evolution-roadmap.md

@@ -0,0 +1,269 @@
+---
+title: V5.2 策略进化路线图
+description: 信号引擎V5.2 — 数据驱动的策略迭代框架，将信号源视为特征、权重视为模型参数，通过模拟盘持续优化
+---
+
+# V5.2 策略进化路线图
+
+> **优先级：P0（最高）** | 负责人：露露 | 创建：2026-02-28
+
+---
+
+## 一、核心思路 ⭐⭐⭐
+
+### 信号源 = 特征（Feature）
+
+每一个数据源都是模型的一个**输入特征**。特征越多、越有效，模型的预测能力越强。
+
+当前V5.1的5层评分体系，本质上就是一个**手动设计的线性模型**：
+
+```
+总分 = W1×方向层 + W2×拥挤层 + W3×环境层 + W4×确认层 + W5×辅助层
+```
+
+### 权重 = 模型参数（Parameter）
+
+当前权重是人工拍的（45/20/15/15/5），不一定是最优的。
+
+**目标**：用真实交易数据（模拟盘+实盘），自动学习每个特征的最优权重。
+
+### 迭代循环（正向飞轮）
+
+```
+┌─────────────────────────────────────────────┐
+│                                             │
+│  ① 加入新信号源（特征）                      │
+│       ↓                                     │
+│  ② 模拟盘跑数据（每笔记录5层分数+盈亏）       │
+│       ↓                                     │
+│  ③ 分析数据（哪些特征有效、最优权重）          │
+│       ↓                                     │
+│  ④ 调整权重 / 加减特征                       │
+│       ↓                                     │
+│  ⑤ 实盘验证                                 │
+│       ↓                                     │
+│  ⑥ 数据反馈 → 回到①                         │
+│                                             │
+│  数据越多 → 模型越准 → 赚越多 → 数据越多      │
+│                                             │
+└─────────────────────────────────────────────┘
+```
+
+这就是量化交易的**核心方法论**，和大模型训练思路一样：
+- 大模型：数据 → 特征提取 → 权重训练 → 验证 → 迭代
+- 信号引擎：行情数据 → 信号源/指标 → 评分权重 → 模拟盘验证 → 调参迭代
+
+**护城河**：积累的数据和调优后的参数，是别人无法复制的。
+
+---
+
+## 二、当前架构（V5.1）
+
+### 已有信号源（特征）
+
+| 层 | 权重 | 信号源 | 数据来源 | 状态 |
+|----|------|--------|---------|------|
+| 方向层 | 45分 | CVD_fast(30m) | agg_trades计算 | ✅ 真实数据 |
+| 方向层 | - | CVD_mid(4h) | agg_trades计算 | ✅ 真实数据 |
+| 方向层 | - | P99大单流 | agg_trades计算 | ✅ 真实数据 |
+| 方向层 | +5 | CVD加速度 | agg_trades计算 | ✅ 真实数据 |
+| 拥挤层 | 20分 | 多空比 | 币安API globalLongShortAccountRatio | ✅ 真实数据 |
+| 拥挤层 | - | 大户持仓比 | 币安API topLongShortAccountRatio | ✅ 真实数据 |
+| 环境层 | 15分 | OI变化率 | 币安API openInterestHist | ✅ 真实数据 |
+| 确认层 | 15分 | 多时间框架CVD一致性 | agg_trades计算 | ✅ 真实数据 |
+| 辅助层 | 5分 | Coinbase Premium | 币安+CB价差 | ✅ 真实数据 |
+
+### 每笔交易记录的数据
+
+```json
+{
+  "score": 85,
+  "score_factors": {
+    "direction": {"score": 45, "cvd_fast": 15, "cvd_mid": 15, "p99_flow": 15, "accel_bonus": 5},
+    "crowding": {"score": 15, "long_short_ratio": 10, "top_trader_position": 5},
+    "environment": {"score": 10, "open_interest_hist": 0.02},
+    "confirmation": {"score": 15},
+    "auxiliary": {"score": 5, "coinbase_premium": 0.0012}
+  },
+  "pnl_r": 2.25,
+  "status": "tp"
+}
+```
+
+---
+
+## 三、V5.2 待加入信号源（按优先级）
+
+### 第一批（数据容易获取）
+
+| 信号源 | 类型 | 获取方式 | 预期价值 |
+|--------|------|---------|---------|
+| 资金费率(Funding Rate) | 拥挤指标 | 币安API /fapi/v1/fundingRate | 高 — 极端FR是反转信号 |
+| 清算数据(Liquidation) | 情绪指标 | 币安WS forceOrder | 高 — 大额清算=趋势加速 |
+| 期权PCR(Put/Call Ratio) | 情绪指标 | Deribit API | 中 — 机构对冲意愿 |
+| 波动率指数(DVOL) | 环境指标 | Deribit API | 中 — 波动率扩张/收缩 |
+
+### 第二批（需要爬取/计算）
+
+| 信号源 | 类型 | 获取方式 | 预期价值 |
+|--------|------|---------|---------|
+| Twitter/X情绪 | 情绪指标 | Agent-Reach xsearch | 中 — 散户情绪反指标 |
+| 恐贪指数 | 情绪指标 | alternative.me API | 低 — 日级更新太慢 |
+| 链上大额转账 | 鲸鱼行为 | Etherscan/Blockchain API | 中 — 鲸鱼动向 |
+| 交易所净流入 | 资金流 | CryptoQuant/Glassnode | 高 — 抛压预警 |
+
+### 第三批（高级）
+
+| 信号源 | 类型 | 获取方式 | 预期价值 |
+|--------|------|---------|---------|
+| 订单簿深度不对称 | 微观结构 | 币安WS depth | 中 — 支撑/阻力判断 |
+| 跨交易所价差 | 套利信号 | 多交易所API | 低 — 实现复杂 |
+| 新闻事件检测 | 事件驱动 | LLM分析 | 中 — 黑天鹅预警 |
+
+---
+
+## 四、权重优化方法（数据足够后实施）
+
+### Phase 1：统计分析（200+笔交易后）
+
+```python
+# 按各层分数分桶，看胜率
+# 例如：方向层>=40分时胜率65%，<30分时胜率45%
+# → 说明方向层有效，保持高权重
+
+# 按拥挤层分桶
+# 例如：拥挤层>=15分时胜率60%，<10分时胜率58%
+# → 说明拥挤层区分度低，可以降权重
+```
+
+### Phase 2：回归分析（500+笔交易后）
+
+```python
+# 逻辑回归：各层分数 → 是否盈利
+# 输出：每个特征的系数 = 最优权重
+from sklearn.linear_model import LogisticRegression
+model = LogisticRegression()
+model.fit(X_factors, y_win)  # X=5层分数, y=盈利/亏损
+optimal_weights = model.coef_
+```
+
+### Phase 3：机器学习（1000+笔交易后）
+
+```python
+# XGBoost/随机森林：自动发现非线性关系
+# 例如：方向层高+拥挤层低 = 最佳组合（简单线性模型发现不了）
+from xgboost import XGBClassifier
+model = XGBClassifier()
+model.fit(X_factors, y_win)
+# 特征重要性排序 → 指导信号源增减
+```
+
+---
+
+## 五、2026-02-28 开发记录
+
+### V5.1完善
+- **5层评分真实数据修复**：signal_engine之前没正确解析market_indicators的JSONB，拥挤/环境/辅助层全是默认中间分。修了fetch_market_indicators正确解析JSONB → commit `317031a`
+- **前端UI全面压缩**：标题改"⚡ 信号引擎 V5.1"，所有面板字体/间距/padding缩小 → commits `9382d35`, `271658c`
+
+### 模拟盘上线（Paper Trading）
+- **paper_trades表** + signal_engine集成 + 5个API → commit `e054db1`
+- **开关机制**：默认关闭，前端按钮控制，API热更新 → commit `282aed1`
+- **手续费**：Taker 0.05%×2=0.1%来回 → commit `47004ec`
+- **反向信号翻转**：持多仓来空信号→先平后开 → commit `6681070`
+- **WebSocket实时TP/SL**：独立paper_monitor.py进程，毫秒级平仓 → commit `7b901a2`
+- **前端aggTrade实时价格**：逐笔成交推送 → commit `1d23042`
+- **当前资金显示** → commit `d0e626a`
+- **冷启动保护**：重启后跳过前3轮防重复开仓 → commit `95b45d0`
+- **5层评分明细记录**：score_factors JSONB字段 → commit `022ead6`
+
+### Bug修复
+- arb-api缩进错误 → commit `cd17c76`
+- Request未导入 → commit `b232270`
+- useAuth登录检测 → commit `59910fe`
+- 现价不准改币安API → commit `d177d28`
+- 最新信号symbol参数修复 → commit `404cc68`
+- 资金字体超框 → commit `95fec35`
+- gitignore __pycache__ → commit `961cbc6`
+
+---
+
+## 六、下一步行动
+
+| 阶段 | 时间 | 内容 |
+|------|------|------|
+| 现在 | 2026-02-28 ~ 03-14 | 模拟盘跑两周，积累200-300笔交易数据 |
+| Phase 1 | 03-14 | 统计分析各层贡献，初步调权重 |
+| Phase 2 | 03-21 | 加入资金费率+清算数据（第一批新信号源） |
+| Phase 3 | 04-01 | 回归分析自动优化权重 |
+| Phase 4 | 04-15 | 小仓实盘验证 |
+| 持续 | 长期 | 不断加入新信号源，数据驱动迭代 |
+
+---
+
+## 七、行业竞品与信号源调研（2026-02-28）
+
+### 与我们思路相似的项目
+
+#### 1. Hyper-Alpha-Arena（GitHub开源）— 相似度85%
+- **地址**：https://github.com/HammerGPT/Hyper-Alpha-Arena
+- **核心**：监控Order Flow + OI变化 + Funding Rate极端值，触发自动交易
+- 支持币安合约+Hyperliquid，用LLM（GPT-5/Claude/DeepSeek）做策略决策
+- **区别**：他们用LLM自然语言描述策略做决策，我们用评分模型
+- **我们的优势**：5层评分+权重训练更可量化、可回测、可优化
+
+#### 2. FinRL-AlphaSeek（哥伦比亚大学，ACM竞赛）— 相似度80%
+- **地址**：https://github.com/Open-Finance-Lab/FinRL_Contest_2025
+- **论文**：https://arxiv.org/html/2504.02281v4
+- **核心**：因子挖掘(Factor Mining) + 集成学习(Ensemble Learning)
+- 两阶段：① 特征工程+因子选择 ② 多模型集成
+- **映射关系**：他们的"因子"=我们的"信号源"，他们的"集成权重"=我们的"评分权重"
+- **区别**：他们用强化学习(RL)训练Agent，我们用统计回归优化权重
+- **可借鉴**：遗传算法优化权重（比逻辑回归更强）
+
+#### 3. ACM论文：ML驱动多因子量化模型（ETH市场）— 相似度75%
+- **地址**：https://dl.acm.org/doi/10.1145/3766918.3766922
+- **核心**：把交易因子分三类 — 传统技术因子 + 链上因子 + ML生成因子
+- 用IC值（信息系数）衡量每个因子的预测力
+- 用**遗传算法**自动优化因子权重
+- 信号用Z-score阈值触发（>1买入，<-1卖出）
+- **启发**：我们也可以用IC值来量化每个信号源的贡献
+
+#### 4. CoinGlass CDRI（衍生品风险指数）— 相似度70%
+- **地址**：https://www.coinglass.com/pro/i/CDRI
+- **核心**：综合OI/FR/清算/CVD等多指标打分，评分>80或<20触发信号
+- **区别**：他们只做风险预警展示，不做自动交易
+
+### 行业信号源使用频率排名
+
+| 排名 | 信号源 | 行业使用频率 | 我们状态 | 数据源 | 获取难度 |
+|------|--------|------------|---------|--------|---------|
+| 1 | CVD/Order Flow | ⭐⭐⭐⭐⭐ | ✅ 已有 | agg_trades | - |
+| 2 | Open Interest | ⭐⭐⭐⭐⭐ | ✅ 已有 | 币安API | - |
+| 3 | Funding Rate | ⭐⭐⭐⭐⭐ | ⬜ 待加 | 币安API（免费） | ⭐ |
+| 4 | 清算数据 | ⭐⭐⭐⭐ | ⬜ 待加 | 币安WS forceOrder | ⭐⭐ |
+| 5 | 多空比 | ⭐⭐⭐⭐ | ✅ 已有 | 币安API | - |
+| 6 | 链上净流入/流出 | ⭐⭐⭐⭐ | ⬜ 待加 | CryptoQuant（付费） | ⭐⭐⭐ |
+| 7 | Coinbase Premium | ⭐⭐⭐ | ✅ 已有 | 价差计算 | - |
+| 8 | 社交情绪 | ⭐⭐⭐ | ⬜ 待加 | Santiment/LLM | ⭐⭐⭐ |
+| 9 | 期权PCR/DVOL | ⭐⭐⭐ | ⬜ 待加 | Deribit API | ⭐⭐ |
+| 10 | 鲸鱼钱包追踪 | ⭐⭐⭐ | ⬜ 待加 | Nansen（付费） | ⭐⭐⭐ |
+| 11 | 清算热力图 | ⭐⭐ | ⬜ 待加 | CoinGlass API（付费） | ⭐⭐ |
+| 12 | 订单簿深度 | ⭐⭐ | ⬜ 待加 | 币安WS depth | ⭐⭐ |
+
+### 关键结论
+
+1. **没有人做得和我们完全一样** — 大多数用传统技术指标或纯ML黑箱，用CVD+多空比+OI做多层评分的几乎没有
+2. **行业趋势明确** — 多因子 + ML权重优化，和范总定的方向完全一致
+3. **Funding Rate是最高优先级** — 行业使用率最高、免费获取、我们还没加
+4. **权重优化可升级** — 从逻辑回归→IC值+遗传算法，参考ACM论文方法
+
+### 数据供应商参考
+
+| 平台 | 核心能力 | 价格 | 适合 |
+|------|---------|------|------|
+| CoinGlass | 衍生品数据（OI/FR/清算/热力图） | 免费基础+付费API | 清算数据 |
+| CryptoQuant | 链上数据（净流入/矿工/交易所储备） | $29/月起 | 链上因子 |
+| Santiment | 社交情绪+链上+开发活跃度 | 免费基础+付费 | 情绪因子 |
+| Glassnode | 链上高级指标（SOPR/NUPL/STH-LTH） | $39/月起 | 深度链上 |
+| Nansen | 鲸鱼钱包追踪+Smart Money | $100/月起 | 鲸鱼行为 |

docs/arbitrage-engine/v52-performance-analysis.md

@@ -0,0 +1,193 @@
+---
+title: V5.2 模拟盘执行分析报告
+date: 2026-03-03
+---
+
+# V5.2 模拟盘执行分析报告
+
+> 数据口径：真实成交价（agg_trades）+ 手续费扣除，calc_version=2  
+> 分析日期：2026-03-03  
+> 策略名称：v52_8signals（8信号源）  
+> 参与分析：露露（Sonnet 4.6）、小范（GPT-5.3-Codex）
+
+---
+
+## 一、总体概况
+
+| 指标 | 数值 |
+|------|------|
+| 总交易笔数 | 156笔（含4笔活跃/tp1_hit） |
+| 已闭合笔数 | 152笔 |
+| 净R（含手续费）| **-25.07R** |
+| 毛R（不含手续费）| **-3.27R** |
+| 总手续费 | **21.80R** |
+| 平均单笔手续费 | 0.143R |
+| 胜率 | 51.3% |
+| 平均每笔净R | -0.165R |
+
+> 本金10,000 USD，1R=200 USD → 净亏损约5,014 USD  
+> 与V5.1对比：笔数少（152 vs 500），手续费率低（0.143R vs 0.218R），**但毛R为负(-3.27R)**，信号层本身无优势
+
+---
+
+## 二、V5.2 vs V5.1 对比
+
+| 指标 | V5.1 | V5.2 |
+|------|------|------|
+| 已闭合笔数 | 500 | 152 |
+| 净R | -99.73R | -25.07R |
+| 毛R | **+10.73R** | **-3.27R** |
+| 总手续费 | 110.46R | 21.80R |
+| 平均单笔费 | 0.218R | 0.143R |
+| 胜率 | 55.4% | 51.3% |
+| 平均净R | -0.193R | -0.165R |
+
+**关键差异：V5.1毛R为正（+11R），V5.2毛R为负（-3R）。V5.2交易频率低但信号质量更差。**
+
+---
+
+## 三、出场类型分布
+
+| 状态 | 笔数 | 平均R（净） | 合计R | 平均手续费 |
+|------|------|-----------|-------|----------|
+| sl（止损）| 43 | -1.161R | **-49.90R** | 0.161R |
+| timeout（超时）| 32 | +0.055R | +1.74R | 0.132R |
+| sl_be（保本止损）| 30 | +0.179R | +5.38R | 0.154R |
+| tp（止盈）| 29 | +0.964R | +27.97R | 0.119R |
+| signal_flip（翻转）| 18 | -0.570R | -10.25R | 0.145R |
+
+**关键发现**：
+- SL 43笔亏49.90R，TP只29笔赚27.97R，差额-21.93R
+- signal_flip出场损耗大（-0.570R均值），说明信号方向频繁切换
+- **SL均值-1.161R，低于V5.1的-1.232R，单笔止损更小（SL更宽）**
+
+### SL均值拆解
+
+| 组成 | 数值 |
+|------|------|
+| SL基础R | -1.000R |
+| 手续费 | -0.161R |
+| 净SL | -1.161R |
+
+---
+
+## 四、方向分析
+
+| 方向 | 笔数 | 胜率 | 合计R |
+|------|------|------|-------|
+| LONG | 103 | 49.5% | -13.18R |
+| SHORT | 53 | 54.9% | -11.88R |
+
+**结论**：LONG胜率仅49.5%（低于随机），多空均亏。
+
+---
+
+## 五、币种分析
+
+| 币种 | 笔数 | 胜率 | 合计R |
+|------|------|------|-------|
+| BTCUSDT | 40 | **35.9%** | **-13.24R** |
+| XRPUSDT | 37 | 52.8% | -9.17R |
+| ETHUSDT | 37 | 58.3% | -3.40R |
+| SOLUSDT | 42 | 58.5% | **+0.74R** |
+
+**关键发现**：
+- BTC胜率35.9%，严重低于随机，V5.2比V5.1更差（V5.1是49.3%）
+- SOL是唯一正R币种（+0.74R），胜率58.5%
+- ETH胜率58.3%但仍净亏（手续费拖累）
+
+---
+
+## 六、信号分数段分析
+
+| 分数段 | 笔数 | 胜率 | 合计R |
+|--------|------|------|-------|
+| 75-79 | 105 | 50.5% | -21.33R |
+| 80-84 | 42 | 45.2% | -9.51R |
+| 85+ | 9 | **88.9%** | **+5.77R** |
+
+**重要发现**：
+- V5.2的85+高分段胜率88.9%，合计+5.77R，**与V5.1完全相反**（V5.1高分无效）
+- 但样本量太少（只有9笔），统计意义有限
+- 75-84分段表现极差，80-84甚至只有45.2%胜率
+
+---
+
+## 七、时段分析（北京时间）
+
+### 盈利时段（合计R>0）
+| 时段 | R | 胜率 |
+|------|---|------|
+| 05:00 | +0.94R | 75.0% |
+| 08:00 | +2.93R | 85.7% |
+| 22:00 | +4.76R | 80.0% |
+| 23:00 | +7.62R | 85.7% |
+
+### 重度亏损时段（胜率<30%）
+| 时段 | R | 胜率 |
+|------|---|------|
+| 00:00 | -4.97R | 14.3% |
+| 09:00 | -5.88R | 14.3% |
+| 12:00 | -4.38R | 33.3% |
+| 13:00 | -5.22R | 40.0% |
+
+**V5.1和V5.2共同亏损时段**：09:00、13:00（两个策略均在这两个时段表现极差）
+
+---
+
+## 八、持仓时间分析
+
+| 出场类型 | 平均持仓 |
+|----------|---------|
+| timeout | 60.0分钟 |
+| sl_be | 26.8分钟 |
+| tp | 27.0分钟 |
+| sl | **28.1分钟** |
+| flip | 27.0分钟 |
+
+**与V5.1对比**：V5.2的SL持仓时间更长（28min vs 18min），说明SL空间更宽（sl=2.1×ATR vs 1.4×ATR），但仍被打出。
+
+---
+
+## 九、风险统计
+
+| 指标 | 数值 |
+|------|------|
+| 单笔最大亏损 | -1.29R |
+| 单笔最大盈利 | +1.02R |
+| 标准差 | 0.796R |
+| 中位数 | +0.079R |
+
+---
+
+## 十、核心结论
+
+### V5.2 vs V5.1 关键差异
+
+| 维度 | V5.1 | V5.2 | 解读 |
+|------|------|------|------|
+| 毛R | +10.73R | -3.27R | V5.2信号质量更差 |
+| 胜率 | 55.4% | 51.3% | V5.2信号未改善胜率 |
+| 单笔费 | 0.218R | 0.143R | V5.2手续费率更低（SL更宽） |
+| BTC胜率 | 49.3% | 35.9% | V5.2在BTC上更差 |
+| 85+分段 | 无效 | 88.9%（9笔）| 样本太少，不可靠 |
+
+### V5.2失败原因
+1. **信号质量比V5.1更差**：毛R从+11R变成-3R，8个信号源的叠加没有提升预测能力，反而带来更多噪声
+2. **BTC更差**：35.9%胜率说明额外信号源对BTC的预测无帮助
+3. **signal_flip损耗大**：-0.570R均值，方向频繁切换，每次翻转都有损耗
+4. **统计样本不足**：152笔相对于策略评估太少，结论不确定性高
+
+### 与Gemini分析对照
+- CVD双重计分问题在V5.2同样存在
+- V5.2增加的8个信号源（相比V5.1的6个）未能提升正交性
+- V5.3应从根本上解决因子多重共线性问题
+
+---
+
+## 十一、对V5.3设计的启示
+
+1. **V5.1有微弱信号（毛R正），V5.2没有**：V5.3应保留V5.1的核心因子，不是简单增加信号
+2. **BTC在两个版本都表现差**：V5.3可考虑完全不交易BTC，专注ETH/XRP/SOL
+3. **08:00、22:00、23:00是两个策略共同盈利时段**：这些时段可能有结构性因素（美盘/亚盘交替）
+4. **删除确认层（CVD重复）是最优先改动**：在V5.1和V5.2中均可验证这是评分失真的根源

docs/arbitrage-engine/v52-signal-system.md

@@ -0,0 +1,151 @@
+---
+title: V5.2 信号系统文档
+---
+
+# V5.2 八信号源系统（v52_8signals）
+
+## 概述
+
+V5.2 在 V5.1 基础上新增 **资金费率（Funding Rate）** 和 **清算数据（Liquidation）** 两个信号源，形成 7 层 100 分评分体系。目标是提高信号精准度，减少无效开仓。
+
+## 与 V5.1 的核心差异
+
+| 对比项 | V5.1 | V5.2 |
+|--------|------|------|
+| 信号源 | 6个 | 8个（+FR, +清算） |
+| 评分层 | 5层 | 7层（+FR层, +清算层） |
+| 方向权重 | 45分 | 40分 |
+| TP/SL | SL=2.0×ATR | SL=3.0×ATR（更宽） |
+| 盈亏比目标 | 0.72 | 0.84+ |
+
+## 评分体系（7层100分）
+
+| 层级 | 权重 | 信号源 | 说明 |
+|------|------|--------|------|
+| 方向层 | 40分 | CVD_fast + CVD_mid + P99大单 | 同V5.1但权重降低 |
+| 拥挤层 | 18分 | 多空比 + 大户持仓 | 结构性仓位判断 |
+| **FR层** | **5分** | **资金费率** | **持仓成本顺风度** |
+| 环境层 | 12分 | OI变化率 | 同V5.1但权重降低 |
+| 确认层 | 15分 | CVD双周期共振 | 同V5.1 |
+| **清算层** | **5分** | **清算比率** | **市场清洗力度** |
+| 辅助层 | 5分 | Coinbase Premium | 同V5.1 |
+
+### FR层详解（5分）— 线性评分
+
+**数据源**：Binance fundingRate，每5分钟采集，每8小时结算。
+
+**评分公式**：
+```
+raw_score = (|当前FR| / 历史最大FR) × 5，上限5分
+
+有利方向 → fr_score = raw_score（0~5）
+不利方向 → fr_score = 0
+```
+
+**方向判断**：
+- 做多 + FR为负（空头付费给多头）= 有利 → 给分
+- 做空 + FR为正（多头付费给空头）= 有利 → 给分
+- 其他 = 不利 → 0分（不扣分）
+
+**历史最大FR**：从数据库实时计算，每小时缓存一次。数据越多越精准。
+
+| 币种 | 历史最大FR | 说明 |
+|------|-----------|------|
+| BTC | ~0.0046% | 波动最小 |
+| ETH | ~0.0095% | 中等 |
+| XRP | ~0.022% | 波动大 |
+| SOL | ~0.022% | 波动大 |
+
+**设计原则**：
+- 信号方向已确定，FR只评估"有多顺风"
+- 不利方向不扣分（方向决策不由FR层负责）
+- 线性映射，不分层不设阈值，灵活精准
+- 分数带小数（如 +2.27分、+0.33分）
+
+### 清算层详解（5分）— 梯度评分
+
+**数据源**：liq-collector 实时采集清算事件。
+
+**评分逻辑**：
+```
+ratio = 对手方清算USD / 己方清算USD
+
+做多 → ratio = 空头清算 / 多头清算
+做空 → ratio = 多头清算 / 空头清算
+
+ratio ≥ 2.0 → 5分
+ratio ≥ 1.5 → 3分
+ratio ≥ 1.2 → 1分
+ratio < 1.2 → 0分
+```
+
+**逻辑**：对手方爆仓越多，说明市场正在朝我们的方向清洗，有利信号。
+
+## TP/SL 设置
+
+| 参数 | V5.1 | V5.2 | 变化原因 |
+|------|------|------|----------|
+| SL | 2.0 × ATR | 3.0 × ATR | 更宽止损，减少噪声出局 |
+| TP1 | 1.5 × ATR | 2.0 × ATR | 更远止盈，提高盈亏比 |
+| TP2 | 3.0 × ATR | 4.5 × ATR | 大幅提升盈亏比目标 |
+
+理论盈亏比从 0.72 提升到 0.84。
+
+## 开仓规则
+
+与 V5.1 相同：
+- 阈值：75分（标准），85分（加仓）
+- 冷却：10分钟
+- 最大持仓：4笔
+- 反向翻转：反向≥75分 → 平旧开新
+
+## 策略配置
+
+```json
+{
+  "name": "v52_8signals",
+  "version": "5.2",
+  "threshold": 75,
+  "weights": {
+    "direction": 40,
+    "crowding": 18,
+    "funding_rate": 5,
+    "environment": 12,
+    "confirmation": 15,
+    "liquidation": 5,
+    "auxiliary": 5
+  },
+  "accel_bonus": 0,
+  "tp_sl": {
+    "sl_multiplier": 3.0,
+    "tp1_multiplier": 2.0,
+    "tp2_multiplier": 4.5
+  },
+  "signals": ["cvd", "p99", "accel", "ls_ratio", "oi", "coinbase_premium", "funding_rate", "liquidation"]
+}
+```
+
+## AB测试观测清单（2026-03-02 ~ 03-16）
+
+### 冻结期规则
+- 不改权重、不改阈值、不改评分逻辑
+- 单写入源（小周生产环境）
+- 目标：V5.1 500+笔，V5.2 200+笔
+
+### 两周后评审项
+1. **确认层重复计分审计** — 方向层和确认层同源，看区分度
+2. **拥挤层 vs FR相关性** — `corr(FR_score, crowd_score)`，>0.7则降一层
+3. **OI持续性审计** — `oi_persist_n=1` vs `>=2` 胜率差异
+4. **清算触发率审计** — 按币种，避免触发不均衡
+5. **config_hash落库** — 权重调整前补版本标识
+
+### 权重优化路径
+- 200+笔 → 统计分析（各层分布+胜率关联）
+- 500+笔 → 回归分析（哪些层对盈亏贡献最大）
+- 1000+笔 → ML（XGBoost等）
+
+## 已知问题
+
+1. **方向层与确认层同源重复** — 等数据验证
+2. **清算样本少** — 才积累2天，ratio波动大
+3. **币种间FR基准差异大** — BTC max=0.0046% vs SOL=0.022%，线性映射已自动处理

docs/arbitrage-engine/v53-design.md

@@ -0,0 +1,304 @@
+---
+title: V5.3 统一信号系统设计案
+date: 2026-03-03
+updated: 2026-03-03
+---
+
+# V5.3 统一信号系统设计案
+
+> 目标：让策略从"手工打分规则"升级为"可持续训练和迭代的小模型系统"。统一架构覆盖 BTC/ETH/XRP/SOL，per-symbol 参数化门控，消除双轨维护成本。
+
+## 1. 设计原则
+
+1. **统一评分、差异化门控**：四层评分逻辑完全一致，通过 `symbol_gates` 参数化各币种的门控阈值。
+2. **先数据、后调参**：先补齐特征与标签落库，再做参数优化。
+3. **反过拟合优先**：任何优化必须先过样本外验证（OOS）。
+4. **信号与执行解耦**：Alpha（信号）与成本（执行）分开归因。
+5. **版本可追溯**：每次信号和交易都可回溯到 `strategy_version + config_hash + engine_instance`。
+
+## 2. 现状问题归纳（V5.1/V5.2）
+
+- V5.1：毛R为正、净R为负，说明有 Alpha 但被手续费和执行摩擦吞噬。
+- V5.2：交易频率下降但毛R转负，说明新增因子未提升预测力，存在噪声与冗余。
+- 评分结构存在共线性：方向层与确认层同源（重复使用 CVD_fast/CVD_mid）。
+- BTC 与 ALT 使用同构逻辑，忽略了市场微结构差异。
+
+## 3. V5.3 总体架构
+
+```
+Market Data → Feature Snapshot → _evaluate_v53() → Gate Check → Signal Decision → Execution → Label Backfill → Walk-Forward Eval
+```
+
+### 3.1 统一策略（v53）
+
+单一策略文件 `backend/strategies/v53.json`，覆盖 BTC/ETH/XRP/SOL。
+
+**四层评分（总分100）**
+
+| 层 | 权重 | 子项 |
+|---|---|---|
+| Direction | 55 | CVD共振(30) + P99大单对齐(20) + 加速奖励(5) |
+| Crowding | 25 | LSR反向(15) + 大户持仓(10) |
+| Environment | 15 | OI变化率 |
+| Auxiliary | 5 | Coinbase Premium |
+
+**Per-symbol 四门控制（symbol_gates）**
+
+| 门 | BTC | ETH | XRP | SOL |
+|---|---|---|---|---|
+| 波动率下限 | 0.2% | 0.3% | 0.4% | 0.6% |
+| 鲸鱼阈值/逻辑 | whale_cvd_ratio >$100k | 大单否决 $50k | 大单否决 $30k | 大单否决 $20k |
+| OBI否决 | ±0.30 | ±0.35 | ±0.40 | ±0.45 |
+| 期现背离否决 | ±0.3% | ±0.5% | ±0.6% | ±0.8% |
+
+**开仓档位**
+- < 75分：不开仓
+- 75–84分：标准仓（1×R）
+- ≥ 85分：加仓档（1.5×R）
+- 冷却期：10分钟
+
+### 3.2 实时数据流
+
+| 数据 | 来源 | 频率 | 覆盖币种 |
+|---|---|---|---|
+| OBI（订单簿失衡） | `@depth10@100ms` perp WS | 100ms | BTC/ETH/XRP/SOL |
+| 期现背离 | `@bookTicker` spot + `@markPrice@1s` perp | 1s | BTC/ETH/XRP/SOL |
+| 巨鲸CVD | aggTrades 流内计算（>$100k） | 实时 | BTC |
+| 大单方向 | aggTrades 流内计算 | 实时 | ETH/XRP/SOL |
+
+## 4. 训练数据飞轮（Phase 3）
+
+```
+signal_feature_events (raw features, 每轮评分写入)
+    ↓  label_backfill.py (T+60m打标签)
+signal_label_events (y_binary_60m, mfe_r_60m, mae_r_60m)
+    ↓  walk_forward.py
+权重优化 → v53.json 更新
+```
+
+**Walk-Forward 规则（严防过拟合）**
+- 训练窗口：30天，步长：7天
+- 验证集：永远在训练集之后，不交叉
+- 评估指标：OOS 净R、胜率、MDD
+
+## 5. 版本演进记录
+
+| 版本 | 时间 | 变更摘要 |
+|---|---|---|
+| V5.1 | 2026-02 | 基础CVD评分，有毛Alpha，净R为负 |
+| V5.2 | 2026-02 | 新增8信号层，频率下降但净R未改善 |
+| V5.3 Phase0 | 2026-03-03 | 建立feature/label落库表，ATR列 |
+| V5.3 Phase1 | 2026-03-03 | 四层评分+双轨(alt/btc)，删确认层 |
+| V5.3 Phase2 | 2026-03-03 | RT-WS接入(OBI+期现背离)，覆盖所有symbol |
+| V5.3 统一版 | 2026-03-03 | 合并alt/btc为单一v53策略，per-symbol门控 |
+
+- **Feature Snapshot**：每次评估时落库原始特征和中间分数（含 `atr_value` 快照）。
+- **Track Router**：按 symbol 路由到 ALT/BTC 模型。
+- **Signal Decision**：输出开仓/不开仓/翻转决策和原因。
+- **Execution**：独立处理 maker/taker、TP/SL、BE、flip。
+- **Label Backfill**：按 15/30/60 分钟回填标签。
+- **Walk-Forward Eval**：滚动训练与验证，驱动版本迭代。
+
+## 4. 双轨模型定义
+
+## 4.1 ALT 轨（ETH/XRP/SOL）
+
+- 目标：保留 V5.1 有效微观结构 Alpha，去除冗余。
+- 关键变更：取消独立 Confirmation 层（避免与 Direction 共线性重复计分）。
+- 决策机制：线性加权评分（总分 100）+ 门控 + 阈值。
+
+### 4.1.1 ALT 权重总表（V5.3 初版）
+
+| 层级 | 权重 | 子特征 | 子特征权重 | 说明 |
+|------|------|--------|------------|------|
+| Direction | 55 | `cvd_resonance` | 30 | `cvd_fast` 与 `cvd_mid` 同向共振 |
+| Direction | 55 | `p99_flow_alignment` | 20 | P99 大单方向与主方向一致 |
+| Direction | 55 | `cvd_accel_bonus` | 5 | CVD 加速度同向奖励 |
+| Crowding | 25 | `lsr_contrarian` | 15 | 多空比反向拥挤 |
+| Crowding | 25 | `top_trader_position` | 10 | 大户持仓方向确认 |
+| Environment | 15 | `oi_delta_regime` | 15 | OI 变化状态 |
+| Auxiliary | 5 | `coinbase_premium` | 5 | 美系现货溢价辅助 |
+
+### 4.1.2 ALT 子特征评分函数（标准化）
+
+- `cvd_resonance`（0/30）：
+  - LONG：`cvd_fast > 0 && cvd_mid > 0`
+  - SHORT：`cvd_fast < 0 && cvd_mid < 0`
+  - 否则 `0` 且 `gate_no_direction=true`
+- `p99_flow_alignment`（0/10/20）：
+  - 强同向净流：20
+  - 无明显反向压制：10
+  - 明显反向：0
+- `cvd_accel_bonus`（0/5）：
+  - 加速度方向与主方向一致：5
+- `lsr_contrarian`（0~15）：
+  - LONG：`lsr<=0.5` 高分，`0.5<lsr<1.0` 线性递减
+  - SHORT：`lsr>=2.0` 高分，`1.0<lsr<2.0` 线性递减
+- `top_trader_position`（0~10）：
+  - 与方向一致比例越高分越高
+- `oi_delta_regime`（0/7.5/15）：
+  - 资金显著流入：15
+  - 平稳：7.5
+  - 显著流出：0
+- `coinbase_premium`（0/2/5）：
+  - 顺向溢价：5
+  - 中性：2
+  - 反向：0
+
+### 4.1.3 ALT 决策阈值
+
+- `open_threshold = 75`
+- `flip_threshold = 85`
+- `max_positions_per_track = 4`
+- `cooldown_seconds = 300`
+
+### 4.1.4 ALT 信号总分公式
+
+```text
+score_alt = direction(55) + crowding(25) + environment(15) + auxiliary(5)
+open if score_alt >= 75 and no veto
+flip if reverse_score_alt >= 85 and no veto
+```
+
+## 4.2 BTC 轨（独立模型）
+
+- 目标：针对机构主导盘口，提升信号有效性。
+- 决策方式：先用"条件门控 + 否决条件"，不与 ALT 共用线性总分。
+
+### 4.2.1 BTC 核心特征
+
+- `atr_percent_1h`：1小时 ATR 占当前价格百分比（波动率门控）
+- `tiered_cvd_whale`：按成交额分层的大单净流（建议主桶 `>100k`）
+- `obi_depth_10`：盘口前 10 档失衡
+- `spot_perp_divergence`：现货与永续价量背离
+
+### 4.2.2 BTC 门控与否决逻辑
+
+- 波动率门控：`atr_percent_1h < min_vol_threshold` -> veto
+- 方向门控：巨鲸净流未达阈值 -> veto
+- 挂单墙否决：方向与 OBI 显著冲突 -> veto
+- 期现背离否决：perp 强多但 spot 弱（或反向）-> veto
+
+### 4.2.3 BTC 参数（初始值，可配置）
+
+- `min_vol_threshold = 0.002`（0.2%）
+- `obi_veto_threshold = 0.30`
+- `whale_flow_threshold`：按币价与流动性分档配置
+- 以上参数均定义为配置项，禁止散落硬编码。
+
+### 4.2.4 BTC 决策伪代码
+
+```text
+if missing_any_feature:
+  block("missing_feature")
+if atr_percent_1h < min_vol_threshold:
+  block("low_vol_regime")
+if abs(tiered_cvd_whale) < whale_flow_threshold:
+  block("weak_whale_flow")
+if direction_conflict_with_obi:
+  block("obi_imbalance_veto")
+if spot_perp_divergence_is_trap:
+  block("spot_perp_divergence_veto")
+otherwise:
+  allow_open
+```
+
+## 5. 数据基建（ML Ready）
+
+## 5.1 表设计
+
+### `signal_feature_events`
+
+- 用途：每次信号评估快照（无论是否开仓）。
+- 关键字段：
+  - 元数据：`event_id, ts, symbol, track, side`
+  - 版本：`strategy, strategy_version, config_hash, engine_instance`
+  - 原始特征：`cvd_fast_raw, cvd_mid_raw, p99_flow_raw, accel_raw, ls_ratio_raw, top_pos_raw, oi_delta_raw, coinbase_premium_raw, fr_raw, liq_raw, obi_raw, tiered_cvd_whale_raw, atr_value`
+  - 决策：`score_total, score_direction, score_crowding, score_environment, score_aux, gate_passed, block_reason`
+
+### `signal_label_events`
+
+- 用途：延迟回填标签，评估信号纯预测能力。
+- 字段：`event_id, y_binary_30m, y_binary_60m, y_return_15m, y_return_30m, y_return_60m, mfe_r_60m, mae_r_60m`
+
+### `execution_cost_events`
+
+- 用途：独立归因执行成本。
+- 字段：`trade_id, entry_type, exit_type, fee_bps, slippage_bps, maker_ratio, flip_flag, hold_seconds, friction_cost_r`
+
+## 5.2 标签定义
+
+- `Y_binary_60m`（严格定义）：从信号触发时间 `ts` 起 60 分钟内，使用 `Mark Price` 序列判定，若价格先触及 `+2.0 * atr_value`，且在该触发时刻之前从未触及 `-1.0 * atr_value`，则记为 `1`，否则记为 `0`。
+- 时间顺序要求（Chronological Order）：若 60 分钟窗口内先触及 `-1.0 * atr_value`，即使后续再触及 `+2.0 * atr_value`，也必须记为 `0`。
+- `Y_return_t`：固定时间窗（15m/30m/60m）净收益率（含成本估计）。
+
+说明：
+- 标签优先评价"信号有效性"，而不是被具体 TP/SL 参数污染的最终交易结果。
+- 统一使用 `Mark Price` + `atr_value` 快照，避免插针和重算偏差。
+
+## 6. 执行引擎改造
+
+1. **TP 优先 Maker + Taker 兜底**：入场后预挂 TP1/TP2 限价单；若价格已越过 TP 触发价且挂单在超时窗口（如 2 秒）内仍未成交，立即撤单并用 Taker 市价平仓兜底。
+2. **部分成交分支**：兜底前查询成交量，仅对剩余仓位执行 `Cancel -> Taker Close`。
+3. **Break-Even 费用感知**：BE 触发价需覆盖手续费与滑点缓冲，避免"名义保本、账户实亏"。
+4. **Flip 双门槛**：开仓阈值 `75`，翻转阈值 `85`。
+5. **并发和幂等**：`Cancel -> Market` 需要状态锁和幂等键，防止重复平仓。
+6. **执行质量指标化**：持续监控 `maker_ratio / avg_friction_cost_r / flip_loss_r`。
+
+## 7. 反过拟合协议（强制）
+
+1. **Walk-Forward Optimization**：训练窗与验证窗严格时间隔离。
+2. **参数冻结**：一个评估周期内禁止改权重、阈值。
+3. **特征预算**：样本不足时严格限制特征数量，新增特征先 shadow 记录。
+4. **升级门槛**：样本外结果不达标不得进入下一阶段。
+5. **可解释性检查**：无金融逻辑支撑的"高胜率规则"禁止上线。
+
+## 8. 模型权重训练与更新机制（新增）
+
+## 8.1 参数分层
+
+- `static_params`：交易风控硬约束（如最大仓位、最大回撤阈值）
+- `tunable_params`：可训练参数（ALT 子特征权重、阈值、BTC 门控阈值）
+- `release_params`：版本发布参数（`strategy_version`, `config_hash`）
+
+## 8.2 ALT 权重训练流程
+
+1. 用 `signal_feature_events + signal_label_events` 生成训练集。
+2. 先做单变量稳定性审计（IC、分箱胜率、PSI）。
+3. 再做有约束优化：
+   - 权重非负
+   - 总和固定为 100
+   - 单层权重变化设上限（如不超过上版的 30%）
+4. 在 OOS 上评估，未达标不发布。
+
+## 8.3 BTC 阈值训练流程
+
+1. 针对每个门控特征做阈值网格搜索。
+2. 以 OOS `net_r + drawdown` 共同评分。
+3. 选择 Pareto 最优点，不追单一胜率最优。
+
+## 8.4 参数更新节奏
+
+- 建议频率：每 1-2 周滚动一次。
+- 每次仅允许小步更新，避免参数跳变。
+- 每次更新必须附带变更记录：`old -> new`、样本窗口、验证结果。
+
+## 9. 发布与回滚机制
+
+- 每次策略升级必须生成新 `strategy_version` 和 `config_hash`。
+- 发版前必须附带：训练窗结果 + 验证窗（OOS）结果 + 执行成本变化。
+- 任一核心指标触发阈值告警（如净R断崖、回撤超限）立即回滚到上一稳定版本。
+
+## 10. 版本验收标准（V5.3）
+
+- ALT 轨：样本外连续两个窗口净R为正。
+- BTC 轨：样本外净R非负，且胜率不低于随机基线。
+- 执行层：`maker_ratio >= 40%`，且 `avg_friction_cost_r`（滑点+手续费）较 V5.1 基线下降 >= 30%。
+- 稳定性：最大回撤不显著劣化。
+
+## 11. 里程碑
+
+- M1：完成三张新表与事件落库。
+- M2：完成 ALT/BTC 路由与首版决策逻辑。
+- M3：完成执行成本改造（maker/BE/flip）。
+- M4：跑通首轮 Walk-Forward 并产出 V5.3 首次评估报告。

docs/arbitrage-engine/v53-implementation-checklist.md

@@ -0,0 +1,108 @@
+---
+title: V5.3 实施清单
+status: draft
+updated: 2026-03-03
+---
+
+# V5.3 实施清单
+
+## Phase 0 - 数据与追溯基建（P0）
+
+- [ ] 新增 `signal_feature_events` 表（含索引）
+- [ ] 新增 `signal_label_events` 表（含索引）
+- [ ] 新增 `execution_cost_events` 表（含索引）
+- [ ] `signal_feature_events` 增加 `atr_value` 字段（信号触发时 ATR 绝对值快照）
+- [ ] 在信号评估循环中落库 feature snapshot（每次评估都写）
+- [ ] 打通统一追溯字段：`strategy_version/config_hash/engine_instance`
+- [ ] 标签回填任务上线（15m/30m/60m）
+- [ ] 标签回填强制使用 Mark Price，并按时间顺序判定先触发条件
+- [ ] 标签计算强制使用快照 `atr_value`（禁止回填时重算 ATR）
+
+## Phase 1 - 决策引擎重构（P0）
+
+- [ ] 实现 ALT/BTC 路由器（按 symbol 分流）
+- [ ] ALT 轨移除独立 confirmation 层，改为四层结构
+- [ ] ALT 轨实现权重分配：`55/25/15/5`
+- [ ] ALT 轨实现阈值：`open=75`, `flip=85`
+- [ ] BTC 轨首版特征：`tiered_cvd_whale`, `obi_depth_10`, `spot_perp_divergence`, `atr_percent_1h`
+- [ ] BTC 轨门控逻辑上线（含 veto 条件）
+- [ ] BTC 轨缺失特征默认 `BLOCK_SIGNAL`，并写入 `block_reason`
+- [ ] BTC 轨阈值配置化：`min_vol_threshold`, `obi_veto_threshold`, `whale_flow_threshold`
+
+## Phase 2 - 执行层与摩擦成本优化（P0）
+
+- [ ] 执行层支持 TP 预挂单（maker 优先）
+- [ ] 增加 TP 未成交兜底：越价+超时后撤 maker 改 taker 强平
+- [ ] 增加“部分成交”分支：仅对剩余仓位执行兜底
+- [ ] Break-Even 改为费用感知（含手续费+滑点缓冲）
+- [ ] `Cancel -> Market` 增加状态锁与幂等键
+- [ ] 新增执行成本统计任务（fee/slippage/maker_ratio/friction_cost_r）
+
+## Phase 3 - 评估与发布闸门（P1）
+
+- [ ] 新增按 `config_hash` 分组报表接口
+- [ ] 新增按 `track` 分组报表接口（ALT/BTC 分开看）
+- [ ] 建立 Walk-Forward 评估脚本（训练窗+验证窗）
+- [ ] 产出首版 V5.3 OOS 报告模板
+- [ ] 新增参数变更记录模板（`old -> new` + 样本窗口 + OOS结果）
+
+## Phase 4 - 持续优化（P2）
+
+- [ ] 特征 shadow 机制（新因子先记录不参与决策）
+- [ ] 自动化回滚钩子（核心KPI超阈值触发）
+- [ ] 分层 CVD 桶参数自动校准
+- [ ] OBI 深度档位自适应（5档/10档切换）
+- [ ] 评估 XGBoost/LightGBM 离线实验管道
+
+## 数据库建议（草案）
+
+## `signal_feature_events`
+
+- 主键：`event_id`
+- 必要索引：
+  - `(ts)`
+  - `(symbol, ts DESC)`
+  - `(track, ts DESC)`
+  - `(strategy_version, config_hash, ts DESC)`
+
+## `signal_label_events`
+
+- 主键：`event_id`
+- 必要索引：
+  - `(y_binary_60m, ts)`
+  - `(symbol, ts DESC)`
+
+## `execution_cost_events`
+
+- 主键：`trade_id`
+- 必要索引：
+  - `(ts)`
+  - `(symbol, ts DESC)`
+  - `(entry_type, exit_type, ts DESC)`
+
+## 上线前验证清单
+
+- [ ] feature 事件写入无丢失，延迟可接受
+- [ ] label 回填任务无时间错位
+- [ ] ALT/BTC 路由正确（BTC 不落入 ALT）
+- [ ] BTC 缺失特征不会静默放行
+- [ ] maker 优先在真实成交中可观测
+- [ ] TP 兜底分支含部分成交路径可复现
+- [ ] BE 逻辑覆盖成本后，不再出现“保本但净亏”异常
+- [ ] flip 频次和 flip 损耗下降
+- [ ] OOS 报告通过预设阈值
+
+## 发布闸门（量化指标）
+
+- [ ] ALT：连续两个 OOS 窗口净R > 0
+- [ ] BTC：OOS 净R >= 0 且胜率 >= 随机基线
+- [ ] `maker_ratio >= 40%`
+- [ ] `avg_friction_cost_r`（滑点+手续费）较 V5.1 下降 >= 30%
+- [ ] 最大回撤不高于风险红线
+
+## 任务分配建议
+
+- 后端核心：`signal_engine.py`, `paper_monitor.py`, `main.py`, `db.py`
+- 数据任务：新增 migration + 回填 job
+- 评估任务：新增 `scripts/train_eval_walkforward.py`
+- 文档任务：每次发版补充 `strategy_version` 变更记录

docs/arbitrage-engine/v54-requirements.md

@@ -0,0 +1,265 @@
+# V5.4 Strategy Factory 需求文档
+
+**版本**：v1.0  
+**日期**：2026-03-11  
+**作者**：露露  
+**状态**：待范总 + 小范 Review
+
+---
+
+## 1. 背景与目标
+
+当前系统（V5.3）使用单体 `signal_engine.py`，所有策略逻辑耦合在一起，存在以下问题：
+
+- 修改任意策略参数需重启整个引擎，中断数据采集
+- 不同策略无法独立运行和对比，A/B 测试成本高
+- 参数配置分散在 JSON 文件中，无法通过前端界面管理
+- 无法按币种独立优化权重
+
+V5.4 目标：构建 **Strategy Factory（策略工厂）**，将信号引擎解耦为数据总线 + 独立策略 Worker，支持前端可视化管理策略生命周期和参数配置。
+
+---
+
+## 2. 核心架构
+
+### 2.1 整体架构
+
+```
+Signal Engine（数据总线）
+  ├── 采集原始数据（aggTrades / OBI / 清算 / 市场数据）
+  ├── 计算基础 Feature（CVD / ATR / VWAP / whale flow / OBI / spot-perp div）
+  └── 广播 feature_event（每15秒一次）
+
+Strategy Workers（策略工厂）
+  ├── Worker-1：我的BTC策略01（BTCUSDT，asyncio协程）
+  ├── Worker-2：我的ETH策略01（ETHUSDT，asyncio协程）
+  ├── Worker-N：...
+  └── 每个 Worker 订阅 feature_event，独立打分、开仓、管仓
+```
+
+### 2.2 关键设计原则
+
+- **同一进程 + asyncio 协程**：所有 Worker 共享同一 Python 进程，feature_event 内存传递，省资源
+- **独立资金池**：每个 Worker 有独立的 paper trading 余额，互不影响
+- **15秒内热生效**：前端修改参数后，Worker 在下一个评估周期（≤15秒）自动从 DB 读取新参数
+- **配置存 DB**：所有策略配置存入数据库，JSON 文件废弃
+- **直接切换**：V5.4 上线后直接替换 V5.3 单体，不并行
+
+---
+
+## 3. 策略生命周期
+
+### 3.1 状态定义
+
+```
+created（已创建）→ running（运行中）→ paused（已暂停）→ running
+                                    ↓
+                               deprecated（已废弃）→ running（重新启用）
+```
+
+- **只有「废弃」，没有「删除」**
+- 废弃的策略数据永久保留，可在废弃列表中检索
+- 废弃策略可重新启用，继续使用原有余额和历史数据
+
+### 3.2 策略标识
+
+- 用户填写**显示名称**（自由命名，如"我的BTC激进策略"）
+- 后台自动生成**UUID**作为唯一标识，用户不感知
+- `paper_trades` 等表通过 strategy_id（UUID）关联
+
+### 3.3 余额管理
+
+- 创建时设置初始资金（默认 10,000 USDT）
+- 支持**追加余额**：追加后，`initial_balance` 同步增加，`current_balance` 同步增加
+- 废弃后重新启用，继续使用废弃时的余额和历史数据
+
+---
+
+## 4. 策略配置参数
+
+每个策略实例（每个币种独立）包含以下可配置参数，均存入数据库，前端可编辑。
+
+### 4.1 基础信息
+
+| 参数 | 说明 | 类型 | 默认值 | 范围 |
+|------|------|------|--------|------|
+| display_name | 策略显示名称 | string | — | 1-50字符 |
+| symbol | 交易对 | enum | BTCUSDT | BTCUSDT / ETHUSDT / SOLUSDT / XRPUSDT |
+| direction | 交易方向 | enum | both | long_only / short_only / both |
+| initial_balance | 初始资金(USDT) | float | 10000 | 1000-1000000 |
+
+### 4.2 CVD 窗口配置
+
+| 参数 | 说明 | 类型 | 默认值 | 可选项 |
+|------|------|------|--------|--------|
+| cvd_fast_window | 快线CVD窗口 | enum | 30m | 5m / 15m / 30m |
+| cvd_slow_window | 慢线CVD窗口 | enum | 4h | 1h / 4h |
+
+### 4.3 四层权重（合计必须 = 100）
+
+| 参数 | 说明 | 默认值 | 范围 |
+|------|------|--------|------|
+| weight_direction | 方向得分权重 | 55 | 10-80 |
+| weight_env | 环境得分权重 | 25 | 5-60 |
+| weight_aux | 辅助因子权重 | 15 | 0-40 |
+| weight_momentum | 动量权重 | 5 | 0-20 |
+
+> 前端校验：四项之和必须 = 100，否则不允许保存
+
+### 4.4 入场阈值
+
+| 参数 | 说明 | 默认值 | 范围 |
+|------|------|--------|------|
+| entry_score | 入场最低总分 | 75 | 60-95 |
+
+### 4.5 四道 Gate（过滤门）
+
+每道 Gate 有独立开关和阈值：
+
+| Gate | 说明 | 开关默认 | 阈值参数 | 默认值 | 范围 |
+|------|------|----------|----------|--------|------|
+| gate_obi | 订单簿失衡门 | ON | obi_threshold | 0.3 | 0.1-0.9 |
+| gate_whale_cvd | 大单CVD门 | ON | whale_cvd_threshold | 0.0 | -1.0-1.0 |
+| gate_vol_atr | 波动率ATR门 | ON | atr_percentile_min | 20 | 5-80 |
+| gate_spot_perp | 现货/永续溢价门 | OFF | spot_perp_threshold | 0.002 | 0.0005-0.01 |
+
+### 4.6 风控参数
+
+| 参数 | 说明 | 默认值 | 范围 |
+|------|------|--------|------|
+| sl_atr_multiplier | SL宽度（×ATR） | 1.5 | 0.5-3.0 |
+| tp1_ratio | TP1（×RD） | 0.75 | 0.3-2.0 |
+| tp2_ratio | TP2（×RD） | 1.5 | 0.5-4.0 |
+| timeout_minutes | 持仓超时(分钟) | 240 | 30-1440 |
+| flip_threshold | 反转平仓阈值(分) | 80 | 60-95 |
+
+---
+
+## 5. 前端功能需求
+
+### 5.1 策略广场列表页（已有基础，新增以下）
+
+- **右上角「+ 新增策略」按钮**：点击进入参数配置创建界面
+- **每个卡片新增「调整参数」按钮**：点击进入参数配置编辑界面（预填当前参数）
+- **每个卡片新增「废弃」按钮**：点击弹出二次确认，确认后策略进入废弃状态
+- **每个卡片新增「追加余额」功能**：输入追加金额，确认后更新余额
+
+### 5.2 参数配置界面（新建/编辑共用）
+
+- 基础信息：名称、币种、交易方向、初始资金
+- CVD窗口：快线/慢线各独立选择
+- 四层权重：滑块或数字输入，实时显示合计，合计≠100时禁止保存
+- 四道Gate：开关 + 阈值输入，各有说明文字和合理范围提示
+- 风控参数：数字输入，有最小/最大值限制
+- 底部：「保存并启动」（新建）/ 「保存」（编辑）按钮
+
+### 5.3 策略详情页（已有基础，新增以下）
+
+- 新增第三个 Tab：**「参数配置」**
+  - 展示当前所有参数，可点击编辑跳转到编辑界面
+
+### 5.4 侧边栏新增入口
+
+- **「废弃策略」**：点击进入废弃策略列表
+  - 展示格式与正常卡片相同，额外显示废弃时间
+  - 每个废弃策略有「重新启用」按钮
+  - 重新启用后恢复至运行中状态，继续原余额和数据
+
+### 5.5 权限
+
+- 所有页面需登录才能访问（复用现有 JWT）
+- 登录后有全部操作权限，无角色区分
+
+---
+
+## 6. 后端架构需求
+
+### 6.1 数据库新增表
+
+**`strategies` 表**（策略配置主表）：
+```sql
+strategy_id        UUID PRIMARY KEY
+display_name       TEXT NOT NULL
+symbol             TEXT NOT NULL
+direction          TEXT NOT NULL DEFAULT 'both'
+status             TEXT NOT NULL DEFAULT 'running'  -- running/paused/deprecated
+initial_balance    FLOAT NOT NULL DEFAULT 10000
+current_balance    FLOAT NOT NULL DEFAULT 10000
+cvd_fast_window    TEXT NOT NULL DEFAULT '30m'
+cvd_slow_window    TEXT NOT NULL DEFAULT '4h'
+weight_direction   INT NOT NULL DEFAULT 55
+weight_env         INT NOT NULL DEFAULT 25
+weight_aux         INT NOT NULL DEFAULT 15
+weight_momentum    INT NOT NULL DEFAULT 5
+entry_score        INT NOT NULL DEFAULT 75
+gate_obi_enabled   BOOL NOT NULL DEFAULT TRUE
+obi_threshold      FLOAT NOT NULL DEFAULT 0.3
+gate_whale_enabled BOOL NOT NULL DEFAULT TRUE
+whale_cvd_threshold FLOAT NOT NULL DEFAULT 0.0
+gate_vol_enabled   BOOL NOT NULL DEFAULT TRUE
+atr_percentile_min INT NOT NULL DEFAULT 20
+gate_spot_perp_enabled BOOL NOT NULL DEFAULT FALSE
+spot_perp_threshold FLOAT NOT NULL DEFAULT 0.002
+sl_atr_multiplier  FLOAT NOT NULL DEFAULT 1.5
+tp1_ratio          FLOAT NOT NULL DEFAULT 0.75
+tp2_ratio          FLOAT NOT NULL DEFAULT 1.5
+timeout_minutes    INT NOT NULL DEFAULT 240
+flip_threshold     INT NOT NULL DEFAULT 80
+deprecated_at      TIMESTAMP
+created_at         TIMESTAMP DEFAULT NOW()
+updated_at         TIMESTAMP DEFAULT NOW()
+```
+
+### 6.2 现有表调整
+
+- `paper_trades`：`strategy` 字段改为存 `strategy_id`（UUID），兼容现有数据（v53/v53_middle/v53_fast 保留字符串形式）
+- `signal_indicators`：同上
+
+### 6.3 API 新增端点
+
+```
+POST   /api/strategies              创建策略
+GET    /api/strategies              获取所有策略列表（含废弃）
+GET    /api/strategies/{id}         获取单个策略详情
+PATCH  /api/strategies/{id}         更新策略参数
+POST   /api/strategies/{id}/pause   暂停策略
+POST   /api/strategies/{id}/resume  恢复策略
+POST   /api/strategies/{id}/deprecate   废弃策略
+POST   /api/strategies/{id}/restore     重新启用
+POST   /api/strategies/{id}/add-balance 追加余额
+```
+
+### 6.4 Signal Engine 改造
+
+- Signal Engine 只负责 feature 计算和广播，不再包含评分/开仓逻辑
+- 每个 Strategy Worker 作为 asyncio 协程，订阅 feature_event
+- Worker 启动时从 DB 读取配置，每15秒评估时重新读取（捕获参数变更）
+
+---
+
+## 7. 迁移计划
+
+V5.4 上线时：
+1. 将现有 v53、v53_middle、v53_fast 三个策略迁移为 `strategies` 表中的三条记录
+2. 历史 `paper_trades` 数据通过 strategy 名称映射到对应 strategy_id
+3. 直接切换，不保留 V5.3 单体并行
+
+---
+
+## 8. 不在本期范围内
+
+- 实盘交易（本期只做 paper trading）
+- 多用户/多账户体系
+- 策略算法类型选择（本期只支持四层评分算法）
+- 自动化参数优化（Optuna 集成）
+
+---
+
+## 9. Review 检查清单
+
+- [ ] 范总确认需求无遗漏
+- [ ] 小范审阅数据结构合理性
+- [ ] 确认 `strategies` 表字段完整性
+- [ ] 确认 API 端点覆盖所有前端操作
+- [ ] 确认迁移方案不丢失历史数据
+- [ ] 需求文档 Review 通过后，再开始写数据合约文档

frontend/app/dashboard/page.tsx

@@ -1,6 +1,7 @@
 "use client";
 import { useEffect, useState } from "react";
 import { useRouter } from "next/navigation";
+import { authFetch, useAuth } from "@/lib/auth";
 
 interface UserInfo {
   id: number;
@@ -12,36 +13,46 @@ interface UserInfo {
 
 export default function DashboardPage() {
   const router = useRouter();
+  const { isLoggedIn, loading, logout } = useAuth();
   const [user, setUser] = useState<UserInfo | null>(null);
   const [discordId, setDiscordId] = useState("");
   const [saving, setSaving] = useState(false);
   const [msg, setMsg] = useState("");
 
   useEffect(() => {
-    const token = localStorage.getItem("arb_token");
-    if (!token) { router.push("/login"); return; }
-    fetch("/api/user/me", { headers: { Authorization: `Bearer ${token}` } })
-      .then(r => { if (!r.ok) { router.push("/login"); return null; } return r.json(); })
-      .then(d => { if (d) { setUser(d); setDiscordId(d.discord_id || ""); } });
-  }, [router]);
+    if (loading) return;
+    if (!isLoggedIn) { router.push("/login"); return; }
+    authFetch("/api/auth/me")
+      .then(r => r.ok ? r.json() : Promise.reject())
+      .then(d => {
+        setUser({
+          id: d.id,
+          email: d.email,
+          discord_id: d.discord_id || null,
+          tier: d.subscription?.tier || "free",
+          expires_at: d.subscription?.expires_at || null,
+        });
+        setDiscordId(d.discord_id || "");
+      })
+      .catch(() => router.push("/login"));
+  }, [loading, isLoggedIn, router]);
 
   const bindDiscord = async () => {
     setSaving(true); setMsg("");
-    const token = localStorage.getItem("arb_token");
-    const r = await fetch("/api/user/bind-discord", {
+    try {
+      const r = await authFetch("/api/user/bind-discord", {
         method: "POST",
-      headers: { Authorization: `Bearer ${token}`, "Content-Type": "application/json" },
+        headers: { "Content-Type": "application/json" },
         body: JSON.stringify({ discord_id: discordId }),
       });
       const d = await r.json();
-    setMsg(r.ok ? "✅ 绑定成功" : d.detail || "绑定失败");
-    setSaving(false);
+      setMsg(r.ok ? "\u2705 绑定成功" : d.detail || "绑定失败");
       if (r.ok && user) setUser({ ...user, discord_id: discordId });
+    } catch { setMsg("绑定失败"); }
+    setSaving(false);
   };
 
-  const logout = () => { localStorage.removeItem("arb_token"); router.push("/"); };
-
-  if (!user) return <div className="text-slate-500 p-8">加载中...</div>;
+  if (loading || !user) return <div className="text-slate-500 p-8">加载中...</div>;
 
   const tierLabel: Record<string, string> = { free: "免费版", pro: "Pro", premium: "Premium" };
 
@@ -80,7 +91,7 @@ export default function DashboardPage() {
             {saving ? "保存中..." : "绑定"}
           </button>
         </div>
-        {msg && <p className={`text-sm ${msg.startsWith("✅") ? "text-emerald-400" : "text-red-400"}`}>{msg}</p>}
+        {msg && <p className={`text-sm ${msg.startsWith("\u2705") ? "text-emerald-400" : "text-red-400"}`}>{msg}</p>}
         <p className="text-slate-400 text-xs">如何获取Discord ID：设置 → 外观 → 开发者模式 → 右键个人头像 → 复制用户ID</p>
       </div>
 

frontend/app/globals.css

@@ -9,6 +9,8 @@
   --muted: #64748b;
   --primary: #2563eb;
   --primary-foreground: #ffffff;
+  --font-geist-sans: "Segoe UI", "PingFang SC", "Noto Sans", sans-serif;
+  --font-geist-mono: "SFMono-Regular", Consolas, "Liberation Mono", Menlo, monospace;
 }
 
 @theme inline {

frontend/app/layout.tsx

@@ -1,13 +1,9 @@
 import type { Metadata } from "next";
-import { Geist, Geist_Mono } from "next/font/google";
 import "./globals.css";
 import Sidebar from "@/components/Sidebar";
 import { AuthProvider } from "@/lib/auth";
 import AuthHeader from "@/components/AuthHeader";
 
-const geistSans = Geist({ variable: "--font-geist-sans", subsets: ["latin"] });
-const geistMono = Geist_Mono({ variable: "--font-geist-mono", subsets: ["latin"] });
-
 export const metadata: Metadata = {
   title: "Arbitrage Engine",
   description: "Funding rate arbitrage monitoring system",
@@ -16,7 +12,7 @@ export const metadata: Metadata = {
 export default function RootLayout({ children }: Readonly<{ children: React.ReactNode }>) {
   return (
     <html lang="zh">
-      <body className={`${geistSans.variable} ${geistMono.variable} antialiased min-h-screen bg-slate-50 text-slate-900`}>
+      <body className="antialiased min-h-screen bg-slate-50 text-slate-900">
         <AuthProvider>
           <div className="flex min-h-screen">
             <Sidebar />

frontend/app/live/page.tsx

@@ -1,130 +1,760 @@
 "use client";
+import { useState, useEffect } from "react";
+import Link from "next/link";
+import { authFetch, useAuth } from "@/lib/auth";
+import { XAxis, YAxis, Tooltip, ResponsiveContainer, ReferenceLine, Area, AreaChart } from "recharts";
 
-import { useEffect, useState, useCallback } from "react";
-import { api } from "@/lib/api";
-import {
-  LineChart, Line, XAxis, YAxis, Tooltip, Legend,
-  ResponsiveContainer, ReferenceLine, CartesianGrid
-} from "recharts";
-
-interface ChartPoint {
-  time: string;
-  btcRate: number;
-  ethRate: number;
-  btcPrice: number;
-  ethPrice: number;
+function bjt(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCMonth()+1).padStart(2,"0")}-${String(d.getUTCDate()).padStart(2,"0")} ${String(d.getUTCHours()).padStart(2,"0")}:${String(d.getUTCMinutes()).padStart(2,"0")}`;
 }
+function fmtPrice(p: number) { return p < 100 ? p.toFixed(4) : p.toLocaleString("en-US", { minimumFractionDigits: 1, maximumFractionDigits: 1 }); }
+function fmtMs(ms: number) { return ms > 999 ? `${(ms/1000).toFixed(1)}s` : `${ms}ms`; }
 
-export default function LivePage() {
-  const [data, setData] = useState<ChartPoint[]>([]);
-  const [count, setCount] = useState(0);
-  const [loading, setLoading] = useState(true);
-  const [hours, setHours] = useState(2);
-
-  const fetchSnapshots = useCallback(async () => {
-    try {
-      const json = await api.snapshots(hours, 3600);
-      const rows = json.data || [];
-      setCount(json.count || 0);
-      // 降采样：每30条取1条，避免图表过密
-      const step = Math.max(1, Math.floor(rows.length / 300));
-      const sampled = rows.filter((_, i) => i % step === 0);
-      setData(sampled.map(row => ({
-        time: new Date(row.ts * 1000).toLocaleTimeString("zh-CN", { hour: "2-digit", minute: "2-digit" }),
-        btcRate: parseFloat((row.btc_rate * 100).toFixed(5)),
-        ethRate: parseFloat((row.eth_rate * 100).toFixed(5)),
-        btcPrice: row.btc_price,
-        ethPrice: row.eth_price,
-      })));
-    } catch { /* ignore */ } finally {
-      setLoading(false);
-    }
-  }, [hours]);
+const LIVE_STRATEGY = "v52_8signals";
 
+// ═══════════════════════════════════════════════════════════════
+// L0: 顶部固定风险条（sticky，永远可见）
+// ═══════════════════════════════════════════════════════════════
+function L0_RiskBar() {
+  const [risk, setRisk] = useState<any>(null);
+  const [recon, setRecon] = useState<any>(null);
+  const [account, setAccount] = useState<any>(null);
   useEffect(() => {
-    fetchSnapshots();
-    const iv = setInterval(fetchSnapshots, 10_000);
-    return () => clearInterval(iv);
-  }, [fetchSnapshots]);
+    const f = async () => {
+      try { const r = await authFetch("/api/live/risk-status"); if (r.ok) setRisk(await r.json()); } catch {}
+      try { const r = await authFetch("/api/live/reconciliation"); if (r.ok) setRecon(await r.json()); } catch {}
+      try { const r = await authFetch("/api/live/account"); if (r.ok) setAccount(await r.json()); } catch {}
+    };
+    f(); const iv = setInterval(f, 5000); return () => clearInterval(iv);
+  }, []);
+
+  const riskStatus = risk?.status || "unknown";
+  const riskColor = riskStatus === "normal" ? "bg-emerald-500" : riskStatus === "circuit_break" ? "bg-red-500" : "bg-amber-500";
+  const reconOk = recon?.status === "ok";
+  const totalR = (risk?.today_realized_r || 0) + Math.min(risk?.today_unrealized_r || 0, 0);
+  const rBudgetPct = Math.abs(totalR / 5 * 100);  // -5R日限
+  const rBudgetColor = rBudgetPct >= 100 ? "text-red-500" : rBudgetPct >= 80 ? "text-amber-500" : "text-emerald-500";
 
   return (
-    <div className="space-y-6">
-      <div className="flex items-center justify-between flex-wrap gap-3">
-        <div>
-          <h1 className="text-2xl font-bold text-slate-900">实时费率变动</h1>
-          <p className="text-slate-500 text-sm mt-1">
-            8小时结算周期内的实时费率曲线 · 已记录 <span className="text-blue-600 font-medium">{count.toLocaleString()}</span> 条快照
-          </p>
+    <div className="sticky top-0 z-50 bg-slate-900 text-white px-4 py-2 rounded-lg shadow-lg flex items-center justify-between flex-wrap gap-2 text-[11px]">
+      {/* 交易状态 */}
+      <div className="flex items-center gap-1.5">
+        <div className={`w-2 h-2 rounded-full ${riskColor} ${riskStatus === "circuit_break" ? "animate-pulse" : ""}`} />
+        <span className="font-medium">{riskStatus === "normal" ? "运行中" : riskStatus === "circuit_break" ? "🔴 熔断" : riskStatus === "warning" ? "⚠️ 警告" : "未知"}</span>
+        {risk?.block_new_entries && <span className="px-1 py-0.5 rounded bg-red-800 text-red-200 text-[9px]">禁新仓</span>}
+        {risk?.reduce_only && <span className="px-1 py-0.5 rounded bg-red-800 text-red-200 text-[9px]">只减仓</span>}
+      </div>
+
+      {/* R预算 */}
+      <div className="flex items-center gap-3 font-mono">
+        <div>
+          <span className="text-slate-400">已实现</span>
+          <span className={`ml-1 font-bold ${(risk?.today_realized_r||0) >= 0 ? "text-emerald-400" : "text-red-400"}`}>{(risk?.today_realized_r||0) >= 0 ? "+" : ""}{risk?.today_realized_r||0}R</span>
+        </div>
+        <div>
+          <span className="text-slate-400">未实现</span>
+          <span className={`ml-1 font-bold ${(risk?.today_unrealized_r||0) >= 0 ? "text-emerald-400" : "text-red-400"}`}>{(risk?.today_unrealized_r||0) >= 0 ? "+" : ""}{risk?.today_unrealized_r||0}R</span>
+        </div>
+        <div>
+          <span className="text-slate-400">日限</span>
+          <span className={`ml-1 font-bold ${rBudgetColor}`}>{totalR >= 0 ? "+" : ""}{totalR.toFixed(1)}/-5R</span>
+        </div>
+      </div>
+
+      {/* 对账+清算 */}
+      <div className="flex items-center gap-3">
+        <div className="flex items-center gap-1">
+          <div className={`w-1.5 h-1.5 rounded-full ${reconOk ? "bg-emerald-400" : "bg-red-400 animate-pulse"}`} />
+          <span className="text-slate-300">对账{reconOk ? "✓" : `✗(${recon?.diffs?.length||0})`}</span>
+        </div>
+        <div className="text-slate-300">连亏 <span className="font-bold text-white">{risk?.consecutive_losses||0}</span></div>
+        {risk?.circuit_break_reason && <span className="text-red-300 text-[9px] max-w-[150px] truncate">{risk.circuit_break_reason}</span>}
+      </div>
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L1: 一键止血区
+// ═══════════════════════════════════════════════════════════════
+function L1_EmergencyPanel() {
+  const [confirming, setConfirming] = useState<string|null>(null);
+  const [msg, setMsg] = useState("");
+  const doAction = async (action: string) => {
+    try { const r = await authFetch(`/api/live/${action}`, { method: "POST" }); const j = await r.json(); setMsg(j.message || j.error || "已执行"); setConfirming(null); setTimeout(() => setMsg(""), 5000); } catch { setMsg("操作失败"); }
+  };
+  const ConfirmBtn = ({ action, label, color }: { action: string; label: string; color: string }) => (
+    confirming === action ? (
+      <div className="flex items-center gap-1">
+        <span className="text-[10px] text-red-600">确认？</span>
+        <button onClick={() => doAction(action)} className={`px-2 py-1 rounded text-[10px] font-bold ${color} text-white`}>确认</button>
+        <button onClick={() => setConfirming(null)} className="px-2 py-1 rounded text-[10px] bg-slate-200 text-slate-600">取消</button>
+      </div>
+    ) : (
+      <button onClick={() => setConfirming(action)} className={`px-3 py-1.5 rounded-lg text-[11px] font-bold ${color} text-white`}>{label}</button>
+    )
+  );
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white px-4 py-2.5">
+      <div className="flex items-center justify-between flex-wrap gap-2">
+        <h3 className="font-semibold text-slate-800 text-xs">⚡ 止血操作</h3>
+        <div className="flex gap-2 items-center">
+          <ConfirmBtn action="emergency-close" label="🔴 全平" color="bg-red-500 hover:bg-red-600" />
+          <ConfirmBtn action="block-new" label="🟡 禁新仓" color="bg-amber-500 hover:bg-amber-600" />
+          <button onClick={() => doAction("resume")} className="px-3 py-1.5 rounded-lg text-[11px] font-bold bg-emerald-500 text-white hover:bg-emerald-600">✅ 恢复</button>
+        </div>
+      </div>
+      {msg && <p className="text-[10px] text-blue-600 mt-1">{msg}</p>}
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L1.5: 实盘配置面板
+// ═══════════════════════════════════════════════════════════════
+function L15_LiveConfig() {
+  const [config, setConfig] = useState<Record<string, any>>({});
+  const [editing, setEditing] = useState(false);
+  const [draft, setDraft] = useState<Record<string, string>>({});
+  const [saving, setSaving] = useState(false);
+
+  useEffect(() => {
+    const f = async () => {
+      try {
+        const r = await authFetch("/api/live/config");
+        if (r.ok) { const d = await r.json(); setConfig(d); }
+      } catch {}
+    };
+    f();
+  }, []);
+
+  const configOrder = ["risk_per_trade_usd", "initial_capital", "risk_pct", "max_positions", "leverage", "enabled_strategies", "trade_env"];
+  const configIcons: Record<string, string> = {
+    risk_per_trade_usd: "🎯", initial_capital: "💰", risk_pct: "📊",
+    max_positions: "📦", leverage: "⚡", enabled_strategies: "🧠", trade_env: "🌐"
+  };
+
+  const startEdit = () => {
+    const d: Record<string, string> = {};
+    for (const k of configOrder) { d[k] = config[k]?.value || ""; }
+    setDraft(d); setEditing(true);
+  };
+
+  const saveConfig = async () => {
+    setSaving(true);
+    try {
+      const r = await authFetch("/api/live/config", { method: "PUT", headers: { "Content-Type": "application/json" }, body: JSON.stringify(draft) });
+      if (r.ok) {
+        const r2 = await authFetch("/api/live/config");
+        if (r2.ok) setConfig(await r2.json());
+        setEditing(false);
+      }
+    } catch {} finally { setSaving(false); }
+  };
+
+  const riskUsd = parseFloat(config.risk_per_trade_usd?.value || "2");
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between">
+        <h3 className="font-semibold text-slate-800 text-xs flex items-center gap-2">
+          ⚙️ 实盘配置
+          <span className="text-blue-600 font-bold text-sm">1R = ${riskUsd.toFixed(2)}</span>
+        </h3>
+        {!editing ? (
+          <button onClick={startEdit} className="px-2 py-0.5 rounded text-[10px] bg-slate-100 text-slate-600 hover:bg-slate-200">编辑</button>
+        ) : (
+          <div className="flex gap-1">
+            <button onClick={() => setEditing(false)} className="px-2 py-0.5 rounded text-[10px] bg-slate-100 text-slate-500">取消</button>
+            <button onClick={saveConfig} disabled={saving} className="px-2 py-0.5 rounded text-[10px] bg-blue-600 text-white hover:bg-blue-700 disabled:opacity-50">{saving ? "保存中..." : "保存"}</button>
+          </div>
+        )}
+      </div>
+      <div className="p-3 grid grid-cols-2 sm:grid-cols-4 lg:grid-cols-7 gap-2">
+        {configOrder.map(k => {
+          const c = config[k];
+          if (!c) return null;
+          return (
+            <div key={k} className="text-center">
+              <div className="text-[10px] text-slate-400 mb-0.5">{configIcons[k]} {c.label}</div>
+              {editing ? (
+                <input value={draft[k] || ""} onChange={e => setDraft({...draft, [k]: e.target.value})}
+                  className="w-full text-center text-xs font-mono border border-slate-300 rounded px-1 py-0.5 focus:border-blue-500 focus:outline-none" />
+              ) : (
+                <div className="text-sm font-bold text-slate-800 font-mono">
+                  {k === "risk_per_trade_usd" ? `$${c.value}` : k === "risk_pct" ? `${c.value}%` : k === "leverage" ? `${c.value}x` : c.value}
+                </div>
+              )}
+            </div>
+          );
+        })}
+      </div>
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L2: 账户概览（8卡片）
+// ═══════════════════════════════════════════════════════════════
+function L2_AccountOverview() {
+  const [data, setData] = useState<any>(null);
+  const [summary, setSummary] = useState<any>(null);
+  useEffect(() => {
+    const f = async () => {
+      try { const r = await authFetch("/api/live/account"); if (r.ok) setData(await r.json()); } catch {}
+      try { const r = await authFetch(`/api/live/summary?strategy=${LIVE_STRATEGY}`); if (r.ok) setSummary(await r.json()); } catch {}
+    };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, []);
+  const d = data || {};
+  const s = summary || {};
+  const cards = [
+    { label: "账户权益", value: `$${(d.equity||0).toFixed(2)}`, color: "" },
+    { label: "可用保证金", value: `$${(d.available_margin||0).toFixed(2)}`, color: "" },
+    { label: "已用保证金", value: `$${(d.used_margin||0).toFixed(2)}`, color: "" },
+    { label: "有效杠杆", value: `${d.effective_leverage||0}x`, color: (d.effective_leverage||0) > 10 ? "text-red-500" : "" },
+    { label: "今日净PnL", value: `${(d.today_realized_r||0)>=0?"+":""}${d.today_realized_r||0}R ($${d.today_realized_usdt||0})`, color: (d.today_realized_r||0)>=0 ? "text-emerald-600" : "text-red-500" },
+    { label: "总净PnL", value: `${(s.total_pnl_r||0)>=0?"+":""}${s.total_pnl_r||0}R ($${s.total_pnl_usdt||0})`, color: (s.total_pnl_r||0)>=0 ? "text-emerald-600" : "text-red-500" },
+    { label: "成本占比", value: `$${(s.total_fee_usdt||0)+(s.total_funding_usdt||0)}`, color: "text-amber-600" },
+    { label: "胜率/PF", value: `${s.win_rate||0}% / ${s.profit_factor||0}`, color: "" },
+  ];
+  return (
+    <div className="grid grid-cols-4 lg:grid-cols-8 gap-1.5">
+      {cards.map((c, i) => (
+        <div key={i} className="bg-white rounded-lg border border-slate-200 px-2 py-1.5">
+          <p className="text-[9px] text-slate-400 truncate">{c.label}</p>
+          <p className={`font-mono font-bold text-sm ${c.color || "text-slate-800"} truncate`}>{c.value}</p>
+        </div>
+      ))}
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L3: 当前持仓（WS实时）
+// ═══════════════════════════════════════════════════════════════
+function L3_Positions() {
+  const [positions, setPositions] = useState<any[]>([]);
+  const [wsPrices, setWsPrices] = useState<Record<string,number>>({});
+  const [recon, setRecon] = useState<any>(null);
+  const [riskUsd, setRiskUsd] = useState(2);
+
+  useEffect(() => {
+    const f = async () => {
+      try { const r = await authFetch(`/api/live/positions?strategy=${LIVE_STRATEGY}`); if (r.ok) { const j = await r.json(); setPositions(j.data||[]); } } catch {}
+      try { const r = await authFetch("/api/live/reconciliation"); if (r.ok) setRecon(await r.json()); } catch {}
+      try { const r = await authFetch("/api/live/config"); if (r.ok) { const cfg = await r.json(); setRiskUsd(parseFloat(cfg?.risk_per_trade_usd?.value ?? "2")); } } catch {}
+    };
+    f(); const iv = setInterval(f, 5000); return () => clearInterval(iv);
+  }, []);
+
+  useEffect(() => {
+    const streams = ["btcusdt","ethusdt","xrpusdt","solusdt"].map(s=>`${s}@aggTrade`).join("/");
+    const ws = new WebSocket(`wss://fstream.binance.com/stream?streams=${streams}`);
+    ws.onmessage = (e) => { try { const m = JSON.parse(e.data); if (m.data) setWsPrices(p => ({...p, [m.data.s]: parseFloat(m.data.p)})); } catch {} };
+    return () => ws.close();
+  }, []);
+
+  // 从对账数据获取清算距离
+  const liqDist: Record<string, number> = {};
+  if (recon?.exchange_positions) {
+    for (const ep of recon.exchange_positions) {
+      if (ep.liquidation_price > 0 && ep.mark_price > 0) {
+        const dist = ep.direction === "LONG"
+          ? (ep.mark_price - ep.liquidation_price) / ep.mark_price * 100
+          : (ep.liquidation_price - ep.mark_price) / ep.mark_price * 100;
+        liqDist[ep.symbol] = dist;
+      }
+    }
+  }
+
+  if (positions.length === 0) return <div className="rounded-xl border border-slate-200 bg-white px-3 py-4 text-center text-slate-400 text-sm">暂无活跃持仓</div>;
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100">
+        <h3 className="font-semibold text-slate-800 text-xs">L3 当前持仓 <span className="text-[10px] text-emerald-500">● 实时</span></h3>
+      </div>
+      <div className="divide-y divide-slate-100">
+        {positions.map((p: any) => {
+          const sym = p.symbol?.replace("USDT","") || "";
+          const holdMin = p.hold_time_min || Math.round((Date.now()-p.entry_ts)/60000);
+          const cp = wsPrices[p.symbol] || p.current_price || 0;
+          const entry = p.entry_price || 0;
+          const rd = p.risk_distance || 1;
+          const fullR = rd > 0 ? (p.direction==="LONG"?(cp-entry)/rd:(entry-cp)/rd) : 0;
+          const tp1R = rd > 0 ? (p.direction==="LONG"?((p.tp1_price||0)-entry)/rd:(entry-(p.tp1_price||0))/rd) : 0;
+          const unrealR = p.tp1_hit ? 0.5*tp1R+0.5*fullR : fullR;
+          const unrealUsdt = unrealR * riskUsd;
+          const holdColor = holdMin>=60?"text-red-500 font-bold":holdMin>=45?"text-amber-500":"text-slate-400";
+          const dist = liqDist[p.symbol];
+          const distColor = dist !== undefined ? (dist < 8 ? "bg-slate-900 text-white" : dist < 12 ? "bg-red-50 text-red-700" : dist < 20 ? "bg-amber-50 text-amber-700" : "bg-emerald-50 text-emerald-700") : "bg-slate-50 text-slate-400";
+
+          return (
+            <div key={p.id} className="px-3 py-2">
+              <div className="flex items-center justify-between">
+                <div className="flex items-center gap-2">
+                  <span className={`text-xs font-bold ${p.direction==="LONG"?"text-emerald-600":"text-red-500"}`}>{p.direction==="LONG"?"🟢":"🔴"} {sym} {p.direction}</span>
+                  <span className="text-[10px] text-slate-400">评分{p.score} · {p.tier==="heavy"?"加仓":"标准"}</span>
+                  {dist !== undefined && <span className={`text-[9px] px-1.5 py-0.5 rounded font-mono font-bold ${distColor}`}>清算{dist.toFixed(1)}%</span>}
+                </div>
+                <div className="flex items-center gap-2">
+                  <span className={`font-mono text-sm font-bold ${unrealR>=0?"text-emerald-600":"text-red-500"}`}>{unrealR>=0?"+":""}{unrealR.toFixed(2)}R</span>
+                  <span className={`font-mono text-[10px] ${unrealUsdt>=0?"text-emerald-500":"text-red-400"}`}>({unrealUsdt>=0?"+":""}${unrealUsdt.toFixed(2)})</span>
+                  <span className={`text-[10px] ${holdColor}`}>{holdMin}m</span>
+                </div>
+              </div>
+              {/* 价格行 */}
+              <div className="flex gap-3 mt-1 text-[10px] font-mono text-slate-600 flex-wrap">
+                <span>入场: ${fmtPrice(entry)}</span>
+                <span>成交: ${fmtPrice(p.fill_price||entry)}</span>
+                <span className="text-blue-600">现价: ${cp ? fmtPrice(cp) : "-"}</span>
+                <span className="text-emerald-600">TP1: ${fmtPrice(p.tp1_price)}{p.tp1_hit?" ✅":""}</span>
+                <span className="text-emerald-600">TP2: ${fmtPrice(p.tp2_price)}</span>
+                <span className="text-red-500">SL: ${fmtPrice(p.sl_price)}</span>
+              </div>
+              {/* 执行指标 */}
+              <div className="flex gap-2 mt-1 flex-wrap">
+                <span className={`text-[9px] px-1.5 py-0.5 rounded ${Math.abs(p.slippage_bps||0)>8?"bg-red-50 text-red-700":Math.abs(p.slippage_bps||0)>2.5?"bg-amber-50 text-amber-700":"bg-emerald-50 text-emerald-700"}`}>滑点 {(p.slippage_bps||0).toFixed(1)}bps</span>
+                <span className={`text-[9px] px-1.5 py-0.5 rounded ${(p.protection_gap_ms||0)>5000?"bg-red-50 text-red-700":(p.protection_gap_ms||0)>2000?"bg-amber-50 text-amber-700":"bg-emerald-50 text-emerald-700"}`}>裸奔 {fmtMs(p.protection_gap_ms||0)}</span>
+                <span className="text-[9px] px-1.5 py-0.5 rounded bg-blue-50 text-blue-700">S→O {fmtMs(p.signal_to_order_ms||0)}</span>
+                <span className="text-[9px] px-1.5 py-0.5 rounded bg-blue-50 text-blue-700">O→F {fmtMs(p.order_to_fill_ms||0)}</span>
+                <span className="text-[9px] px-1.5 py-0.5 rounded bg-slate-100 text-slate-600">#{p.binance_order_id||"-"}</span>
+              </div>
+            </div>
+          );
+        })}
+      </div>
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L4: 执行质量面板
+// ═══════════════════════════════════════════════════════════════
+function L4_ExecutionQuality() {
+  const [data, setData] = useState<any>(null);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch("/api/live/execution-quality"); if (r.ok) setData(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
+  }, []);
+  if (!data || data.error) return null;
+  const o = data.overall || {};
+  const MetricRow = ({ label, stat, unit, yellowThresh, redThresh }: any) => {
+    const color = stat?.p95 > redThresh ? "text-red-500" : stat?.p95 > yellowThresh ? "text-amber-500" : "text-emerald-600";
+    return (
+      <div className="flex items-center justify-between text-[11px]">
+        <span className="text-slate-500">{label}</span>
+        <div className="flex gap-3 font-mono">
+          <span className="text-slate-400">avg <span className="text-slate-800 font-bold">{stat?.avg}{unit}</span></span>
+          <span className="text-slate-400">P50 <span className="text-slate-800">{stat?.p50}{unit}</span></span>
+          <span className="text-slate-400">P95 <span className={`font-bold ${color}`}>{stat?.p95}{unit}</span></span>
+        </div>
+      </div>
+    );
+  };
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">L4 执行质量 <span className="text-[10px] text-slate-400">{data.total_trades}笔</span></h3></div>
+      <div className="p-3 space-y-2">
+        <MetricRow label="滑点" stat={o.slippage_bps} unit="bps" yellowThresh={2.5} redThresh={8} />
+        <MetricRow label="信号→下单" stat={o.signal_to_order_ms} unit="ms" yellowThresh={250} redThresh={1200} />
+        <MetricRow label="下单→成交" stat={o.order_to_fill_ms} unit="ms" yellowThresh={600} redThresh={3500} />
+        <MetricRow label="裸奔时间" stat={o.protection_gap_ms} unit="ms" yellowThresh={2000} redThresh={5000} />
+      </div>
+      {data.by_symbol && Object.keys(data.by_symbol).length > 0 && (
+        <div className="px-3 pb-3">
+          <p className="text-[10px] text-slate-400 mb-1">按币种</p>
+          <div className="grid grid-cols-2 lg:grid-cols-4 gap-1.5">
+            {Object.entries(data.by_symbol).map(([sym, v]: [string, any]) => (
+              <div key={sym} className="rounded-lg bg-slate-50 px-2 py-1.5 text-[10px]">
+                <span className="font-mono font-bold">{sym.replace("USDT","")}</span>
+                <span className="text-slate-400 ml-1">{v.count}笔</span>
+                <div className="font-mono mt-0.5">
+                  <span>滑点P95: {v.slippage_bps?.p95}bps</span>
+                  <span className="ml-2">裸奔P95: {fmtMs(v.protection_gap_ms?.p95||0)}</span>
+                </div>
               </div>
-        <div className="flex gap-2 text-sm">
-          {[1, 2, 6, 12, 24].map(h => (
-            <button
-              key={h}
-              onClick={() => setHours(h)}
-              className={`px-3 py-1.5 rounded-lg border transition-colors ${hours === h ? "bg-blue-600 text-white border-blue-600" : "border-slate-200 text-slate-600 hover:border-blue-400"}`}
-            >
-              {h}h
-            </button>
             ))}
           </div>
         </div>
-
-      {loading ? (
-        <div className="text-slate-400 py-12 text-center">加载中...</div>
-      ) : data.length === 0 ? (
-        <div className="rounded-xl border border-slate-200 bg-slate-50 p-12 text-center text-slate-400">
-          暂无数据（后端刚启动，2秒后开始积累）
-        </div>
-      ) : (
-        <>
-          {/* 费率图 */}
-          <div className="rounded-xl border border-slate-200 bg-white shadow-sm p-6">
-            <h2 className="text-slate-700 font-semibold mb-1">资金费率实时变动</h2>
-            <p className="text-slate-400 text-xs mb-4">正值=多头付空头，负值=空头付多头。费率上升=多头情绪加热</p>
-            <ResponsiveContainer width="100%" height={220}>
-              <LineChart data={data} margin={{ top: 4, right: 8, bottom: 4, left: 8 }}>
-                <CartesianGrid strokeDasharray="3 3" stroke="#f1f5f9" />
-                <XAxis dataKey="time" tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} interval="preserveStartEnd" />
-                <YAxis tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} axisLine={false}
-                  tickFormatter={v => `${v.toFixed(3)}%`} width={60} />
-                <Tooltip formatter={(v) => [`${Number(v).toFixed(5)}%`]}
-                  contentStyle={{ background: "#fff", border: "1px solid #e2e8f0", borderRadius: 8, fontSize: 12 }} />
-                <Legend wrapperStyle={{ fontSize: 12 }} />
-                <ReferenceLine y={0} stroke="#94a3b8" strokeDasharray="4 2" />
-                <Line type="monotone" dataKey="btcRate" name="BTC费率" stroke="#2563eb" strokeWidth={1.5} dot={false} connectNulls />
-                <Line type="monotone" dataKey="ethRate" name="ETH费率" stroke="#7c3aed" strokeWidth={1.5} dot={false} connectNulls />
-              </LineChart>
-            </ResponsiveContainer>
-          </div>
-
-          {/* 价格图 */}
-          <div className="rounded-xl border border-slate-200 bg-white shadow-sm p-6">
-            <h2 className="text-slate-700 font-semibold mb-1">标记价格走势</h2>
-            <p className="text-slate-400 text-xs mb-4">与费率对比观察：价格快速拉升时，资金费率通常同步上涨（多头加杠杆）</p>
-            <ResponsiveContainer width="100%" height={220}>
-              <LineChart data={data} margin={{ top: 4, right: 8, bottom: 4, left: 8 }}>
-                <CartesianGrid strokeDasharray="3 3" stroke="#f1f5f9" />
-                <XAxis dataKey="time" tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} interval="preserveStartEnd" />
-                <YAxis yAxisId="btc" orientation="left" tick={{ fill: "#2563eb", fontSize: 10 }} tickLine={false} axisLine={false}
-                  tickFormatter={v => `$${(v/1000).toFixed(0)}k`} width={55} />
-                <YAxis yAxisId="eth" orientation="right" tick={{ fill: "#7c3aed", fontSize: 10 }} tickLine={false} axisLine={false}
-                  tickFormatter={v => `$${v.toFixed(0)}`} width={55} />
-                <Tooltip formatter={(v, name) => [name?.toString().includes("BTC") ? `$${Number(v).toLocaleString()}` : `$${Number(v).toFixed(2)}`, name]}
-                  contentStyle={{ background: "#fff", border: "1px solid #e2e8f0", borderRadius: 8, fontSize: 12 }} />
-                <Legend wrapperStyle={{ fontSize: 12 }} />
-                <Line yAxisId="btc" type="monotone" dataKey="btcPrice" name="BTC价格" stroke="#2563eb" strokeWidth={1.5} dot={false} connectNulls />
-                <Line yAxisId="eth" type="monotone" dataKey="ethPrice" name="ETH价格" stroke="#7c3aed" strokeWidth={1.5} dot={false} connectNulls />
-              </LineChart>
-            </ResponsiveContainer>
-          </div>
-
-          {/* 说明 */}
-          <div className="rounded-lg border border-blue-100 bg-blue-50 px-5 py-3 text-sm text-slate-600">
-            <span className="text-blue-600 font-medium">数据说明：</span>
-            每2秒从Binance拉取实时溢价指数，本地永久存储。这是8小时结算周期内费率变动的原始数据，不在任何公开数据源中提供。
-          </div>
-        </>
       )}
     </div>
   );
 }
+
+// ═══════════════════════════════════════════════════════════════
+// L5: 对账面板
+// ═══════════════════════════════════════════════════════════════
+function L5_Reconciliation() {
+  const [data, setData] = useState<any>(null);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch("/api/live/reconciliation"); if (r.ok) setData(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
+  }, []);
+  if (!data) return null;
+  const ok = data.status === "ok";
+  return (
+    <div className={`rounded-xl border ${ok ? "border-slate-200" : "border-red-300"} bg-white overflow-hidden`}>
+      <div className={`px-3 py-2 border-b ${ok ? "border-slate-100" : "border-red-200 bg-red-50"}`}>
+        <h3 className="font-semibold text-slate-800 text-xs">L5 对账 {ok ? <span className="text-emerald-500">✓ 一致</span> : <span className="text-red-500">✗ 差异</span>}</h3>
+      </div>
+      <div className="p-3 grid grid-cols-2 gap-4 text-[11px]">
+        <div>
+          <p className="text-slate-400 mb-1">本地仓位 ({data.local_positions?.length || 0})</p>
+          {(data.local_positions || []).map((p: any) => (
+            <div key={p.id} className="font-mono">{p.symbol?.replace("USDT","")} {p.direction} @ {fmtPrice(p.entry_price)}</div>
+          ))}
+          {!data.local_positions?.length && <div className="text-slate-300">无</div>}
+        </div>
+        <div>
+          <p className="text-slate-400 mb-1">币安仓位 ({data.exchange_positions?.length || 0})</p>
+          {(data.exchange_positions || []).map((p: any, i: number) => (
+            <div key={i} className="font-mono">{p.symbol?.replace("USDT","")} {p.direction} qty={p.amount} liq={fmtPrice(p.liquidation_price)}</div>
+          ))}
+          {!data.exchange_positions?.length && <div className="text-slate-300">无</div>}
+        </div>
+      </div>
+      <div className="px-3 pb-2 text-[10px] text-slate-400">
+        挂单: 本地预期 {data.local_orders||0} / 币安 {data.exchange_orders||0}
+      </div>
+      {data.diffs?.length > 0 && (
+        <div className="px-3 pb-3 space-y-1">
+          {data.diffs.map((d: any, i: number) => (
+            <div key={i} className={`text-[10px] px-2 py-1 rounded ${d.severity==="critical"?"bg-red-50 text-red-700":"bg-amber-50 text-amber-700"}`}>
+              ⚠ [{d.symbol}] {d.detail}
+            </div>
+          ))}
+        </div>
+      )}
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L6: 风控状态
+// ═══════════════════════════════════════════════════════════════
+function L6_RiskStatus() {
+  const [risk, setRisk] = useState<any>(null);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch("/api/live/risk-status"); if (r.ok) setRisk(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 5000); return () => clearInterval(iv);
+  }, []);
+  if (!risk) return null;
+  const thresholds = [
+    { rule: "单日亏损 > -5R", status: (risk.today_total_r||0) > -5 ? "✅" : "🔴" },
+    { rule: "连续亏损 < 5次", status: (risk.consecutive_losses||0) < 5 ? "✅" : "🔴" },
+    { rule: "API连接正常", status: risk.status !== "circuit_break" || !risk.circuit_break_reason?.includes("API") ? "✅" : "🔴" },
+  ];
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">L6 风控状态</h3></div>
+      <div className="p-3">
+        <div className="grid grid-cols-3 gap-2 text-[11px] mb-2">
+          {thresholds.map((t, i) => (
+            <div key={i} className="flex items-center gap-1"><span>{t.status}</span><span className="text-slate-600">{t.rule}</span></div>
+          ))}
+        </div>
+        {risk.circuit_break_reason && (
+          <div className="text-[10px] bg-red-50 text-red-700 px-2 py-1.5 rounded">
+            <span className="font-bold">熔断原因：</span>{risk.circuit_break_reason}
+            {risk.auto_resume_time && <span className="ml-2 text-slate-500">预计恢复: {new Date(risk.auto_resume_time * 1000).toLocaleTimeString("zh-CN")}</span>}
+          </div>
+        )}
+      </div>
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L7: 实时事件流
+// ═══════════════════════════════════════════════════════════════
+function L7_EventStream() {
+  const [events, setEvents] = useState<any[]>([]);
+  const [filter, setFilter] = useState("all");
+  useEffect(() => {
+    const f = async () => {
+      try {
+        const r = await authFetch(`/api/live/events?limit=30&level=${filter}`);
+        if (r.ok) { const d = await r.json(); setEvents(d.data || []); }
+      } catch {}
+    };
+    f(); const iv = setInterval(f, 5000); return () => clearInterval(iv);
+  }, [filter]);
+
+  const levelIcon: Record<string, string> = { info: "ℹ️", warn: "⚠️", error: "❌", critical: "🔴" };
+  const levelColor: Record<string, string> = {
+    info: "text-blue-600 bg-blue-50", warn: "text-amber-600 bg-amber-50",
+    error: "text-red-600 bg-red-50", critical: "text-red-700 bg-red-100 font-bold"
+  };
+  const catColor: Record<string, string> = {
+    trade: "bg-emerald-100 text-emerald-700", risk: "bg-red-100 text-red-700",
+    system: "bg-slate-100 text-slate-600", reconciliation: "bg-violet-100 text-violet-700"
+  };
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between">
+        <h3 className="font-semibold text-slate-800 text-xs">L7 事件流</h3>
+        <div className="flex gap-1">
+          {["all","critical","warn","info"].map(l => (
+            <button key={l} onClick={() => setFilter(l)}
+              className={`px-1.5 py-0.5 rounded text-[9px] ${filter===l?"bg-blue-600 text-white":"bg-slate-100 text-slate-500 hover:bg-slate-200"}`}>
+              {l==="all"?"全部":l==="critical"?"严重":l==="warn"?"警告":"信息"}
+            </button>
+          ))}
+        </div>
+      </div>
+      <div className="max-h-56 overflow-y-auto">
+        {events.length === 0 ? <div className="text-center text-slate-400 text-sm py-6">暂无事件</div> : (
+          <div className="divide-y divide-slate-50">
+            {events.map((e: any) => {
+              const t = new Date(typeof e.ts === "number" ? (e.ts > 1e12 ? e.ts : e.ts*1000) : e.ts);
+              const timeStr = t.toLocaleTimeString("zh-CN", {hour:"2-digit",minute:"2-digit",second:"2-digit",hour12:false});
+              const dateStr = t.toLocaleDateString("zh-CN", {month:"2-digit",day:"2-digit"});
+              return (
+                <div key={e.id} className={`px-3 py-1.5 flex items-start gap-2 text-[10px] ${levelColor[e.level] || ""}`}>
+                  <span className="shrink-0">{levelIcon[e.level] || "📝"}</span>
+                  <span className="shrink-0 text-slate-400 font-mono">{dateStr} {timeStr}</span>
+                  {e.category && <span className={`shrink-0 px-1 py-0.5 rounded text-[8px] ${catColor[e.category] || "bg-slate-100 text-slate-500"}`}>{e.category}</span>}
+                  {e.symbol && <span className="shrink-0 font-mono text-slate-500">{e.symbol.replace("USDT","")}</span>}
+                  <span className="flex-1">{e.message}</span>
+                </div>
+              );
+            })}
+          </div>
+        )}
+      </div>
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L8: 实盘 vs 模拟盘对照
+// ═══════════════════════════════════════════════════════════════
+function L8_PaperComparison() {
+  const [data, setData] = useState<any>(null);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch("/api/live/paper-comparison?limit=20"); if (r.ok) setData(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
+  }, []);
+  if (!data || !data.data?.length) return null;
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100">
+        <h3 className="font-semibold text-slate-800 text-xs">L8 实盘 vs 模拟盘 <span className="text-[10px] text-slate-400">平均R差: {data.avg_pnl_diff_r}R</span></h3>
+      </div>
+      <div className="max-h-48 overflow-y-auto">
+        <table className="w-full text-[10px]">
+          <thead className="bg-slate-50 sticky top-0"><tr className="text-slate-500">
+            <th className="px-2 py-1 text-left">币种</th><th className="px-2 py-1">方向</th>
+            <th className="px-2 py-1 text-right">实盘入场</th><th className="px-2 py-1 text-right">模拟入场</th><th className="px-2 py-1 text-right">价差bps</th>
+            <th className="px-2 py-1 text-right">实盘PnL</th><th className="px-2 py-1 text-right">模拟PnL</th><th className="px-2 py-1 text-right">R差</th>
+          </tr></thead>
+          <tbody className="divide-y divide-slate-50">
+            {data.data.map((r: any, i: number) => (
+              <tr key={i} className="hover:bg-slate-50">
+                <td className="px-2 py-1 font-mono">{r.symbol?.replace("USDT","")}</td>
+                <td className={`px-2 py-1 text-center font-bold ${r.direction==="LONG"?"text-emerald-600":"text-red-500"}`}>{r.direction}</td>
+                <td className="px-2 py-1 text-right font-mono">{r.live_entry ? fmtPrice(r.live_entry) : "-"}</td>
+                <td className="px-2 py-1 text-right font-mono">{r.paper_entry ? fmtPrice(r.paper_entry) : "-"}</td>
+                <td className="px-2 py-1 text-right font-mono">{r.entry_diff_bps || "-"}</td>
+                <td className={`px-2 py-1 text-right font-mono ${(r.live_pnl||0)>=0?"text-emerald-600":"text-red-500"}`}>{r.live_pnl?.toFixed(2) || "-"}</td>
+                <td className={`px-2 py-1 text-right font-mono ${(r.paper_pnl||0)>=0?"text-emerald-600":"text-red-500"}`}>{r.paper_pnl?.toFixed(2) || "-"}</td>
+                <td className={`px-2 py-1 text-right font-mono font-bold ${(r.pnl_diff_r||0)>=0?"text-emerald-600":"text-red-500"}`}>{r.pnl_diff_r?.toFixed(2) || "-"}</td>
+              </tr>
+            ))}
+          </tbody>
+        </table>
+      </div>
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L9: 权益曲线+回撤
+// ═══════════════════════════════════════════════════════════════
+function L9_EquityCurve() {
+  const [data, setData] = useState<any[]>([]);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/live/equity-curve?strategy=${LIVE_STRATEGY}`); if (r.ok) { const j = await r.json(); setData(j.data||[]); } } catch {} };
+    f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
+  }, []);
+  if (data.length < 2) return null;
+  // 计算回撤
+  let peak = 0;
+  const withDD = data.map(d => {
+    if (d.pnl > peak) peak = d.pnl;
+    return { ...d, dd: -(peak - d.pnl) };
+  });
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">L9 权益曲线 + 回撤</h3></div>
+      <div className="p-2" style={{ height: 200 }}>
+        <ResponsiveContainer width="100%" height="100%">
+          <AreaChart data={withDD}>
+            <XAxis dataKey="ts" tickFormatter={v => bjt(v)} tick={{ fontSize: 10 }} />
+            <YAxis tick={{ fontSize: 10 }} tickFormatter={v => `${v}R`} />
+            <Tooltip labelFormatter={v => bjt(Number(v))} />
+            <ReferenceLine y={0} stroke="#94a3b8" strokeDasharray="3 3" />
+            <Area type="monotone" dataKey="pnl" name="累计PnL" stroke="#10b981" fill="#d1fae5" strokeWidth={2} />
+            <Area type="monotone" dataKey="dd" name="回撤" stroke="#ef4444" fill="#fee2e2" strokeWidth={1} />
+          </AreaChart>
+        </ResponsiveContainer>
+      </div>
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L10: 历史交易表
+// ═══════════════════════════════════════════════════════════════
+type FS = "all"|"BTC"|"ETH"|"XRP"|"SOL";
+type FR = "all"|"win"|"loss";
+
+function L10_TradeHistory() {
+  const [trades, setTrades] = useState<any[]>([]);
+  const [symbol, setSymbol] = useState<FS>("all");
+  const [result, setResult] = useState<FR>("all");
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/live/trades?symbol=${symbol}&result=${result}&strategy=${LIVE_STRATEGY}&limit=50`); if (r.ok) { const j = await r.json(); setTrades(j.data||[]); } } catch {} };
+    f(); const iv = setInterval(f, 15000); return () => clearInterval(iv);
+  }, [symbol, result]);
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+        <h3 className="font-semibold text-slate-800 text-xs">L10 历史交易</h3>
+        <div className="flex gap-1">
+          {(["all","BTC","ETH","XRP","SOL"] as FS[]).map(s => (<button key={s} onClick={()=>setSymbol(s)} className={`px-2 py-0.5 rounded text-[10px] ${symbol===s?"bg-slate-800 text-white":"text-slate-500 hover:bg-slate-100"}`}>{s==="all"?"全部":s}</button>))}
+          <span className="text-slate-300">|</span>
+          {(["all","win","loss"] as FR[]).map(r => (<button key={r} onClick={()=>setResult(r)} className={`px-2 py-0.5 rounded text-[10px] ${result===r?"bg-slate-800 text-white":"text-slate-500 hover:bg-slate-100"}`}>{r==="all"?"全部":r==="win"?"盈":"亏"}</button>))}
+        </div>
+      </div>
+      <div className="max-h-96 overflow-y-auto">
+        {trades.length === 0 ? <div className="text-center text-slate-400 text-sm py-6">暂无交易记录</div> : (
+          <table className="w-full text-[10px]">
+            <thead className="bg-slate-50 sticky top-0"><tr className="text-slate-500">
+              <th className="px-1.5 py-1 text-left">币种</th><th className="px-1.5 py-1">方向</th>
+              <th className="px-1.5 py-1 text-right">入场</th><th className="px-1.5 py-1 text-right">出场</th>
+              <th className="px-1.5 py-1 text-right">Gross</th>
+              <th className="px-1.5 py-1 text-right">Fee</th>
+              <th className="px-1.5 py-1 text-right">FR</th>
+              <th className="px-1.5 py-1 text-right">Slip</th>
+              <th className="px-1.5 py-1 text-right font-bold">Net</th>
+              <th className="px-1.5 py-1">状态</th>
+              <th className="px-1.5 py-1 text-right">时长</th>
+            </tr></thead>
+            <tbody className="divide-y divide-slate-50">
+              {trades.map((t: any) => {
+                const hm = t.exit_ts && t.entry_ts ? Math.round((t.exit_ts-t.entry_ts)/60000) : 0;
+                const gross = t.gross_pnl_r || 0;
+                const fee = t.fee_r || 0;
+                const fr = t.funding_r || 0;
+                const slip = t.slippage_r || 0;
+                const net = t.net_pnl_r ?? t.pnl_r ?? 0;
+                return (<tr key={t.id} className="hover:bg-slate-50">
+                  <td className="px-1.5 py-1 font-mono">{t.symbol?.replace("USDT","")}</td>
+                  <td className={`px-1.5 py-1 text-center font-bold ${t.direction==="LONG"?"text-emerald-600":"text-red-500"}`}>{t.direction==="LONG"?"▲":"▼"}</td>
+                  <td className="px-1.5 py-1 text-right font-mono">{fmtPrice(t.entry_price)}</td>
+                  <td className="px-1.5 py-1 text-right font-mono">{t.exit_price?fmtPrice(t.exit_price):"-"}</td>
+                  <td className={`px-1.5 py-1 text-right font-mono ${gross>=0?"text-emerald-600":"text-red-500"}`}>{gross>=0?"+":""}{gross.toFixed(2)}</td>
+                  <td className="px-1.5 py-1 text-right font-mono text-amber-600">-{fee.toFixed(2)}</td>
+                  <td className="px-1.5 py-1 text-right font-mono text-violet-600">{fr > 0 ? `-${fr.toFixed(2)}` : "0"}</td>
+                  <td className="px-1.5 py-1 text-right font-mono text-slate-500">{slip > 0 ? `-${slip.toFixed(2)}` : "0"}</td>
+                  <td className={`px-1.5 py-1 text-right font-mono font-bold ${net>0?"text-emerald-600":net<0?"text-red-500":"text-slate-500"}`}>{net>0?"+":""}{net.toFixed(2)}R</td>
+                  <td className="px-1.5 py-1 text-center"><span className={`px-1 py-0.5 rounded text-[8px] ${t.status==="tp"?"bg-emerald-100 text-emerald-700":t.status==="sl"?"bg-red-100 text-red-700":t.status==="sl_be"?"bg-amber-100 text-amber-700":"bg-slate-100 text-slate-600"}`}>{t.status==="tp"?"止盈":t.status==="sl"?"止损":t.status==="sl_be"?"保本":t.status}</span></td>
+                  <td className="px-1.5 py-1 text-right text-slate-400">{hm}m</td>
+                </tr>);
+              })}
+            </tbody>
+          </table>
+        )}
+      </div>
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// L11: 系统健康
+// ═══════════════════════════════════════════════════════════════
+function L11_SystemHealth() {
+  const [data, setData] = useState<any>(null);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch("/api/live/health"); if (r.ok) setData(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, []);
+  if (!data) return null;
+  const procs = data.processes || {};
+  const fresh = data.data_freshness || {};
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">L11 系统健康</h3></div>
+      <div className="p-3">
+        {Object.keys(procs).length > 0 && (
+          <div className="mb-2">
+            <p className="text-[10px] text-slate-400 mb-1">进程状态</p>
+            <div className="grid grid-cols-2 lg:grid-cols-4 gap-1.5">
+              {Object.entries(procs).map(([name, p]: [string, any]) => (
+                <div key={name} className={`rounded-lg px-2 py-1 text-[10px] ${p.status==="online"?"bg-emerald-50":"bg-red-50"}`}>
+                  <span className="font-medium">{name}</span>
+                  <span className={`ml-1 ${p.status==="online"?"text-emerald-600":"text-red-500"}`}>{p.status}</span>
+                  <span className="text-slate-400 ml-1">{p.memory_mb}MB ↻{p.restarts}</span>
+                </div>
+              ))}
+            </div>
+          </div>
+        )}
+        {fresh.market_data && (
+          <div className="text-[10px]">
+            <span className="text-slate-400">行情数据: </span>
+            <span className={`font-mono ${fresh.market_data.status==="green"?"text-emerald-600":fresh.market_data.status==="yellow"?"text-amber-500":"text-red-500"}`}>
+              {fresh.market_data.age_sec}秒前 {fresh.market_data.status==="green"?"✓":"⚠"}
+            </span>
+          </div>
+        )}
+      </div>
+    </div>
+  );
+}
+
+// ═══════════════════════════════════════════════════════════════
+// 主页面
+// ═══════════════════════════════════════════════════════════════
+export default function LiveTradingPage() {
+  const { isLoggedIn, loading } = useAuth();
+  if (loading) return <div className="text-center text-slate-400 py-8">加载中...</div>;
+  if (!isLoggedIn) return (
+    <div className="flex flex-col items-center justify-center h-64 gap-4">
+      <div className="text-5xl">🔒</div>
+      <p className="text-slate-600 font-medium">请先登录查看实盘</p>
+      <Link href="/login" className="bg-blue-600 text-white px-4 py-2 rounded-lg text-sm">登录</Link>
+    </div>
+  );
+  return (
+    <div className="space-y-3">
+      <L0_RiskBar />
+      <div className="flex items-center justify-between">
+        <div>
+          <h1 className="text-lg font-bold text-slate-900">⚡ 实盘交易</h1>
+          <p className="text-[10px] text-slate-500">V5.2策略 · 币安USDT永续合约 · 测试网</p>
+        </div>
+      </div>
+      <L1_EmergencyPanel />
+      <L15_LiveConfig />
+      <L2_AccountOverview />
+      <L3_Positions />
+      <L4_ExecutionQuality />
+      <L5_Reconciliation />
+      <L6_RiskStatus />
+
+{/* L7: 实时事件流 */}
+<L7_EventStream />
+
+      <L8_PaperComparison />
+      <L9_EquityCurve />
+      <L10_TradeHistory />
+      <L11_SystemHealth />
+    </div>
+  );
+}

frontend/app/paper-v52/page.tsx

@@ -0,0 +1,676 @@
+"use client";
+
+import { useState, useEffect } from "react";
+import Link from "next/link";
+import { authFetch, useAuth } from "@/lib/auth";
+import { XAxis, YAxis, Tooltip, ResponsiveContainer, ReferenceLine, Area, AreaChart } from "recharts";
+
+// ─── 工具函数 ────────────────────────────────────────────────────
+
+function bjt(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCMonth() + 1).padStart(2, "0")}-${String(d.getUTCDate()).padStart(2, "0")} ${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}`;
+}
+
+function fmtPrice(p: number) {
+  return p < 100 ? p.toFixed(4) : p.toLocaleString("en-US", { minimumFractionDigits: 1, maximumFractionDigits: 1 });
+}
+
+function parseFactors(raw: any) {
+  if (!raw) return null;
+  if (typeof raw === "string") {
+    try {
+      return JSON.parse(raw);
+    } catch {
+      return null;
+    }
+  }
+  return raw;
+}
+
+type StrategyFilter = "v52_8signals";
+const PAPER_STRATEGY: StrategyFilter = "v52_8signals";
+
+function strategyBadgeClass() {
+  return "bg-emerald-100 text-emerald-700 border border-emerald-200";
+}
+
+function strategyBadgeText() {
+  return "✨ V5.2";
+}
+
+// ─── 控制面板（开关+配置）──────────────────────────────────────
+
+function ControlPanel() {
+  const [config, setConfig] = useState<any>(null);
+  const [saving, setSaving] = useState(false);
+
+  useEffect(() => {
+    const f = async () => {
+      try {
+        const r = await authFetch("/api/paper/config");
+        if (r.ok) setConfig(await r.json());
+      } catch {}
+    };
+    f();
+  }, []);
+
+  const toggle = async () => {
+    setSaving(true);
+    try {
+      const r = await authFetch("/api/paper/config", {
+        method: "POST",
+        headers: { "Content-Type": "application/json" },
+        body: JSON.stringify({ enabled: !config.enabled }),
+      });
+      if (r.ok) setConfig(await r.json().then((j) => j.config));
+    } catch {
+    } finally {
+      setSaving(false);
+    }
+  };
+
+  if (!config) return null;
+
+  return (
+    <div className={`rounded-xl border-2 ${config.enabled ? "border-emerald-400 bg-emerald-50" : "border-slate-200 bg-white"} px-3 py-2 flex items-center justify-between`}>
+      <div className="flex items-center gap-3">
+        <button
+          onClick={toggle}
+          disabled={saving}
+          className={`px-3 py-1.5 rounded-lg text-xs font-bold transition-all ${
+            config.enabled ? "bg-red-500 text-white hover:bg-red-600" : "bg-emerald-500 text-white hover:bg-emerald-600"
+          }`}
+        >
+          {saving ? "..." : config.enabled ? "⏹ 停止模拟盘" : "▶️ 启动模拟盘"}
+        </button>
+        <span className={`text-xs font-medium ${config.enabled ? "text-emerald-700" : "text-slate-500"}`}>
+          {config.enabled ? "🟢 运行中" : "⚪ 已停止"}
+        </span>
+      </div>
+      <div className="flex gap-4 text-[10px] text-slate-500">
+        <span>初始资金: ${config.initial_balance?.toLocaleString()}</span>
+        <span>单笔风险: {(config.risk_per_trade * 100).toFixed(0)}%</span>
+        <span>最大持仓: {config.max_positions}</span>
+      </div>
+    </div>
+  );
+}
+
+// ─── 总览面板 ────────────────────────────────────────────────────
+
+function SummaryCards({ strategy }: { strategy: StrategyFilter }) {
+  const [data, setData] = useState<any>(null);
+
+  useEffect(() => {
+    const f = async () => {
+      try {
+        const r = await authFetch(`/api/paper/summary?strategy=${strategy}`);
+        if (r.ok) setData(await r.json());
+      } catch {}
+    };
+    f();
+    const iv = setInterval(f, 10000);
+    return () => clearInterval(iv);
+  }, [strategy]);
+
+  if (!data) return <div className="text-center text-slate-400 text-sm py-4">加载中...</div>;
+
+  return (
+    <div className="grid grid-cols-3 lg:grid-cols-7 gap-1.5">
+      <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+        <p className="text-[10px] text-slate-400">当前资金</p>
+        <p className={`font-mono font-bold text-base ${data.balance >= 10000 ? "text-emerald-600" : "text-red-500"}`}>
+          ${data.balance?.toLocaleString()}
+        </p>
+      </div>
+      <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+        <p className="text-[10px] text-slate-400">总盈亏(R)</p>
+        <p className={`font-mono font-bold text-lg ${data.total_pnl >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+          {data.total_pnl >= 0 ? "+" : ""}
+          {data.total_pnl}R
+        </p>
+        <p className={`font-mono text-[10px] ${data.total_pnl_usdt >= 0 ? "text-emerald-500" : "text-red-400"}`}>
+          {data.total_pnl_usdt >= 0 ? "+" : ""}${data.total_pnl_usdt}
+        </p>
+      </div>
+      <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+        <p className="text-[10px] text-slate-400">胜率</p>
+        <p className="font-mono font-bold text-lg text-slate-800">{data.win_rate}%</p>
+      </div>
+      <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+        <p className="text-[10px] text-slate-400">总交易</p>
+        <p className="font-mono font-bold text-lg text-slate-800">{data.total_trades}</p>
+      </div>
+      <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+        <p className="text-[10px] text-slate-400">持仓中</p>
+        <p className="font-mono font-bold text-lg text-blue-600">{data.active_positions}</p>
+      </div>
+      <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+        <p className="text-[10px] text-slate-400">盈亏比(PF)</p>
+        <p className="font-mono font-bold text-lg text-slate-800">{data.profit_factor}</p>
+      </div>
+      <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+        <p className="text-[10px] text-slate-400">运行</p>
+        <p className="font-mono font-semibold text-sm text-slate-600">{data.start_time ? "运行中 ✅" : "等待首笔"}</p>
+      </div>
+    </div>
+  );
+}
+
+// ─── 最新信号状态 ────────────────────────────────────────────────
+
+const COINS = ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"];
+
+function LatestSignals() {
+  const [signals, setSignals] = useState<Record<string, any>>({});
+  useEffect(() => {
+    const f = async () => {
+      for (const sym of COINS) {
+        try {
+          const r = await authFetch(`/api/signals/signal-history?symbol=${sym.replace("USDT","")}&limit=1&strategy=v52_8signals`);
+          if (r.ok) {
+            const j = await r.json();
+            if (j.data && j.data.length > 0) {
+              setSignals(prev => ({ ...prev, [sym]: j.data[0] }));
+            }
+          }
+        } catch {}
+      }
+    };
+    f(); const iv = setInterval(f, 15000); return () => clearInterval(iv);
+  }, []);
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100">
+        <h3 className="font-semibold text-slate-800 text-xs">最新信号</h3>
+      </div>
+      <div className="divide-y divide-slate-50">
+        {COINS.map(sym => {
+          const s = signals[sym];
+          const coin = sym.replace("USDT", "");
+          const ago = s?.ts ? Math.round((Date.now() - s.ts) / 60000) : null;
+          const fc = s?.factors;
+          return (
+            <div key={sym} className="px-3 py-2">
+              <div className="flex items-center justify-between">
+                <div className="flex items-center gap-2">
+                  <span className="font-mono text-xs font-bold text-slate-700 w-8">{coin}</span>
+                  {s?.signal ? (
+                    <>
+                      <span className={`text-xs font-bold ${s.signal === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
+                        {s.signal === "LONG" ? "🟢" : "🔴"} {s.signal}
+                      </span>
+                      <span className="font-mono text-xs font-bold text-slate-800">{s.score}分</span>
+                      <span className="text-[9px] px-1.5 py-0.5 rounded bg-emerald-50 text-emerald-700 font-medium">{s.score >= 85 ? "加仓" : "标准"}</span>
+                    </>
+                  ) : (
+                    <span className="text-[10px] text-slate-400">暂无信号</span>
+                  )}
+                </div>
+                {ago !== null && <span className="text-[10px] text-slate-400">{ago < 60 ? `${ago}m前` : `${Math.round(ago/60)}h前`}</span>}
+              </div>
+              {fc && (
+                <div className="flex gap-1 mt-1 flex-wrap">
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-blue-50 text-blue-700">方向{fc.direction?.score ?? 0}/{fc.direction?.max ?? 40}</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-violet-50 text-violet-700">拥挤{fc.crowding?.score ?? 0}/{fc.crowding?.max ?? 18}</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-cyan-50 text-cyan-700">FR{fc.funding_rate?.score ?? 0}/{fc.funding_rate?.max ?? 5}</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-emerald-50 text-emerald-700">环境{fc.environment?.score ?? 0}/{fc.environment?.max ?? 12}</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-amber-50 text-amber-700">确认{fc.confirmation?.score ?? 0}/{fc.confirmation?.max ?? 15}</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-orange-50 text-orange-700">清算{fc.liquidation?.score ?? 0}/{fc.liquidation?.max ?? 5}</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-slate-100 text-slate-600">辅助{fc.auxiliary?.score ?? 0}/{fc.auxiliary?.max ?? 5}</span>
+                </div>
+              )}
+            </div>
+          );
+        })}
+      </div>
+    </div>
+  );
+}
+
+// ─── 当前持仓 ────────────────────────────────────────────────────
+
+function ActivePositions({ strategy }: { strategy: StrategyFilter }) {
+  const [paperRiskUsd, setPaperRiskUsd] = useState(200);
+  useEffect(() => {
+    (async () => {
+      try { const r = await authFetch("/api/paper/config"); if (r.ok) { const cfg = await r.json(); setPaperRiskUsd((cfg.initial_balance || 10000) * (cfg.risk_per_trade || 0.02)); } } catch {}
+    })();
+  }, []);
+  const [positions, setPositions] = useState<any[]>([]);
+  const [wsPrices, setWsPrices] = useState<Record<string, number>>({});
+
+  useEffect(() => {
+    const f = async () => {
+      try {
+        const r = await authFetch(`/api/paper/positions?strategy=${strategy}`);
+        if (r.ok) {
+          const j = await r.json();
+          setPositions(j.data || []);
+        }
+      } catch {}
+    };
+    f();
+    const iv = setInterval(f, 10000);
+    return () => clearInterval(iv);
+  }, [strategy]);
+
+  useEffect(() => {
+    const streams = ["btcusdt", "ethusdt", "xrpusdt", "solusdt"].map((s) => `${s}@aggTrade`).join("/");
+    const ws = new WebSocket(`wss://fstream.binance.com/stream?streams=${streams}`);
+    ws.onmessage = (e) => {
+      try {
+        const msg = JSON.parse(e.data);
+        if (msg.data) {
+          const sym = msg.data.s;
+          const price = parseFloat(msg.data.p);
+          if (sym && price > 0) setWsPrices((prev) => ({ ...prev, [sym]: price }));
+        }
+      } catch {}
+    };
+    return () => ws.close();
+  }, []);
+
+  if (positions.length === 0)
+    return (
+      <div className="rounded-xl border border-slate-200 bg-white px-3 py-4 text-center text-slate-400 text-sm">
+        V5.2 暂无活跃持仓
+      </div>
+    );
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100">
+        <h3 className="font-semibold text-slate-800 text-xs">
+          当前持仓 <span className="text-[10px] text-emerald-500 font-normal">● 实时</span>
+        </h3>
+      </div>
+      <div className="divide-y divide-slate-100">
+        {positions.map((p: any) => {
+          const sym = p.symbol?.replace("USDT", "") || "";
+          const holdMin = Math.round((Date.now() - p.entry_ts) / 60000);
+          const currentPrice = wsPrices[p.symbol] || p.current_price || 0;
+          const factors = parseFactors(p.score_factors);
+          const frScore = factors?.funding_rate?.score ?? 0;
+          const liqScore = factors?.liquidation?.score ?? 0;
+          const entry = p.entry_price || 0;
+          const riskDist = p.risk_distance || Math.abs(entry - (p.sl_price || entry)) || 1;
+          const fullR = riskDist > 0 ? (p.direction === "LONG" ? (currentPrice - entry) / riskDist : (entry - currentPrice) / riskDist) : 0;
+          const tp1R = riskDist > 0 ? (p.direction === "LONG" ? ((p.tp1_price || 0) - entry) / riskDist : (entry - (p.tp1_price || 0)) / riskDist) : 0;
+          const unrealR = p.tp1_hit ? 0.5 * tp1R + 0.5 * fullR : fullR;
+          const unrealUsdt = unrealR * paperRiskUsd;
+          return (
+            <div key={p.id} className="px-3 py-2 bg-emerald-50/60">
+              <div className="flex items-center justify-between gap-2">
+                <div className="flex items-center gap-2 flex-wrap">
+                  <span className={`text-xs font-bold ${p.direction === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
+                    {p.direction === "LONG" ? "🟢" : "🔴"} {sym} {p.direction}
+                  </span>
+                  <span className={`px-1.5 py-0.5 rounded text-[10px] font-semibold ${strategyBadgeClass()}`}>
+                    {strategyBadgeText()}
+                  </span>
+                  <span className="text-[10px] text-slate-500">评分{p.score} · {p.tier === "heavy" ? "加仓" : p.tier === "standard" ? "标准" : "轻仓"}</span>
+                  <span className="text-[10px] font-semibold text-emerald-700">FR {frScore >= 0 ? "+" : ""}{frScore} · Liq {liqScore >= 0 ? "+" : ""}{liqScore}</span>
+                </div>
+                <div className="flex items-center gap-2">
+                  <span className={`font-mono text-sm font-bold ${unrealR >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+                    {unrealR >= 0 ? "+" : ""}
+                    {unrealR.toFixed(2)}R
+                  </span>
+                  <span className={`font-mono text-[10px] ${unrealUsdt >= 0 ? "text-emerald-500" : "text-red-400"}`}>
+                    ({unrealUsdt >= 0 ? "+" : ""}${unrealUsdt.toFixed(0)})
+                  </span>
+                  <span className="text-[10px] text-slate-400">{holdMin}m</span>
+                </div>
+              </div>
+              <div className="flex gap-3 mt-1 text-[10px] font-mono text-slate-600 flex-wrap">
+                <span>入场: ${fmtPrice(p.entry_price)}</span>
+                <span className="text-slate-400">{new Date(p.entry_ts).toLocaleString("zh-CN", {hour12:false, month:"2-digit", day:"2-digit", hour:"2-digit", minute:"2-digit", second:"2-digit", fractionalSecondDigits:3} as any)}</span>
+                <span className="text-blue-600">现价: ${currentPrice ? fmtPrice(currentPrice) : "-"}</span>
+                <span className="text-emerald-600">TP1: ${fmtPrice(p.tp1_price)}{p.tp1_hit ? " ✅" : ""}</span>
+                <span className="text-emerald-600">TP2: ${fmtPrice(p.tp2_price)}</span>
+                <span className="text-red-500">SL: ${fmtPrice(p.sl_price)}</span>
+              </div>
+              <div className="mt-1 grid grid-cols-2 gap-2 text-[10px] font-semibold">
+                <div className="text-[10px] text-emerald-600 mt-0.5">FR {frScore >= 0 ? "+" : ""}{frScore} · Liq {liqScore >= 0 ? "+" : ""}{liqScore}</div>
+              </div>
+            </div>
+          );
+        })}
+      </div>
+    </div>
+  );
+}
+
+// ─── 权益曲线 ────────────────────────────────────────────────────
+
+function EquityCurve({ strategy }: { strategy: StrategyFilter }) {
+  const [data, setData] = useState<any[]>([]);
+
+  useEffect(() => {
+    const f = async () => {
+      try {
+        const r = await authFetch(`/api/paper/equity-curve?strategy=${strategy}`);
+        if (r.ok) {
+          const j = await r.json();
+          setData(j.data || []);
+        }
+      } catch {}
+    };
+    f();
+    const iv = setInterval(f, 30000);
+    return () => clearInterval(iv);
+  }, [strategy]);
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100">
+        <h3 className="font-semibold text-slate-800 text-xs">权益曲线 (累计PnL)</h3>
+      </div>
+      {data.length < 2 ? (
+        <div className="px-3 py-6 text-center text-xs text-slate-400">V5.2 暂无足够历史数据</div>
+      ) : (
+        <div className="p-2" style={{ height: 200 }}>
+          <ResponsiveContainer width="100%" height="100%">
+            <AreaChart data={data}>
+              <XAxis dataKey="ts" tickFormatter={(v) => bjt(v)} tick={{ fontSize: 10 }} />
+              <YAxis tick={{ fontSize: 10 }} tickFormatter={(v) => `${v}R`} />
+              <Tooltip labelFormatter={(v) => bjt(Number(v))} formatter={(v: any) => [`${v}R`, "累计PnL"]} />
+              <ReferenceLine y={0} stroke="#94a3b8" strokeDasharray="3 3" />
+              <Area type="monotone" dataKey="pnl" stroke="#10b981" fill="#d1fae5" strokeWidth={2} />
+            </AreaChart>
+          </ResponsiveContainer>
+        </div>
+      )}
+    </div>
+  );
+}
+
+// ─── 历史交易列表 ────────────────────────────────────────────────
+
+type FilterSymbol = "all" | "BTC" | "ETH" | "XRP" | "SOL";
+type FilterResult = "all" | "win" | "loss";
+
+function TradeHistory({ strategy }: { strategy: StrategyFilter }) {
+  const [trades, setTrades] = useState<any[]>([]);
+  const [symbol, setSymbol] = useState<FilterSymbol>("all");
+  const [result, setResult] = useState<FilterResult>("all");
+
+  useEffect(() => {
+    const f = async () => {
+      try {
+        const r = await authFetch(`/api/paper/trades?symbol=${symbol}&result=${result}&strategy=${strategy}&limit=50`);
+        if (r.ok) {
+          const j = await r.json();
+          setTrades(j.data || []);
+        }
+      } catch {}
+    };
+    f();
+    const iv = setInterval(f, 10000);
+    return () => clearInterval(iv);
+  }, [symbol, result, strategy]);
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+        <h3 className="font-semibold text-slate-800 text-xs">历史交易</h3>
+        <div className="flex items-center gap-1 flex-wrap">
+          <span className={`px-2 py-0.5 rounded text-[10px] font-semibold ${strategyBadgeClass()}`}>
+            {strategyBadgeText()} 视图
+          </span>
+          <span className="text-slate-300">|</span>
+          {(["all", "BTC", "ETH", "XRP", "SOL"] as FilterSymbol[]).map((s) => (
+            <button
+              key={s}
+              onClick={() => setSymbol(s)}
+              className={`px-2 py-0.5 rounded text-[10px] ${symbol === s ? "bg-slate-800 text-white" : "text-slate-500 hover:bg-slate-100"}`}
+            >
+              {s === "all" ? "全部" : s}
+            </button>
+          ))}
+          <span className="text-slate-300">|</span>
+          {(["all", "win", "loss"] as FilterResult[]).map((r) => (
+            <button
+              key={r}
+              onClick={() => setResult(r)}
+              className={`px-2 py-0.5 rounded text-[10px] ${result === r ? "bg-slate-800 text-white" : "text-slate-500 hover:bg-slate-100"}`}
+            >
+              {r === "all" ? "全部" : r === "win" ? "盈利" : "亏损"}
+            </button>
+          ))}
+        </div>
+      </div>
+      <div className="max-h-64 overflow-y-auto">
+        {trades.length === 0 ? (
+          <div className="text-center text-slate-400 text-sm py-6">暂无交易记录</div>
+        ) : (
+          <table className="w-full text-[11px]">
+            <thead className="bg-slate-50 sticky top-0">
+              <tr className="text-slate-500">
+                <th className="px-2 py-1.5 text-left font-medium">币种</th>
+                <th className="px-2 py-1.5 text-left font-medium">策略</th>
+                <th className="px-2 py-1.5 text-left font-medium">方向</th>
+                <th className="px-2 py-1.5 text-right font-medium">入场</th>
+                <th className="px-2 py-1.5 text-right font-medium">出场</th>
+                <th className="px-2 py-1.5 text-right font-medium">PnL(R)</th>
+                <th className="px-2 py-1.5 text-center font-medium">状态</th>
+                <th className="px-2 py-1.5 text-right font-medium">分数</th>
+                <th className="px-2 py-1.5 text-right font-medium">时间</th>
+              </tr>
+            </thead>
+            <tbody className="divide-y divide-slate-50">
+              {trades.map((t: any) => {
+                const holdMin = t.exit_ts && t.entry_ts ? Math.round((t.exit_ts - t.entry_ts) / 60000) : 0;
+                const factors = parseFactors(t.score_factors);
+                const frScore = factors?.funding_rate?.score ?? 0;
+                const liqScore = factors?.liquidation?.score ?? 0;
+                return (
+                  <tr key={t.id} className="hover:bg-slate-50">
+                    <td className="px-2 py-1.5 font-mono">{t.symbol?.replace("USDT", "")}</td>
+                    <td className="px-2 py-1.5 text-[10px]">
+                      <span className={`px-1.5 py-0.5 rounded font-semibold ${strategyBadgeClass()}`}>{strategyBadgeText()}</span>
+                    </td>
+                    <td className={`px-2 py-1.5 font-bold ${t.direction === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
+                      {t.direction === "LONG" ? "🟢" : "🔴"} {t.direction}
+                    </td>
+                    <td className="px-2 py-1.5 text-right font-mono">{fmtPrice(t.entry_price)}</td>
+                    <td className="px-2 py-1.5 text-right font-mono">{t.exit_price ? fmtPrice(t.exit_price) : "-"}</td>
+                    <td className={`px-2 py-1.5 text-right font-mono font-bold ${t.pnl_r > 0 ? "text-emerald-600" : t.pnl_r < 0 ? "text-red-500" : "text-slate-500"}`}>
+                      {t.pnl_r > 0 ? "+" : ""}
+                      {t.pnl_r?.toFixed(2)}
+                    </td>
+                    <td className="px-2 py-1.5 text-center">
+                      <span
+                        className={`px-1 py-0.5 rounded text-[9px] ${
+                          t.status === "tp"
+                            ? "bg-emerald-100 text-emerald-700"
+                            : t.status === "sl"
+                              ? "bg-red-100 text-red-700"
+                              : t.status === "sl_be"
+                                ? "bg-amber-100 text-amber-700"
+                                : t.status === "signal_flip"
+                                  ? "bg-purple-100 text-purple-700"
+                                  : "bg-slate-100 text-slate-600"
+                        }`}
+                      >
+                        {t.status === "tp"
+                          ? "止盈"
+                          : t.status === "sl"
+                            ? "止损"
+                            : t.status === "sl_be"
+                              ? "保本"
+                              : t.status === "timeout"
+                                ? "超时"
+                                : t.status === "signal_flip"
+                                  ? "翻转"
+                                  : t.status}
+                      </span>
+                    </td>
+                    <td className="px-2 py-1.5 text-right font-mono">
+                      <div>{t.score}<span className="text-emerald-600 text-[9px] ml-0.5">(FR{frScore >= 0 ? "+" : ""}{frScore}/Liq{liqScore >= 0 ? "+" : ""}{liqScore})</span></div>
+                    </td>
+                    <td className="px-2 py-1.5 text-right text-slate-400">{holdMin}m</td>
+                  </tr>
+                );
+              })}
+            </tbody>
+          </table>
+        )}
+      </div>
+    </div>
+  );
+}
+
+// ─── 统计面板 ────────────────────────────────────────────────────
+
+function StatsPanel({ strategy }: { strategy: StrategyFilter }) {
+  const [data, setData] = useState<any>(null);
+  const [tab, setTab] = useState("ALL");
+
+  useEffect(() => {
+    const f = async () => {
+      try {
+        const r = await authFetch(`/api/paper/stats?strategy=${strategy}`);
+        if (r.ok) setData(await r.json());
+      } catch {}
+    };
+    f();
+    const iv = setInterval(f, 30000);
+    return () => clearInterval(iv);
+  }, [strategy]);
+
+  useEffect(() => {
+    setTab("ALL");
+  }, [strategy]);
+
+  if (!data || data.error) {
+    return (
+      <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+        <div className="px-3 py-2 border-b border-slate-100">
+          <h3 className="font-semibold text-slate-800 text-xs">详细统计</h3>
+        </div>
+        <div className="p-3 text-xs text-slate-400">该视图暂无统计数据</div>
+      </div>
+    );
+  }
+
+  const tabs = ["ALL", "BTC", "ETH", "XRP", "SOL"];
+  const st = tab === "ALL" ? data : (data.by_symbol?.[tab] || null);
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between">
+        <h3 className="font-semibold text-slate-800 text-xs">详细统计</h3>
+        <div className="flex items-center gap-1">
+          <span className={`px-2 py-0.5 rounded text-[10px] font-semibold ${strategyBadgeClass()}`}>{strategyBadgeText()}</span>
+          {tabs.map((t) => (
+            <button
+              key={t}
+              onClick={() => setTab(t)}
+              className={`px-2 py-0.5 rounded text-[10px] font-medium transition-colors ${tab === t ? "bg-slate-800 text-white" : "bg-slate-100 text-slate-500 hover:bg-slate-200"}`}
+            >
+              {t === "ALL" ? "总计" : t}
+            </button>
+          ))}
+        </div>
+      </div>
+      {st ? (
+        <div className="p-3 space-y-3">
+          <div className="grid grid-cols-2 lg:grid-cols-4 gap-2 text-xs">
+            <div>
+              <span className="text-slate-400">胜率</span>
+              <p className="font-mono font-bold">{st.win_rate}%</p>
+            </div>
+            <div>
+              <span className="text-slate-400">盈亏比</span>
+              <p className="font-mono font-bold">{st.win_loss_ratio}</p>
+            </div>
+            <div>
+              <span className="text-slate-400">平均盈利</span>
+              <p className="font-mono font-bold text-emerald-600">+{st.avg_win}R</p>
+            </div>
+            <div>
+              <span className="text-slate-400">平均亏损</span>
+              <p className="font-mono font-bold text-red-500">-{st.avg_loss}R</p>
+            </div>
+            <div>
+              <span className="text-slate-400">最大回撤</span>
+              <p className="font-mono font-bold">{st.mdd}R</p>
+            </div>
+            <div>
+              <span className="text-slate-400">夏普比率</span>
+              <p className="font-mono font-bold">{st.sharpe}</p>
+            </div>
+            <div>
+              <span className="text-slate-400">总盈亏</span>
+              <p className={`font-mono font-bold ${(st.total_pnl ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+                {(st.total_pnl ?? 0) >= 0 ? "+" : ""}
+                {st.total_pnl ?? "-"}R
+              </p>
+            </div>
+            <div>
+              <span className="text-slate-400">总笔数</span>
+              <p className="font-mono font-bold">{st.total ?? data.total}</p>
+            </div>
+            <div>
+              <span className="text-slate-400">做多胜率</span>
+              <p className="font-mono">{st.long_win_rate}% ({st.long_count}笔)</p>
+            </div>
+            <div>
+              <span className="text-slate-400">做空胜率</span>
+              <p className="font-mono">{st.short_win_rate}% ({st.short_count}笔)</p>
+            </div>
+            {tab === "ALL" && data.by_tier && Object.entries(data.by_tier).map(([t, v]: [string, any]) => (
+              <div key={t}>
+                <span className="text-slate-400">{t === "heavy" ? "加仓档" : t === "standard" ? "标准档" : "轻仓档"}</span>
+                <p className="font-mono">{v.win_rate}% ({v.total}笔)</p>
+              </div>
+            ))}
+          </div>
+        </div>
+      ) : (
+        <div className="p-3 text-xs text-slate-400">该币种暂无数据</div>
+      )}
+    </div>
+  );
+}
+
+// ─── 主页面 ──────────────────────────────────────────────────────
+
+export default function PaperTradingV52Page() {
+  const { isLoggedIn, loading } = useAuth();
+  const strategy: StrategyFilter = PAPER_STRATEGY;
+
+  if (loading) return <div className="text-center text-slate-400 py-8">加载中...</div>;
+
+  if (!isLoggedIn)
+    return (
+      <div className="flex flex-col items-center justify-center h-64 gap-4">
+        <div className="text-5xl">🔒</div>
+        <p className="text-slate-600 font-medium">请先登录查看模拟盘</p>
+        <Link href="/login" className="bg-blue-600 text-white px-4 py-2 rounded-lg text-sm">
+          登录
+        </Link>
+      </div>
+    );
+
+  return (
+    <div className="space-y-3">
+      <div>
+        <h1 className="text-lg font-bold text-slate-900">📈 V5.2 模拟盘</h1>
+        <p className="text-[10px] text-slate-500">仅展示 v52_8signals · 包含 FR / 清算评分与策略标签</p>
+      </div>
+
+      <ControlPanel />
+      <SummaryCards strategy={strategy} />
+      <LatestSignals />
+      <ActivePositions strategy={strategy} />
+      <EquityCurve strategy={strategy} />
+      <TradeHistory strategy={strategy} />
+      <StatsPanel strategy={strategy} />
+    </div>
+  );
+}

frontend/app/paper-v53/page.tsx

@@ -0,0 +1,396 @@
+"use client";
+
+import { useState, useEffect } from "react";
+import Link from "next/link";
+import { authFetch, useAuth } from "@/lib/auth";
+import { XAxis, YAxis, Tooltip, ResponsiveContainer, ReferenceLine, Area, AreaChart } from "recharts";
+
+function bjt(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCMonth() + 1).padStart(2, "0")}-${String(d.getUTCDate()).padStart(2, "0")} ${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}`;
+}
+
+function fmtPrice(p: number) {
+  return p < 100 ? p.toFixed(4) : p.toLocaleString("en-US", { minimumFractionDigits: 1, maximumFractionDigits: 1 });
+}
+
+function parseFactors(raw: any) {
+  if (!raw) return null;
+  if (typeof raw === "string") { try { return JSON.parse(raw); } catch { return null; } }
+  return raw;
+}
+
+const STRATEGY = "v53";
+const ALL_COINS = ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"];
+
+// ─── 最新信号 ────────────────────────────────────────────────────
+
+function LatestSignals() {
+  const [signals, setSignals] = useState<Record<string, any>>({});
+  useEffect(() => {
+    const f = async () => {
+      for (const sym of ALL_COINS) {
+        const coin = sym.replace("USDT", "");
+        try {
+          const r = await authFetch(`/api/signals/signal-history?symbol=${coin}&limit=1&strategy=${STRATEGY}`);
+          if (r.ok) { const j = await r.json(); if (j.data?.length > 0) setSignals(prev => ({ ...prev, [sym]: j.data[0] })); }
+        } catch {}
+      }
+    };
+    f(); const iv = setInterval(f, 15000); return () => clearInterval(iv);
+  }, []);
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between">
+        <h3 className="font-semibold text-slate-800 text-xs">最新信号</h3>
+        <span className="px-2 py-0.5 rounded text-[10px] font-semibold bg-blue-100 text-blue-700 border border-blue-200">v53</span>
+      </div>
+      <div className="divide-y divide-slate-50">
+        {ALL_COINS.map(sym => {
+          const s = signals[sym];
+          const coin = sym.replace("USDT", "");
+          const ago = s?.ts ? Math.round((Date.now() - s.ts) / 60000) : null;
+          const fc = s?.factors;
+          const gatePassed = fc?.gate_passed ?? true;
+          return (
+            <div key={sym} className="px-3 py-2">
+              <div className="flex items-center justify-between">
+                <div className="flex items-center gap-2">
+                  <span className="font-mono text-xs font-bold text-slate-700 w-8">{coin}</span>
+                  {s?.signal ? (
+                    <>
+                      <span className={`text-xs font-bold ${s.signal === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
+                        {s.signal === "LONG" ? "🟢" : "🔴"} {s.signal}
+                      </span>
+                      <span className="font-mono text-xs font-bold text-slate-800">{s.score}分</span>
+                    </>
+                  ) : <span className="text-[10px] text-slate-400">暂无信号</span>}
+                </div>
+                {ago !== null && <span className="text-[10px] text-slate-400">{ago < 60 ? `${ago}m前` : `${Math.round(ago/60)}h前`}</span>}
+              </div>
+              {fc && (
+                <div className="flex gap-1 mt-1 flex-wrap">
+                  <span className={`text-[9px] px-1 py-0.5 rounded ${gatePassed ? "bg-emerald-100 text-emerald-700" : "bg-red-100 text-red-600"}`}>
+                    {gatePassed ? "✅" : "❌"} {fc.gate_block || "Gate"}
+                  </span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-blue-50 text-blue-700">方向{fc.direction?.score ?? 0}/55</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-violet-50 text-violet-700">拥挤{fc.crowding?.score ?? 0}/25</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-emerald-50 text-emerald-700">环境{fc.environment?.score ?? 0}/15</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-slate-100 text-slate-600">辅助{fc.auxiliary?.score ?? 0}/5</span>
+                </div>
+              )}
+            </div>
+          );
+        })}
+      </div>
+    </div>
+  );
+}
+
+// ─── 控制面板 ────────────────────────────────────────────────────
+
+function ControlPanel() {
+  const [config, setConfig] = useState<any>(null);
+  const [saving, setSaving] = useState(false);
+  useEffect(() => {
+    (async () => { try { const r = await authFetch("/api/paper/config"); if (r.ok) setConfig(await r.json()); } catch {} })();
+  }, []);
+  const toggle = async () => {
+    setSaving(true);
+    try {
+      const r = await authFetch("/api/paper/config", { method: "POST", headers: { "Content-Type": "application/json" }, body: JSON.stringify({ enabled: !config.enabled }) });
+      if (r.ok) setConfig(await r.json().then((j: any) => j.config));
+    } catch {} finally { setSaving(false); }
+  };
+  if (!config) return null;
+  return (
+    <div className={`rounded-xl border-2 ${config.enabled ? "border-emerald-400 bg-emerald-50" : "border-slate-200 bg-white"} px-3 py-2 flex items-center justify-between`}>
+      <div className="flex items-center gap-3">
+        <button onClick={toggle} disabled={saving}
+          className={`px-3 py-1.5 rounded-lg text-xs font-bold transition-all ${config.enabled ? "bg-red-500 text-white hover:bg-red-600" : "bg-emerald-500 text-white hover:bg-emerald-600"}`}>
+          {saving ? "..." : config.enabled ? "⏹ 停止" : "▶️ 启动"}
+        </button>
+        <span className={`text-xs font-medium ${config.enabled ? "text-emerald-700" : "text-slate-500"}`}>{config.enabled ? "🟢 运行中" : "⚪ 已停止"}</span>
+      </div>
+      <div className="flex gap-4 text-[10px] text-slate-500">
+        <span>初始: ${config.initial_balance?.toLocaleString()}</span>
+        <span>风险: {(config.risk_per_trade * 100).toFixed(0)}%</span>
+        <span>最大: {config.max_positions}仓</span>
+      </div>
+    </div>
+  );
+}
+
+// ─── 总览 ────────────────────────────────────────────────────────
+
+function SummaryCards() {
+  const [data, setData] = useState<any>(null);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/summary?strategy=${STRATEGY}`); if (r.ok) setData(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, []);
+  if (!data) return <div className="text-center text-slate-400 text-sm py-4">加载中...</div>;
+  return (
+    <div className="grid grid-cols-3 lg:grid-cols-6 gap-1.5">
+      {[
+        { label: "总盈亏(R)", value: `${data.total_pnl >= 0 ? "+" : ""}${data.total_pnl}R`, sub: `${data.total_pnl_usdt >= 0 ? "+" : ""}$${data.total_pnl_usdt}`, color: data.total_pnl >= 0 ? "text-emerald-600" : "text-red-500" },
+        { label: "胜率", value: `${data.win_rate}%`, sub: `共${data.total_trades}笔`, color: "text-slate-800" },
+        { label: "持仓中", value: data.active_positions, sub: "活跃仓位", color: "text-blue-600" },
+        { label: "盈亏比", value: data.profit_factor, sub: "PF", color: "text-slate-800" },
+        { label: "当前资金", value: `$${data.balance?.toLocaleString()}`, sub: "虚拟余额", color: data.balance >= 10000 ? "text-emerald-600" : "text-red-500" },
+        { label: "状态", value: data.start_time ? "运行中 ✅" : "等待首笔", sub: "accumulating", color: "text-slate-600" },
+      ].map(({ label, value, sub, color }) => (
+        <div key={label} className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">{label}</p>
+          <p className={`font-mono font-bold text-base ${color}`}>{value}</p>
+          <p className="text-[10px] text-slate-400">{sub}</p>
+        </div>
+      ))}
+    </div>
+  );
+}
+
+// ─── 当前持仓 ────────────────────────────────────────────────────
+
+function ActivePositions() {
+  const [positions, setPositions] = useState<any[]>([]);
+  const [wsPrices, setWsPrices] = useState<Record<string, number>>({});
+  const [paperRiskUsd, setPaperRiskUsd] = useState(200);
+  useEffect(() => {
+    (async () => { try { const r = await authFetch("/api/paper/config"); if (r.ok) { const cfg = await r.json(); setPaperRiskUsd((cfg.initial_balance||10000)*(cfg.risk_per_trade||0.02)); } } catch {} })();
+  }, []);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/positions?strategy=${STRATEGY}`); if (r.ok) setPositions((await r.json()).data||[]); } catch {} };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, []);
+  useEffect(() => {
+    const streams = ["btcusdt","ethusdt","xrpusdt","solusdt"].map(s=>`${s}@aggTrade`).join("/");
+    const ws = new WebSocket(`wss://fstream.binance.com/stream?streams=${streams}`);
+    ws.onmessage = (e) => { try { const msg=JSON.parse(e.data); if(msg.data){const sym=msg.data.s;const price=parseFloat(msg.data.p);if(sym&&price>0)setWsPrices(prev=>({...prev,[sym]:price}));} } catch {} };
+    return () => ws.close();
+  }, []);
+  if (positions.length === 0) return <div className="rounded-xl border border-slate-200 bg-white px-3 py-4 text-center text-slate-400 text-sm">v53 暂无活跃持仓</div>;
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">当前持仓 <span className="text-[10px] text-emerald-500 font-normal">● 实时</span></h3></div>
+      <div className="divide-y divide-slate-100">
+        {positions.map((p: any) => {
+          const sym = p.symbol?.replace("USDT","") || "";
+          const holdMin = Math.round((Date.now()-p.entry_ts)/60000);
+          const currentPrice = wsPrices[p.symbol]||p.current_price||0;
+          const entry = p.entry_price||0;
+          const riskDist = p.risk_distance||Math.abs(entry-(p.sl_price||entry))||1;
+          const tp1R = riskDist>0?(p.direction==="LONG"?((p.tp1_price||0)-entry)/riskDist:(entry-(p.tp1_price||0))/riskDist):0;
+          const fullR = riskDist>0?(p.direction==="LONG"?(currentPrice-entry)/riskDist:(entry-currentPrice)/riskDist):0;
+          const unrealR = p.tp1_hit?0.5*tp1R+0.5*fullR:fullR;
+          const unrealUsdt = unrealR*paperRiskUsd;
+          const fc = parseFactors(p.score_factors);
+          const track = fc?.track||(p.symbol==="BTCUSDT"?"BTC":"ALT");
+          return (
+            <div key={p.id} className="px-3 py-2 bg-emerald-50/60">
+              <div className="flex items-center justify-between gap-2">
+                <div className="flex items-center gap-2 flex-wrap">
+                  <span className={`text-xs font-bold ${p.direction==="LONG"?"text-emerald-600":"text-red-500"}`}>{p.direction==="LONG"?"🟢":"🔴"} {sym} {p.direction}</span>
+                  <span className={`px-1.5 py-0.5 rounded text-[10px] font-semibold ${track==="BTC"?"bg-amber-100 text-amber-700":"bg-purple-100 text-purple-700"}`}>{track}</span>
+                  <span className="text-[10px] text-slate-500">评分{p.score}</span>
+                </div>
+                <div className="flex items-center gap-2">
+                  <span className={`font-mono text-sm font-bold ${unrealR>=0?"text-emerald-600":"text-red-500"}`}>{unrealR>=0?"+":""}{unrealR.toFixed(2)}R</span>
+                  <span className="text-[10px] text-slate-400">{holdMin}m</span>
+                </div>
+              </div>
+              <div className="flex gap-3 mt-1 text-[10px] font-mono text-slate-600 flex-wrap">
+                <span>入: ${fmtPrice(p.entry_price)}</span>
+                <span className="text-blue-600">现: ${currentPrice?fmtPrice(currentPrice):"-"}</span>
+                <span className="text-emerald-600">TP1: ${fmtPrice(p.tp1_price)}{p.tp1_hit?" ✅":""}</span>
+                <span className="text-emerald-600">TP2: ${fmtPrice(p.tp2_price)}</span>
+                <span className="text-red-500">SL: ${fmtPrice(p.sl_price)}</span>
+              </div>
+              <div className="mt-1 text-[9px] text-slate-400">
+                入场时间: {p.entry_ts ? new Date(p.entry_ts).toLocaleString("zh-CN", {hour12:false, month:"2-digit", day:"2-digit", hour:"2-digit", minute:"2-digit", second:"2-digit"} as any) : "-"}
+              </div>
+            </div>
+          );
+        })}
+      </div>
+    </div>
+  );
+}
+
+// ─── 权益曲线 ────────────────────────────────────────────────────
+
+function EquityCurve() {
+  const [data, setData] = useState<any[]>([]);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/equity-curve?strategy=${STRATEGY}`); if (r.ok) setData((await r.json()).data||[]); } catch {} };
+    f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
+  }, []);
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">权益曲线</h3></div>
+      {data.length < 2 ? <div className="px-3 py-6 text-center text-xs text-slate-400">数据积累中...</div> : (
+        <div className="p-2" style={{ height: 200 }}>
+          <ResponsiveContainer width="100%" height="100%">
+            <AreaChart data={data}>
+              <XAxis dataKey="ts" tickFormatter={(v) => bjt(v)} tick={{ fontSize: 10 }} />
+              <YAxis tick={{ fontSize: 10 }} tickFormatter={(v) => `${v}R`} />
+              <Tooltip labelFormatter={(v) => bjt(Number(v))} formatter={(v: any) => [`${v}R`, "累计PnL"]} />
+              <ReferenceLine y={0} stroke="#94a3b8" strokeDasharray="3 3" />
+              <Area type="monotone" dataKey="pnl" stroke="#10b981" fill="#d1fae5" strokeWidth={2} />
+            </AreaChart>
+          </ResponsiveContainer>
+        </div>
+      )}
+    </div>
+  );
+}
+
+// ─── 历史交易 ────────────────────────────────────────────────────
+
+type FilterSymbol = "all" | "BTC" | "ETH" | "XRP" | "SOL";
+type FilterResult = "all" | "win" | "loss";
+
+function TradeHistory() {
+  const [trades, setTrades] = useState<any[]>([]);
+  const [symbol, setSymbol] = useState<FilterSymbol>("all");
+  const [result, setResult] = useState<FilterResult>("all");
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/trades?symbol=${symbol}&result=${result}&strategy=${STRATEGY}&limit=50`); if (r.ok) setTrades((await r.json()).data||[]); } catch {} };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, [symbol, result]);
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+        <h3 className="font-semibold text-slate-800 text-xs">历史交易</h3>
+        <div className="flex items-center gap-1 flex-wrap">
+          {(["all","BTC","ETH","XRP","SOL"] as FilterSymbol[]).map(s => (
+            <button key={s} onClick={() => setSymbol(s)} className={`px-2 py-0.5 rounded text-[10px] ${symbol===s?"bg-slate-800 text-white":"text-slate-500 hover:bg-slate-100"}`}>{s==="all"?"全部":s}</button>
+          ))}
+          <span className="text-slate-300">|</span>
+          {(["all","win","loss"] as FilterResult[]).map(r => (
+            <button key={r} onClick={() => setResult(r)} className={`px-2 py-0.5 rounded text-[10px] ${result===r?"bg-slate-800 text-white":"text-slate-500 hover:bg-slate-100"}`}>{r==="all"?"全部":r==="win"?"盈利":"亏损"}</button>
+          ))}
+        </div>
+      </div>
+      <div className="max-h-64 overflow-y-auto">
+        {trades.length === 0 ? <div className="text-center text-slate-400 text-sm py-6">暂无交易记录</div> : (
+          <table className="w-full text-[11px]">
+            <thead className="bg-slate-50 sticky top-0">
+              <tr className="text-slate-500">
+                <th className="px-2 py-1.5 text-left font-medium">币种</th>
+                <th className="px-2 py-1.5 text-left font-medium">方向</th>
+                <th className="px-2 py-1.5 text-right font-medium">入场价</th>
+                <th className="px-2 py-1.5 text-right font-medium">出场价</th>
+                <th className="px-2 py-1.5 text-right font-medium">PnL(R)</th>
+                <th className="px-2 py-1.5 text-center font-medium">状态</th>
+                <th className="px-2 py-1.5 text-right font-medium">分数</th>
+                <th className="px-2 py-1.5 text-right font-medium">入场时间</th>
+                <th className="px-2 py-1.5 text-right font-medium">出场时间</th>
+                <th className="px-2 py-1.5 text-right font-medium">持仓</th>
+              </tr>
+            </thead>
+            <tbody className="divide-y divide-slate-50">
+              {trades.map((t: any) => {
+                const holdMin = t.exit_ts&&t.entry_ts?Math.round((t.exit_ts-t.entry_ts)/60000):0;
+                const fc = parseFactors(t.score_factors);
+                const track = fc?.track||(t.symbol==="BTCUSDT"?"BTC":"ALT");
+                const fmtTime = (ms: number) => ms ? new Date(ms).toLocaleString("zh-CN", {hour12:false, month:"2-digit", day:"2-digit", hour:"2-digit", minute:"2-digit"} as any) : "-";
+                return (
+                  <tr key={t.id} className="hover:bg-slate-50">
+                    <td className="px-2 py-1.5 font-mono">{t.symbol?.replace("USDT","")}<span className={`ml-1 text-[9px] px-1 rounded ${track==="BTC"?"bg-amber-100 text-amber-700":"bg-purple-100 text-purple-700"}`}>{track}</span></td>
+                    <td className={`px-2 py-1.5 font-bold ${t.direction==="LONG"?"text-emerald-600":"text-red-500"}`}>{t.direction==="LONG"?"🟢":"🔴"} {t.direction}</td>
+                    <td className="px-2 py-1.5 text-right font-mono">{fmtPrice(t.entry_price)}</td>
+                    <td className="px-2 py-1.5 text-right font-mono">{t.exit_price?fmtPrice(t.exit_price):"-"}</td>
+                    <td className={`px-2 py-1.5 text-right font-mono font-bold ${t.pnl_r>0?"text-emerald-600":t.pnl_r<0?"text-red-500":"text-slate-500"}`}>{t.pnl_r>0?"+":""}{t.pnl_r?.toFixed(2)}</td>
+                    <td className="px-2 py-1.5 text-center"><span className={`px-1 py-0.5 rounded text-[9px] ${t.status==="tp"?"bg-emerald-100 text-emerald-700":t.status==="sl"?"bg-red-100 text-red-700":t.status==="sl_be"?"bg-amber-100 text-amber-700":t.status==="signal_flip"?"bg-purple-100 text-purple-700":"bg-slate-100 text-slate-600"}`}>{t.status==="tp"?"止盈":t.status==="sl"?"止损":t.status==="sl_be"?"保本":t.status==="timeout"?"超时":t.status==="signal_flip"?"翻转":t.status}</span></td>
+                    <td className="px-2 py-1.5 text-right font-mono">{t.score}</td>
+                    <td className="px-2 py-1.5 text-right text-slate-400 whitespace-nowrap">{fmtTime(t.entry_ts)}</td>
+                    <td className="px-2 py-1.5 text-right text-slate-400 whitespace-nowrap">{fmtTime(t.exit_ts)}</td>
+                    <td className="px-2 py-1.5 text-right text-slate-400">{holdMin}m</td>
+                  </tr>
+                );
+              })}
+            </tbody>
+          </table>
+        )}
+      </div>
+    </div>
+  );
+}
+
+// ─── 统计面板 ────────────────────────────────────────────────────
+
+function StatsPanel() {
+  const [data, setData] = useState<any>(null);
+  const [tab, setTab] = useState("ALL");
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/stats?strategy=${STRATEGY}`); if (r.ok) setData(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
+  }, []);
+  if (!data || data.error) return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">详细统计</h3></div>
+      <div className="p-3 text-xs text-slate-400">等待交易记录积累...</div>
+    </div>
+  );
+  const coinTabs = ["ALL","BTC","ETH","XRP","SOL"];
+  const st = tab==="ALL"?data:(data.by_symbol?.[tab]||null);
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+        <h3 className="font-semibold text-slate-800 text-xs">详细统计</h3>
+        <div className="flex items-center gap-1">
+          {coinTabs.map(t => (
+            <button key={t} onClick={() => setTab(t)} className={`px-2 py-0.5 rounded text-[10px] font-medium transition-colors ${tab===t?"bg-slate-800 text-white":"bg-slate-100 text-slate-500 hover:bg-slate-200"}`}>{t==="ALL"?"总计":t}</button>
+          ))}
+        </div>
+      </div>
+      {st ? (
+        <div className="p-3">
+          <div className="grid grid-cols-2 lg:grid-cols-4 gap-2 text-xs">
+            <div><span className="text-slate-400">胜率</span><p className="font-mono font-bold">{st.win_rate}%</p></div>
+            <div><span className="text-slate-400">盈亏比</span><p className="font-mono font-bold">{st.win_loss_ratio}</p></div>
+            <div><span className="text-slate-400">平均盈利</span><p className="font-mono font-bold text-emerald-600">+{st.avg_win}R</p></div>
+            <div><span className="text-slate-400">平均亏损</span><p className="font-mono font-bold text-red-500">-{st.avg_loss}R</p></div>
+            <div><span className="text-slate-400">最大回撤</span><p className="font-mono font-bold">{st.mdd}R</p></div>
+            <div><span className="text-slate-400">夏普比率</span><p className="font-mono font-bold">{st.sharpe}</p></div>
+            <div><span className="text-slate-400">总盈亏</span><p className={`font-mono font-bold ${(st.total_pnl??0)>=0?"text-emerald-600":"text-red-500"}`}>{(st.total_pnl??0)>=0?"+":""}{st.total_pnl??"-"}R</p></div>
+            <div><span className="text-slate-400">总笔数</span><p className="font-mono font-bold">{st.total??data.total}</p></div>
+            <div><span className="text-slate-400">做多胜率</span><p className="font-mono">{st.long_win_rate}% ({st.long_count}笔)</p></div>
+            <div><span className="text-slate-400">做空胜率</span><p className="font-mono">{st.short_win_rate}% ({st.short_count}笔)</p></div>
+          </div>
+        </div>
+      ) : <div className="p-3 text-xs text-slate-400">该币种暂无数据</div>}
+    </div>
+  );
+}
+
+// ─── 主页面 ──────────────────────────────────────────────────────
+
+export default function PaperTradingV53Page() {
+  const { isLoggedIn, loading } = useAuth();
+  if (loading) return <div className="text-center text-slate-400 py-8">加载中...</div>;
+  if (!isLoggedIn) return (
+    <div className="flex flex-col items-center justify-center h-64 gap-4">
+      <div className="text-5xl">🔒</div>
+      <p className="text-slate-600 font-medium">请先登录查看模拟盘</p>
+      <Link href="/login" className="bg-blue-600 text-white px-4 py-2 rounded-lg text-sm">登录</Link>
+    </div>
+  );
+  return (
+    <div className="space-y-3">
+      <div>
+        <h1 className="text-lg font-bold text-slate-900">📈 模拟盘 V5.3</h1>
+        <p className="text-[10px] text-slate-500">统一策略 v53 · BTC/ETH/XRP/SOL · 四层评分 55/25/15/5 + per-symbol 四门控制</p>
+      </div>
+      <ControlPanel />
+      <SummaryCards />
+      <LatestSignals />
+      <ActivePositions />
+      <EquityCurve />
+      <TradeHistory />
+      <StatsPanel />
+    </div>
+  );
+}

frontend/app/paper-v53fast/page.tsx

@@ -0,0 +1,405 @@
+"use client";
+
+import { useState, useEffect } from "react";
+import Link from "next/link";
+import { authFetch, useAuth } from "@/lib/auth";
+import { XAxis, YAxis, Tooltip, ResponsiveContainer, ReferenceLine, Area, AreaChart } from "recharts";
+
+function bjt(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCMonth() + 1).padStart(2, "0")}-${String(d.getUTCDate()).padStart(2, "0")} ${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}`;
+}
+
+function fmtPrice(p: number) {
+  return p < 100 ? p.toFixed(4) : p.toLocaleString("en-US", { minimumFractionDigits: 1, maximumFractionDigits: 1 });
+}
+
+function parseFactors(raw: any) {
+  if (!raw) return null;
+  if (typeof raw === "string") { try { return JSON.parse(raw); } catch { return null; } }
+  return raw;
+}
+
+const STRATEGY = "v53_fast";
+const ALL_COINS = ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"];
+
+// ─── 最新信号 ────────────────────────────────────────────────────
+
+function LatestSignals() {
+  const [signals, setSignals] = useState<Record<string, any>>({});
+  useEffect(() => {
+    const f = async () => {
+      for (const sym of ALL_COINS) {
+        const coin = sym.replace("USDT", "");
+        try {
+          const r = await authFetch(`/api/signals/signal-history?symbol=${coin}&limit=1&strategy=${STRATEGY}`);
+          if (r.ok) { const j = await r.json(); if (j.data?.length > 0) setSignals(prev => ({ ...prev, [sym]: j.data[0] })); }
+        } catch {}
+      }
+    };
+    f(); const iv = setInterval(f, 15000); return () => clearInterval(iv);
+  }, []);
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between">
+        <h3 className="font-semibold text-slate-800 text-xs">最新信号</h3>
+        <span className="px-2 py-0.5 rounded text-[10px] font-semibold bg-blue-100 text-blue-700 border border-blue-200">v53</span>
+      </div>
+      <div className="divide-y divide-slate-50">
+        {ALL_COINS.map(sym => {
+          const s = signals[sym];
+          const coin = sym.replace("USDT", "");
+          const ago = s?.ts ? Math.round((Date.now() - s.ts) / 60000) : null;
+          const fc = s?.factors;
+          const gatePassed = fc?.gate_passed ?? true;
+          return (
+            <div key={sym} className="px-3 py-2">
+              <div className="flex items-center justify-between">
+                <div className="flex items-center gap-2">
+                  <span className="font-mono text-xs font-bold text-slate-700 w-8">{coin}</span>
+                  {s?.signal ? (
+                    <>
+                      <span className={`text-xs font-bold ${s.signal === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
+                        {s.signal === "LONG" ? "🟢" : "🔴"} {s.signal}
+                      </span>
+                      <span className="font-mono text-xs font-bold text-slate-800">{s.score}分</span>
+                    </>
+                  ) : <span className="text-[10px] text-slate-400">暂无信号</span>}
+                </div>
+                {ago !== null && <span className="text-[10px] text-slate-400">{ago < 60 ? `${ago}m前` : `${Math.round(ago/60)}h前`}</span>}
+              </div>
+              {fc && (
+                <div className="flex gap-1 mt-1 flex-wrap">
+                  <span className={`text-[9px] px-1 py-0.5 rounded ${gatePassed ? "bg-emerald-100 text-emerald-700" : "bg-red-100 text-red-600"}`}>
+                    {gatePassed ? "✅" : "❌"} {fc.gate_block || "Gate"}
+                  </span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-blue-50 text-blue-700">方向{fc.direction?.score ?? 0}/55</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-violet-50 text-violet-700">拥挤{fc.crowding?.score ?? 0}/25</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-emerald-50 text-emerald-700">环境{fc.environment?.score ?? 0}/15</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-slate-100 text-slate-600">辅助{fc.auxiliary?.score ?? 0}/5</span>
+                </div>
+              )}
+            </div>
+          );
+        })}
+      </div>
+    </div>
+  );
+}
+
+// ─── 控制面板 ────────────────────────────────────────────────────
+
+function ControlPanel() {
+  const [config, setConfig] = useState<any>(null);
+  const [saving, setSaving] = useState(false);
+  useEffect(() => {
+    (async () => { try { const r = await authFetch("/api/paper/config"); if (r.ok) setConfig(await r.json()); } catch {} })();
+  }, []);
+  const toggle = async () => {
+    setSaving(true);
+    try {
+      const r = await authFetch("/api/paper/config", { method: "POST", headers: { "Content-Type": "application/json" }, body: JSON.stringify({ enabled: !config.enabled }) });
+      if (r.ok) setConfig(await r.json().then((j: any) => j.config));
+    } catch {} finally { setSaving(false); }
+  };
+  if (!config) return null;
+  return (
+    <div className={`rounded-xl border-2 ${config.enabled ? "border-emerald-400 bg-emerald-50" : "border-slate-200 bg-white"} px-3 py-2 flex items-center justify-between`}>
+      <div className="flex items-center gap-3">
+        <button onClick={toggle} disabled={saving}
+          className={`px-3 py-1.5 rounded-lg text-xs font-bold transition-all ${config.enabled ? "bg-red-500 text-white hover:bg-red-600" : "bg-emerald-500 text-white hover:bg-emerald-600"}`}>
+          {saving ? "..." : config.enabled ? "⏹ 停止" : "▶️ 启动"}
+        </button>
+        <span className={`text-xs font-medium ${config.enabled ? "text-emerald-700" : "text-slate-500"}`}>{config.enabled ? "🟢 运行中" : "⚪ 已停止"}</span>
+      </div>
+      <div className="flex gap-4 text-[10px] text-slate-500">
+        <span>初始: ${config.initial_balance?.toLocaleString()}</span>
+        <span>风险: {(config.risk_per_trade * 100).toFixed(0)}%</span>
+        <span>最大: {config.max_positions}仓</span>
+      </div>
+    </div>
+  );
+}
+
+// ─── 总览 ────────────────────────────────────────────────────────
+
+function SummaryCards() {
+  const [data, setData] = useState<any>(null);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/summary?strategy=${STRATEGY}`); if (r.ok) setData(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, []);
+  if (!data) return <div className="text-center text-slate-400 text-sm py-4">加载中...</div>;
+  return (
+    <div className="grid grid-cols-3 lg:grid-cols-6 gap-1.5">
+      {[
+        { label: "总盈亏(R)", value: `${data.total_pnl >= 0 ? "+" : ""}${data.total_pnl}R`, sub: `${data.total_pnl_usdt >= 0 ? "+" : ""}$${data.total_pnl_usdt}`, color: data.total_pnl >= 0 ? "text-emerald-600" : "text-red-500" },
+        { label: "胜率", value: `${data.win_rate}%`, sub: `共${data.total_trades}笔`, color: "text-slate-800" },
+        { label: "持仓中", value: data.active_positions, sub: "活跃仓位", color: "text-blue-600" },
+        { label: "盈亏比", value: data.profit_factor, sub: "PF", color: "text-slate-800" },
+        { label: "当前资金", value: `$${data.balance?.toLocaleString()}`, sub: "虚拟余额", color: data.balance >= 10000 ? "text-emerald-600" : "text-red-500" },
+        { label: "状态", value: data.start_time ? "运行中 ✅" : "等待首笔", sub: "accumulating", color: "text-slate-600" },
+      ].map(({ label, value, sub, color }) => (
+        <div key={label} className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">{label}</p>
+          <p className={`font-mono font-bold text-base ${color}`}>{value}</p>
+          <p className="text-[10px] text-slate-400">{sub}</p>
+        </div>
+      ))}
+    </div>
+  );
+}
+
+// ─── 当前持仓 ────────────────────────────────────────────────────
+
+function ActivePositions() {
+  const [positions, setPositions] = useState<any[]>([]);
+  const [wsPrices, setWsPrices] = useState<Record<string, number>>({});
+  const [paperRiskUsd, setPaperRiskUsd] = useState(200);
+  useEffect(() => {
+    (async () => { try { const r = await authFetch("/api/paper/config"); if (r.ok) { const cfg = await r.json(); setPaperRiskUsd((cfg.initial_balance||10000)*(cfg.risk_per_trade||0.02)); } } catch {} })();
+  }, []);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/positions?strategy=${STRATEGY}`); if (r.ok) setPositions((await r.json()).data||[]); } catch {} };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, []);
+  useEffect(() => {
+    const streams = ["btcusdt","ethusdt","xrpusdt","solusdt"].map(s=>`${s}@aggTrade`).join("/");
+    const ws = new WebSocket(`wss://fstream.binance.com/stream?streams=${streams}`);
+    ws.onmessage = (e) => { try { const msg=JSON.parse(e.data); if(msg.data){const sym=msg.data.s;const price=parseFloat(msg.data.p);if(sym&&price>0)setWsPrices(prev=>({...prev,[sym]:price}));} } catch {} };
+    return () => ws.close();
+  }, []);
+  if (positions.length === 0) return <div className="rounded-xl border border-slate-200 bg-white px-3 py-4 text-center text-slate-400 text-sm">v53 暂无活跃持仓</div>;
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">当前持仓 <span className="text-[10px] text-emerald-500 font-normal">● 实时</span></h3></div>
+      <div className="divide-y divide-slate-100">
+        {positions.map((p: any) => {
+          const sym = p.symbol?.replace("USDT","") || "";
+          const holdMin = Math.round((Date.now()-p.entry_ts)/60000);
+          const currentPrice = wsPrices[p.symbol]||p.current_price||0;
+          const entry = p.entry_price||0;
+          const riskDist = p.risk_distance||Math.abs(entry-(p.sl_price||entry))||1;
+          const tp1R = riskDist>0?(p.direction==="LONG"?((p.tp1_price||0)-entry)/riskDist:(entry-(p.tp1_price||0))/riskDist):0;
+          const fullR = riskDist>0?(p.direction==="LONG"?(currentPrice-entry)/riskDist:(entry-currentPrice)/riskDist):0;
+          const unrealR = p.tp1_hit?0.5*tp1R+0.5*fullR:fullR;
+          const unrealUsdt = unrealR*paperRiskUsd;
+          const fc = parseFactors(p.score_factors);
+          const track = fc?.track||(p.symbol==="BTCUSDT"?"BTC":"ALT");
+          return (
+            <div key={p.id} className="px-3 py-2 bg-emerald-50/60">
+              <div className="flex items-center justify-between gap-2">
+                <div className="flex items-center gap-2 flex-wrap">
+                  <span className={`text-xs font-bold ${p.direction==="LONG"?"text-emerald-600":"text-red-500"}`}>{p.direction==="LONG"?"🟢":"🔴"} {sym} {p.direction}</span>
+                  <span className={`px-1.5 py-0.5 rounded text-[10px] font-semibold ${track==="BTC"?"bg-amber-100 text-amber-700":"bg-purple-100 text-purple-700"}`}>{track}</span>
+                  <span className="text-[10px] text-slate-500">评分{p.score}</span>
+                </div>
+                <div className="flex items-center gap-2">
+                  <span className={`font-mono text-sm font-bold ${unrealR>=0?"text-emerald-600":"text-red-500"}`}>{unrealR>=0?"+":""}{unrealR.toFixed(2)}R</span>
+                  <span className="text-[10px] text-slate-400">{holdMin}m</span>
+                </div>
+              </div>
+              <div className="flex gap-3 mt-1 text-[10px] font-mono text-slate-600 flex-wrap">
+                <span>入: ${fmtPrice(p.entry_price)}</span>
+                <span className="text-blue-600">现: ${currentPrice?fmtPrice(currentPrice):"-"}</span>
+                <span className="text-emerald-600">TP1: ${fmtPrice(p.tp1_price)}{p.tp1_hit?" ✅":""}</span>
+                <span className="text-emerald-600">TP2: ${fmtPrice(p.tp2_price)}</span>
+                <span className="text-red-500">SL: ${fmtPrice(p.sl_price)}</span>
+              </div>
+              <div className="mt-1 text-[9px] text-slate-400">
+                入场时间: {p.entry_ts ? new Date(p.entry_ts).toLocaleString("zh-CN", {hour12:false, month:"2-digit", day:"2-digit", hour:"2-digit", minute:"2-digit", second:"2-digit"} as any) : "-"}
+              </div>
+            </div>
+          );
+        })}
+      </div>
+    </div>
+  );
+}
+
+// ─── 权益曲线 ────────────────────────────────────────────────────
+
+function EquityCurve() {
+  const [data, setData] = useState<any[]>([]);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/equity-curve?strategy=${STRATEGY}`); if (r.ok) setData((await r.json()).data||[]); } catch {} };
+    f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
+  }, []);
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">权益曲线</h3></div>
+      {data.length < 2 ? <div className="px-3 py-6 text-center text-xs text-slate-400">数据积累中...</div> : (
+        <div className="p-2" style={{ height: 200 }}>
+          <ResponsiveContainer width="100%" height="100%">
+            <AreaChart data={data}>
+              <XAxis dataKey="ts" tickFormatter={(v) => bjt(v)} tick={{ fontSize: 10 }} />
+              <YAxis tick={{ fontSize: 10 }} tickFormatter={(v) => `${v}R`} />
+              <Tooltip labelFormatter={(v) => bjt(Number(v))} formatter={(v: any) => [`${v}R`, "累计PnL"]} />
+              <ReferenceLine y={0} stroke="#94a3b8" strokeDasharray="3 3" />
+              <Area type="monotone" dataKey="pnl" stroke="#10b981" fill="#d1fae5" strokeWidth={2} />
+            </AreaChart>
+          </ResponsiveContainer>
+        </div>
+      )}
+    </div>
+  );
+}
+
+// ─── 历史交易 ────────────────────────────────────────────────────
+
+type FilterSymbol = "all" | "BTC" | "ETH" | "XRP" | "SOL";
+type FilterResult = "all" | "win" | "loss";
+
+function TradeHistory() {
+  const [trades, setTrades] = useState<any[]>([]);
+  const [symbol, setSymbol] = useState<FilterSymbol>("all");
+  const [result, setResult] = useState<FilterResult>("all");
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/trades?symbol=${symbol}&result=${result}&strategy=${STRATEGY}&limit=50`); if (r.ok) setTrades((await r.json()).data||[]); } catch {} };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, [symbol, result]);
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+        <h3 className="font-semibold text-slate-800 text-xs">历史交易</h3>
+        <div className="flex items-center gap-1 flex-wrap">
+          {(["all","BTC","ETH","XRP","SOL"] as FilterSymbol[]).map(s => (
+            <button key={s} onClick={() => setSymbol(s)} className={`px-2 py-0.5 rounded text-[10px] ${symbol===s?"bg-slate-800 text-white":"text-slate-500 hover:bg-slate-100"}`}>{s==="all"?"全部":s}</button>
+          ))}
+          <span className="text-slate-300">|</span>
+          {(["all","win","loss"] as FilterResult[]).map(r => (
+            <button key={r} onClick={() => setResult(r)} className={`px-2 py-0.5 rounded text-[10px] ${result===r?"bg-slate-800 text-white":"text-slate-500 hover:bg-slate-100"}`}>{r==="all"?"全部":r==="win"?"盈利":"亏损"}</button>
+          ))}
+        </div>
+      </div>
+      <div className="max-h-64 overflow-y-auto">
+        {trades.length === 0 ? <div className="text-center text-slate-400 text-sm py-6">暂无交易记录</div> : (
+          <table className="w-full text-[11px]">
+            <thead className="bg-slate-50 sticky top-0">
+              <tr className="text-slate-500">
+                <th className="px-2 py-1.5 text-left font-medium">币种</th>
+                <th className="px-2 py-1.5 text-left font-medium">方向</th>
+                <th className="px-2 py-1.5 text-right font-medium">入场价</th>
+                <th className="px-2 py-1.5 text-right font-medium">出场价</th>
+                <th className="px-2 py-1.5 text-right font-medium">PnL(R)</th>
+                <th className="px-2 py-1.5 text-center font-medium">状态</th>
+                <th className="px-2 py-1.5 text-right font-medium">分数</th>
+                <th className="px-2 py-1.5 text-right font-medium">入场时间</th>
+                <th className="px-2 py-1.5 text-right font-medium">出场时间</th>
+                <th className="px-2 py-1.5 text-right font-medium">持仓</th>
+              </tr>
+            </thead>
+            <tbody className="divide-y divide-slate-50">
+              {trades.map((t: any) => {
+                const holdMin = t.exit_ts&&t.entry_ts?Math.round((t.exit_ts-t.entry_ts)/60000):0;
+                const fc = parseFactors(t.score_factors);
+                const track = fc?.track||(t.symbol==="BTCUSDT"?"BTC":"ALT");
+                const fmtTime = (ms: number) => ms ? new Date(ms).toLocaleString("zh-CN", {hour12:false, month:"2-digit", day:"2-digit", hour:"2-digit", minute:"2-digit"} as any) : "-";
+                return (
+                  <tr key={t.id} className="hover:bg-slate-50">
+                    <td className="px-2 py-1.5 font-mono">{t.symbol?.replace("USDT","")}<span className={`ml-1 text-[9px] px-1 rounded ${track==="BTC"?"bg-amber-100 text-amber-700":"bg-purple-100 text-purple-700"}`}>{track}</span></td>
+                    <td className={`px-2 py-1.5 font-bold ${t.direction==="LONG"?"text-emerald-600":"text-red-500"}`}>{t.direction==="LONG"?"🟢":"🔴"} {t.direction}</td>
+                    <td className="px-2 py-1.5 text-right font-mono">{fmtPrice(t.entry_price)}</td>
+                    <td className="px-2 py-1.5 text-right font-mono">{t.exit_price?fmtPrice(t.exit_price):"-"}</td>
+                    <td className={`px-2 py-1.5 text-right font-mono font-bold ${t.pnl_r>0?"text-emerald-600":t.pnl_r<0?"text-red-500":"text-slate-500"}`}>{t.pnl_r>0?"+":""}{t.pnl_r?.toFixed(2)}</td>
+                    <td className="px-2 py-1.5 text-center"><span className={`px-1 py-0.5 rounded text-[9px] ${t.status==="tp"?"bg-emerald-100 text-emerald-700":t.status==="sl"?"bg-red-100 text-red-700":t.status==="sl_be"?"bg-amber-100 text-amber-700":t.status==="signal_flip"?"bg-purple-100 text-purple-700":"bg-slate-100 text-slate-600"}`}>{t.status==="tp"?"止盈":t.status==="sl"?"止损":t.status==="sl_be"?"保本":t.status==="timeout"?"超时":t.status==="signal_flip"?"翻转":t.status}</span></td>
+                    <td className="px-2 py-1.5 text-right font-mono">{t.score}</td>
+                    <td className="px-2 py-1.5 text-right text-slate-400 whitespace-nowrap">{fmtTime(t.entry_ts)}</td>
+                    <td className="px-2 py-1.5 text-right text-slate-400 whitespace-nowrap">{fmtTime(t.exit_ts)}</td>
+                    <td className="px-2 py-1.5 text-right text-slate-400">{holdMin}m</td>
+                  </tr>
+                );
+              })}
+            </tbody>
+          </table>
+        )}
+      </div>
+    </div>
+  );
+}
+
+// ─── 统计面板 ────────────────────────────────────────────────────
+
+function StatsPanel() {
+  const [data, setData] = useState<any>(null);
+  const [tab, setTab] = useState("ALL");
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/stats?strategy=${STRATEGY}`); if (r.ok) setData(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
+  }, []);
+  if (!data || data.error) return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">详细统计</h3></div>
+      <div className="p-3 text-xs text-slate-400">等待交易记录积累...</div>
+    </div>
+  );
+  const coinTabs = ["ALL","BTC","ETH","XRP","SOL"];
+  const st = tab==="ALL"?data:(data.by_symbol?.[tab]||null);
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+        <h3 className="font-semibold text-slate-800 text-xs">详细统计</h3>
+        <div className="flex items-center gap-1">
+          {coinTabs.map(t => (
+            <button key={t} onClick={() => setTab(t)} className={`px-2 py-0.5 rounded text-[10px] font-medium transition-colors ${tab===t?"bg-slate-800 text-white":"bg-slate-100 text-slate-500 hover:bg-slate-200"}`}>{t==="ALL"?"总计":t}</button>
+          ))}
+        </div>
+      </div>
+      {st ? (
+        <div className="p-3">
+          <div className="grid grid-cols-2 lg:grid-cols-4 gap-2 text-xs">
+            <div><span className="text-slate-400">胜率</span><p className="font-mono font-bold">{st.win_rate}%</p></div>
+            <div><span className="text-slate-400">盈亏比</span><p className="font-mono font-bold">{st.win_loss_ratio}</p></div>
+            <div><span className="text-slate-400">平均盈利</span><p className="font-mono font-bold text-emerald-600">+{st.avg_win}R</p></div>
+            <div><span className="text-slate-400">平均亏损</span><p className="font-mono font-bold text-red-500">-{st.avg_loss}R</p></div>
+            <div><span className="text-slate-400">最大回撤</span><p className="font-mono font-bold">{st.mdd}R</p></div>
+            <div><span className="text-slate-400">夏普比率</span><p className="font-mono font-bold">{st.sharpe}</p></div>
+            <div><span className="text-slate-400">总盈亏</span><p className={`font-mono font-bold ${(st.total_pnl??0)>=0?"text-emerald-600":"text-red-500"}`}>{(st.total_pnl??0)>=0?"+":""}{st.total_pnl??"-"}R</p></div>
+            <div><span className="text-slate-400">总笔数</span><p className="font-mono font-bold">{st.total??data.total}</p></div>
+            <div><span className="text-slate-400">做多胜率</span><p className="font-mono">{st.long_win_rate}% ({st.long_count}笔)</p></div>
+            <div><span className="text-slate-400">做空胜率</span><p className="font-mono">{st.short_win_rate}% ({st.short_count}笔)</p></div>
+          </div>
+        </div>
+      ) : <div className="p-3 text-xs text-slate-400">该币种暂无数据</div>}
+    </div>
+  );
+}
+
+// ─── 主页面 ──────────────────────────────────────────────────────
+
+export default function PaperTradingV53Page() {
+  const { isLoggedIn, loading } = useAuth();
+  if (loading) return <div className="text-center text-slate-400 py-8">加载中...</div>;
+  if (!isLoggedIn) return (
+    <div className="flex flex-col items-center justify-center h-64 gap-4">
+      <div className="text-5xl">🔒</div>
+      <p className="text-slate-600 font-medium">请先登录查看模拟盘</p>
+      <Link href="/login" className="bg-blue-600 text-white px-4 py-2 rounded-lg text-sm">登录</Link>
+    </div>
+  );
+  return (
+    <div className="space-y-3">
+      {/* Fast 实验版标识条 */}
+      <div className="rounded-lg bg-gradient-to-r from-orange-500 to-amber-400 px-3 py-1.5 flex items-center justify-between">
+        <span className="text-white text-xs font-bold">🚀 V5.3 Fast — 实验变体 A/B对照</span>
+        <div className="flex gap-2 text-white text-[10px] font-medium">
+          <span className="bg-white/20 px-2 py-0.5 rounded">CVD 5m/30m</span>
+          <span className="bg-white/20 px-2 py-0.5 rounded">OBI+加分</span>
+          <span className="bg-white/20 px-2 py-0.5 rounded">accel独立触发</span>
+        </div>
+      </div>
+      <div>
+        <h1 className="text-lg font-bold text-slate-900">🚀 模拟盘 V5.3 Fast</h1>
+        <p className="text-[10px] text-slate-500">实验变体 v53_fast · BTC/ETH/XRP/SOL · CVD 5m/30m · OBI正向加分 · 与 V5.3 同起点对照</p>
+      </div>
+      <ControlPanel />
+      <SummaryCards />
+      <LatestSignals />
+      <ActivePositions />
+      <EquityCurve />
+      <TradeHistory />
+      <StatsPanel />
+    </div>
+  );
+}

frontend/app/paper-v53middle/page.tsx

@@ -0,0 +1,405 @@
+"use client";
+
+import { useState, useEffect } from "react";
+import Link from "next/link";
+import { authFetch, useAuth } from "@/lib/auth";
+import { XAxis, YAxis, Tooltip, ResponsiveContainer, ReferenceLine, Area, AreaChart } from "recharts";
+
+function bjt(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCMonth() + 1).padStart(2, "0")}-${String(d.getUTCDate()).padStart(2, "0")} ${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}`;
+}
+
+function fmtPrice(p: number) {
+  return p < 100 ? p.toFixed(4) : p.toLocaleString("en-US", { minimumFractionDigits: 1, maximumFractionDigits: 1 });
+}
+
+function parseFactors(raw: any) {
+  if (!raw) return null;
+  if (typeof raw === "string") { try { return JSON.parse(raw); } catch { return null; } }
+  return raw;
+}
+
+const STRATEGY = "v53_middle";
+const ALL_COINS = ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"];
+
+// ─── 最新信号 ────────────────────────────────────────────────────
+
+function LatestSignals() {
+  const [signals, setSignals] = useState<Record<string, any>>({});
+  useEffect(() => {
+    const f = async () => {
+      for (const sym of ALL_COINS) {
+        const coin = sym.replace("USDT", "");
+        try {
+          const r = await authFetch(`/api/signals/signal-history?symbol=${coin}&limit=1&strategy=${STRATEGY}`);
+          if (r.ok) { const j = await r.json(); if (j.data?.length > 0) setSignals(prev => ({ ...prev, [sym]: j.data[0] })); }
+        } catch {}
+      }
+    };
+    f(); const iv = setInterval(f, 15000); return () => clearInterval(iv);
+  }, []);
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between">
+        <h3 className="font-semibold text-slate-800 text-xs">最新信号</h3>
+        <span className="px-2 py-0.5 rounded text-[10px] font-semibold bg-blue-100 text-blue-700 border border-blue-200">v53</span>
+      </div>
+      <div className="divide-y divide-slate-50">
+        {ALL_COINS.map(sym => {
+          const s = signals[sym];
+          const coin = sym.replace("USDT", "");
+          const ago = s?.ts ? Math.round((Date.now() - s.ts) / 60000) : null;
+          const fc = s?.factors;
+          const gatePassed = fc?.gate_passed ?? true;
+          return (
+            <div key={sym} className="px-3 py-2">
+              <div className="flex items-center justify-between">
+                <div className="flex items-center gap-2">
+                  <span className="font-mono text-xs font-bold text-slate-700 w-8">{coin}</span>
+                  {s?.signal ? (
+                    <>
+                      <span className={`text-xs font-bold ${s.signal === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
+                        {s.signal === "LONG" ? "🟢" : "🔴"} {s.signal}
+                      </span>
+                      <span className="font-mono text-xs font-bold text-slate-800">{s.score}分</span>
+                    </>
+                  ) : <span className="text-[10px] text-slate-400">暂无信号</span>}
+                </div>
+                {ago !== null && <span className="text-[10px] text-slate-400">{ago < 60 ? `${ago}m前` : `${Math.round(ago/60)}h前`}</span>}
+              </div>
+              {fc && (
+                <div className="flex gap-1 mt-1 flex-wrap">
+                  <span className={`text-[9px] px-1 py-0.5 rounded ${gatePassed ? "bg-emerald-100 text-emerald-700" : "bg-red-100 text-red-600"}`}>
+                    {gatePassed ? "✅" : "❌"} {fc.gate_block || "Gate"}
+                  </span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-blue-50 text-blue-700">方向{fc.direction?.score ?? 0}/55</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-violet-50 text-violet-700">拥挤{fc.crowding?.score ?? 0}/25</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-emerald-50 text-emerald-700">环境{fc.environment?.score ?? 0}/15</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-slate-100 text-slate-600">辅助{fc.auxiliary?.score ?? 0}/5</span>
+                </div>
+              )}
+            </div>
+          );
+        })}
+      </div>
+    </div>
+  );
+}
+
+// ─── 控制面板 ────────────────────────────────────────────────────
+
+function ControlPanel() {
+  const [config, setConfig] = useState<any>(null);
+  const [saving, setSaving] = useState(false);
+  useEffect(() => {
+    (async () => { try { const r = await authFetch("/api/paper/config"); if (r.ok) setConfig(await r.json()); } catch {} })();
+  }, []);
+  const toggle = async () => {
+    setSaving(true);
+    try {
+      const r = await authFetch("/api/paper/config", { method: "POST", headers: { "Content-Type": "application/json" }, body: JSON.stringify({ enabled: !config.enabled }) });
+      if (r.ok) setConfig(await r.json().then((j: any) => j.config));
+    } catch {} finally { setSaving(false); }
+  };
+  if (!config) return null;
+  return (
+    <div className={`rounded-xl border-2 ${config.enabled ? "border-emerald-400 bg-emerald-50" : "border-slate-200 bg-white"} px-3 py-2 flex items-center justify-between`}>
+      <div className="flex items-center gap-3">
+        <button onClick={toggle} disabled={saving}
+          className={`px-3 py-1.5 rounded-lg text-xs font-bold transition-all ${config.enabled ? "bg-red-500 text-white hover:bg-red-600" : "bg-emerald-500 text-white hover:bg-emerald-600"}`}>
+          {saving ? "..." : config.enabled ? "⏹ 停止" : "▶️ 启动"}
+        </button>
+        <span className={`text-xs font-medium ${config.enabled ? "text-emerald-700" : "text-slate-500"}`}>{config.enabled ? "🟢 运行中" : "⚪ 已停止"}</span>
+      </div>
+      <div className="flex gap-4 text-[10px] text-slate-500">
+        <span>初始: ${config.initial_balance?.toLocaleString()}</span>
+        <span>风险: {(config.risk_per_trade * 100).toFixed(0)}%</span>
+        <span>最大: {config.max_positions}仓</span>
+      </div>
+    </div>
+  );
+}
+
+// ─── 总览 ────────────────────────────────────────────────────────
+
+function SummaryCards() {
+  const [data, setData] = useState<any>(null);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/summary?strategy=${STRATEGY}`); if (r.ok) setData(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, []);
+  if (!data) return <div className="text-center text-slate-400 text-sm py-4">加载中...</div>;
+  return (
+    <div className="grid grid-cols-3 lg:grid-cols-6 gap-1.5">
+      {[
+        { label: "总盈亏(R)", value: `${data.total_pnl >= 0 ? "+" : ""}${data.total_pnl}R`, sub: `${data.total_pnl_usdt >= 0 ? "+" : ""}$${data.total_pnl_usdt}`, color: data.total_pnl >= 0 ? "text-emerald-600" : "text-red-500" },
+        { label: "胜率", value: `${data.win_rate}%`, sub: `共${data.total_trades}笔`, color: "text-slate-800" },
+        { label: "持仓中", value: data.active_positions, sub: "活跃仓位", color: "text-blue-600" },
+        { label: "盈亏比", value: data.profit_factor, sub: "PF", color: "text-slate-800" },
+        { label: "当前资金", value: `$${data.balance?.toLocaleString()}`, sub: "虚拟余额", color: data.balance >= 10000 ? "text-emerald-600" : "text-red-500" },
+        { label: "状态", value: data.start_time ? "运行中 ✅" : "等待首笔", sub: "accumulating", color: "text-slate-600" },
+      ].map(({ label, value, sub, color }) => (
+        <div key={label} className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">{label}</p>
+          <p className={`font-mono font-bold text-base ${color}`}>{value}</p>
+          <p className="text-[10px] text-slate-400">{sub}</p>
+        </div>
+      ))}
+    </div>
+  );
+}
+
+// ─── 当前持仓 ────────────────────────────────────────────────────
+
+function ActivePositions() {
+  const [positions, setPositions] = useState<any[]>([]);
+  const [wsPrices, setWsPrices] = useState<Record<string, number>>({});
+  const [paperRiskUsd, setPaperRiskUsd] = useState(200);
+  useEffect(() => {
+    (async () => { try { const r = await authFetch("/api/paper/config"); if (r.ok) { const cfg = await r.json(); setPaperRiskUsd((cfg.initial_balance||10000)*(cfg.risk_per_trade||0.02)); } } catch {} })();
+  }, []);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/positions?strategy=${STRATEGY}`); if (r.ok) setPositions((await r.json()).data||[]); } catch {} };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, []);
+  useEffect(() => {
+    const streams = ["btcusdt","ethusdt","xrpusdt","solusdt"].map(s=>`${s}@aggTrade`).join("/");
+    const ws = new WebSocket(`wss://fstream.binance.com/stream?streams=${streams}`);
+    ws.onmessage = (e) => { try { const msg=JSON.parse(e.data); if(msg.data){const sym=msg.data.s;const price=parseFloat(msg.data.p);if(sym&&price>0)setWsPrices(prev=>({...prev,[sym]:price}));} } catch {} };
+    return () => ws.close();
+  }, []);
+  if (positions.length === 0) return <div className="rounded-xl border border-slate-200 bg-white px-3 py-4 text-center text-slate-400 text-sm">v53 暂无活跃持仓</div>;
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">当前持仓 <span className="text-[10px] text-emerald-500 font-normal">● 实时</span></h3></div>
+      <div className="divide-y divide-slate-100">
+        {positions.map((p: any) => {
+          const sym = p.symbol?.replace("USDT","") || "";
+          const holdMin = Math.round((Date.now()-p.entry_ts)/60000);
+          const currentPrice = wsPrices[p.symbol]||p.current_price||0;
+          const entry = p.entry_price||0;
+          const riskDist = p.risk_distance||Math.abs(entry-(p.sl_price||entry))||1;
+          const tp1R = riskDist>0?(p.direction==="LONG"?((p.tp1_price||0)-entry)/riskDist:(entry-(p.tp1_price||0))/riskDist):0;
+          const fullR = riskDist>0?(p.direction==="LONG"?(currentPrice-entry)/riskDist:(entry-currentPrice)/riskDist):0;
+          const unrealR = p.tp1_hit?0.5*tp1R+0.5*fullR:fullR;
+          const unrealUsdt = unrealR*paperRiskUsd;
+          const fc = parseFactors(p.score_factors);
+          const track = fc?.track||(p.symbol==="BTCUSDT"?"BTC":"ALT");
+          return (
+            <div key={p.id} className="px-3 py-2 bg-emerald-50/60">
+              <div className="flex items-center justify-between gap-2">
+                <div className="flex items-center gap-2 flex-wrap">
+                  <span className={`text-xs font-bold ${p.direction==="LONG"?"text-emerald-600":"text-red-500"}`}>{p.direction==="LONG"?"🟢":"🔴"} {sym} {p.direction}</span>
+                  <span className={`px-1.5 py-0.5 rounded text-[10px] font-semibold ${track==="BTC"?"bg-amber-100 text-amber-700":"bg-purple-100 text-purple-700"}`}>{track}</span>
+                  <span className="text-[10px] text-slate-500">评分{p.score}</span>
+                </div>
+                <div className="flex items-center gap-2">
+                  <span className={`font-mono text-sm font-bold ${unrealR>=0?"text-emerald-600":"text-red-500"}`}>{unrealR>=0?"+":""}{unrealR.toFixed(2)}R</span>
+                  <span className="text-[10px] text-slate-400">{holdMin}m</span>
+                </div>
+              </div>
+              <div className="flex gap-3 mt-1 text-[10px] font-mono text-slate-600 flex-wrap">
+                <span>入: ${fmtPrice(p.entry_price)}</span>
+                <span className="text-blue-600">现: ${currentPrice?fmtPrice(currentPrice):"-"}</span>
+                <span className="text-emerald-600">TP1: ${fmtPrice(p.tp1_price)}{p.tp1_hit?" ✅":""}</span>
+                <span className="text-emerald-600">TP2: ${fmtPrice(p.tp2_price)}</span>
+                <span className="text-red-500">SL: ${fmtPrice(p.sl_price)}</span>
+              </div>
+              <div className="mt-1 text-[9px] text-slate-400">
+                入场时间: {p.entry_ts ? new Date(p.entry_ts).toLocaleString("zh-CN", {hour12:false, month:"2-digit", day:"2-digit", hour:"2-digit", minute:"2-digit", second:"2-digit"} as any) : "-"}
+              </div>
+            </div>
+          );
+        })}
+      </div>
+    </div>
+  );
+}
+
+// ─── 权益曲线 ────────────────────────────────────────────────────
+
+function EquityCurve() {
+  const [data, setData] = useState<any[]>([]);
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/equity-curve?strategy=${STRATEGY}`); if (r.ok) setData((await r.json()).data||[]); } catch {} };
+    f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
+  }, []);
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">权益曲线</h3></div>
+      {data.length < 2 ? <div className="px-3 py-6 text-center text-xs text-slate-400">数据积累中...</div> : (
+        <div className="p-2" style={{ height: 200 }}>
+          <ResponsiveContainer width="100%" height="100%">
+            <AreaChart data={data}>
+              <XAxis dataKey="ts" tickFormatter={(v) => bjt(v)} tick={{ fontSize: 10 }} />
+              <YAxis tick={{ fontSize: 10 }} tickFormatter={(v) => `${v}R`} />
+              <Tooltip labelFormatter={(v) => bjt(Number(v))} formatter={(v: any) => [`${v}R`, "累计PnL"]} />
+              <ReferenceLine y={0} stroke="#94a3b8" strokeDasharray="3 3" />
+              <Area type="monotone" dataKey="pnl" stroke="#10b981" fill="#d1fae5" strokeWidth={2} />
+            </AreaChart>
+          </ResponsiveContainer>
+        </div>
+      )}
+    </div>
+  );
+}
+
+// ─── 历史交易 ────────────────────────────────────────────────────
+
+type FilterSymbol = "all" | "BTC" | "ETH" | "XRP" | "SOL";
+type FilterResult = "all" | "win" | "loss";
+
+function TradeHistory() {
+  const [trades, setTrades] = useState<any[]>([]);
+  const [symbol, setSymbol] = useState<FilterSymbol>("all");
+  const [result, setResult] = useState<FilterResult>("all");
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/trades?symbol=${symbol}&result=${result}&strategy=${STRATEGY}&limit=50`); if (r.ok) setTrades((await r.json()).data||[]); } catch {} };
+    f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
+  }, [symbol, result]);
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+        <h3 className="font-semibold text-slate-800 text-xs">历史交易</h3>
+        <div className="flex items-center gap-1 flex-wrap">
+          {(["all","BTC","ETH","XRP","SOL"] as FilterSymbol[]).map(s => (
+            <button key={s} onClick={() => setSymbol(s)} className={`px-2 py-0.5 rounded text-[10px] ${symbol===s?"bg-slate-800 text-white":"text-slate-500 hover:bg-slate-100"}`}>{s==="all"?"全部":s}</button>
+          ))}
+          <span className="text-slate-300">|</span>
+          {(["all","win","loss"] as FilterResult[]).map(r => (
+            <button key={r} onClick={() => setResult(r)} className={`px-2 py-0.5 rounded text-[10px] ${result===r?"bg-slate-800 text-white":"text-slate-500 hover:bg-slate-100"}`}>{r==="all"?"全部":r==="win"?"盈利":"亏损"}</button>
+          ))}
+        </div>
+      </div>
+      <div className="max-h-64 overflow-y-auto">
+        {trades.length === 0 ? <div className="text-center text-slate-400 text-sm py-6">暂无交易记录</div> : (
+          <table className="w-full text-[11px]">
+            <thead className="bg-slate-50 sticky top-0">
+              <tr className="text-slate-500">
+                <th className="px-2 py-1.5 text-left font-medium">币种</th>
+                <th className="px-2 py-1.5 text-left font-medium">方向</th>
+                <th className="px-2 py-1.5 text-right font-medium">入场价</th>
+                <th className="px-2 py-1.5 text-right font-medium">出场价</th>
+                <th className="px-2 py-1.5 text-right font-medium">PnL(R)</th>
+                <th className="px-2 py-1.5 text-center font-medium">状态</th>
+                <th className="px-2 py-1.5 text-right font-medium">分数</th>
+                <th className="px-2 py-1.5 text-right font-medium">入场时间</th>
+                <th className="px-2 py-1.5 text-right font-medium">出场时间</th>
+                <th className="px-2 py-1.5 text-right font-medium">持仓</th>
+              </tr>
+            </thead>
+            <tbody className="divide-y divide-slate-50">
+              {trades.map((t: any) => {
+                const holdMin = t.exit_ts&&t.entry_ts?Math.round((t.exit_ts-t.entry_ts)/60000):0;
+                const fc = parseFactors(t.score_factors);
+                const track = fc?.track||(t.symbol==="BTCUSDT"?"BTC":"ALT");
+                const fmtTime = (ms: number) => ms ? new Date(ms).toLocaleString("zh-CN", {hour12:false, month:"2-digit", day:"2-digit", hour:"2-digit", minute:"2-digit"} as any) : "-";
+                return (
+                  <tr key={t.id} className="hover:bg-slate-50">
+                    <td className="px-2 py-1.5 font-mono">{t.symbol?.replace("USDT","")}<span className={`ml-1 text-[9px] px-1 rounded ${track==="BTC"?"bg-amber-100 text-amber-700":"bg-purple-100 text-purple-700"}`}>{track}</span></td>
+                    <td className={`px-2 py-1.5 font-bold ${t.direction==="LONG"?"text-emerald-600":"text-red-500"}`}>{t.direction==="LONG"?"🟢":"🔴"} {t.direction}</td>
+                    <td className="px-2 py-1.5 text-right font-mono">{fmtPrice(t.entry_price)}</td>
+                    <td className="px-2 py-1.5 text-right font-mono">{t.exit_price?fmtPrice(t.exit_price):"-"}</td>
+                    <td className={`px-2 py-1.5 text-right font-mono font-bold ${t.pnl_r>0?"text-emerald-600":t.pnl_r<0?"text-red-500":"text-slate-500"}`}>{t.pnl_r>0?"+":""}{t.pnl_r?.toFixed(2)}</td>
+                    <td className="px-2 py-1.5 text-center"><span className={`px-1 py-0.5 rounded text-[9px] ${t.status==="tp"?"bg-emerald-100 text-emerald-700":t.status==="sl"?"bg-red-100 text-red-700":t.status==="sl_be"?"bg-amber-100 text-amber-700":t.status==="signal_flip"?"bg-purple-100 text-purple-700":"bg-slate-100 text-slate-600"}`}>{t.status==="tp"?"止盈":t.status==="sl"?"止损":t.status==="sl_be"?"保本":t.status==="timeout"?"超时":t.status==="signal_flip"?"翻转":t.status}</span></td>
+                    <td className="px-2 py-1.5 text-right font-mono">{t.score}</td>
+                    <td className="px-2 py-1.5 text-right text-slate-400 whitespace-nowrap">{fmtTime(t.entry_ts)}</td>
+                    <td className="px-2 py-1.5 text-right text-slate-400 whitespace-nowrap">{fmtTime(t.exit_ts)}</td>
+                    <td className="px-2 py-1.5 text-right text-slate-400">{holdMin}m</td>
+                  </tr>
+                );
+              })}
+            </tbody>
+          </table>
+        )}
+      </div>
+    </div>
+  );
+}
+
+// ─── 统计面板 ────────────────────────────────────────────────────
+
+function StatsPanel() {
+  const [data, setData] = useState<any>(null);
+  const [tab, setTab] = useState("ALL");
+  useEffect(() => {
+    const f = async () => { try { const r = await authFetch(`/api/paper/stats?strategy=${STRATEGY}`); if (r.ok) setData(await r.json()); } catch {} };
+    f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
+  }, []);
+  if (!data || data.error) return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100"><h3 className="font-semibold text-slate-800 text-xs">详细统计</h3></div>
+      <div className="p-3 text-xs text-slate-400">等待交易记录积累...</div>
+    </div>
+  );
+  const coinTabs = ["ALL","BTC","ETH","XRP","SOL"];
+  const st = tab==="ALL"?data:(data.by_symbol?.[tab]||null);
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+        <h3 className="font-semibold text-slate-800 text-xs">详细统计</h3>
+        <div className="flex items-center gap-1">
+          {coinTabs.map(t => (
+            <button key={t} onClick={() => setTab(t)} className={`px-2 py-0.5 rounded text-[10px] font-medium transition-colors ${tab===t?"bg-slate-800 text-white":"bg-slate-100 text-slate-500 hover:bg-slate-200"}`}>{t==="ALL"?"总计":t}</button>
+          ))}
+        </div>
+      </div>
+      {st ? (
+        <div className="p-3">
+          <div className="grid grid-cols-2 lg:grid-cols-4 gap-2 text-xs">
+            <div><span className="text-slate-400">胜率</span><p className="font-mono font-bold">{st.win_rate}%</p></div>
+            <div><span className="text-slate-400">盈亏比</span><p className="font-mono font-bold">{st.win_loss_ratio}</p></div>
+            <div><span className="text-slate-400">平均盈利</span><p className="font-mono font-bold text-emerald-600">+{st.avg_win}R</p></div>
+            <div><span className="text-slate-400">平均亏损</span><p className="font-mono font-bold text-red-500">-{st.avg_loss}R</p></div>
+            <div><span className="text-slate-400">最大回撤</span><p className="font-mono font-bold">{st.mdd}R</p></div>
+            <div><span className="text-slate-400">夏普比率</span><p className="font-mono font-bold">{st.sharpe}</p></div>
+            <div><span className="text-slate-400">总盈亏</span><p className={`font-mono font-bold ${(st.total_pnl??0)>=0?"text-emerald-600":"text-red-500"}`}>{(st.total_pnl??0)>=0?"+":""}{st.total_pnl??"-"}R</p></div>
+            <div><span className="text-slate-400">总笔数</span><p className="font-mono font-bold">{st.total??data.total}</p></div>
+            <div><span className="text-slate-400">做多胜率</span><p className="font-mono">{st.long_win_rate}% ({st.long_count}笔)</p></div>
+            <div><span className="text-slate-400">做空胜率</span><p className="font-mono">{st.short_win_rate}% ({st.short_count}笔)</p></div>
+          </div>
+        </div>
+      ) : <div className="p-3 text-xs text-slate-400">该币种暂无数据</div>}
+    </div>
+  );
+}
+
+// ─── 主页面 ──────────────────────────────────────────────────────
+
+export default function PaperTradingV53Page() {
+  const { isLoggedIn, loading } = useAuth();
+  if (loading) return <div className="text-center text-slate-400 py-8">加载中...</div>;
+  if (!isLoggedIn) return (
+    <div className="flex flex-col items-center justify-center h-64 gap-4">
+      <div className="text-5xl">🔒</div>
+      <p className="text-slate-600 font-medium">请先登录查看模拟盘</p>
+      <Link href="/login" className="bg-blue-600 text-white px-4 py-2 rounded-lg text-sm">登录</Link>
+    </div>
+  );
+  return (
+    <div className="space-y-3">
+      {/* Fast 实验版标识条 */}
+      <div className="rounded-lg bg-gradient-to-r from-orange-500 to-amber-400 px-3 py-1.5 flex items-center justify-between">
+        <span className="text-white text-xs font-bold">🚀 V5.3 Middle — 实验变体 A/B对照</span>
+        <div className="flex gap-2 text-white text-[10px] font-medium">
+          <span className="bg-white/20 px-2 py-0.5 rounded">CVD 5m/30m</span>
+          <span className="bg-white/20 px-2 py-0.5 rounded">OBI+加分</span>
+          <span className="bg-white/20 px-2 py-0.5 rounded">accel独立触发</span>
+        </div>
+      </div>
+      <div>
+        <h1 className="text-lg font-bold text-slate-900">🚀 模拟盘 V5.3 Middle</h1>
+        <p className="text-[10px] text-slate-500">实验变体 v53_middle · BTC/ETH/XRP/SOL · CVD 5m/30m · OBI正向加分 · 与 V5.3 同起点对照</p>
+      </div>
+      <ControlPanel />
+      <SummaryCards />
+      <LatestSignals />
+      <ActivePositions />
+      <EquityCurve />
+      <TradeHistory />
+      <StatsPanel />
+    </div>
+  );
+}

frontend/app/paper/page.tsx

@@ -2,7 +2,7 @@
 import { useState, useEffect } from "react";
 import Link from "next/link";
 import { authFetch, useAuth } from "@/lib/auth";
-import { LineChart, Line, XAxis, YAxis, Tooltip, ResponsiveContainer, ReferenceLine, Area, AreaChart } from "recharts";
+import { XAxis, YAxis, Tooltip, ResponsiveContainer, ReferenceLine, Area, AreaChart } from "recharts";
 
 // ─── 工具函数 ────────────────────────────────────────────────────
 
@@ -15,6 +15,8 @@ function fmtPrice(p: number) {
   return p < 100 ? p.toFixed(4) : p.toLocaleString("en-US", { minimumFractionDigits: 1, maximumFractionDigits: 1 });
 }
 
+const PAPER_STRATEGY = "v51_baseline";
+
 // ─── 控制面板（开关+配置）──────────────────────────────────────
 
 function ControlPanel() {
@@ -69,7 +71,7 @@ function ControlPanel() {
 function SummaryCards() {
   const [data, setData] = useState<any>(null);
   useEffect(() => {
-    const f = async () => { try { const r = await authFetch("/api/paper/summary"); if (r.ok) setData(await r.json()); } catch {} };
+    const f = async () => { try { const r = await authFetch(`/api/paper/summary?strategy=${PAPER_STRATEGY}`); if (r.ok) setData(await r.json()); } catch {} };
     f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
   }, []);
   if (!data) return <div className="text-center text-slate-400 text-sm py-4">加载中...</div>;
@@ -118,7 +120,7 @@ function LatestSignals() {
     const f = async () => {
       for (const sym of COINS) {
         try {
-          const r = await authFetch(`/api/signals/signal-history?symbol=${sym.replace("USDT","")}&limit=1`);
+          const r = await authFetch(`/api/signals/signal-history?symbol=${sym.replace("USDT","")}&limit=1&strategy=v51_baseline`);
           if (r.ok) {
             const j = await r.json();
             if (j.data && j.data.length > 0) {
@@ -141,8 +143,10 @@ function LatestSignals() {
           const s = signals[sym];
           const coin = sym.replace("USDT", "");
           const ago = s?.ts ? Math.round((Date.now() - s.ts) / 60000) : null;
+          const fc = s?.factors;
           return (
-            <div key={sym} className="px-3 py-1.5 flex items-center justify-between">
+            <div key={sym} className="px-3 py-2">
+              <div className="flex items-center justify-between">
                 <div className="flex items-center gap-2">
                   <span className="font-mono text-xs font-bold text-slate-700 w-8">{coin}</span>
                   {s?.signal ? (
@@ -150,14 +154,25 @@ function LatestSignals() {
                       <span className={`text-xs font-bold ${s.signal === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
                         {s.signal === "LONG" ? "🟢" : "🔴"} {s.signal}
                       </span>
-                    <span className="font-mono text-[10px] text-slate-500">{s.score}分</span>
+                      <span className="font-mono text-xs font-bold text-slate-800">{s.score}分</span>
+                      <span className="text-[9px] px-1.5 py-0.5 rounded bg-emerald-50 text-emerald-700 font-medium">{s.score >= 85 ? "加仓" : "标准"}</span>
                     </>
                   ) : (
-                  <span className="text-[10px] text-slate-400">⚪ 无信号</span>
+                    <span className="text-[10px] text-slate-400">暂无信号</span>
                   )}
                 </div>
                 {ago !== null && <span className="text-[10px] text-slate-400">{ago < 60 ? `${ago}m前` : `${Math.round(ago/60)}h前`}</span>}
               </div>
+              {fc && (
+                <div className="flex gap-1 mt-1 flex-wrap">
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-blue-50 text-blue-700">方向{fc.direction?.score ?? 0}/{fc.direction?.max ?? 45}</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-violet-50 text-violet-700">拥挤{fc.crowding?.score ?? 0}/{fc.crowding?.max ?? 20}</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-emerald-50 text-emerald-700">环境{fc.environment?.score ?? 0}/{fc.environment?.max ?? 15}</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-amber-50 text-amber-700">确认{fc.confirmation?.score ?? 0}/{fc.confirmation?.max ?? 15}</span>
+                  <span className="text-[9px] px-1 py-0.5 rounded bg-slate-100 text-slate-600">辅助{fc.auxiliary?.score ?? 0}/{fc.auxiliary?.max ?? 5}</span>
+                </div>
+              )}
+            </div>
           );
         })}
       </div>
@@ -168,12 +183,18 @@ function LatestSignals() {
 // ─── 当前持仓 ────────────────────────────────────────────────────
 
 function ActivePositions() {
+  const [paperRiskUsd, setPaperRiskUsd] = useState(200);
+  useEffect(() => {
+    (async () => {
+      try { const r = await authFetch("/api/paper/config"); if (r.ok) { const cfg = await r.json(); setPaperRiskUsd((cfg.initial_balance || 10000) * (cfg.risk_per_trade || 0.02)); } } catch {}
+    })();
+  }, []);
   const [positions, setPositions] = useState<any[]>([]);
   const [wsPrices, setWsPrices] = useState<Record<string, number>>({});
 
   // 从API获取持仓列表（10秒刷新）
   useEffect(() => {
-    const f = async () => { try { const r = await authFetch("/api/paper/positions"); if (r.ok) { const j = await r.json(); setPositions(j.data || []); } } catch {} };
+    const f = async () => { try { const r = await authFetch(`/api/paper/positions?strategy=${PAPER_STRATEGY}`); if (r.ok) { const j = await r.json(); setPositions(j.data || []); } } catch {} };
     f(); const iv = setInterval(f, 10000); return () => clearInterval(iv);
   }, []);
 
@@ -211,10 +232,12 @@ function ActivePositions() {
           const holdMin = Math.round((Date.now() - p.entry_ts) / 60000);
           const currentPrice = wsPrices[p.symbol] || p.current_price || 0;
           const entry = p.entry_price || 0;
-          const atr = p.atr_at_entry || 1;
-          const riskDist = 2.0 * 0.7 * atr;
-          const unrealR = riskDist > 0 ? (p.direction === "LONG" ? (currentPrice - entry) / riskDist : (entry - currentPrice) / riskDist) : 0;
-          const unrealUsdt = unrealR * 200;
+          const riskDist = p.risk_distance || Math.abs(entry - (p.sl_price || entry)) || 1;
+          // TP1触发后只剩半仓：0.5×TP1锁定 + 0.5×当前浮盈
+          const fullR = riskDist > 0 ? (p.direction === "LONG" ? (currentPrice - entry) / riskDist : (entry - currentPrice) / riskDist) : 0;
+          const tp1R = riskDist > 0 ? (p.direction === "LONG" ? ((p.tp1_price || 0) - entry) / riskDist : (entry - (p.tp1_price || 0)) / riskDist) : 0;
+          const unrealR = p.tp1_hit ? 0.5 * tp1R + 0.5 * fullR : fullR;
+          const unrealUsdt = unrealR * paperRiskUsd;
           return (
             <div key={p.id} className="px-3 py-2">
               <div className="flex items-center justify-between">
@@ -234,8 +257,9 @@ function ActivePositions() {
                   <span className="text-[10px] text-slate-400">{holdMin}m</span>
                 </div>
               </div>
-              <div className="flex gap-3 mt-1 text-[10px] font-mono text-slate-600">
+              <div className="flex gap-3 mt-1 text-[10px] font-mono text-slate-600 flex-wrap">
                 <span>入场: ${fmtPrice(p.entry_price)}</span>
+                <span className="text-slate-400">{new Date(p.entry_ts).toLocaleString("zh-CN", {hour12:false, year:undefined, month:"2-digit", day:"2-digit", hour:"2-digit", minute:"2-digit", second:"2-digit", fractionalSecondDigits:3} as any)}</span>
                 <span className="text-blue-600">现价: ${currentPrice ? fmtPrice(currentPrice) : "-"}</span>
                 <span className="text-emerald-600">TP1: ${fmtPrice(p.tp1_price)}{p.tp1_hit ? " ✅" : ""}</span>
                 <span className="text-emerald-600">TP2: ${fmtPrice(p.tp2_price)}</span>
@@ -254,7 +278,7 @@ function ActivePositions() {
 function EquityCurve() {
   const [data, setData] = useState<any[]>([]);
   useEffect(() => {
-    const f = async () => { try { const r = await authFetch("/api/paper/equity-curve"); if (r.ok) { const j = await r.json(); setData(j.data || []); } } catch {} };
+    const f = async () => { try { const r = await authFetch(`/api/paper/equity-curve?strategy=${PAPER_STRATEGY}`); if (r.ok) { const j = await r.json(); setData(j.data || []); } } catch {} };
     f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
   }, []);
 
@@ -293,7 +317,7 @@ function TradeHistory() {
   useEffect(() => {
     const f = async () => {
       try {
-        const r = await authFetch(`/api/paper/trades?symbol=${symbol}&result=${result}&limit=50`);
+        const r = await authFetch(`/api/paper/trades?symbol=${symbol}&result=${result}&strategy=${PAPER_STRATEGY}&limit=50`);
         if (r.ok) { const j = await r.json(); setTrades(j.data || []); }
       } catch {}
     };
@@ -381,7 +405,7 @@ function StatsPanel() {
   const [data, setData] = useState<any>(null);
   const [tab, setTab] = useState("ALL");
   useEffect(() => {
-    const f = async () => { try { const r = await authFetch("/api/paper/stats"); if (r.ok) setData(await r.json()); } catch {} };
+    const f = async () => { try { const r = await authFetch(`/api/paper/stats?strategy=${PAPER_STRATEGY}`); if (r.ok) setData(await r.json()); } catch {} };
     f(); const iv = setInterval(f, 30000); return () => clearInterval(iv);
   }, []);
 
@@ -443,8 +467,8 @@ export default function PaperTradingPage() {
   return (
     <div className="space-y-3">
       <div>
-        <h1 className="text-lg font-bold text-slate-900">📊 模拟盘</h1>
-        <p className="text-[10px] text-slate-500">V5.1信号引擎自动交易 · 实时追踪 · 数据驱动优化</p>
+        <h1 className="text-lg font-bold text-slate-900">📈 V5.1 模拟盘</h1>
+        <p className="text-[10px] text-slate-500">仅展示 v51_baseline · V5.1信号引擎自动交易 · 实时追踪</p>
       </div>
 
       <ControlPanel />

frontend/app/signals-v52/page.tsx

@@ -0,0 +1,527 @@
+"use client";
+
+import { useEffect, useState, useCallback } from "react";
+import { authFetch } from "@/lib/auth";
+import { useAuth } from "@/lib/auth";
+import Link from "next/link";
+import {
+  ComposedChart, Area, Line, XAxis, YAxis, Tooltip, ResponsiveContainer,
+  ReferenceLine, CartesianGrid, Legend
+} from "recharts";
+
+type Symbol = "BTC" | "ETH" | "XRP" | "SOL";
+
+interface IndicatorRow {
+  ts: number;
+  cvd_fast: number;
+  cvd_mid: number;
+  cvd_day: number;
+  atr_5m: number;
+  vwap_30m: number;
+  price: number;
+  score: number;
+  signal: string | null;
+}
+
+interface LatestIndicator {
+  ts: number;
+  cvd_fast: number;
+  cvd_mid: number;
+  cvd_day: number;
+  cvd_fast_slope: number;
+  atr_5m: number;
+  atr_percentile: number;
+  vwap_30m: number;
+  price: number;
+  p95_qty: number;
+  p99_qty: number;
+  score: number;
+  signal: string | null;
+  tier?: "light" | "standard" | "heavy" | null;
+  factors?: {
+    direction?: { score?: number; max?: number };
+    crowding?: { score?: number; max?: number };
+    environment?: { score?: number; max?: number };
+    confirmation?: { score?: number; max?: number };
+    auxiliary?: { score?: number; max?: number };
+    funding_rate?: { score?: number; max?: number; value?: number };
+    liquidation?: { score?: number; max?: number; long_usd?: number; short_usd?: number };
+  } | null;
+}
+
+interface MarketIndicatorValue {
+  value: Record<string, unknown>;
+  ts: number;
+}
+
+interface MarketIndicatorSet {
+  long_short_ratio?: MarketIndicatorValue;
+  top_trader_position?: MarketIndicatorValue;
+  open_interest_hist?: MarketIndicatorValue;
+  coinbase_premium?: MarketIndicatorValue;
+}
+
+const WINDOWS = [
+  { label: "1h", value: 60 },
+  { label: "4h", value: 240 },
+  { label: "12h", value: 720 },
+  { label: "24h", value: 1440 },
+];
+
+function bjtStr(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}`;
+}
+
+function fmt(v: number, decimals = 1): string {
+  if (Math.abs(v) >= 1000000) return `${(v / 1000000).toFixed(1)}M`;
+  if (Math.abs(v) >= 1000) return `${(v / 1000).toFixed(1)}K`;
+  return v.toFixed(decimals);
+}
+
+function LayerScore({ label, score, max, colorClass }: { label: string; score: number; max: number; colorClass: string }) {
+  const ratio = Math.max(0, Math.min((score / max) * 100, 100));
+  return (
+    <div className="flex items-center gap-2">
+      <span className="text-[10px] text-slate-500 w-6 shrink-0">{label}</span>
+      <div className="flex-1 h-1.5 rounded-full bg-slate-100 overflow-hidden">
+        <div className={`h-full ${colorClass}`} style={{ width: `${ratio}%` }} />
+      </div>
+      <span className="text-[10px] font-mono text-slate-600 w-8 text-right">{score}/{max}</span>
+    </div>
+  );
+}
+
+function MarketIndicatorsCards({ symbol }: { symbol: Symbol }) {
+  const [data, setData] = useState<MarketIndicatorSet | null>(null);
+
+  useEffect(() => {
+    const fetch = async () => {
+      try {
+        const res = await authFetch("/api/signals/market-indicators");
+        if (!res.ok) return;
+        const json = await res.json();
+        setData(json[symbol] || null);
+      } catch {}
+    };
+    fetch();
+    const iv = setInterval(fetch, 5000);
+    return () => clearInterval(iv);
+  }, [symbol]);
+
+  if (!data) return <div className="text-center text-slate-400 text-sm py-3">等待市场指标数据...</div>;
+
+  // value可能是JSON字符串或对象，统一解析
+  const parseVal = (v: unknown): Record<string, unknown> => {
+    if (!v) return {};
+    if (typeof v === "string") { try { return JSON.parse(v); } catch { return {}; } }
+    if (typeof v === "object") return v as Record<string, unknown>;
+    return {};
+  };
+
+  const lsVal = parseVal(data.long_short_ratio?.value);
+  const topVal = parseVal(data.top_trader_position?.value);
+  const oiVal = parseVal(data.open_interest_hist?.value);
+  const premVal = parseVal(data.coinbase_premium?.value);
+
+  const longPct = Number(lsVal?.longAccount ?? 0.5) * 100;
+  const shortPct = Number(lsVal?.shortAccount ?? 0.5) * 100;
+  const topLong = Number(topVal?.longAccount ?? 0.5) * 100;
+  const topShort = Number(topVal?.shortAccount ?? 0.5) * 100;
+  const oiValue = Number(oiVal?.sumOpenInterestValue ?? 0);
+  const oiDisplay = oiValue >= 1e9 ? `$${(oiValue / 1e9).toFixed(2)}B` : oiValue >= 1e6 ? `$${(oiValue / 1e6).toFixed(0)}M` : `$${oiValue.toFixed(0)}`;
+  const premium = Number(premVal?.premium_pct ?? 0);
+
+  return (
+    <div className="grid grid-cols-4 gap-1.5">
+      <div className="bg-slate-50 rounded-lg px-2 py-1.5">
+        <p className="text-[10px] text-slate-400">多空比</p>
+        <p className="text-xs font-mono text-slate-800">L:{longPct.toFixed(1)}% S:{shortPct.toFixed(1)}%</p>
+      </div>
+      <div className="bg-slate-50 rounded-lg px-2 py-1.5">
+        <p className="text-[10px] text-slate-400">大户持仓</p>
+        <p className="text-xs font-mono text-slate-800">多{topLong.toFixed(1)}% {topLong >= 55 ? "📈" : topLong <= 45 ? "📉" : "➖"}</p>
+      </div>
+      <div className="bg-slate-50 rounded-lg px-2 py-1.5">
+        <p className="text-[10px] text-slate-400">OI</p>
+        <p className="text-xs font-mono text-slate-800">{oiDisplay}</p>
+      </div>
+      <div className="bg-slate-50 rounded-lg px-2 py-1.5">
+        <p className="text-[10px] text-slate-400">CB Premium</p>
+        <p className={`text-xs font-mono ${premium >= 0 ? "text-emerald-600" : "text-red-500"}`}>{premium >= 0 ? "+" : ""}{premium.toFixed(4)}%</p>
+      </div>
+    </div>
+  );
+}
+
+// ─── 信号历史 ────────────────────────────────────────────────────
+
+interface SignalRecord {
+  ts: number;
+  score: number;
+  signal: string;
+}
+
+function bjtFull(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCMonth() + 1).padStart(2, "0")}-${String(d.getUTCDate()).padStart(2, "0")} ${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}:${String(d.getUTCSeconds()).padStart(2, "0")}`;
+}
+
+function SignalHistory({ symbol }: { symbol: Symbol }) {
+  const [data, setData] = useState<SignalRecord[]>([]);
+
+  useEffect(() => {
+    const fetchData = async () => {
+      try {
+        const res = await authFetch(`/api/signals/signal-history?symbol=${symbol}&limit=20&strategy=v52_8signals`);
+        if (!res.ok) return;
+        const json = await res.json();
+        setData(json.data || []);
+      } catch {}
+    };
+    fetchData();
+    const iv = setInterval(fetchData, 15000);
+    return () => clearInterval(iv);
+  }, [symbol]);
+
+  if (data.length === 0) return null;
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100">
+        <h3 className="font-semibold text-slate-800 text-xs">最近信号</h3>
+      </div>
+      <div className="divide-y divide-slate-100 max-h-48 overflow-y-auto">
+        {data.map((s, i) => (
+          <div key={i} className="px-3 py-1.5 flex items-center justify-between">
+            <div className="flex items-center gap-2">
+              <span className={`text-xs font-bold ${s.signal === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
+                {s.signal === "LONG" ? "🟢 LONG" : "🔴 SHORT"}
+              </span>
+              <span className="text-[10px] text-slate-400">{bjtFull(s.ts)}</span>
+            </div>
+            <div className="flex items-center gap-1.5">
+              <span className="font-mono text-xs text-slate-700">{s.score}</span>
+              <span className={`text-[10px] px-1 py-0.5 rounded ${
+                s.score >= 85 ? "bg-red-100 text-red-700" :
+                s.score >= 75 ? "bg-blue-100 text-blue-700" :
+                "bg-slate-100 text-slate-600"
+              }`}>
+                {s.score >= 85 ? "加仓" : s.score >= 75 ? "标准" : "不开仓"}
+              </span>
+            </div>
+          </div>
+        ))}
+      </div>
+    </div>
+  );
+}
+
+// ─── 实时指标卡片 ────────────────────────────────────────────────
+
+function IndicatorCards({ symbol }: { symbol: Symbol }) {
+  const [data, setData] = useState<LatestIndicator | null>(null);
+
+  useEffect(() => {
+    const fetch = async () => {
+      try {
+        const res = await authFetch("/api/signals/latest?strategy=v52_8signals");
+        if (!res.ok) return;
+        const json = await res.json();
+        setData(json[symbol] || null);
+      } catch {}
+    };
+    fetch();
+    const iv = setInterval(fetch, 5000);
+    return () => clearInterval(iv);
+  }, [symbol]);
+
+  if (!data) return <div className="text-center text-slate-400 text-sm py-4">等待指标数据...</div>;
+
+  const cvdMidDir = data.cvd_mid > 0 ? "多" : "空";
+  const priceVsVwap = data.price > data.vwap_30m ? "上方" : "下方";
+
+  return (
+    <div className="space-y-3">
+      {/* CVD三轨 - 紧凑一行 */}
+      <div className="grid grid-cols-3 gap-1.5">
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD_fast (30m)</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_fast >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {fmt(data.cvd_fast)}
+          </p>
+          <p className="text-[10px] text-slate-400">
+            斜率: <span className={data.cvd_fast_slope >= 0 ? "text-emerald-600" : "text-red-500"}>
+              {data.cvd_fast_slope >= 0 ? "↑" : "↓"}{fmt(Math.abs(data.cvd_fast_slope))}
+            </span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD_mid (4h)</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_mid >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {fmt(data.cvd_mid)}
+          </p>
+          <p className="text-[10px] text-slate-400">{cvdMidDir}头占优</p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD_day</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_day >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {fmt(data.cvd_day)}
+          </p>
+          <p className="text-[10px] text-slate-400">盘中基线</p>
+        </div>
+      </div>
+
+      {/* ATR + VWAP + 大单 - 4列紧凑 */}
+      <div className="grid grid-cols-4 gap-1.5">
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">ATR</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">${fmt(data.atr_5m, 2)}</p>
+          <p className="text-[10px]">
+            <span className={data.atr_percentile > 60 ? "text-amber-600 font-semibold" : "text-slate-400"}>
+              {data.atr_percentile.toFixed(0)}%{data.atr_percentile > 60 ? "🔥" : ""}
+            </span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">VWAP</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">${data.vwap_30m.toLocaleString("en-US", { maximumFractionDigits: 1 })}</p>
+          <p className="text-[10px]">
+            价格在<span className={data.price > data.vwap_30m ? "text-emerald-600" : "text-red-500"}>{priceVsVwap}</span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">P95</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">{data.p95_qty.toFixed(4)}</p>
+          <p className="text-[10px] text-slate-400">大单阈值</p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">P99</p>
+          <p className="font-mono font-semibold text-sm text-amber-600">{data.p99_qty.toFixed(4)}</p>
+          <p className="text-[10px] text-slate-400">超大单</p>
+        </div>
+      </div>
+
+      {/* 信号状态（V5.2）- 七层 */}
+      <div className={`rounded-xl border px-3 py-2.5 ${
+        data.signal === "LONG" ? "border-emerald-300 bg-emerald-50" :
+        data.signal === "SHORT" ? "border-red-300 bg-red-50" :
+        "border-slate-200 bg-slate-50"
+      }`}>
+        <div className="flex items-center justify-between">
+          <div>
+            <p className="text-[10px] text-slate-500">当前信号</p>
+            <p className={`font-bold text-base ${
+              data.signal === "LONG" ? "text-emerald-700" :
+              data.signal === "SHORT" ? "text-red-600" :
+              "text-slate-400"
+            }`}>
+              {data.signal === "LONG" ? "🟢 做多" : data.signal === "SHORT" ? "🔴 做空" : "⚪ 无信号"}
+            </p>
+          </div>
+          <div className="text-right">
+            <p className="font-mono font-bold text-lg text-slate-800">{data.score}/100</p>
+            <p className="text-[10px] text-slate-500">{data.tier === "heavy" ? "加仓" : data.tier === "standard" ? "标准" : "不开仓"}</p>
+          </div>
+        </div>
+        <div className="mt-2 space-y-1">
+          <LayerScore label="方向" score={data.factors?.direction?.score ?? 0} max={data.factors?.direction?.max ?? 40} colorClass="bg-blue-600" />
+          <LayerScore label="拥挤" score={data.factors?.crowding?.score ?? 0} max={data.factors?.crowding?.max ?? 18} colorClass="bg-violet-600" />
+          <LayerScore label="FR" score={data.factors?.funding_rate?.score ?? 0} max={data.factors?.funding_rate?.max ?? 5} colorClass="bg-cyan-600" />
+          <LayerScore label="环境" score={data.factors?.environment?.score ?? 0} max={data.factors?.environment?.max ?? 12} colorClass="bg-emerald-600" />
+          <LayerScore label="确认" score={data.factors?.confirmation?.score ?? 0} max={data.factors?.confirmation?.max ?? 15} colorClass="bg-amber-500" />
+          <LayerScore label="清算" score={data.factors?.liquidation?.score ?? 0} max={data.factors?.liquidation?.max ?? 5} colorClass="bg-orange-500" />
+          <LayerScore label="辅助" score={data.factors?.auxiliary?.score ?? 0} max={data.factors?.auxiliary?.max ?? 5} colorClass="bg-slate-500" />
+        </div>
+      </div>
+    </div>
+  );
+}
+
+// ─── CVD三轨图 ──────────────────────────────────────────────────
+
+function CVDChart({ symbol, minutes }: { symbol: Symbol; minutes: number }) {
+  const [data, setData] = useState<IndicatorRow[]>([]);
+  const [loading, setLoading] = useState(true);
+
+  const fetchData = useCallback(async (silent = false) => {
+    try {
+      const res = await authFetch(`/api/signals/indicators?symbol=${symbol}&minutes=${minutes}`);
+      if (!res.ok) return;
+      const json = await res.json();
+      setData(json.data || []);
+      if (!silent) setLoading(false);
+    } catch {}
+  }, [symbol, minutes]);
+
+  useEffect(() => {
+    setLoading(true);
+    fetchData();
+    const iv = setInterval(() => fetchData(true), 30000);
+    return () => clearInterval(iv);
+  }, [fetchData]);
+
+  const chartData = data.map(d => ({
+    time: bjtStr(d.ts),
+    fast: parseFloat(d.cvd_fast?.toFixed(2) || "0"),
+    mid: parseFloat(d.cvd_mid?.toFixed(2) || "0"),
+    price: d.price,
+  }));
+
+  // 价格轴自适应
+  const prices = chartData.map(d => d.price).filter(v => v > 0);
+  const pMin = prices.length ? Math.min(...prices) : 0;
+  const pMax = prices.length ? Math.max(...prices) : 0;
+  const pPad = (pMax - pMin) * 0.3 || pMax * 0.001;
+
+  if (loading) return <div className="flex items-center justify-center h-48 text-slate-400 text-sm">加载指标数据...</div>;
+  if (data.length === 0) return <div className="flex items-center justify-center h-48 text-slate-400 text-sm">暂无指标数据，signal-engine需运行积累</div>;
+
+  return (
+    <ResponsiveContainer width="100%" height={220}>
+      <ComposedChart data={chartData} margin={{ top: 4, right: 60, bottom: 0, left: 8 }}>
+        <CartesianGrid strokeDasharray="3 3" stroke="#f1f5f9" />
+        <XAxis dataKey="time" tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} interval="preserveStartEnd" />
+        <YAxis yAxisId="cvd" tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} axisLine={false} width={55} />
+        <YAxis yAxisId="price" orientation="right" tick={{ fill: "#f59e0b", fontSize: 10 }} tickLine={false} axisLine={false} width={65}
+          domain={[Math.floor(pMin - pPad), Math.ceil(pMax + pPad)]}
+          tickFormatter={(v: number) => v >= 1000 ? `$${(v / 1000).toFixed(1)}k` : `$${v.toFixed(0)}`}
+        />
+        <Tooltip
+          // eslint-disable-next-line @typescript-eslint/no-explicit-any
+          formatter={(v: any, name: any) => {
+            if (name === "price") return [`$${Number(v).toLocaleString()}`, "币价"];
+            if (name === "fast") return [fmt(Number(v)), "CVD_fast(30m)"];
+            return [fmt(Number(v)), "CVD_mid(4h)"];
+          }}
+          contentStyle={{ background: "#fff", border: "1px solid #e2e8f0", borderRadius: 8, fontSize: 11 }}
+        />
+        <Legend wrapperStyle={{ fontSize: 11 }} />
+        <ReferenceLine yAxisId="cvd" y={0} stroke="#94a3b8" strokeDasharray="4 2" />
+        <Area yAxisId="cvd" type="monotone" dataKey="fast" name="fast" stroke="#2563eb" fill="#eff6ff" strokeWidth={1.5} dot={false} connectNulls />
+        <Line yAxisId="cvd" type="monotone" dataKey="mid" name="mid" stroke="#7c3aed" strokeWidth={1.5} dot={false} connectNulls strokeDasharray="6 3" />
+        <Line yAxisId="price" type="monotone" dataKey="price" name="price" stroke="#f59e0b" strokeWidth={1.5} dot={false} connectNulls strokeDasharray="4 2" />
+      </ComposedChart>
+    </ResponsiveContainer>
+  );
+}
+
+// ─── 主页面 ──────────────────────────────────────────────────────
+
+export default function SignalsV52Page() {
+  const { isLoggedIn, loading } = useAuth();
+  const [symbol, setSymbol] = useState<Symbol>("BTC");
+  const [minutes, setMinutes] = useState(240);
+
+  if (loading) return <div className="flex items-center justify-center h-64 text-slate-400">加载中...</div>;
+  if (!isLoggedIn) return (
+    <div className="flex flex-col items-center justify-center h-64 gap-4">
+      <div className="text-5xl">🔒</div>
+      <p className="text-slate-600 font-medium">请先登录查看信号数据</p>
+      <div className="flex gap-2">
+        <Link href="/login" className="bg-blue-600 text-white px-4 py-2 rounded-lg text-sm">登录</Link>
+        <Link href="/register" className="border border-slate-300 text-slate-600 px-4 py-2 rounded-lg text-sm">注册</Link>
+      </div>
+    </div>
+  );
+
+  return (
+    <div className="space-y-3">
+      {/* 标题 */}
+      <div className="flex items-center justify-between flex-wrap gap-2">
+        <div>
+          <h1 className="text-lg font-bold text-slate-900">⚡ 信号引擎 V5.2</h1>
+          <p className="text-slate-500 text-[10px]">七层信号评分 · 包含 Funding Rate / Liquidation 维度</p>
+        </div>
+        <div className="flex gap-1">
+          {(["BTC", "ETH", "XRP", "SOL"] as Symbol[]).map(s => (
+            <button key={s} onClick={() => setSymbol(s)}
+              className={`px-3 py-1 rounded-lg border text-xs font-medium transition-colors ${symbol === s ? "bg-blue-600 text-white border-blue-600" : "border-slate-200 text-slate-600 hover:border-blue-400"}`}>
+              {s}
+            </button>
+          ))}
+        </div>
+      </div>
+
+      {/* 实时指标卡片 */}
+      <IndicatorCards symbol={symbol} />
+
+      {/* Market Indicators */}
+      <div className="rounded-xl border border-slate-200 bg-white px-3 py-2">
+        <h3 className="font-semibold text-slate-800 text-xs mb-1.5">Market Indicators</h3>
+        <MarketIndicatorsCards symbol={symbol} />
+      </div>
+
+      {/* 信号历史 */}
+      <SignalHistory symbol={symbol} />
+
+      {/* CVD三轨图 */}
+      <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+        <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+          <div>
+            <h3 className="font-semibold text-slate-800 text-xs">CVD三轨 + 币价</h3>
+            <p className="text-[10px] text-slate-400">蓝=fast(30m) · 紫=mid(4h) · 橙=价格</p>
+          </div>
+          <div className="flex gap-1">
+            {WINDOWS.map(w => (
+              <button key={w.value} onClick={() => setMinutes(w.value)}
+                className={`px-2 py-1 rounded border text-xs transition-colors ${minutes === w.value ? "bg-slate-800 text-white border-slate-800" : "border-slate-200 text-slate-500 hover:border-slate-400"}`}>
+                {w.label}
+              </button>
+            ))}
+          </div>
+        </div>
+        <div className="px-3 py-2">
+          <CVDChart symbol={symbol} minutes={minutes} />
+        </div>
+      </div>
+
+      {/* 说明 */}
+      <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+        <div className="px-3 py-2 border-b border-slate-100">
+          <h3 className="font-semibold text-slate-800 text-xs">📖 七层信号源说明（V5.2）</h3>
+        </div>
+        <div className="px-3 py-2 space-y-2 text-[11px] text-slate-600">
+          <div>
+            <span className="font-bold text-slate-800">1️⃣ 方向层（40分）</span>
+            <span className="text-slate-500"> — 钱往哪流？</span>
+            <p className="mt-0.5">CVD三轨（30m/4h资金流向）+ P99大单流（鲸鱼动向）+ 加速度奖励。两条CVD同向+大单配合 = 高分。</p>
+          </div>
+          <div>
+            <span className="font-bold text-slate-800">2️⃣ 拥挤层（20分）</span>
+            <span className="text-slate-500"> — 散户在干嘛？反着来</span>
+            <p className="mt-0.5">多空比（散户仓位）+ 大户持仓比。散户疯狂做多→做空加分，跟大户同向加分。</p>
+          </div>
+          <div>
+            <span className="font-bold text-slate-800">3️⃣ FR层（5分）</span>
+            <span className="text-slate-500"> — 费率拥挤是否极端？</span>
+            <p className="mt-0.5">Funding Rate偏离越极端，反向信号权重越高；用于过滤高拥挤下的追涨杀跌。</p>
+          </div>
+          <div>
+            <span className="font-bold text-slate-800">4️⃣ 环境层（15分）</span>
+            <span className="text-slate-500"> — 有没有新钱进场？</span>
+            <p className="mt-0.5">OI变化率（未平仓合约）。OI上涨=新资金进场=趋势延续；OI下降=资金撤离。</p>
+          </div>
+          <div>
+            <span className="font-bold text-slate-800">5️⃣ 确认层（15分）</span>
+            <span className="text-slate-500"> — 多周期共振吗？</span>
+            <p className="mt-0.5">CVD_fast(30m)和CVD_mid(4h)方向一致=高确信度满分15；方向矛盾=0分。</p>
+          </div>
+          <div>
+            <span className="font-bold text-slate-800">6️⃣ 清算层（5分）</span>
+            <span className="text-slate-500"> — 清算热点是否共振？</span>
+            <p className="mt-0.5">多空清算金额不对称时为反向提供弹性加权，帮助识别踩踏与挤空/挤多机会。</p>
+          </div>
+          <div>
+            <span className="font-bold text-slate-800">7️⃣ 辅助层（5分）</span>
+            <span className="text-slate-500"> — 美国机构在干嘛？</span>
+            <p className="mt-0.5">Coinbase Premium（CB vs 币安价差）。正溢价=机构买入=做多加分；负溢价=机构卖出。</p>
+          </div>
+          <div className="pt-1 border-t border-slate-100">
+            <span className="text-blue-600 font-medium">档位：</span>&lt;75不开仓 · 75-84标准 · ≥85加仓 · 冷却10分钟
+          </div>
+        </div>
+      </div>
+    </div>
+  );
+}

frontend/app/signals-v53/page.tsx

@@ -0,0 +1,565 @@
+"use client";
+
+import { useEffect, useState, useCallback } from "react";
+import { authFetch } from "@/lib/auth";
+import { useAuth } from "@/lib/auth";
+import Link from "next/link";
+import {
+  ComposedChart, Area, Line, XAxis, YAxis, Tooltip, ResponsiveContainer,
+  ReferenceLine, CartesianGrid, Legend
+} from "recharts";
+
+type Symbol = "BTC" | "ETH" | "XRP" | "SOL";
+
+interface IndicatorRow {
+  ts: number;
+  cvd_fast: number;
+  cvd_mid: number;
+  cvd_day: number;
+  atr_5m: number;
+  vwap_30m: number;
+  price: number;
+  score: number;
+  signal: string | null;
+}
+
+interface LatestIndicator {
+  ts: number;
+  cvd_fast: number;
+  cvd_mid: number;
+  cvd_day: number;
+  cvd_fast_slope: number;
+  atr_5m: number;
+  atr_percentile: number;
+  vwap_30m: number;
+  price: number;
+  p95_qty: number;
+  p99_qty: number;
+  score: number;
+  display_score?: number;   // v53_btc: alt_score_ref（参考分）
+  gate_passed?: boolean;    // v53_btc顶层字段
+  signal: string | null;
+  tier?: "light" | "standard" | "heavy" | null;
+  factors?: {
+    track?: string;
+    direction?: { score?: number; max?: number; cvd_resonance?: number; p99_flow?: number; accel_bonus?: number };
+    crowding?: { score?: number; max?: number; lsr_contrarian?: number; top_trader_position?: number };
+    environment?: { score?: number; max?: number };
+    auxiliary?: { score?: number; max?: number; coinbase_premium?: number };
+    // BTC gate fields
+    gate_passed?: boolean;
+    block_reason?: string;     // BTC用
+    gate_block?: string;       // ALT用
+    obi_raw?: number;
+    spot_perp_div?: number;
+    whale_cvd_ratio?: number;
+    atr_pct_price?: number;
+    alt_score_ref?: number;
+  } | null;
+}
+
+const WINDOWS = [
+  { label: "1h", value: 60 },
+  { label: "4h", value: 240 },
+  { label: "12h", value: 720 },
+  { label: "24h", value: 1440 },
+];
+
+function bjtStr(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}`;
+}
+
+function bjtFull(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCMonth() + 1).padStart(2, "0")}-${String(d.getUTCDate()).padStart(2, "0")} ${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}:${String(d.getUTCSeconds()).padStart(2, "0")}`;
+}
+
+function fmt(v: number, decimals = 1): string {
+  if (Math.abs(v) >= 1000000) return `${(v / 1000000).toFixed(1)}M`;
+  if (Math.abs(v) >= 1000) return `${(v / 1000).toFixed(1)}K`;
+  return v.toFixed(decimals);
+}
+
+function LayerScore({ label, score, max, colorClass }: { label: string; score: number; max: number; colorClass: string }) {
+  const ratio = Math.max(0, Math.min((score / max) * 100, 100));
+  return (
+    <div className="flex items-center gap-2">
+      <span className="text-[10px] text-slate-500 w-6 shrink-0">{label}</span>
+      <div className="flex-1 h-1.5 rounded-full bg-slate-100 overflow-hidden">
+        <div className={`h-full ${colorClass}`} style={{ width: `${ratio}%` }} />
+      </div>
+      <span className="text-[10px] font-mono text-slate-600 w-8 text-right">{score}/{max}</span>
+    </div>
+  );
+}
+
+// ─── ALT Gate 状态卡片 ──────────────────────────────────────────
+
+const ALT_GATE_THRESHOLDS: Record<string, { vol: string; obi: string; spd: string; whale: string }> = {
+  ETH: { vol: "0.3%", obi: "0.35", spd: "0.5%", whale: "$50k" },
+  XRP: { vol: "0.25%", obi: "0.40", spd: "0.6%", whale: "$30k" },
+  SOL: { vol: "0.4%", obi: "0.45", spd: "0.8%", whale: "$20k" },
+};
+
+function ALTGateCard({ symbol, factors }: { symbol: Symbol; factors: LatestIndicator["factors"] }) {
+  if (!factors || symbol === "BTC") return null;
+  const thresholds = ALT_GATE_THRESHOLDS[symbol] ?? ALT_GATE_THRESHOLDS["ETH"];
+  const passed = factors.gate_passed ?? true;
+  const blockReason = factors.gate_block;
+  return (
+    <div className={`rounded-xl border px-3 py-2 mt-2 ${passed ? "border-purple-200 bg-purple-50" : "border-red-200 bg-red-50"}`}>
+      <div className="flex items-center justify-between mb-1.5">
+        <p className="text-[10px] font-semibold text-purple-800">🔒 {symbol} Gate-Control</p>
+        <span className={`text-[10px] font-bold px-2 py-0.5 rounded ${passed ? "bg-emerald-100 text-emerald-700" : "bg-red-100 text-red-600"}`}>
+          {passed ? "✅ Gate通过" : "❌ 否决"}
+        </span>
+      </div>
+      <div className="grid grid-cols-4 gap-1.5">
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">波动率</p>
+          <p className="text-xs font-mono text-slate-800">{((factors.atr_pct_price ?? 0) * 100).toFixed(3)}%</p>
+          <p className="text-[9px] text-slate-400">需 ≥{thresholds.vol}</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">OBI</p>
+          <p className={`text-xs font-mono ${(factors.obi_raw ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.obi_raw ?? 0) * 100).toFixed(2)}%
+          </p>
+          <p className="text-[9px] text-slate-400">否决±{thresholds.obi}</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">期现背离</p>
+          <p className={`text-xs font-mono ${(factors.spot_perp_div ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.spot_perp_div ?? 0) * 10000).toFixed(2)}bps
+          </p>
+          <p className="text-[9px] text-slate-400">否决±{thresholds.spd}</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">鲸鱼阈值</p>
+          <p className="text-xs font-mono text-slate-800">{thresholds.whale}</p>
+          <p className="text-[9px] text-slate-400">大单门槛</p>
+        </div>
+      </div>
+      {blockReason && (
+        <p className="text-[10px] text-red-600 mt-1.5 bg-red-50 rounded px-2 py-1">
+          否决原因: <span className="font-mono">{blockReason}</span>
+        </p>
+      )}
+    </div>
+  );
+}
+
+// ─── BTC Gate 状态卡片 ───────────────────────────────────────────
+
+function BTCGateCard({ factors }: { factors: LatestIndicator["factors"] }) {
+  if (!factors) return null;
+  return (
+    <div className="rounded-xl border border-amber-200 bg-amber-50 px-3 py-2 mt-2">
+      <div className="flex items-center justify-between mb-1.5">
+        <p className="text-[10px] font-semibold text-amber-800">⚡ BTC Gate-Control</p>
+        <span className={`text-[10px] font-bold px-2 py-0.5 rounded ${factors.gate_passed ? "bg-emerald-100 text-emerald-700" : "bg-red-100 text-red-600"}`}>
+          {factors.gate_passed ? "✅ Gate通过" : "❌ 否决"}
+        </span>
+      </div>
+      <div className="grid grid-cols-4 gap-1.5">
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">波动率</p>
+          <p className="text-xs font-mono text-slate-800">{((factors.atr_pct_price ?? 0) * 100).toFixed(3)}%</p>
+          <p className="text-[9px] text-slate-400">需 ≥0.2%</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">OBI</p>
+          <p className={`text-xs font-mono ${(factors.obi_raw ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.obi_raw ?? 0) * 100).toFixed(2)}%
+          </p>
+          <p className="text-[9px] text-slate-400">盘口失衡</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">期现背离</p>
+          <p className={`text-xs font-mono ${(factors.spot_perp_div ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.spot_perp_div ?? 0) * 10000).toFixed(2)}bps
+          </p>
+          <p className="text-[9px] text-slate-400">spot-perp</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">巨鲸CVD</p>
+          <p className={`text-xs font-mono ${(factors.whale_cvd_ratio ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.whale_cvd_ratio ?? 0) * 100).toFixed(2)}%
+          </p>
+          <p className="text-[9px] text-slate-400">&gt;$100k</p>
+        </div>
+      </div>
+      {factors.block_reason && (
+        <p className="text-[10px] text-red-600 mt-1.5 bg-red-50 rounded px-2 py-1">
+          否决原因: <span className="font-mono">{factors.block_reason}</span>
+        </p>
+      )}
+    </div>
+  );
+}
+
+// ─── 实时指标卡片 ────────────────────────────────────────────────
+
+function IndicatorCards({ symbol }: { symbol: Symbol }) {
+  const [data, setData] = useState<LatestIndicator | null>(null);
+  const strategy = "v53";
+
+  useEffect(() => {
+    const fetch = async () => {
+      try {
+        const res = await authFetch(`/api/signals/latest?strategy=${strategy}`);
+        if (!res.ok) return;
+        const json = await res.json();
+        setData(json[symbol] || null);
+      } catch {}
+    };
+    fetch();
+    const iv = setInterval(fetch, 5000);
+    return () => clearInterval(iv);
+  }, [symbol, strategy]);
+
+  if (!data) return <div className="text-center text-slate-400 text-sm py-4">等待指标数据...</div>;
+
+  const isBTC = symbol === "BTC";
+  const priceVsVwap = data.price > data.vwap_30m ? "上方" : "下方";
+
+  return (
+    <div className="space-y-3">
+      {/* CVD三轨 */}
+      <div className="grid grid-cols-3 gap-1.5">
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD_fast (30m)</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_fast >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {fmt(data.cvd_fast)}
+          </p>
+          <p className="text-[10px] text-slate-400">
+            斜率: <span className={data.cvd_fast_slope >= 0 ? "text-emerald-600" : "text-red-500"}>
+              {data.cvd_fast_slope >= 0 ? "↑" : "↓"}{fmt(Math.abs(data.cvd_fast_slope))}
+            </span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD_mid (4h)</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_mid >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {fmt(data.cvd_mid)}
+          </p>
+          <p className="text-[10px] text-slate-400">{data.cvd_mid > 0 ? "多" : "空"}头占优</p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD共振</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_fast >= 0 && data.cvd_mid >= 0 ? "text-emerald-600" : data.cvd_fast < 0 && data.cvd_mid < 0 ? "text-red-500" : "text-slate-400"}`}>
+            {data.cvd_fast >= 0 && data.cvd_mid >= 0 ? "✅ 多头共振" : data.cvd_fast < 0 && data.cvd_mid < 0 ? "✅ 空头共振" : "⚠️ 分歧"}
+          </p>
+          <p className="text-[10px] text-slate-400">V5.3核心信号</p>
+        </div>
+      </div>
+
+      {/* ATR + VWAP */}
+      <div className="grid grid-cols-4 gap-1.5">
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">ATR</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">${fmt(data.atr_5m, 2)}</p>
+          <p className="text-[10px]">
+            <span className={data.atr_percentile > 60 ? "text-amber-600 font-semibold" : "text-slate-400"}>
+              {data.atr_percentile.toFixed(0)}%{data.atr_percentile > 60 ? "🔥" : ""}
+            </span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">VWAP</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">${data.vwap_30m.toLocaleString("en-US", { maximumFractionDigits: 1 })}</p>
+          <p className="text-[10px]">
+            价格在<span className={data.price > data.vwap_30m ? "text-emerald-600" : "text-red-500"}>{priceVsVwap}</span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">P95</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">{data.p95_qty.toFixed(4)}</p>
+          <p className="text-[10px] text-slate-400">大单阈值</p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">P99</p>
+          <p className="font-mono font-semibold text-sm text-amber-600">{data.p99_qty.toFixed(4)}</p>
+          <p className="text-[10px] text-slate-400">超大单</p>
+        </div>
+      </div>
+
+      {/* 信号状态 */}
+      <div className={`rounded-xl border px-3 py-2.5 ${
+        data.signal === "LONG" ? "border-emerald-300 bg-emerald-50" :
+        data.signal === "SHORT" ? "border-red-300 bg-red-50" :
+        "border-slate-200 bg-slate-50"
+      }`}>
+        <div className="flex items-center justify-between">
+          <div>
+            <p className="text-[10px] text-slate-500">
+              {isBTC ? "BTC Gate-Control" : "ALT 四层评分"}
+              {" · "}{"v53"}
+            </p>
+            <p className={`font-bold text-base ${
+              data.signal === "LONG" ? "text-emerald-700" :
+              data.signal === "SHORT" ? "text-red-600" :
+              "text-slate-400"
+            }`}>
+              {data.signal === "LONG" ? "🟢 做多" : data.signal === "SHORT" ? "🔴 做空" : "⚪ 无信号"}
+            </p>
+          </div>
+          <div className="text-right">
+            {isBTC ? (
+              <>
+                <p className="font-mono font-bold text-lg text-slate-800">
+                  {data.display_score ?? data.factors?.alt_score_ref ?? data.score}/100
+                  <span className="text-[10px] font-normal text-slate-400 ml-1">参考分</span>
+                </p>
+                <p className="text-[10px] text-slate-500">
+                  {(data.gate_passed ?? data.factors?.gate_passed) ? (data.tier === "standard" ? "标准" : "不开仓") : "Gate否决"}
+                </p>
+              </>
+            ) : (
+              <>
+                <p className="font-mono font-bold text-lg text-slate-800">{data.score}/100</p>
+                <p className="text-[10px] text-slate-500">{data.tier === "heavy" ? "加仓" : data.tier === "standard" ? "标准" : "不开仓"}</p>
+              </>
+            )}
+          </div>
+        </div>
+
+        {/* 四层分数 — ALT和BTC都显示 */}
+        <div className="mt-2 space-y-1">
+          <LayerScore label="方向" score={data.factors?.direction?.score ?? 0} max={55} colorClass="bg-blue-600" />
+          <LayerScore label="拥挤" score={data.factors?.crowding?.score ?? 0} max={25} colorClass="bg-violet-600" />
+          <LayerScore label="环境" score={data.factors?.environment?.score ?? 0} max={15} colorClass="bg-emerald-600" />
+          <LayerScore label="辅助" score={data.factors?.auxiliary?.score ?? 0} max={5} colorClass="bg-slate-500" />
+        </div>
+      </div>
+
+      {/* ALT Gate 卡片 */}
+      {!isBTC && data.factors && <ALTGateCard symbol={symbol} factors={data.factors} />}
+
+      {/* BTC Gate 卡片 */}
+      {isBTC && data.factors && <BTCGateCard factors={data.factors} />}
+    </div>
+  );
+}
+
+// ─── 信号历史 ────────────────────────────────────────────────────
+
+interface SignalRecord {
+  ts: number;
+  score: number;
+  signal: string;
+}
+
+function SignalHistory({ symbol }: { symbol: Symbol }) {
+  const [data, setData] = useState<SignalRecord[]>([]);
+  const strategy = "v53";
+
+  useEffect(() => {
+    const fetchData = async () => {
+      try {
+        const res = await authFetch(`/api/signals/signal-history?symbol=${symbol}&limit=20&strategy=${strategy}`);
+        if (!res.ok) return;
+        const json = await res.json();
+        setData(json.data || []);
+      } catch {}
+    };
+    fetchData();
+    const iv = setInterval(fetchData, 15000);
+    return () => clearInterval(iv);
+  }, [symbol, strategy]);
+
+  if (data.length === 0) return null;
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100">
+        <h3 className="font-semibold text-slate-800 text-xs">最近信号 ({strategy})</h3>
+      </div>
+      <div className="divide-y divide-slate-100 max-h-48 overflow-y-auto">
+        {data.map((s, i) => (
+          <div key={i} className="px-3 py-1.5 flex items-center justify-between">
+            <div className="flex items-center gap-2">
+              <span className={`text-xs font-bold ${s.signal === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
+                {s.signal === "LONG" ? "🟢 LONG" : "🔴 SHORT"}
+              </span>
+              <span className="text-[10px] text-slate-400">{bjtFull(s.ts)}</span>
+            </div>
+            <div className="flex items-center gap-1.5">
+              <span className="font-mono text-xs text-slate-700">{s.score}</span>
+              <span className={`text-[10px] px-1 py-0.5 rounded ${
+                s.score >= 85 ? "bg-red-100 text-red-700" :
+                s.score >= 75 ? "bg-blue-100 text-blue-700" :
+                "bg-slate-100 text-slate-600"
+              }`}>
+                {s.score >= 85 ? "加仓" : s.score >= 75 ? "标准" : "不开仓"}
+              </span>
+            </div>
+          </div>
+        ))}
+      </div>
+    </div>
+  );
+}
+
+// ─── CVD图表 ────────────────────────────────────────────────────
+
+function CVDChart({ symbol, minutes }: { symbol: Symbol; minutes: number }) {
+  const [data, setData] = useState<IndicatorRow[]>([]);
+  const [loading, setLoading] = useState(true);
+  const strategy = "v53";
+
+  const fetchData = useCallback(async (silent = false) => {
+    try {
+      const res = await authFetch(`/api/signals/indicators?symbol=${symbol}&minutes=${minutes}&strategy=${strategy}`);
+      if (!res.ok) return;
+      const json = await res.json();
+      setData(json.data || []);
+      if (!silent) setLoading(false);
+    } catch {}
+  }, [symbol, minutes, strategy]);
+
+  useEffect(() => {
+    setLoading(true);
+    fetchData();
+    const iv = setInterval(() => fetchData(true), 30000);
+    return () => clearInterval(iv);
+  }, [fetchData]);
+
+  const chartData = data.map(d => ({
+    time: bjtStr(d.ts),
+    fast: parseFloat(d.cvd_fast?.toFixed(2) || "0"),
+    mid: parseFloat(d.cvd_mid?.toFixed(2) || "0"),
+    price: d.price,
+  }));
+
+  const prices = chartData.map(d => d.price).filter(v => v > 0);
+  const pMin = prices.length ? Math.min(...prices) : 0;
+  const pMax = prices.length ? Math.max(...prices) : 0;
+  const pPad = (pMax - pMin) * 0.3 || pMax * 0.001;
+
+  if (loading) return <div className="flex items-center justify-center h-48 text-slate-400 text-sm">加载指标数据...</div>;
+  if (data.length === 0) return <div className="flex items-center justify-center h-48 text-slate-400 text-sm">暂无 V5.3 指标数据，signal-engine 需运行积累</div>;
+
+  return (
+    <ResponsiveContainer width="100%" height={220}>
+      <ComposedChart data={chartData} margin={{ top: 4, right: 60, bottom: 0, left: 8 }}>
+        <CartesianGrid strokeDasharray="3 3" stroke="#f1f5f9" />
+        <XAxis dataKey="time" tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} interval="preserveStartEnd" />
+        <YAxis yAxisId="cvd" tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} axisLine={false} width={55} />
+        <YAxis yAxisId="price" orientation="right" tick={{ fill: "#f59e0b", fontSize: 10 }} tickLine={false} axisLine={false} width={65}
+          domain={[Math.floor(pMin - pPad), Math.ceil(pMax + pPad)]}
+          tickFormatter={(v: number) => v >= 1000 ? `$${(v / 1000).toFixed(1)}k` : `$${v.toFixed(0)}`}
+        />
+        <Tooltip
+          // eslint-disable-next-line @typescript-eslint/no-explicit-any
+          formatter={(v: any, name: any) => {
+            if (name === "price") return [`$${Number(v).toLocaleString()}`, "币价"];
+            if (name === "fast") return [fmt(Number(v)), "CVD_fast(30m)"];
+            return [fmt(Number(v)), "CVD_mid(4h)"];
+          }}
+          contentStyle={{ background: "#fff", border: "1px solid #e2e8f0", borderRadius: 8, fontSize: 11 }}
+        />
+        <Legend wrapperStyle={{ fontSize: 11 }} />
+        <ReferenceLine yAxisId="cvd" y={0} stroke="#94a3b8" strokeDasharray="4 2" />
+        <Area yAxisId="cvd" type="monotone" dataKey="fast" name="fast" stroke="#2563eb" fill="#eff6ff" strokeWidth={1.5} dot={false} connectNulls />
+        <Line yAxisId="cvd" type="monotone" dataKey="mid" name="mid" stroke="#7c3aed" strokeWidth={1.5} dot={false} connectNulls strokeDasharray="6 3" />
+        <Line yAxisId="price" type="monotone" dataKey="price" name="price" stroke="#f59e0b" strokeWidth={1.5} dot={false} connectNulls strokeDasharray="4 2" />
+      </ComposedChart>
+    </ResponsiveContainer>
+  );
+}
+
+// ─── 主页面 ──────────────────────────────────────────────────────
+
+export default function SignalsV53Page() {
+  const { isLoggedIn, loading } = useAuth();
+  const [symbol, setSymbol] = useState<Symbol>("ETH");
+  const [minutes, setMinutes] = useState(240);
+
+  if (loading) return <div className="flex items-center justify-center h-64 text-slate-400">加载中...</div>;
+  if (!isLoggedIn) return (
+    <div className="flex flex-col items-center justify-center h-64 gap-4">
+      <div className="text-5xl">🔒</div>
+      <p className="text-slate-600 font-medium">请先登录查看信号数据</p>
+      <div className="flex gap-2">
+        <Link href="/login" className="bg-blue-600 text-white px-4 py-2 rounded-lg text-sm">登录</Link>
+        <Link href="/register" className="border border-slate-300 text-slate-600 px-4 py-2 rounded-lg text-sm">注册</Link>
+      </div>
+    </div>
+  );
+
+  return (
+    <div className="space-y-3">
+      <div className="flex items-center justify-between flex-wrap gap-2">
+        <div>
+          <h1 className="text-lg font-bold text-slate-900">⚡ 信号引擎 V5.3</h1>
+          <p className="text-slate-500 text-[10px]">
+            四层评分 55/25/15/5 · ALT双轨 + BTC gate-control ·
+            {symbol === "BTC" ? " 🔵 BTC轨（gate-control）" : " 🟣 ALT轨（ETH/XRP/SOL）"}
+          </p>
+        </div>
+        <div className="flex gap-1">
+          {(["BTC", "ETH", "XRP", "SOL"] as Symbol[]).map(s => (
+            <button key={s} onClick={() => setSymbol(s)}
+              className={`px-3 py-1 rounded-lg border text-xs font-medium transition-colors ${symbol === s ? (s === "BTC" ? "bg-amber-500 text-white border-amber-500" : "bg-blue-600 text-white border-blue-600") : "border-slate-200 text-slate-600 hover:border-blue-400"}`}>
+              {s}{s === "BTC" ? " 🔵" : ""}
+            </button>
+          ))}
+        </div>
+      </div>
+
+      <IndicatorCards symbol={symbol} />
+      <SignalHistory symbol={symbol} />
+
+      <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+        <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+          <div>
+            <h3 className="font-semibold text-slate-800 text-xs">CVD三轨 + 币价</h3>
+            <p className="text-[10px] text-slate-400">蓝=fast(30m) · 紫=mid(4h) · 橙=价格</p>
+          </div>
+          <div className="flex gap-1">
+            {WINDOWS.map(w => (
+              <button key={w.value} onClick={() => setMinutes(w.value)}
+                className={`px-2 py-1 rounded border text-xs transition-colors ${minutes === w.value ? "bg-slate-800 text-white border-slate-800" : "border-slate-200 text-slate-500 hover:border-slate-400"}`}>
+                {w.label}
+              </button>
+            ))}
+          </div>
+        </div>
+        <div className="px-3 py-2">
+          <CVDChart symbol={symbol} minutes={minutes} />
+        </div>
+      </div>
+
+      <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+        <div className="px-3 py-2 border-b border-slate-100">
+          <h3 className="font-semibold text-slate-800 text-xs">📖 V5.3 双轨信号说明</h3>
+        </div>
+        <div className="px-3 py-2 space-y-2 text-[11px] text-slate-600">
+          <div className="p-2 bg-purple-50 rounded-lg border border-purple-100">
+            <span className="font-bold text-purple-800">🟣 ALT轨（ETH/XRP/SOL）— 四层线性评分</span>
+            <div className="mt-1 space-y-1">
+              <p><span className="font-semibold">1️⃣ 方向层（55分）</span> — CVD共振30分（fast+mid同向）+ P99大单对齐20分 + 加速奖励5分。删除独立确认层，解决CVD双重计分问题。</p>
+              <p><span className="font-semibold">2️⃣ 拥挤层（25分）</span> — LSR反向拥挤15分（散户过度拥挤=信号）+ 大户持仓方向10分。</p>
+              <p><span className="font-semibold">3️⃣ 环境层（15分）</span> — OI变化率，新资金进场vs撤离，判断趋势持续性。</p>
+              <p><span className="font-semibold">4️⃣ 辅助层（5分）</span> — Coinbase Premium，美系机构动向。</p>
+            </div>
+          </div>
+          <div className="p-2 bg-amber-50 rounded-lg border border-amber-100">
+            <span className="font-bold text-amber-800">🔵 BTC轨 — Gate-Control逻辑</span>
+            <div className="mt-1 space-y-1">
+              <p><span className="font-semibold">波动率门控</span>：ATR/Price ≥ 0.2%，低波动行情拒绝开仓</p>
+              <p><span className="font-semibold">OBI否决</span>：订单簿失衡超阈值且与信号方向冲突时否决（实时100ms）</p>
+              <p><span className="font-semibold">期现背离否决</span>：spot与perp价差超阈值时否决（实时1s）</p>
+              <p><span className="font-semibold">巨鲸CVD</span>：&gt;$100k成交额净CVD，15分钟滚动窗口实时计算</p>
+            </div>
+          </div>
+          <div className="pt-1 border-t border-slate-100">
+            <span className="text-blue-600 font-medium">档位：</span>&lt;75不开仓 · 75-84标准 · ≥85加仓 · 冷却10分钟
+          </div>
+        </div>
+      </div>
+    </div>
+  );
+}

frontend/app/signals-v53fast/page.tsx

@@ -0,0 +1,580 @@
+"use client";
+
+import { useEffect, useState, useCallback } from "react";
+import { authFetch } from "@/lib/auth";
+import { useAuth } from "@/lib/auth";
+import Link from "next/link";
+import {
+  ComposedChart, Area, Line, XAxis, YAxis, Tooltip, ResponsiveContainer,
+  ReferenceLine, CartesianGrid, Legend
+} from "recharts";
+
+type Symbol = "BTC" | "ETH" | "XRP" | "SOL";
+
+interface IndicatorRow {
+  ts: number;
+  cvd_fast: number;
+  cvd_mid: number;
+  cvd_day: number;
+  atr_5m: number;
+  vwap_30m: number;
+  price: number;
+  score: number;
+  signal: string | null;
+}
+
+interface LatestIndicator {
+  ts: number;
+  cvd_fast: number;
+  cvd_mid: number;
+  cvd_day: number;
+  cvd_fast_slope: number;
+  atr_5m: number;
+  atr_percentile: number;
+  vwap_30m: number;
+  price: number;
+  p95_qty: number;
+  p99_qty: number;
+  score: number;
+  display_score?: number;   // v53_btc: alt_score_ref（参考分）
+  gate_passed?: boolean;    // v53_btc顶层字段
+  signal: string | null;
+  tier?: "light" | "standard" | "heavy" | null;
+  factors?: {
+    track?: string;
+    direction?: { score?: number; max?: number; cvd_resonance?: number; p99_flow?: number; accel_bonus?: number; accel_independent_score?: number };
+    crowding?: { score?: number; max?: number; lsr_contrarian?: number; top_trader_position?: number };
+    environment?: { score?: number; max?: number; obi_bonus?: number; oi_base?: number };
+    auxiliary?: { score?: number; max?: number; coinbase_premium?: number };
+    // BTC gate fields
+    gate_passed?: boolean;
+    block_reason?: string;     // BTC用
+    gate_block?: string;       // ALT用
+    obi_raw?: number;
+    spot_perp_div?: number;
+    whale_cvd_ratio?: number;
+    atr_pct_price?: number;
+    alt_score_ref?: number;
+  } | null;
+}
+
+const WINDOWS = [
+  { label: "1h", value: 60 },
+  { label: "4h", value: 240 },
+  { label: "12h", value: 720 },
+  { label: "24h", value: 1440 },
+];
+
+function bjtStr(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}`;
+}
+
+function bjtFull(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCMonth() + 1).padStart(2, "0")}-${String(d.getUTCDate()).padStart(2, "0")} ${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}:${String(d.getUTCSeconds()).padStart(2, "0")}`;
+}
+
+function fmt(v: number, decimals = 1): string {
+  if (Math.abs(v) >= 1000000) return `${(v / 1000000).toFixed(1)}M`;
+  if (Math.abs(v) >= 1000) return `${(v / 1000).toFixed(1)}K`;
+  return v.toFixed(decimals);
+}
+
+function LayerScore({ label, score, max, colorClass }: { label: string; score: number; max: number; colorClass: string }) {
+  const ratio = Math.max(0, Math.min((score / max) * 100, 100));
+  return (
+    <div className="flex items-center gap-2">
+      <span className="text-[10px] text-slate-500 w-6 shrink-0">{label}</span>
+      <div className="flex-1 h-1.5 rounded-full bg-slate-100 overflow-hidden">
+        <div className={`h-full ${colorClass}`} style={{ width: `${ratio}%` }} />
+      </div>
+      <span className="text-[10px] font-mono text-slate-600 w-8 text-right">{score}/{max}</span>
+    </div>
+  );
+}
+
+// ─── ALT Gate 状态卡片 ──────────────────────────────────────────
+
+const ALT_GATE_THRESHOLDS: Record<string, { vol: string; obi: string; spd: string; whale: string }> = {
+  ETH: { vol: "0.3%", obi: "0.35", spd: "0.5%", whale: "$50k" },
+  XRP: { vol: "0.25%", obi: "0.40", spd: "0.6%", whale: "$30k" },
+  SOL: { vol: "0.4%", obi: "0.45", spd: "0.8%", whale: "$20k" },
+};
+
+function ALTGateCard({ symbol, factors }: { symbol: Symbol; factors: LatestIndicator["factors"] }) {
+  if (!factors || symbol === "BTC") return null;
+  const thresholds = ALT_GATE_THRESHOLDS[symbol] ?? ALT_GATE_THRESHOLDS["ETH"];
+  const passed = factors.gate_passed ?? true;
+  const blockReason = factors.gate_block;
+  return (
+    <div className={`rounded-xl border px-3 py-2 mt-2 ${passed ? "border-purple-200 bg-purple-50" : "border-red-200 bg-red-50"}`}>
+      <div className="flex items-center justify-between mb-1.5">
+        <p className="text-[10px] font-semibold text-purple-800">🔒 {symbol} Gate-Control</p>
+        <span className={`text-[10px] font-bold px-2 py-0.5 rounded ${passed ? "bg-emerald-100 text-emerald-700" : "bg-red-100 text-red-600"}`}>
+          {passed ? "✅ Gate通过" : "❌ 否决"}
+        </span>
+      </div>
+      <div className="grid grid-cols-4 gap-1.5">
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">波动率</p>
+          <p className="text-xs font-mono text-slate-800">{((factors.atr_pct_price ?? 0) * 100).toFixed(3)}%</p>
+          <p className="text-[9px] text-slate-400">需 ≥{thresholds.vol}</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">OBI</p>
+          <p className={`text-xs font-mono ${(factors.obi_raw ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.obi_raw ?? 0) * 100).toFixed(2)}%
+          </p>
+          <p className="text-[9px] text-slate-400">否决±{thresholds.obi}</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">期现背离</p>
+          <p className={`text-xs font-mono ${(factors.spot_perp_div ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.spot_perp_div ?? 0) * 10000).toFixed(2)}bps
+          </p>
+          <p className="text-[9px] text-slate-400">否决±{thresholds.spd}</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">鲸鱼阈值</p>
+          <p className="text-xs font-mono text-slate-800">{thresholds.whale}</p>
+          <p className="text-[9px] text-slate-400">大单门槛</p>
+        </div>
+      </div>
+      {blockReason && (
+        <p className="text-[10px] text-red-600 mt-1.5 bg-red-50 rounded px-2 py-1">
+          否决原因: <span className="font-mono">{blockReason}</span>
+        </p>
+      )}
+    </div>
+  );
+}
+
+// ─── BTC Gate 状态卡片 ───────────────────────────────────────────
+
+function BTCGateCard({ factors }: { factors: LatestIndicator["factors"] }) {
+  if (!factors) return null;
+  return (
+    <div className="rounded-xl border border-amber-200 bg-amber-50 px-3 py-2 mt-2">
+      <div className="flex items-center justify-between mb-1.5">
+        <p className="text-[10px] font-semibold text-amber-800">⚡ BTC Gate-Control</p>
+        <span className={`text-[10px] font-bold px-2 py-0.5 rounded ${factors.gate_passed ? "bg-emerald-100 text-emerald-700" : "bg-red-100 text-red-600"}`}>
+          {factors.gate_passed ? "✅ Gate通过" : "❌ 否决"}
+        </span>
+      </div>
+      <div className="grid grid-cols-4 gap-1.5">
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">波动率</p>
+          <p className="text-xs font-mono text-slate-800">{((factors.atr_pct_price ?? 0) * 100).toFixed(3)}%</p>
+          <p className="text-[9px] text-slate-400">需 ≥0.2%</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">OBI</p>
+          <p className={`text-xs font-mono ${(factors.obi_raw ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.obi_raw ?? 0) * 100).toFixed(2)}%
+          </p>
+          <p className="text-[9px] text-slate-400">盘口失衡</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">期现背离</p>
+          <p className={`text-xs font-mono ${(factors.spot_perp_div ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.spot_perp_div ?? 0) * 10000).toFixed(2)}bps
+          </p>
+          <p className="text-[9px] text-slate-400">spot-perp</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">巨鲸CVD</p>
+          <p className={`text-xs font-mono ${(factors.whale_cvd_ratio ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.whale_cvd_ratio ?? 0) * 100).toFixed(2)}%
+          </p>
+          <p className="text-[9px] text-slate-400">&gt;$100k</p>
+        </div>
+      </div>
+      {factors.block_reason && (
+        <p className="text-[10px] text-red-600 mt-1.5 bg-red-50 rounded px-2 py-1">
+          否决原因: <span className="font-mono">{factors.block_reason}</span>
+        </p>
+      )}
+    </div>
+  );
+}
+
+// ─── 实时指标卡片 ────────────────────────────────────────────────
+
+function IndicatorCards({ symbol }: { symbol: Symbol }) {
+  const [data, setData] = useState<LatestIndicator | null>(null);
+  const strategy = "v53_fast";
+
+  useEffect(() => {
+    const fetch = async () => {
+      try {
+        const res = await authFetch(`/api/signals/latest?strategy=${strategy}`);
+        if (!res.ok) return;
+        const json = await res.json();
+        setData(json[symbol] || null);
+      } catch {}
+    };
+    fetch();
+    const iv = setInterval(fetch, 5000);
+    return () => clearInterval(iv);
+  }, [symbol, strategy]);
+
+  if (!data) return <div className="text-center text-slate-400 text-sm py-4">等待指标数据...</div>;
+
+  const isBTC = symbol === "BTC";
+  const priceVsVwap = data.price > data.vwap_30m ? "上方" : "下方";
+
+  return (
+    <div className="space-y-3">
+      {/* CVD三轨 */}
+      <div className="grid grid-cols-3 gap-1.5">
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD_fast (5m实算★)</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_fast >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {fmt(data.cvd_fast)}
+          </p>
+          <p className="text-[10px] text-slate-400">
+            斜率: <span className={data.cvd_fast_slope >= 0 ? "text-emerald-600" : "text-red-500"}>
+              {data.cvd_fast_slope >= 0 ? "↑" : "↓"}{fmt(Math.abs(data.cvd_fast_slope))}
+            </span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD_mid (30m实算★)</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_mid >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {fmt(data.cvd_mid)}
+          </p>
+          <p className="text-[10px] text-slate-400">{data.cvd_mid > 0 ? "多" : "空"}头占优</p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD共振</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_fast >= 0 && data.cvd_mid >= 0 ? "text-emerald-600" : data.cvd_fast < 0 && data.cvd_mid < 0 ? "text-red-500" : "text-slate-400"}`}>
+            {data.cvd_fast >= 0 && data.cvd_mid >= 0 ? "✅ 多头共振" : data.cvd_fast < 0 && data.cvd_mid < 0 ? "✅ 空头共振" : "⚠️ 分歧"}
+          </p>
+          <p className="text-[10px] text-slate-400">V5.3核心信号</p>
+        </div>
+      </div>
+
+      {/* ATR + VWAP */}
+      <div className="grid grid-cols-4 gap-1.5">
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">ATR</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">${fmt(data.atr_5m, 2)}</p>
+          <p className="text-[10px]">
+            <span className={data.atr_percentile > 60 ? "text-amber-600 font-semibold" : "text-slate-400"}>
+              {data.atr_percentile.toFixed(0)}%{data.atr_percentile > 60 ? "🔥" : ""}
+            </span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">VWAP</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">${data.vwap_30m.toLocaleString("en-US", { maximumFractionDigits: 1 })}</p>
+          <p className="text-[10px]">
+            价格在<span className={data.price > data.vwap_30m ? "text-emerald-600" : "text-red-500"}>{priceVsVwap}</span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">P95</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">{data.p95_qty.toFixed(4)}</p>
+          <p className="text-[10px] text-slate-400">大单阈值</p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">P99</p>
+          <p className="font-mono font-semibold text-sm text-amber-600">{data.p99_qty.toFixed(4)}</p>
+          <p className="text-[10px] text-slate-400">超大单</p>
+        </div>
+      </div>
+
+      {/* 信号状态 */}
+      <div className={`rounded-xl border px-3 py-2.5 ${
+        data.signal === "LONG" ? "border-emerald-300 bg-emerald-50" :
+        data.signal === "SHORT" ? "border-red-300 bg-red-50" :
+        "border-slate-200 bg-slate-50"
+      }`}>
+        <div className="flex items-center justify-between">
+          <div>
+            <p className="text-[10px] text-slate-500">
+              {isBTC ? "BTC Gate-Control" : "ALT 四层评分"}
+              {" · "}{"v53"}
+            </p>
+            <p className={`font-bold text-base ${
+              data.signal === "LONG" ? "text-emerald-700" :
+              data.signal === "SHORT" ? "text-red-600" :
+              "text-slate-400"
+            }`}>
+              {data.signal === "LONG" ? "🟢 做多" : data.signal === "SHORT" ? "🔴 做空" : "⚪ 无信号"}
+            </p>
+          </div>
+          <div className="text-right">
+            {isBTC ? (
+              <>
+                <p className="font-mono font-bold text-lg text-slate-800">
+                  {data.display_score ?? data.factors?.alt_score_ref ?? data.score}/100
+                  <span className="text-[10px] font-normal text-slate-400 ml-1">参考分</span>
+                </p>
+                <p className="text-[10px] text-slate-500">
+                  {(data.gate_passed ?? data.factors?.gate_passed) ? (data.tier === "standard" ? "标准" : "不开仓") : "Gate否决"}
+                </p>
+              </>
+            ) : (
+              <>
+                <p className="font-mono font-bold text-lg text-slate-800">{data.score}/100</p>
+                <p className="text-[10px] text-slate-500">{data.tier === "heavy" ? "加仓" : data.tier === "standard" ? "标准" : "不开仓"}</p>
+              </>
+            )}
+          </div>
+        </div>
+
+        {/* 四层分数 — ALT和BTC都显示 */}
+        <div className="mt-2 space-y-1">
+          <LayerScore label="方向" score={data.factors?.direction?.score ?? 0} max={55} colorClass="bg-blue-600" />
+          {data.factors?.direction?.accel_independent_score != null && data.factors.direction.accel_independent_score > 0 && (
+            <p className="text-[9px] text-orange-600 pl-1">⚡ accel独立触发 +{data.factors.direction.accel_independent_score}</p>
+          )}
+          <LayerScore label="拥挤" score={data.factors?.crowding?.score ?? 0} max={25} colorClass="bg-violet-600" />
+          <LayerScore label="环境" score={data.factors?.environment?.score ?? 0} max={15} colorClass="bg-emerald-600" />
+          {(data.factors?.environment?.obi_bonus ?? 0) > 0 && (
+            <p className="text-[9px] text-cyan-600 pl-1">📊 OBI正向 +{data.factors?.environment?.obi_bonus}</p>
+          )}
+          <LayerScore label="辅助" score={data.factors?.auxiliary?.score ?? 0} max={5} colorClass="bg-slate-500" />
+        </div>
+      </div>
+
+      {/* ALT Gate 卡片 */}
+      {!isBTC && data.factors && <ALTGateCard symbol={symbol} factors={data.factors} />}
+
+      {/* BTC Gate 卡片 */}
+      {isBTC && data.factors && <BTCGateCard factors={data.factors} />}
+    </div>
+  );
+}
+
+// ─── 信号历史 ────────────────────────────────────────────────────
+
+interface SignalRecord {
+  ts: number;
+  score: number;
+  signal: string;
+}
+
+function SignalHistory({ symbol }: { symbol: Symbol }) {
+  const [data, setData] = useState<SignalRecord[]>([]);
+  const strategy = "v53_fast";
+
+  useEffect(() => {
+    const fetchData = async () => {
+      try {
+        const res = await authFetch(`/api/signals/signal-history?symbol=${symbol}&limit=20&strategy=${strategy}`);
+        if (!res.ok) return;
+        const json = await res.json();
+        setData(json.data || []);
+      } catch {}
+    };
+    fetchData();
+    const iv = setInterval(fetchData, 15000);
+    return () => clearInterval(iv);
+  }, [symbol, strategy]);
+
+  if (data.length === 0) return null;
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100">
+        <h3 className="font-semibold text-slate-800 text-xs">最近信号 ({strategy})</h3>
+      </div>
+      <div className="divide-y divide-slate-100 max-h-48 overflow-y-auto">
+        {data.map((s, i) => (
+          <div key={i} className="px-3 py-1.5 flex items-center justify-between">
+            <div className="flex items-center gap-2">
+              <span className={`text-xs font-bold ${s.signal === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
+                {s.signal === "LONG" ? "🟢 LONG" : "🔴 SHORT"}
+              </span>
+              <span className="text-[10px] text-slate-400">{bjtFull(s.ts)}</span>
+            </div>
+            <div className="flex items-center gap-1.5">
+              <span className="font-mono text-xs text-slate-700">{s.score}</span>
+              <span className={`text-[10px] px-1 py-0.5 rounded ${
+                s.score >= 85 ? "bg-red-100 text-red-700" :
+                s.score >= 75 ? "bg-blue-100 text-blue-700" :
+                "bg-slate-100 text-slate-600"
+              }`}>
+                {s.score >= 85 ? "加仓" : s.score >= 75 ? "标准" : "不开仓"}
+              </span>
+            </div>
+          </div>
+        ))}
+      </div>
+    </div>
+  );
+}
+
+// ─── CVD图表 ────────────────────────────────────────────────────
+
+function CVDChart({ symbol, minutes }: { symbol: Symbol; minutes: number }) {
+  const [data, setData] = useState<IndicatorRow[]>([]);
+  const [loading, setLoading] = useState(true);
+  const strategy = "v53_fast";
+
+  const fetchData = useCallback(async (silent = false) => {
+    try {
+      const res = await authFetch(`/api/signals/indicators?symbol=${symbol}&minutes=${minutes}&strategy=${strategy}`);
+      if (!res.ok) return;
+      const json = await res.json();
+      setData(json.data || []);
+      if (!silent) setLoading(false);
+    } catch {}
+  }, [symbol, minutes, strategy]);
+
+  useEffect(() => {
+    setLoading(true);
+    fetchData();
+    const iv = setInterval(() => fetchData(true), 30000);
+    return () => clearInterval(iv);
+  }, [fetchData]);
+
+  const chartData = data.map(d => ({
+    time: bjtStr(d.ts),
+    fast: parseFloat(d.cvd_fast?.toFixed(2) || "0"),
+    mid: parseFloat(d.cvd_mid?.toFixed(2) || "0"),
+    price: d.price,
+  }));
+
+  const prices = chartData.map(d => d.price).filter(v => v > 0);
+  const pMin = prices.length ? Math.min(...prices) : 0;
+  const pMax = prices.length ? Math.max(...prices) : 0;
+  const pPad = (pMax - pMin) * 0.3 || pMax * 0.001;
+
+  if (loading) return <div className="flex items-center justify-center h-48 text-slate-400 text-sm">加载指标数据...</div>;
+  if (data.length === 0) return <div className="flex items-center justify-center h-48 text-slate-400 text-sm">暂无 V5.3 指标数据，signal-engine 需运行积累</div>;
+
+  return (
+    <ResponsiveContainer width="100%" height={220}>
+      <ComposedChart data={chartData} margin={{ top: 4, right: 60, bottom: 0, left: 8 }}>
+        <CartesianGrid strokeDasharray="3 3" stroke="#f1f5f9" />
+        <XAxis dataKey="time" tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} interval="preserveStartEnd" />
+        <YAxis yAxisId="cvd" tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} axisLine={false} width={55} />
+        <YAxis yAxisId="price" orientation="right" tick={{ fill: "#f59e0b", fontSize: 10 }} tickLine={false} axisLine={false} width={65}
+          domain={[Math.floor(pMin - pPad), Math.ceil(pMax + pPad)]}
+          tickFormatter={(v: number) => v >= 1000 ? `$${(v / 1000).toFixed(1)}k` : `$${v.toFixed(0)}`}
+        />
+        <Tooltip
+          // eslint-disable-next-line @typescript-eslint/no-explicit-any
+          formatter={(v: any, name: any) => {
+            if (name === "price") return [`$${Number(v).toLocaleString()}`, "币价"];
+            if (name === "fast") return [fmt(Number(v)), "CVD_fast(5m实算)"];
+            return [fmt(Number(v)), "CVD_mid(30m实算)"];
+          }}
+          contentStyle={{ background: "#fff", border: "1px solid #e2e8f0", borderRadius: 8, fontSize: 11 }}
+        />
+        <Legend wrapperStyle={{ fontSize: 11 }} />
+        <ReferenceLine yAxisId="cvd" y={0} stroke="#94a3b8" strokeDasharray="4 2" />
+        <Area yAxisId="cvd" type="monotone" dataKey="fast" name="fast" stroke="#2563eb" fill="#eff6ff" strokeWidth={1.5} dot={false} connectNulls />
+        <Line yAxisId="cvd" type="monotone" dataKey="mid" name="mid" stroke="#7c3aed" strokeWidth={1.5} dot={false} connectNulls strokeDasharray="6 3" />
+        <Line yAxisId="price" type="monotone" dataKey="price" name="price" stroke="#f59e0b" strokeWidth={1.5} dot={false} connectNulls strokeDasharray="4 2" />
+      </ComposedChart>
+    </ResponsiveContainer>
+  );
+}
+
+// ─── 主页面 ──────────────────────────────────────────────────────
+
+export default function SignalsV53Page() {
+  const { isLoggedIn, loading } = useAuth();
+  const [symbol, setSymbol] = useState<Symbol>("ETH");
+  const [minutes, setMinutes] = useState(240);
+
+  if (loading) return <div className="flex items-center justify-center h-64 text-slate-400">加载中...</div>;
+  if (!isLoggedIn) return (
+    <div className="flex flex-col items-center justify-center h-64 gap-4">
+      <div className="text-5xl">🔒</div>
+      <p className="text-slate-600 font-medium">请先登录查看信号数据</p>
+      <div className="flex gap-2">
+        <Link href="/login" className="bg-blue-600 text-white px-4 py-2 rounded-lg text-sm">登录</Link>
+        <Link href="/register" className="border border-slate-300 text-slate-600 px-4 py-2 rounded-lg text-sm">注册</Link>
+      </div>
+    </div>
+  );
+
+  return (
+    <div className="space-y-3">
+      {/* Fast 实验版标识条 */}
+      <div className="rounded-lg bg-gradient-to-r from-orange-500 to-amber-400 px-3 py-1.5 flex items-center justify-between">
+        <span className="text-white text-xs font-bold">🚀 V5.3 Fast — 实验变体 A/B对照</span>
+        <div className="flex gap-2 text-white text-[10px] font-medium">
+          <span className="bg-white/20 px-2 py-0.5 rounded">CVD 5m/30m</span>
+          <span className="bg-white/20 px-2 py-0.5 rounded">OBI+加分</span>
+          <span className="bg-white/20 px-2 py-0.5 rounded">accel独立触发</span>
+        </div>
+      </div>
+      <div className="flex items-center justify-between flex-wrap gap-2">
+        <div>
+          <h1 className="text-lg font-bold text-slate-900">🚀 信号引擎 V5.3 Fast</h1>
+          <p className="text-slate-500 text-[10px]">
+            CVD 5m/30m · OBI正向加分 · accel独立触发 · 实验变体 ·
+            {symbol === "BTC" ? " 🔵 BTC轨（gate-control）" : " 🟣 ALT轨（ETH/XRP/SOL）"}
+          </p>
+        </div>
+        <div className="flex gap-1">
+          {(["BTC", "ETH", "XRP", "SOL"] as Symbol[]).map(s => (
+            <button key={s} onClick={() => setSymbol(s)}
+              className={`px-3 py-1 rounded-lg border text-xs font-medium transition-colors ${symbol === s ? (s === "BTC" ? "bg-amber-500 text-white border-amber-500" : "bg-blue-600 text-white border-blue-600") : "border-slate-200 text-slate-600 hover:border-blue-400"}`}>
+              {s}{s === "BTC" ? " 🔵" : ""}
+            </button>
+          ))}
+        </div>
+      </div>
+
+      <IndicatorCards symbol={symbol} />
+      <SignalHistory symbol={symbol} />
+
+      <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+        <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+          <div>
+            <h3 className="font-semibold text-slate-800 text-xs">CVD三轨 + 币价</h3>
+            <p className="text-[10px] text-slate-400">蓝=fast(DB存30m,实算5m★) · 紫=mid(DB存4h,实算30m★) · 橙=价格</p>
+          </div>
+          <div className="flex gap-1">
+            {WINDOWS.map(w => (
+              <button key={w.value} onClick={() => setMinutes(w.value)}
+                className={`px-2 py-1 rounded border text-xs transition-colors ${minutes === w.value ? "bg-slate-800 text-white border-slate-800" : "border-slate-200 text-slate-500 hover:border-slate-400"}`}>
+                {w.label}
+              </button>
+            ))}
+          </div>
+        </div>
+        <div className="px-3 py-2">
+          <CVDChart symbol={symbol} minutes={minutes} />
+        </div>
+      </div>
+
+      <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+        <div className="px-3 py-2 border-b border-slate-100">
+          <h3 className="font-semibold text-slate-800 text-xs">📖 V5.3 双轨信号说明</h3>
+        </div>
+        <div className="px-3 py-2 space-y-2 text-[11px] text-slate-600">
+          <div className="p-2 bg-purple-50 rounded-lg border border-purple-100">
+            <span className="font-bold text-purple-800">🟣 ALT轨（ETH/XRP/SOL）— 四层线性评分</span>
+            <div className="mt-1 space-y-1">
+              <p><span className="font-semibold">1️⃣ 方向层（55分）</span> — CVD共振30分（fast+mid同向）+ P99大单对齐20分 + 加速奖励5分。删除独立确认层，解决CVD双重计分问题。</p>
+              <p><span className="font-semibold">2️⃣ 拥挤层（25分）</span> — LSR反向拥挤15分（散户过度拥挤=信号）+ 大户持仓方向10分。</p>
+              <p><span className="font-semibold">3️⃣ 环境层（15分）</span> — OI变化率，新资金进场vs撤离，判断趋势持续性。</p>
+              <p><span className="font-semibold">4️⃣ 辅助层（5分）</span> — Coinbase Premium，美系机构动向。</p>
+            </div>
+          </div>
+          <div className="p-2 bg-amber-50 rounded-lg border border-amber-100">
+            <span className="font-bold text-amber-800">🔵 BTC轨 — Gate-Control逻辑</span>
+            <div className="mt-1 space-y-1">
+              <p><span className="font-semibold">波动率门控</span>：ATR/Price ≥ 0.2%，低波动行情拒绝开仓</p>
+              <p><span className="font-semibold">OBI否决</span>：订单簿失衡超阈值且与信号方向冲突时否决（实时100ms）</p>
+              <p><span className="font-semibold">期现背离否决</span>：spot与perp价差超阈值时否决（实时1s）</p>
+              <p><span className="font-semibold">巨鲸CVD</span>：&gt;$100k成交额净CVD，15分钟滚动窗口实时计算</p>
+            </div>
+          </div>
+          <div className="pt-1 border-t border-slate-100">
+            <span className="text-blue-600 font-medium">档位：</span>&lt;75不开仓 · 75-84标准 · ≥85加仓 · 冷却10分钟
+          </div>
+        </div>
+      </div>
+    </div>
+  );
+}

frontend/app/signals-v53middle/page.tsx

@@ -0,0 +1,580 @@
+"use client";
+
+import { useEffect, useState, useCallback } from "react";
+import { authFetch } from "@/lib/auth";
+import { useAuth } from "@/lib/auth";
+import Link from "next/link";
+import {
+  ComposedChart, Area, Line, XAxis, YAxis, Tooltip, ResponsiveContainer,
+  ReferenceLine, CartesianGrid, Legend
+} from "recharts";
+
+type Symbol = "BTC" | "ETH" | "XRP" | "SOL";
+
+interface IndicatorRow {
+  ts: number;
+  cvd_fast: number;
+  cvd_mid: number;
+  cvd_day: number;
+  atr_5m: number;
+  vwap_30m: number;
+  price: number;
+  score: number;
+  signal: string | null;
+}
+
+interface LatestIndicator {
+  ts: number;
+  cvd_fast: number;
+  cvd_mid: number;
+  cvd_day: number;
+  cvd_fast_slope: number;
+  atr_5m: number;
+  atr_percentile: number;
+  vwap_30m: number;
+  price: number;
+  p95_qty: number;
+  p99_qty: number;
+  score: number;
+  display_score?: number;   // v53_btc: alt_score_ref（参考分）
+  gate_passed?: boolean;    // v53_btc顶层字段
+  signal: string | null;
+  tier?: "light" | "standard" | "heavy" | null;
+  factors?: {
+    track?: string;
+    direction?: { score?: number; max?: number; cvd_resonance?: number; p99_flow?: number; accel_bonus?: number; accel_independent_score?: number };
+    crowding?: { score?: number; max?: number; lsr_contrarian?: number; top_trader_position?: number };
+    environment?: { score?: number; max?: number; obi_bonus?: number; oi_base?: number };
+    auxiliary?: { score?: number; max?: number; coinbase_premium?: number };
+    // BTC gate fields
+    gate_passed?: boolean;
+    block_reason?: string;     // BTC用
+    gate_block?: string;       // ALT用
+    obi_raw?: number;
+    spot_perp_div?: number;
+    whale_cvd_ratio?: number;
+    atr_pct_price?: number;
+    alt_score_ref?: number;
+  } | null;
+}
+
+const WINDOWS = [
+  { label: "1h", value: 60 },
+  { label: "4h", value: 240 },
+  { label: "12h", value: 720 },
+  { label: "24h", value: 1440 },
+];
+
+function bjtStr(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}`;
+}
+
+function bjtFull(ms: number) {
+  const d = new Date(ms + 8 * 3600 * 1000);
+  return `${String(d.getUTCMonth() + 1).padStart(2, "0")}-${String(d.getUTCDate()).padStart(2, "0")} ${String(d.getUTCHours()).padStart(2, "0")}:${String(d.getUTCMinutes()).padStart(2, "0")}:${String(d.getUTCSeconds()).padStart(2, "0")}`;
+}
+
+function fmt(v: number, decimals = 1): string {
+  if (Math.abs(v) >= 1000000) return `${(v / 1000000).toFixed(1)}M`;
+  if (Math.abs(v) >= 1000) return `${(v / 1000).toFixed(1)}K`;
+  return v.toFixed(decimals);
+}
+
+function LayerScore({ label, score, max, colorClass }: { label: string; score: number; max: number; colorClass: string }) {
+  const ratio = Math.max(0, Math.min((score / max) * 100, 100));
+  return (
+    <div className="flex items-center gap-2">
+      <span className="text-[10px] text-slate-500 w-6 shrink-0">{label}</span>
+      <div className="flex-1 h-1.5 rounded-full bg-slate-100 overflow-hidden">
+        <div className={`h-full ${colorClass}`} style={{ width: `${ratio}%` }} />
+      </div>
+      <span className="text-[10px] font-mono text-slate-600 w-8 text-right">{score}/{max}</span>
+    </div>
+  );
+}
+
+// ─── ALT Gate 状态卡片 ──────────────────────────────────────────
+
+const ALT_GATE_THRESHOLDS: Record<string, { vol: string; obi: string; spd: string; whale: string }> = {
+  ETH: { vol: "0.3%", obi: "0.35", spd: "0.5%", whale: "$50k" },
+  XRP: { vol: "0.25%", obi: "0.40", spd: "0.6%", whale: "$30k" },
+  SOL: { vol: "0.4%", obi: "0.45", spd: "0.8%", whale: "$20k" },
+};
+
+function ALTGateCard({ symbol, factors }: { symbol: Symbol; factors: LatestIndicator["factors"] }) {
+  if (!factors || symbol === "BTC") return null;
+  const thresholds = ALT_GATE_THRESHOLDS[symbol] ?? ALT_GATE_THRESHOLDS["ETH"];
+  const passed = factors.gate_passed ?? true;
+  const blockReason = factors.gate_block;
+  return (
+    <div className={`rounded-xl border px-3 py-2 mt-2 ${passed ? "border-purple-200 bg-purple-50" : "border-red-200 bg-red-50"}`}>
+      <div className="flex items-center justify-between mb-1.5">
+        <p className="text-[10px] font-semibold text-purple-800">🔒 {symbol} Gate-Control</p>
+        <span className={`text-[10px] font-bold px-2 py-0.5 rounded ${passed ? "bg-emerald-100 text-emerald-700" : "bg-red-100 text-red-600"}`}>
+          {passed ? "✅ Gate通过" : "❌ 否决"}
+        </span>
+      </div>
+      <div className="grid grid-cols-4 gap-1.5">
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">波动率</p>
+          <p className="text-xs font-mono text-slate-800">{((factors.atr_pct_price ?? 0) * 100).toFixed(3)}%</p>
+          <p className="text-[9px] text-slate-400">需 ≥{thresholds.vol}</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">OBI</p>
+          <p className={`text-xs font-mono ${(factors.obi_raw ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.obi_raw ?? 0) * 100).toFixed(2)}%
+          </p>
+          <p className="text-[9px] text-slate-400">否决±{thresholds.obi}</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">期现背离</p>
+          <p className={`text-xs font-mono ${(factors.spot_perp_div ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.spot_perp_div ?? 0) * 10000).toFixed(2)}bps
+          </p>
+          <p className="text-[9px] text-slate-400">否决±{thresholds.spd}</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">鲸鱼阈值</p>
+          <p className="text-xs font-mono text-slate-800">{thresholds.whale}</p>
+          <p className="text-[9px] text-slate-400">大单门槛</p>
+        </div>
+      </div>
+      {blockReason && (
+        <p className="text-[10px] text-red-600 mt-1.5 bg-red-50 rounded px-2 py-1">
+          否决原因: <span className="font-mono">{blockReason}</span>
+        </p>
+      )}
+    </div>
+  );
+}
+
+// ─── BTC Gate 状态卡片 ───────────────────────────────────────────
+
+function BTCGateCard({ factors }: { factors: LatestIndicator["factors"] }) {
+  if (!factors) return null;
+  return (
+    <div className="rounded-xl border border-amber-200 bg-amber-50 px-3 py-2 mt-2">
+      <div className="flex items-center justify-between mb-1.5">
+        <p className="text-[10px] font-semibold text-amber-800">⚡ BTC Gate-Control</p>
+        <span className={`text-[10px] font-bold px-2 py-0.5 rounded ${factors.gate_passed ? "bg-emerald-100 text-emerald-700" : "bg-red-100 text-red-600"}`}>
+          {factors.gate_passed ? "✅ Gate通过" : "❌ 否决"}
+        </span>
+      </div>
+      <div className="grid grid-cols-4 gap-1.5">
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">波动率</p>
+          <p className="text-xs font-mono text-slate-800">{((factors.atr_pct_price ?? 0) * 100).toFixed(3)}%</p>
+          <p className="text-[9px] text-slate-400">需 ≥0.2%</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">OBI</p>
+          <p className={`text-xs font-mono ${(factors.obi_raw ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.obi_raw ?? 0) * 100).toFixed(2)}%
+          </p>
+          <p className="text-[9px] text-slate-400">盘口失衡</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">期现背离</p>
+          <p className={`text-xs font-mono ${(factors.spot_perp_div ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.spot_perp_div ?? 0) * 10000).toFixed(2)}bps
+          </p>
+          <p className="text-[9px] text-slate-400">spot-perp</p>
+        </div>
+        <div className="bg-white rounded px-2 py-1">
+          <p className="text-[10px] text-slate-400">巨鲸CVD</p>
+          <p className={`text-xs font-mono ${(factors.whale_cvd_ratio ?? 0) >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {((factors.whale_cvd_ratio ?? 0) * 100).toFixed(2)}%
+          </p>
+          <p className="text-[9px] text-slate-400">&gt;$100k</p>
+        </div>
+      </div>
+      {factors.block_reason && (
+        <p className="text-[10px] text-red-600 mt-1.5 bg-red-50 rounded px-2 py-1">
+          否决原因: <span className="font-mono">{factors.block_reason}</span>
+        </p>
+      )}
+    </div>
+  );
+}
+
+// ─── 实时指标卡片 ────────────────────────────────────────────────
+
+function IndicatorCards({ symbol }: { symbol: Symbol }) {
+  const [data, setData] = useState<LatestIndicator | null>(null);
+  const strategy = "v53_middle";
+
+  useEffect(() => {
+    const fetch = async () => {
+      try {
+        const res = await authFetch(`/api/signals/latest?strategy=${strategy}`);
+        if (!res.ok) return;
+        const json = await res.json();
+        setData(json[symbol] || null);
+      } catch {}
+    };
+    fetch();
+    const iv = setInterval(fetch, 5000);
+    return () => clearInterval(iv);
+  }, [symbol, strategy]);
+
+  if (!data) return <div className="text-center text-slate-400 text-sm py-4">等待指标数据...</div>;
+
+  const isBTC = symbol === "BTC";
+  const priceVsVwap = data.price > data.vwap_30m ? "上方" : "下方";
+
+  return (
+    <div className="space-y-3">
+      {/* CVD三轨 */}
+      <div className="grid grid-cols-3 gap-1.5">
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD_fast (5m实算★)</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_fast >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {fmt(data.cvd_fast)}
+          </p>
+          <p className="text-[10px] text-slate-400">
+            斜率: <span className={data.cvd_fast_slope >= 0 ? "text-emerald-600" : "text-red-500"}>
+              {data.cvd_fast_slope >= 0 ? "↑" : "↓"}{fmt(Math.abs(data.cvd_fast_slope))}
+            </span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD_mid (30m实算★)</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_mid >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+            {fmt(data.cvd_mid)}
+          </p>
+          <p className="text-[10px] text-slate-400">{data.cvd_mid > 0 ? "多" : "空"}头占优</p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">CVD共振</p>
+          <p className={`font-mono font-bold text-sm ${data.cvd_fast >= 0 && data.cvd_mid >= 0 ? "text-emerald-600" : data.cvd_fast < 0 && data.cvd_mid < 0 ? "text-red-500" : "text-slate-400"}`}>
+            {data.cvd_fast >= 0 && data.cvd_mid >= 0 ? "✅ 多头共振" : data.cvd_fast < 0 && data.cvd_mid < 0 ? "✅ 空头共振" : "⚠️ 分歧"}
+          </p>
+          <p className="text-[10px] text-slate-400">V5.3核心信号</p>
+        </div>
+      </div>
+
+      {/* ATR + VWAP */}
+      <div className="grid grid-cols-4 gap-1.5">
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">ATR</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">${fmt(data.atr_5m, 2)}</p>
+          <p className="text-[10px]">
+            <span className={data.atr_percentile > 60 ? "text-amber-600 font-semibold" : "text-slate-400"}>
+              {data.atr_percentile.toFixed(0)}%{data.atr_percentile > 60 ? "🔥" : ""}
+            </span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">VWAP</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">${data.vwap_30m.toLocaleString("en-US", { maximumFractionDigits: 1 })}</p>
+          <p className="text-[10px]">
+            价格在<span className={data.price > data.vwap_30m ? "text-emerald-600" : "text-red-500"}>{priceVsVwap}</span>
+          </p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">P95</p>
+          <p className="font-mono font-semibold text-sm text-slate-800">{data.p95_qty.toFixed(4)}</p>
+          <p className="text-[10px] text-slate-400">大单阈值</p>
+        </div>
+        <div className="bg-white rounded-lg border border-slate-200 px-2.5 py-2">
+          <p className="text-[10px] text-slate-400">P99</p>
+          <p className="font-mono font-semibold text-sm text-amber-600">{data.p99_qty.toFixed(4)}</p>
+          <p className="text-[10px] text-slate-400">超大单</p>
+        </div>
+      </div>
+
+      {/* 信号状态 */}
+      <div className={`rounded-xl border px-3 py-2.5 ${
+        data.signal === "LONG" ? "border-emerald-300 bg-emerald-50" :
+        data.signal === "SHORT" ? "border-red-300 bg-red-50" :
+        "border-slate-200 bg-slate-50"
+      }`}>
+        <div className="flex items-center justify-between">
+          <div>
+            <p className="text-[10px] text-slate-500">
+              {isBTC ? "BTC Gate-Control" : "ALT 四层评分"}
+              {" · "}{"v53"}
+            </p>
+            <p className={`font-bold text-base ${
+              data.signal === "LONG" ? "text-emerald-700" :
+              data.signal === "SHORT" ? "text-red-600" :
+              "text-slate-400"
+            }`}>
+              {data.signal === "LONG" ? "🟢 做多" : data.signal === "SHORT" ? "🔴 做空" : "⚪ 无信号"}
+            </p>
+          </div>
+          <div className="text-right">
+            {isBTC ? (
+              <>
+                <p className="font-mono font-bold text-lg text-slate-800">
+                  {data.display_score ?? data.factors?.alt_score_ref ?? data.score}/100
+                  <span className="text-[10px] font-normal text-slate-400 ml-1">参考分</span>
+                </p>
+                <p className="text-[10px] text-slate-500">
+                  {(data.gate_passed ?? data.factors?.gate_passed) ? (data.tier === "standard" ? "标准" : "不开仓") : "Gate否决"}
+                </p>
+              </>
+            ) : (
+              <>
+                <p className="font-mono font-bold text-lg text-slate-800">{data.score}/100</p>
+                <p className="text-[10px] text-slate-500">{data.tier === "heavy" ? "加仓" : data.tier === "standard" ? "标准" : "不开仓"}</p>
+              </>
+            )}
+          </div>
+        </div>
+
+        {/* 四层分数 — ALT和BTC都显示 */}
+        <div className="mt-2 space-y-1">
+          <LayerScore label="方向" score={data.factors?.direction?.score ?? 0} max={55} colorClass="bg-blue-600" />
+          {data.factors?.direction?.accel_independent_score != null && data.factors.direction.accel_independent_score > 0 && (
+            <p className="text-[9px] text-orange-600 pl-1">⚡ accel独立触发 +{data.factors.direction.accel_independent_score}</p>
+          )}
+          <LayerScore label="拥挤" score={data.factors?.crowding?.score ?? 0} max={25} colorClass="bg-violet-600" />
+          <LayerScore label="环境" score={data.factors?.environment?.score ?? 0} max={15} colorClass="bg-emerald-600" />
+          {(data.factors?.environment?.obi_bonus ?? 0) > 0 && (
+            <p className="text-[9px] text-cyan-600 pl-1">📊 OBI正向 +{data.factors?.environment?.obi_bonus}</p>
+          )}
+          <LayerScore label="辅助" score={data.factors?.auxiliary?.score ?? 0} max={5} colorClass="bg-slate-500" />
+        </div>
+      </div>
+
+      {/* ALT Gate 卡片 */}
+      {!isBTC && data.factors && <ALTGateCard symbol={symbol} factors={data.factors} />}
+
+      {/* BTC Gate 卡片 */}
+      {isBTC && data.factors && <BTCGateCard factors={data.factors} />}
+    </div>
+  );
+}
+
+// ─── 信号历史 ────────────────────────────────────────────────────
+
+interface SignalRecord {
+  ts: number;
+  score: number;
+  signal: string;
+}
+
+function SignalHistory({ symbol }: { symbol: Symbol }) {
+  const [data, setData] = useState<SignalRecord[]>([]);
+  const strategy = "v53_middle";
+
+  useEffect(() => {
+    const fetchData = async () => {
+      try {
+        const res = await authFetch(`/api/signals/signal-history?symbol=${symbol}&limit=20&strategy=${strategy}`);
+        if (!res.ok) return;
+        const json = await res.json();
+        setData(json.data || []);
+      } catch {}
+    };
+    fetchData();
+    const iv = setInterval(fetchData, 15000);
+    return () => clearInterval(iv);
+  }, [symbol, strategy]);
+
+  if (data.length === 0) return null;
+
+  return (
+    <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+      <div className="px-3 py-2 border-b border-slate-100">
+        <h3 className="font-semibold text-slate-800 text-xs">最近信号 ({strategy})</h3>
+      </div>
+      <div className="divide-y divide-slate-100 max-h-48 overflow-y-auto">
+        {data.map((s, i) => (
+          <div key={i} className="px-3 py-1.5 flex items-center justify-between">
+            <div className="flex items-center gap-2">
+              <span className={`text-xs font-bold ${s.signal === "LONG" ? "text-emerald-600" : "text-red-500"}`}>
+                {s.signal === "LONG" ? "🟢 LONG" : "🔴 SHORT"}
+              </span>
+              <span className="text-[10px] text-slate-400">{bjtFull(s.ts)}</span>
+            </div>
+            <div className="flex items-center gap-1.5">
+              <span className="font-mono text-xs text-slate-700">{s.score}</span>
+              <span className={`text-[10px] px-1 py-0.5 rounded ${
+                s.score >= 85 ? "bg-red-100 text-red-700" :
+                s.score >= 75 ? "bg-blue-100 text-blue-700" :
+                "bg-slate-100 text-slate-600"
+              }`}>
+                {s.score >= 85 ? "加仓" : s.score >= 75 ? "标准" : "不开仓"}
+              </span>
+            </div>
+          </div>
+        ))}
+      </div>
+    </div>
+  );
+}
+
+// ─── CVD图表 ────────────────────────────────────────────────────
+
+function CVDChart({ symbol, minutes }: { symbol: Symbol; minutes: number }) {
+  const [data, setData] = useState<IndicatorRow[]>([]);
+  const [loading, setLoading] = useState(true);
+  const strategy = "v53_middle";
+
+  const fetchData = useCallback(async (silent = false) => {
+    try {
+      const res = await authFetch(`/api/signals/indicators?symbol=${symbol}&minutes=${minutes}&strategy=${strategy}`);
+      if (!res.ok) return;
+      const json = await res.json();
+      setData(json.data || []);
+      if (!silent) setLoading(false);
+    } catch {}
+  }, [symbol, minutes, strategy]);
+
+  useEffect(() => {
+    setLoading(true);
+    fetchData();
+    const iv = setInterval(() => fetchData(true), 30000);
+    return () => clearInterval(iv);
+  }, [fetchData]);
+
+  const chartData = data.map(d => ({
+    time: bjtStr(d.ts),
+    fast: parseFloat(d.cvd_fast?.toFixed(2) || "0"),
+    mid: parseFloat(d.cvd_mid?.toFixed(2) || "0"),
+    price: d.price,
+  }));
+
+  const prices = chartData.map(d => d.price).filter(v => v > 0);
+  const pMin = prices.length ? Math.min(...prices) : 0;
+  const pMax = prices.length ? Math.max(...prices) : 0;
+  const pPad = (pMax - pMin) * 0.3 || pMax * 0.001;
+
+  if (loading) return <div className="flex items-center justify-center h-48 text-slate-400 text-sm">加载指标数据...</div>;
+  if (data.length === 0) return <div className="flex items-center justify-center h-48 text-slate-400 text-sm">暂无 V5.3 指标数据，signal-engine 需运行积累</div>;
+
+  return (
+    <ResponsiveContainer width="100%" height={220}>
+      <ComposedChart data={chartData} margin={{ top: 4, right: 60, bottom: 0, left: 8 }}>
+        <CartesianGrid strokeDasharray="3 3" stroke="#f1f5f9" />
+        <XAxis dataKey="time" tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} interval="preserveStartEnd" />
+        <YAxis yAxisId="cvd" tick={{ fill: "#94a3b8", fontSize: 10 }} tickLine={false} axisLine={false} width={55} />
+        <YAxis yAxisId="price" orientation="right" tick={{ fill: "#f59e0b", fontSize: 10 }} tickLine={false} axisLine={false} width={65}
+          domain={[Math.floor(pMin - pPad), Math.ceil(pMax + pPad)]}
+          tickFormatter={(v: number) => v >= 1000 ? `$${(v / 1000).toFixed(1)}k` : `$${v.toFixed(0)}`}
+        />
+        <Tooltip
+          // eslint-disable-next-line @typescript-eslint/no-explicit-any
+          formatter={(v: any, name: any) => {
+            if (name === "price") return [`$${Number(v).toLocaleString()}`, "币价"];
+            if (name === "fast") return [fmt(Number(v)), "CVD_fast(5m实算)"];
+            return [fmt(Number(v)), "CVD_mid(30m实算)"];
+          }}
+          contentStyle={{ background: "#fff", border: "1px solid #e2e8f0", borderRadius: 8, fontSize: 11 }}
+        />
+        <Legend wrapperStyle={{ fontSize: 11 }} />
+        <ReferenceLine yAxisId="cvd" y={0} stroke="#94a3b8" strokeDasharray="4 2" />
+        <Area yAxisId="cvd" type="monotone" dataKey="fast" name="fast" stroke="#2563eb" fill="#eff6ff" strokeWidth={1.5} dot={false} connectNulls />
+        <Line yAxisId="cvd" type="monotone" dataKey="mid" name="mid" stroke="#7c3aed" strokeWidth={1.5} dot={false} connectNulls strokeDasharray="6 3" />
+        <Line yAxisId="price" type="monotone" dataKey="price" name="price" stroke="#f59e0b" strokeWidth={1.5} dot={false} connectNulls strokeDasharray="4 2" />
+      </ComposedChart>
+    </ResponsiveContainer>
+  );
+}
+
+// ─── 主页面 ──────────────────────────────────────────────────────
+
+export default function SignalsV53Page() {
+  const { isLoggedIn, loading } = useAuth();
+  const [symbol, setSymbol] = useState<Symbol>("ETH");
+  const [minutes, setMinutes] = useState(240);
+
+  if (loading) return <div className="flex items-center justify-center h-64 text-slate-400">加载中...</div>;
+  if (!isLoggedIn) return (
+    <div className="flex flex-col items-center justify-center h-64 gap-4">
+      <div className="text-5xl">🔒</div>
+      <p className="text-slate-600 font-medium">请先登录查看信号数据</p>
+      <div className="flex gap-2">
+        <Link href="/login" className="bg-blue-600 text-white px-4 py-2 rounded-lg text-sm">登录</Link>
+        <Link href="/register" className="border border-slate-300 text-slate-600 px-4 py-2 rounded-lg text-sm">注册</Link>
+      </div>
+    </div>
+  );
+
+  return (
+    <div className="space-y-3">
+      {/* Fast 实验版标识条 */}
+      <div className="rounded-lg bg-gradient-to-r from-orange-500 to-amber-400 px-3 py-1.5 flex items-center justify-between">
+        <span className="text-white text-xs font-bold">🚀 V5.3 Middle — 实验变体 A/B对照</span>
+        <div className="flex gap-2 text-white text-[10px] font-medium">
+          <span className="bg-white/20 px-2 py-0.5 rounded">CVD 5m/30m</span>
+          <span className="bg-white/20 px-2 py-0.5 rounded">OBI+加分</span>
+          <span className="bg-white/20 px-2 py-0.5 rounded">accel独立触发</span>
+        </div>
+      </div>
+      <div className="flex items-center justify-between flex-wrap gap-2">
+        <div>
+          <h1 className="text-lg font-bold text-slate-900">🚀 信号引擎 V5.3 Middle</h1>
+          <p className="text-slate-500 text-[10px]">
+            CVD 5m/30m · OBI正向加分 · accel独立触发 · 实验变体 ·
+            {symbol === "BTC" ? " 🔵 BTC轨（gate-control）" : " 🟣 ALT轨（ETH/XRP/SOL）"}
+          </p>
+        </div>
+        <div className="flex gap-1">
+          {(["BTC", "ETH", "XRP", "SOL"] as Symbol[]).map(s => (
+            <button key={s} onClick={() => setSymbol(s)}
+              className={`px-3 py-1 rounded-lg border text-xs font-medium transition-colors ${symbol === s ? (s === "BTC" ? "bg-amber-500 text-white border-amber-500" : "bg-blue-600 text-white border-blue-600") : "border-slate-200 text-slate-600 hover:border-blue-400"}`}>
+              {s}{s === "BTC" ? " 🔵" : ""}
+            </button>
+          ))}
+        </div>
+      </div>
+
+      <IndicatorCards symbol={symbol} />
+      <SignalHistory symbol={symbol} />
+
+      <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+        <div className="px-3 py-2 border-b border-slate-100 flex items-center justify-between flex-wrap gap-1">
+          <div>
+            <h3 className="font-semibold text-slate-800 text-xs">CVD三轨 + 币价</h3>
+            <p className="text-[10px] text-slate-400">蓝=fast(DB存30m,实算5m★) · 紫=mid(DB存4h,实算30m★) · 橙=价格</p>
+          </div>
+          <div className="flex gap-1">
+            {WINDOWS.map(w => (
+              <button key={w.value} onClick={() => setMinutes(w.value)}
+                className={`px-2 py-1 rounded border text-xs transition-colors ${minutes === w.value ? "bg-slate-800 text-white border-slate-800" : "border-slate-200 text-slate-500 hover:border-slate-400"}`}>
+                {w.label}
+              </button>
+            ))}
+          </div>
+        </div>
+        <div className="px-3 py-2">
+          <CVDChart symbol={symbol} minutes={minutes} />
+        </div>
+      </div>
+
+      <div className="rounded-xl border border-slate-200 bg-white shadow-sm overflow-hidden">
+        <div className="px-3 py-2 border-b border-slate-100">
+          <h3 className="font-semibold text-slate-800 text-xs">📖 V5.3 双轨信号说明</h3>
+        </div>
+        <div className="px-3 py-2 space-y-2 text-[11px] text-slate-600">
+          <div className="p-2 bg-purple-50 rounded-lg border border-purple-100">
+            <span className="font-bold text-purple-800">🟣 ALT轨（ETH/XRP/SOL）— 四层线性评分</span>
+            <div className="mt-1 space-y-1">
+              <p><span className="font-semibold">1️⃣ 方向层（55分）</span> — CVD共振30分（fast+mid同向）+ P99大单对齐20分 + 加速奖励5分。删除独立确认层，解决CVD双重计分问题。</p>
+              <p><span className="font-semibold">2️⃣ 拥挤层（25分）</span> — LSR反向拥挤15分（散户过度拥挤=信号）+ 大户持仓方向10分。</p>
+              <p><span className="font-semibold">3️⃣ 环境层（15分）</span> — OI变化率，新资金进场vs撤离，判断趋势持续性。</p>
+              <p><span className="font-semibold">4️⃣ 辅助层（5分）</span> — Coinbase Premium，美系机构动向。</p>
+            </div>
+          </div>
+          <div className="p-2 bg-amber-50 rounded-lg border border-amber-100">
+            <span className="font-bold text-amber-800">🔵 BTC轨 — Gate-Control逻辑</span>
+            <div className="mt-1 space-y-1">
+              <p><span className="font-semibold">波动率门控</span>：ATR/Price ≥ 0.2%，低波动行情拒绝开仓</p>
+              <p><span className="font-semibold">OBI否决</span>：订单簿失衡超阈值且与信号方向冲突时否决（实时100ms）</p>
+              <p><span className="font-semibold">期现背离否决</span>：spot与perp价差超阈值时否决（实时1s）</p>
+              <p><span className="font-semibold">巨鲸CVD</span>：&gt;$100k成交额净CVD，15分钟滚动窗口实时计算</p>
+            </div>
+          </div>
+          <div className="pt-1 border-t border-slate-100">
+            <span className="text-blue-600 font-medium">档位：</span>&lt;75不开仓 · 75-84标准 · ≥85加仓 · 冷却10分钟
+          </div>
+        </div>
+      </div>
+    </div>
+  );
+}

frontend/app/signals/page.tsx

@@ -175,7 +175,7 @@ function SignalHistory({ symbol }: { symbol: Symbol }) {
   useEffect(() => {
     const fetchData = async () => {
       try {
-        const res = await authFetch(`/api/signals/signal-history?symbol=${symbol}&limit=20`);
+        const res = await authFetch(`/api/signals/signal-history?symbol=${symbol}&limit=20&strategy=v51_baseline`);
         if (!res.ok) return;
         const json = await res.json();
         setData(json.data || []);
@@ -227,7 +227,7 @@ function IndicatorCards({ symbol }: { symbol: Symbol }) {
   useEffect(() => {
     const fetch = async () => {
       try {
-        const res = await authFetch("/api/signals/latest");
+        const res = await authFetch("/api/signals/latest?strategy=v51_baseline");
         if (!res.ok) return;
         const json = await res.json();
         setData(json[symbol] || null);

frontend/app/strategy-plaza/[id]/page.tsx

@@ -0,0 +1,176 @@
+"use client";
+
+import { useParams, useSearchParams, useRouter } from "next/navigation";
+import { useEffect, useState, useCallback } from "react";
+import { authFetch } from "@/lib/auth";
+import Link from "next/link";
+import dynamic from "next/dynamic";
+import {
+  ArrowLeft,
+  CheckCircle,
+  PauseCircle,
+  AlertCircle,
+  Clock,
+} from "lucide-react";
+
+// ─── Dynamic imports for each strategy's pages ───────────────────
+const SignalsV53 = dynamic(() => import("@/app/signals-v53/page"), { ssr: false });
+const SignalsV53Fast = dynamic(() => import("@/app/signals-v53fast/page"), { ssr: false });
+const SignalsV53Middle = dynamic(() => import("@/app/signals-v53middle/page"), { ssr: false });
+const PaperV53 = dynamic(() => import("@/app/paper-v53/page"), { ssr: false });
+const PaperV53Fast = dynamic(() => import("@/app/paper-v53fast/page"), { ssr: false });
+const PaperV53Middle = dynamic(() => import("@/app/paper-v53middle/page"), { ssr: false });
+
+// ─── Types ────────────────────────────────────────────────────────
+interface StrategySummary {
+  id: string;
+  display_name: string;
+  status: string;
+  started_at: number;
+  initial_balance: number;
+  current_balance: number;
+  net_usdt: number;
+  net_r: number;
+  trade_count: number;
+  win_rate: number;
+  avg_win_r: number;
+  avg_loss_r: number;
+  open_positions: number;
+  pnl_usdt_24h: number;
+  pnl_r_24h: number;
+  cvd_windows?: string;
+  description?: string;
+}
+
+// ─── Helpers ──────────────────────────────────────────────────────
+function fmtDur(ms: number) {
+  const s = Math.floor((Date.now() - ms) / 1000);
+  const d = Math.floor(s / 86400);
+  const h = Math.floor((s % 86400) / 3600);
+  const m = Math.floor((s % 3600) / 60);
+  if (d > 0) return `${d}天${h}h`;
+  if (h > 0) return `${h}h${m}m`;
+  return `${m}m`;
+}
+
+function StatusBadge({ status }: { status: string }) {
+  if (status === "running") return <span className="flex items-center gap-1 text-xs text-emerald-400"><CheckCircle size={12} />运行中</span>;
+  if (status === "paused") return <span className="flex items-center gap-1 text-xs text-yellow-400"><PauseCircle size={12} />已暂停</span>;
+  return <span className="flex items-center gap-1 text-xs text-red-400"><AlertCircle size={12} />异常</span>;
+}
+
+// ─── Content router ───────────────────────────────────────────────
+function SignalsContent({ strategyId }: { strategyId: string }) {
+  if (strategyId === "v53") return <SignalsV53 />;
+  if (strategyId === "v53_fast") return <SignalsV53Fast />;
+  if (strategyId === "v53_middle") return <SignalsV53Middle />;
+  return <div className="p-8 text-gray-400">未知策略: {strategyId}</div>;
+}
+
+function PaperContent({ strategyId }: { strategyId: string }) {
+  if (strategyId === "v53") return <PaperV53 />;
+  if (strategyId === "v53_fast") return <PaperV53Fast />;
+  if (strategyId === "v53_middle") return <PaperV53Middle />;
+  return <div className="p-8 text-gray-400">未知策略: {strategyId}</div>;
+}
+
+// ─── Main Page ────────────────────────────────────────────────────
+export default function StrategyDetailPage() {
+  const params = useParams();
+  const searchParams = useSearchParams();
+  const router = useRouter();
+  const strategyId = params?.id as string;
+  const tab = searchParams?.get("tab") || "signals";
+
+  const [summary, setSummary] = useState<StrategySummary | null>(null);
+  const [loading, setLoading] = useState(true);
+
+  const fetchSummary = useCallback(async () => {
+    try {
+      const r = await authFetch(`/api/strategy-plaza/${strategyId}/summary`);
+      if (r.ok) {
+        const d = await r.json();
+        setSummary(d);
+      }
+    } catch {}
+    setLoading(false);
+  }, [strategyId]);
+
+  useEffect(() => {
+    fetchSummary();
+    const iv = setInterval(fetchSummary, 30000);
+    return () => clearInterval(iv);
+  }, [fetchSummary]);
+
+  if (loading) {
+    return (
+      <div className="flex items-center justify-center min-h-screen">
+        <div className="text-gray-400 animate-pulse">加载中...</div>
+      </div>
+    );
+  }
+
+  const isProfit = (summary?.net_usdt ?? 0) >= 0;
+
+  return (
+    <div className="p-4 max-w-full">
+      {/* Back + Strategy Header */}
+      <div className="flex items-center gap-3 mb-4">
+        <Link href="/strategy-plaza" className="flex items-center gap-1 text-gray-400 hover:text-white text-sm transition-colors">
+          <ArrowLeft size={16} />
+          策略广场
+        </Link>
+        <span className="text-gray-600">/</span>
+        <span className="text-white font-medium">{summary?.display_name ?? strategyId}</span>
+      </div>
+
+      {/* Summary Bar */}
+      {summary && (
+        <div className="flex flex-wrap items-center gap-3 rounded-xl border border-slate-200 bg-white px-4 py-2.5 mb-4">
+          <StatusBadge status={summary.status} />
+          <span className="text-xs text-slate-400 flex items-center gap-1">
+            <Clock size={10} />运行 {fmtDur(summary.started_at)}
+          </span>
+          {summary.cvd_windows && (
+            <span className="text-xs text-blue-600 bg-blue-50 border border-blue-100 px-2 py-0.5 rounded">CVD {summary.cvd_windows}</span>
+          )}
+          <span className="ml-auto flex items-center gap-4 text-xs">
+            <span className="text-slate-500">胜率 <span className={summary.win_rate >= 50 ? "text-emerald-600 font-bold" : "text-amber-600 font-bold"}>{summary.win_rate}%</span></span>
+            <span className="text-slate-500">净R <span className={`font-bold ${isProfit ? "text-emerald-600" : "text-red-500"}`}>{summary.net_r >= 0 ? "+" : ""}{summary.net_r}R</span></span>
+            <span className="text-slate-500">余额 <span className={`font-bold ${isProfit ? "text-emerald-600" : "text-red-500"}`}>{summary.current_balance.toLocaleString()} U</span></span>
+            <span className="text-slate-500">24h <span className={`font-bold ${summary.pnl_usdt_24h >= 0 ? "text-emerald-600" : "text-red-500"}`}>{summary.pnl_usdt_24h >= 0 ? "+" : ""}{summary.pnl_usdt_24h} U</span></span>
+          </span>
+        </div>
+      )}
+
+      {/* Tabs */}
+      <div className="flex gap-2 mb-4">
+        {[
+          { key: "signals", label: "📊 信号引擎" },
+          { key: "paper", label: "📈 模拟盘" },
+        ].map(({ key, label }) => (
+          <button
+            key={key}
+            onClick={() => router.push(`/strategy-plaza/${strategyId}?tab=${key}`)}
+            className={`px-4 py-1.5 rounded-lg text-xs font-medium border transition-colors ${
+              tab === key
+                ? "bg-blue-600 text-white border-blue-600"
+                : "bg-white text-slate-600 border-slate-200 hover:border-blue-300 hover:text-blue-600"
+            }`}
+          >
+            {label}
+          </button>
+        ))}
+      </div>
+
+      {/* Content — direct render of existing pages */}
+      <div>
+        {tab === "signals" ? (
+          <SignalsContent strategyId={strategyId} />
+        ) : (
+          <PaperContent strategyId={strategyId} />
+        )}
+      </div>
+    </div>
+  );
+}

frontend/app/strategy-plaza/page.tsx

@@ -0,0 +1,259 @@
+"use client";
+
+import { useEffect, useState, useCallback } from "react";
+import { authFetch } from "@/lib/auth";
+import { useAuth } from "@/lib/auth";
+import Link from "next/link";
+import {
+  TrendingUp,
+  TrendingDown,
+  Clock,
+  Activity,
+  AlertCircle,
+  CheckCircle,
+  PauseCircle,
+} from "lucide-react";
+
+interface StrategyCard {
+  id: string;
+  display_name: string;
+  status: "running" | "paused" | "error";
+  started_at: number;
+  initial_balance: number;
+  current_balance: number;
+  net_usdt: number;
+  net_r: number;
+  trade_count: number;
+  win_rate: number;
+  avg_win_r: number;
+  avg_loss_r: number;
+  open_positions: number;
+  pnl_usdt_24h: number;
+  pnl_r_24h: number;
+  std_r: number;
+  last_trade_at: number | null;
+}
+
+function formatDuration(ms: number): string {
+  const totalSec = Math.floor((Date.now() - ms) / 1000);
+  const d = Math.floor(totalSec / 86400);
+  const h = Math.floor((totalSec % 86400) / 3600);
+  const m = Math.floor((totalSec % 3600) / 60);
+  if (d > 0) return `${d}天 ${h}小时`;
+  if (h > 0) return `${h}小时 ${m}分`;
+  return `${m}分钟`;
+}
+
+function formatTime(ms: number | null): string {
+  if (!ms) return "—";
+  const d = new Date(ms);
+  return d.toLocaleString("zh-CN", {
+    timeZone: "Asia/Shanghai",
+    month: "2-digit",
+    day: "2-digit",
+    hour: "2-digit",
+    minute: "2-digit",
+    hour12: false,
+  });
+}
+
+function StatusBadge({ status }: { status: string }) {
+  if (status === "running") {
+    return (
+      <span className="flex items-center gap-1 text-xs text-emerald-600 font-medium">
+        <CheckCircle size={11} className="text-emerald-500" />
+        运行中
+      </span>
+    );
+  }
+  if (status === "paused") {
+    return (
+      <span className="flex items-center gap-1 text-xs text-amber-600 font-medium">
+        <PauseCircle size={11} className="text-amber-500" />
+        已暂停
+      </span>
+    );
+  }
+  return (
+    <span className="flex items-center gap-1 text-xs text-red-600 font-medium">
+      <AlertCircle size={11} className="text-red-500" />
+      异常
+    </span>
+  );
+}
+
+function StrategyCardComponent({ s }: { s: StrategyCard }) {
+  const isProfit = s.net_usdt >= 0;
+  const is24hProfit = s.pnl_usdt_24h >= 0;
+  const balancePct = ((s.current_balance / s.initial_balance) * 100).toFixed(1);
+
+  return (
+    <Link href={`/strategy-plaza/${s.id}`}>
+      <div className="rounded-xl border border-slate-200 bg-white overflow-hidden hover:border-blue-300 hover:shadow-md transition-all cursor-pointer group">
+        {/* Header */}
+        <div className="px-4 py-3 border-b border-slate-100 flex items-center justify-between">
+          <div className="flex items-center gap-2">
+            <h3 className="font-semibold text-slate-800 text-sm group-hover:text-blue-700 transition-colors">
+              {s.display_name}
+            </h3>
+            <StatusBadge status={s.status} />
+          </div>
+          <span className="text-[10px] text-slate-400 flex items-center gap-1">
+            <Clock size={9} />
+            {formatDuration(s.started_at)}
+          </span>
+        </div>
+
+        {/* Main PnL */}
+        <div className="px-4 pt-3 pb-2">
+          <div className="flex items-end justify-between mb-2">
+            <div>
+              <div className="text-[10px] text-slate-400 mb-0.5">当前余额</div>
+              <div className="text-xl font-bold text-slate-800">
+                {s.current_balance.toLocaleString()}
+                <span className="text-xs font-normal text-slate-400 ml-1">USDT</span>
+              </div>
+            </div>
+            <div className="text-right">
+              <div className="text-[10px] text-slate-400 mb-0.5">累计盈亏</div>
+              <div className={`text-lg font-bold ${isProfit ? "text-emerald-600" : "text-red-500"}`}>
+                {isProfit ? "+" : ""}{s.net_usdt.toLocaleString()} U
+              </div>
+            </div>
+          </div>
+
+          {/* Balance Bar */}
+          <div className="mb-3">
+            <div className="flex justify-between text-[10px] text-slate-400 mb-1">
+              <span>{balancePct}%</span>
+              <span>{s.initial_balance.toLocaleString()} USDT 初始</span>
+            </div>
+            <div className="w-full bg-slate-100 rounded-full h-1.5">
+              <div
+                className={`h-1.5 rounded-full ${isProfit ? "bg-emerald-400" : "bg-red-400"}`}
+                style={{ width: `${Math.min(100, Math.max(0, (s.current_balance / s.initial_balance) * 100))}%` }}
+              />
+            </div>
+          </div>
+
+          {/* Stats Row */}
+          <div className="grid grid-cols-3 gap-2 mb-3">
+            <div className="bg-slate-50 rounded-lg p-2 text-center">
+              <div className="text-[10px] text-slate-400">胜率</div>
+              <div className={`text-sm font-bold ${s.win_rate >= 50 ? "text-emerald-600" : s.win_rate >= 45 ? "text-amber-600" : "text-red-500"}`}>
+                {s.win_rate}%
+              </div>
+            </div>
+            <div className="bg-slate-50 rounded-lg p-2 text-center">
+              <div className="text-[10px] text-slate-400">净R</div>
+              <div className={`text-sm font-bold ${s.net_r >= 0 ? "text-emerald-600" : "text-red-500"}`}>
+                {s.net_r >= 0 ? "+" : ""}{s.net_r}R
+              </div>
+            </div>
+            <div className="bg-slate-50 rounded-lg p-2 text-center">
+              <div className="text-[10px] text-slate-400">交易数</div>
+              <div className="text-sm font-bold text-slate-700">{s.trade_count}</div>
+            </div>
+          </div>
+
+          {/* Avg win/loss */}
+          <div className="flex gap-2 mb-3">
+            <div className="flex-1 bg-emerald-50 rounded-lg px-2.5 py-1.5">
+              <span className="text-[10px] text-emerald-600">平均赢</span>
+              <span className="float-right text-[10px] font-bold text-emerald-600">+{s.avg_win_r}R</span>
+            </div>
+            <div className="flex-1 bg-red-50 rounded-lg px-2.5 py-1.5">
+              <span className="text-[10px] text-red-500">平均亏</span>
+              <span className="float-right text-[10px] font-bold text-red-500">{s.avg_loss_r}R</span>
+            </div>
+          </div>
+        </div>
+
+        {/* Footer */}
+        <div className="px-4 py-2.5 border-t border-slate-100 flex items-center justify-between bg-slate-50/60">
+          <div className="flex items-center gap-1">
+            {is24hProfit ? (
+              <TrendingUp size={12} className="text-emerald-500" />
+            ) : (
+              <TrendingDown size={12} className="text-red-500" />
+            )}
+            <span className={`text-[10px] font-medium ${is24hProfit ? "text-emerald-600" : "text-red-500"}`}>
+              24h {is24hProfit ? "+" : ""}{s.pnl_usdt_24h.toLocaleString()} U
+            </span>
+          </div>
+          <div className="flex items-center gap-1 text-[10px] text-slate-400">
+            <Activity size={9} />
+            {s.open_positions > 0 ? (
+              <span className="text-amber-600 font-medium">{s.open_positions}仓持仓中</span>
+            ) : (
+              <span>上次: {formatTime(s.last_trade_at)}</span>
+            )}
+          </div>
+        </div>
+      </div>
+    </Link>
+  );
+}
+
+export default function StrategyPlazaPage() {
+  useAuth();
+  const [strategies, setStrategies] = useState<StrategyCard[]>([]);
+  const [loading, setLoading] = useState(true);
+  const [lastUpdated, setLastUpdated] = useState<Date | null>(null);
+
+  const fetchData = useCallback(async () => {
+    try {
+      const res = await authFetch("/api/strategy-plaza");
+      const data = await res.json();
+      setStrategies(data.strategies || []);
+      setLastUpdated(new Date());
+    } catch (e) {
+      console.error(e);
+    } finally {
+      setLoading(false);
+    }
+  }, []);
+
+  useEffect(() => {
+    fetchData();
+    const interval = setInterval(fetchData, 30000);
+    return () => clearInterval(interval);
+  }, [fetchData]);
+
+  if (loading) {
+    return (
+      <div className="flex items-center justify-center min-h-64">
+        <div className="text-slate-400 text-sm animate-pulse">加载中...</div>
+      </div>
+    );
+  }
+
+  return (
+    <div className="p-4 max-w-5xl mx-auto">
+      {/* Header */}
+      <div className="flex items-center justify-between mb-5">
+        <div>
+          <h1 className="text-lg font-bold text-slate-800">策略广场</h1>
+          <p className="text-slate-500 text-xs mt-0.5">点击卡片查看信号引擎和模拟盘详情</p>
+        </div>
+        {lastUpdated && (
+          <div className="text-[10px] text-slate-400 flex items-center gap-1">
+            <span className="inline-block w-1.5 h-1.5 rounded-full bg-emerald-400 animate-pulse" />
+            {lastUpdated.toLocaleTimeString("zh-CN", { timeZone: "Asia/Shanghai", hour12: false })}
+          </div>
+        )}
+      </div>
+
+      {/* Strategy Cards */}
+      <div className="grid grid-cols-1 md:grid-cols-2 xl:grid-cols-3 gap-4">
+        {strategies.map((s) => (
+          <StrategyCardComponent key={s.id} s={s} />
+        ))}
+      </div>
+
+      {strategies.length === 0 && (
+        <div className="text-center text-slate-400 text-sm py-16">暂无策略数据</div>
+      )}
+    </div>
+  );
+}

frontend/components/Sidebar.tsx

@@ -7,14 +7,14 @@ import { useAuth } from "@/lib/auth";
 import {
   LayoutDashboard, Info,
   Menu, X, Zap, LogIn, UserPlus,
-  ChevronLeft, ChevronRight, Activity, LogOut, Crosshair, Monitor, LineChart
+  ChevronLeft, ChevronRight, Activity, LogOut, Monitor, LineChart, Bolt
 } from "lucide-react";
 
 const navItems = [
   { href: "/", label: "仪表盘", icon: LayoutDashboard },
   { href: "/trades", label: "成交流", icon: Activity },
-  { href: "/signals", label: "信号引擎 V5.1", icon: Crosshair },
-  { href: "/paper", label: "模拟盘", icon: LineChart },
+  { href: "/live", label: "⚡ 实盘交易", icon: Bolt, section: "── 实盘 ──" },
+  { href: "/strategy-plaza", label: "策略广场", icon: Zap, section: "── 策略 ──" },
   { href: "/server", label: "服务器", icon: Monitor },
   { href: "/about", label: "说明", icon: Info },
 ];
@@ -37,17 +37,26 @@ export default function Sidebar() {
 
       {/* Nav */}
       <nav className="flex-1 py-4 space-y-1 px-2">
-        {navItems.map(({ href, label, icon: Icon }) => {
+        {navItems.map(({ href, label, icon: Icon, section }, idx) => {
           const active = pathname === href;
           return (
-            <Link key={href} href={href}
+            <div key={href}>
+              {section && (
+                <div className={`px-3 pt-3 pb-1 text-[10px] font-semibold text-slate-400 tracking-wider ${idx > 0 ? "mt-2 border-t border-slate-100 pt-4" : ""}`}>
+                  {section}
+                </div>
+              )}
+              <Link href={href}
                 onClick={() => setMobileOpen(false)}
                 className={`flex items-center gap-3 px-3 py-2.5 rounded-lg text-sm transition-colors
                   ${active ? "bg-blue-50 text-blue-700 font-medium" : "text-slate-600 hover:bg-slate-100 hover:text-slate-900"}
                   ${collapsed && !mobile ? "justify-center" : ""}`}>
                 <Icon className={`shrink-0 ${active ? "text-blue-600" : "text-slate-400"}`} size={18} />
-              {(!collapsed || mobile) && <span>{label}</span>}
+                {(!collapsed || mobile) && (
+                  <span className="flex items-center gap-1.5">{label}</span>
+                )}
               </Link>
+            </div>
           );
         })}
         {/* 手机端：登录/登出放在菜单里 */}

frontend/package-lock.json

@@ -10,6 +10,7 @@
       "dependencies": {
         "class-variance-authority": "^0.7.1",
         "clsx": "^2.1.1",
+        "lightweight-charts": "^5.0.0",
         "lucide-react": "^0.575.0",
         "next": "16.1.6",
         "react": "19.2.3",
@@ -3765,6 +3766,12 @@
       "integrity": "sha512-mlsTRyGaPBjPedk6Bvw+aqbsXDtoAyAzm5MO7JgU+yVRyMQ5O8bD4Kcci7BS85f93veegeCPkL8R4GLClnjLFw==",
       "license": "MIT"
     },
+    "node_modules/fancy-canvas": {
+      "version": "2.1.0",
+      "resolved": "https://registry.npmjs.org/fancy-canvas/-/fancy-canvas-2.1.0.tgz",
+      "integrity": "sha512-nifxXJ95JNLFR2NgRV4/MxVP45G9909wJTEKz5fg/TZS20JJZA6hfgRVh/bC9bwl2zBtBNcYPjiBE4njQHVBwQ==",
+      "license": "MIT"
+    },
     "node_modules/fast-deep-equal": {
       "version": "3.1.3",
       "resolved": "https://registry.npmjs.org/fast-deep-equal/-/fast-deep-equal-3.1.3.tgz",
@@ -5127,6 +5134,15 @@
         "url": "https://opencollective.com/parcel"
       }
     },
+    "node_modules/lightweight-charts": {
+      "version": "5.1.0",
+      "resolved": "https://registry.npmjs.org/lightweight-charts/-/lightweight-charts-5.1.0.tgz",
+      "integrity": "sha512-jEAYR4ODYeyNZcWUigsoLTl52rbPmgXnvd5FLIv/ZoA/2sSDw63YKnef8n4yhzum7W926yHeFwlm7ididKb7YQ==",
+      "license": "Apache-2.0",
+      "dependencies": {
+        "fancy-canvas": "2.1.0"
+      }
+    },
     "node_modules/locate-path": {
       "version": "6.0.0",
       "resolved": "https://registry.npmjs.org/locate-path/-/locate-path-6.0.0.tgz",

scripts/label_backfill.py

@@ -0,0 +1,245 @@
+#!/usr/bin/env python3
+"""
+label_backfill.py — V5.3 信号标签回填脚本
+
+功能：
+  - 遍历 signal_feature_events 中有 side 的历史记录
+  - 根据 side 时点后 15/30/60 分钟的 agg_trades 价格计算标签
+  - 写入 signal_label_events 表（event_id 复用 signal_feature_events.event_id）
+
+标签定义（严格按 Mark Price + 时间序列方向）：
+  y_binary_60m = 1 if price_60m_later > price_at_signal (LONG)
+               = 1 if price_60m_later < price_at_signal (SHORT)
+               = 0 otherwise
+  y_return_Xm  = (price_Xm_later - price_at_signal) / price_at_signal (方向不翻转，LONG正SHORT正)
+  mfe_r_60m    = max favorable excursion / atr_value (需 atr_value 不为0)
+  mae_r_60m    = max adverse excursion / atr_value
+
+运行方式：
+  python3 scripts/label_backfill.py
+  python3 scripts/label_backfill.py --symbol BTCUSDT
+  python3 scripts/label_backfill.py --since 1709000000000  # ms timestamp
+  python3 scripts/label_backfill.py --dry-run  # 只打印不写入
+
+依赖：
+  PG_PASS / PG_HOST 环境变量（同其他脚本）
+"""
+
+import argparse
+import logging
+import os
+import sys
+import time
+
+import psycopg2
+import psycopg2.extras
+
+sys.path.insert(0, os.path.join(os.path.dirname(__file__), "..", "backend"))
+from db import get_sync_conn, init_schema
+
+logging.basicConfig(
+    level=logging.INFO,
+    format="%(asctime)s [%(levelname)s] %(message)s",
+)
+logger = logging.getLogger("label_backfill")
+
+HORIZONS_MS = {
+    "15m": 15 * 60 * 1000,
+    "30m": 30 * 60 * 1000,
+    "60m": 60 * 60 * 1000,
+}
+BATCH_SIZE = 200
+LABEL_TABLE = "signal_label_events"
+
+
+def ensure_label_table(conn):
+    """label_events 表由 db.py init_schema 创建，此处仅确认存在"""
+    with conn.cursor() as cur:
+        cur.execute(
+            "SELECT EXISTS(SELECT 1 FROM information_schema.tables WHERE table_name=%s)",
+            (LABEL_TABLE,),
+        )
+        if not cur.fetchone()[0]:
+            raise RuntimeError(f"表 {LABEL_TABLE} 不存在，请先运行 init_schema()")
+
+
+def fetch_unlabeled_signals(conn, symbol=None, since_ms=None, limit=BATCH_SIZE):
+    """取尚未回填标签的 signal_feature_events（有 side 且 60m 已过期）"""
+    cutoff_ms = int(time.time() * 1000) - HORIZONS_MS["60m"] - 60_000  # 多留1分钟缓冲
+    with conn.cursor(cursor_factory=psycopg2.extras.DictCursor) as cur:
+        params = []
+        conds = [
+            "sfe.side IS NOT NULL",
+            "sfe.side != ''",
+            "sfe.ts < %s",
+            "sle.event_id IS NULL",  # 尚未回填
+        ]
+        params.append(cutoff_ms)
+        if symbol:
+            conds.append("sfe.symbol = %s")
+            params.append(symbol.upper())
+        if since_ms:
+            conds.append("sfe.ts >= %s")
+            params.append(since_ms)
+        where = " AND ".join(conds)
+        params.append(limit)
+        cur.execute(
+            f"""
+            SELECT sfe.event_id AS id, sfe.ts, sfe.symbol, sfe.side AS signal,
+                   sfe.price, sfe.atr_value
+            FROM signal_feature_events sfe
+            LEFT JOIN {LABEL_TABLE} sle ON sle.event_id = sfe.event_id
+            WHERE {where}
+            ORDER BY sfe.ts ASC
+            LIMIT %s
+            """,
+            params,
+        )
+        return cur.fetchall()
+
+
+def fetch_price_at(conn, symbol: str, ts_ms: int) -> float | None:
+    """取 ts_ms 之后最近一笔 agg_trades 成交价"""
+    with conn.cursor() as cur:
+        cur.execute(
+            "SELECT price FROM agg_trades WHERE symbol=%s AND time_ms >= %s ORDER BY time_ms ASC LIMIT 1",
+            (symbol, ts_ms),
+        )
+        row = cur.fetchone()
+        return float(row[0]) if row else None
+
+
+def fetch_price_range(conn, symbol: str, from_ms: int, to_ms: int):
+    """取区间内最高价和最低价（用于 MFE/MAE 计算）"""
+    with conn.cursor() as cur:
+        cur.execute(
+            "SELECT MAX(price), MIN(price) FROM agg_trades WHERE symbol=%s AND time_ms BETWEEN %s AND %s",
+            (symbol, from_ms, to_ms),
+        )
+        row = cur.fetchone()
+        if row and row[0] is not None:
+            return float(row[0]), float(row[1])
+        return None, None
+
+
+def compute_label(signal: str, entry_price: float, future_price: float) -> int:
+    """方向感知二值标签（1=预测正确，0=预测错误）"""
+    if signal == "LONG":
+        return 1 if future_price > entry_price else 0
+    elif signal == "SHORT":
+        return 1 if future_price < entry_price else 0
+    return 0
+
+
+def compute_return(signal: str, entry_price: float, future_price: float) -> float:
+    """方向感知收益率（正值=有利）"""
+    if entry_price == 0:
+        return 0.0
+    raw = (future_price - entry_price) / entry_price
+    return raw if signal == "LONG" else -raw
+
+
+def compute_mfe_mae(signal: str, entry_price: float, high: float, low: float, atr: float):
+    """MFE/MAE（以R为单位）"""
+    if atr is None or atr <= 0:
+        return None, None
+    if signal == "LONG":
+        mfe = (high - entry_price) / atr
+        mae = (entry_price - low) / atr
+    else:
+        mfe = (entry_price - low) / atr
+        mae = (high - entry_price) / atr
+    return round(mfe, 4), round(mae, 4)
+
+
+def backfill_batch(conn, rows: list, dry_run: bool) -> int:
+    """处理一批信号，返回成功回填数"""
+    if not rows:
+        return 0
+
+    records = []
+    for row in rows:
+        event_id = row["id"]
+        ts = row["ts"]
+        symbol = row["symbol"]
+        signal = row["signal"]
+        entry_price = row["price"] or 0.0
+        atr_value = row["atr_value"]
+
+        labels = {}
+        for horizon, delta_ms in HORIZONS_MS.items():
+            future_ms = ts + delta_ms
+            fp = fetch_price_at(conn, symbol, future_ms)
+            if fp is None:
+                labels[horizon] = None
+                labels[f"ret_{horizon}"] = None
+            else:
+                labels[horizon] = compute_label(signal, entry_price, fp)
+                labels[f"ret_{horizon}"] = round(compute_return(signal, entry_price, fp), 6)
+
+        # MFE/MAE 在 60m 窗口内
+        high, low = fetch_price_range(conn, symbol, ts, ts + HORIZONS_MS["60m"])
+        mfe, mae = compute_mfe_mae(signal, entry_price, high, low, atr_value) if high else (None, None)
+
+        records.append((
+            event_id,
+            labels.get("15m"), labels.get("30m"), labels.get("60m"),
+            labels.get("ret_15m"), labels.get("ret_30m"), labels.get("ret_60m"),
+            mfe, mae,
+            int(time.time() * 1000),
+        ))
+
+    if dry_run:
+        logger.info(f"[dry-run] 准备写入 {len(records)} 条标签")
+        for r in records[:5]:
+            logger.info(f"  event_id={r[0]} y15m={r[1]} y30m={r[2]} y60m={r[3]} ret60m={r[6]} mfe={r[7]} mae={r[8]}")
+        return len(records)
+
+    with conn.cursor() as cur:
+        psycopg2.extras.execute_values(
+            cur,
+            f"""
+            INSERT INTO {LABEL_TABLE}
+            (event_id, y_binary_15m, y_binary_30m, y_binary_60m,
+             y_return_15m, y_return_30m, y_return_60m, mfe_r_60m, mae_r_60m, label_ts)
+            VALUES %s
+            ON CONFLICT (event_id) DO NOTHING
+            """,
+            records,
+        )
+        conn.commit()
+    return len(records)
+
+
+def main():
+    parser = argparse.ArgumentParser(description="V5.3 信号标签回填")
+    parser.add_argument("--symbol", help="只回填指定品种（BTCUSDT/ETHUSDT/...）")
+    parser.add_argument("--since", type=int, help="起始时间戳（ms）")
+    parser.add_argument("--dry-run", action="store_true", help="只打印，不写入")
+    parser.add_argument("--loop", action="store_true", help="持续运行，每5分钟跑一次")
+    args = parser.parse_args()
+
+    init_schema()
+
+    total = 0
+    while True:
+        with get_sync_conn() as conn:
+            ensure_label_table(conn)
+            rows = fetch_unlabeled_signals(conn, symbol=args.symbol, since_ms=args.since)
+            if not rows:
+                logger.info("没有待回填的信号，结束。")
+                break
+            n = backfill_batch(conn, rows, dry_run=args.dry_run)
+            total += n
+            logger.info(f"本批回填 {n} 条，累计 {total} 条")
+
+        time.sleep(1)  # 限速：每批间隔1秒，减轻DB压力
+        if not args.loop:
+            break
+        time.sleep(300)  # 5分钟
+
+    logger.info(f"回填完成，总计 {total} 条。")
+
+
+if __name__ == "__main__":
+    main()

scripts/replay_paper_trades.py

@@ -0,0 +1,321 @@
+#!/usr/bin/env python3
+"""
+全量重放脚本 v2：用真实成交价(agg_trades) + 原始信号重算所有paper_trades的结果
+
+修复点（xiaofan审阅后）：
+1. 事件判定按时间戳最先发生，不是固定优先级
+2. TP1后进入半仓状态机，pnl_r不重复计算全仓
+3. flip与价格触发冲突：谁时间早用谁，同时间优先价格触发
+4. 保本价显式常量，区分净保本/毛保本
+"""
+import psycopg2
+from datetime import datetime, timezone, timedelta
+
+BJ = timezone(timedelta(hours=8))
+TIMEOUT_MS = 60 * 60 * 1000  # 60分钟
+
+# 保本价偏移（毛保本，不含手续费，仅防止SL=entry被1tick打掉）
+BE_OFFSET_LONG  = 1.0005   # LONG: SL移到entry*1.0005
+BE_OFFSET_SHORT = 0.9995   # SHORT: SL移到entry*0.9995
+
+STRATEGY_CONFIG = {
+    'v52_8signals': {'sl': 2.1, 'tp1': 1.4, 'tp2': 3.15},
+    'v51_baseline': {'sl': 1.4, 'tp1': 1.05, 'tp2': 2.1},
+}
+
+def ts_bj(ts_ms):
+    return datetime.fromtimestamp(ts_ms / 1000, BJ).strftime('%m-%d %H:%M:%S')
+
+def replay_trade(cur, tid, symbol, direction, strategy, entry_ts, atr):
+    cfg = STRATEGY_CONFIG.get(strategy)
+    if not cfg:
+        return None, f"未知策略: {strategy}"
+
+    # 1. 真实入场价（entry_ts时刻最新成交价）
+    cur.execute("""
+        SELECT price FROM agg_trades 
+        WHERE symbol=%s AND time_ms <= %s 
+        ORDER BY time_ms DESC LIMIT 1
+    """, (symbol, entry_ts))
+    row = cur.fetchone()
+    if not row:
+        return None, "找不到entry时刻的agg_trade"
+    entry = row[0]
+
+    # 2. 计算原始TP/SL
+    rd = cfg['sl'] * atr
+    if rd <= 0:
+        return None, f"risk_distance={rd}，ATR={atr}无效"
+
+    if direction == 'LONG':
+        sl_orig = entry - rd
+        tp1 = entry + cfg['tp1'] * atr
+        tp2 = entry + cfg['tp2'] * atr
+    else:
+        sl_orig = entry + rd
+        tp1 = entry - cfg['tp1'] * atr
+        tp2 = entry - cfg['tp2'] * atr
+
+    timeout_ts = entry_ts + TIMEOUT_MS
+
+    # 3. 加载该时段内所有agg_trades价格（按时间顺序）
+    cur.execute("""
+        SELECT time_ms, price FROM agg_trades 
+        WHERE symbol=%s AND time_ms > %s AND time_ms <= %s
+        ORDER BY time_ms ASC
+    """, (symbol, entry_ts, timeout_ts))
+    price_rows = cur.fetchall()
+
+    # 4. 加载该时段内第一个反向信号（signal_flip检测）
+    cur.execute("""
+        SELECT ts FROM signal_indicators
+        WHERE symbol=%s AND strategy=%s AND ts > %s AND ts <= %s
+          AND signal IS NOT NULL AND signal != ''
+          AND signal != %s
+        ORDER BY ts ASC
+        LIMIT 1
+    """, (symbol, strategy, entry_ts, timeout_ts, direction))
+    flip_row = cur.fetchone()
+    flip_ts = flip_row[0] if flip_row else None
+
+    # 5. 状态机：按时间顺序处理事件
+    sl_current = sl_orig   # 当前有效SL（可能移到保本价）
+    tp1_hit = False
+    tp1_hit_ts = None
+    tp1_r = abs(tp1 - entry) / rd  # 预计算，TP1触发后固定
+
+    result_status = None
+    result_exit_ts = None
+    result_exit_price = None
+    result_pnl_r = None
+
+    for time_ms, price in price_rows:
+        # 关键：先检查flip_ts是否比当前tick更早（tie-break：同时间优先价格触发）
+        if flip_ts and flip_ts < time_ms:
+            # flip发生在这笔tick之前，flip优先
+            cur.execute("""
+                SELECT price FROM agg_trades 
+                WHERE symbol=%s AND time_ms <= %s 
+                ORDER BY time_ms DESC LIMIT 1
+            """, (symbol, flip_ts))
+            fp = cur.fetchone()
+            flip_price = fp[0] if fp else price
+
+            if direction == 'LONG':
+                flip_pnl_half = (flip_price - entry) / rd
+            else:
+                flip_pnl_half = (entry - flip_price) / rd
+
+            if tp1_hit:
+                # 已TP1：半仓已在tp1出，剩余半仓在flip_price出
+                result_pnl_r = 0.5 * tp1_r + 0.5 * flip_pnl_half
+            else:
+                result_pnl_r = flip_pnl_half
+
+            result_status = 'signal_flip'
+            result_exit_ts = flip_ts
+            result_exit_price = flip_price
+            break
+
+        if direction == 'LONG':
+            if not tp1_hit:
+                if price <= sl_current:
+                    result_status = 'sl'
+                    result_exit_ts = time_ms
+                    result_exit_price = sl_orig  # 按挂单价成交
+                    result_pnl_r = -1.0
+                    break
+                if price >= tp1:
+                    # TP1触发：半仓止盈，SL移保本
+                    tp1_hit = True
+                    tp1_hit_ts = time_ms
+                    sl_current = entry * BE_OFFSET_LONG
+            else:
+                # 半仓状态机：只剩50%仓位
+                if price <= sl_current:
+                    # 保本SL触发
+                    result_status = 'sl_be'
+                    result_exit_ts = time_ms
+                    result_exit_price = sl_current
+                    result_pnl_r = 0.5 * tp1_r  # 半仓TP1已实现
+                    break
+                if price >= tp2:
+                    # TP2触发
+                    tp2_r = (tp2 - entry) / rd
+                    result_status = 'tp'
+                    result_exit_ts = time_ms
+                    result_exit_price = tp2
+                    result_pnl_r = 0.5 * tp1_r + 0.5 * tp2_r
+                    break
+        else:  # SHORT
+            if not tp1_hit:
+                if price >= sl_current:
+                    result_status = 'sl'
+                    result_exit_ts = time_ms
+                    result_exit_price = sl_orig
+                    result_pnl_r = -1.0
+                    break
+                if price <= tp1:
+                    tp1_hit = True
+                    tp1_hit_ts = time_ms
+                    sl_current = entry * BE_OFFSET_SHORT
+            else:
+                if price >= sl_current:
+                    result_status = 'sl_be'
+                    result_exit_ts = time_ms
+                    result_exit_price = sl_current
+                    result_pnl_r = 0.5 * tp1_r
+                    break
+                if price <= tp2:
+                    tp2_r = (entry - tp2) / rd
+                    result_status = 'tp'
+                    result_exit_ts = time_ms
+                    result_exit_price = tp2
+                    result_pnl_r = 0.5 * tp1_r + 0.5 * tp2_r
+                    break
+
+    # Timeout或循环结束未触发
+    if not result_status:
+        # 检查flip_ts是否在timeout范围内但没被price_rows覆盖到
+        if flip_ts and flip_ts <= timeout_ts:
+            cur.execute("""
+                SELECT price FROM agg_trades 
+                WHERE symbol=%s AND time_ms <= %s 
+                ORDER BY time_ms DESC LIMIT 1
+            """, (symbol, flip_ts))
+            fp = cur.fetchone()
+            flip_price = fp[0] if fp else entry
+            if direction == 'LONG':
+                flip_pnl_half = (flip_price - entry) / rd
+            else:
+                flip_pnl_half = (entry - flip_price) / rd
+            if tp1_hit:
+                result_pnl_r = 0.5 * tp1_r + 0.5 * flip_pnl_half
+            else:
+                result_pnl_r = flip_pnl_half
+            result_status = 'signal_flip'
+            result_exit_ts = flip_ts
+            result_exit_price = flip_price
+        else:
+            # 真正的timeout
+            cur.execute("""
+                SELECT price FROM agg_trades 
+                WHERE symbol=%s AND time_ms <= %s 
+                ORDER BY time_ms DESC LIMIT 1
+            """, (symbol, timeout_ts))
+            lp = cur.fetchone()
+            exit_price = lp[0] if lp else entry
+            if direction == 'LONG':
+                timeout_half_pnl = (exit_price - entry) / rd
+            else:
+                timeout_half_pnl = (entry - exit_price) / rd
+            if tp1_hit:
+                result_pnl_r = 0.5 * tp1_r + 0.5 * timeout_half_pnl
+            else:
+                result_pnl_r = timeout_half_pnl
+            result_status = 'timeout'
+            result_exit_ts = timeout_ts
+            result_exit_price = exit_price
+
+    # 扣手续费: fee_r = 2 * taker_rate * entry / rd（开仓+平仓各一次）
+    PAPER_FEE_RATE = 0.0005
+    fee_r = 2 * PAPER_FEE_RATE * entry / rd if rd > 0 else 0
+    result_pnl_r -= fee_r
+
+    return {
+        'id': tid,
+        'entry': entry,
+        'rd': rd,
+        'tp1': tp1,
+        'tp2': tp2,
+        'sl_orig': sl_orig,
+        'tp1_hit': tp1_hit,
+        'tp1_hit_ts': tp1_hit_ts,
+        'status': result_status,
+        'exit_ts': result_exit_ts,
+        'exit_price': result_exit_price,
+        'pnl_r': round(result_pnl_r, 4),
+    }, None
+
+
+def main(dry_run=False):
+    conn = psycopg2.connect(host='10.106.0.3', dbname='arb_engine', user='arb', password='arb_engine_2026')
+    cur = conn.cursor()
+
+    cur.execute("""
+        SELECT id, symbol, direction, strategy, entry_ts, atr_at_entry
+        FROM paper_trades
+        WHERE atr_at_entry > 0
+          AND status NOT IN ('active', 'tp1_hit')
+          AND COALESCE(calc_version, 0) < 2
+        ORDER BY id ASC
+    """)
+    trades = cur.fetchall()
+    print(f"总计 {len(trades)} 笔待重放")
+
+    results = []
+    errors = []
+    for tid, symbol, direction, strategy, entry_ts, atr in trades:
+        res, err = replay_trade(cur, tid, symbol, direction, strategy, entry_ts, atr)
+        if err:
+            errors.append((tid, err))
+        else:
+            results.append((res, strategy))
+
+    print(f"成功重放: {len(results)}, 错误: {len(errors)}")
+    for e in errors[:5]:
+        print(f"  错误: {e}")
+
+    if not dry_run and results:
+        for res, _ in results:
+            r = res
+            cur.execute("""
+                UPDATE paper_trades SET
+                    entry_price = %s,
+                    tp1_price = %s,
+                    tp2_price = %s,
+                    sl_price = %s,
+                    tp1_hit = %s,
+                    status = %s,
+                    exit_price = %s,
+                    exit_ts = %s,
+                    pnl_r = %s,
+                    risk_distance = %s,
+                    price_source = 'last_trade',
+                    calc_version = 2
+                WHERE id = %s
+            """, (
+                r['entry'], r['tp1'], r['tp2'], r['sl_orig'],
+                r['tp1_hit'], r['status'], r['exit_price'], r['exit_ts'],
+                r['pnl_r'], r['rd'], r['id']
+            ))
+        conn.commit()
+        print(f"已写入 {len(results)} 笔")
+
+    # 统计
+    by_strategy = {}
+    for res, strat in results:
+        if strat not in by_strategy:
+            by_strategy[strat] = {'n': 0, 'wins': 0, 'total_r': 0.0, 'status': {}}
+        by_strategy[strat]['n'] += 1
+        by_strategy[strat]['total_r'] += res['pnl_r']
+        if res['pnl_r'] > 0:
+            by_strategy[strat]['wins'] += 1
+        s = res['status']
+        by_strategy[strat]['status'][s] = by_strategy[strat]['status'].get(s, 0) + 1
+
+    print("\n===== 重放统计（真实价口径）=====")
+    for strat, s in sorted(by_strategy.items()):
+        win_pct = s['wins'] / s['n'] * 100 if s['n'] > 0 else 0
+        print(f"  {strat}: {s['n']}笔, 胜率{win_pct:.1f}%, 总R={s['total_r']:+.2f}")
+        for st, c in sorted(s['status'].items()):
+            print(f"    {st}: {c}")
+
+    conn.close()
+
+
+if __name__ == '__main__':
+    import sys
+    dry = '--dry-run' in sys.argv
+    print(f"模式: {'DRY RUN（不写入）' if dry else '正式写入'}")
+    main(dry_run=dry)

signal-engine.log

@@ -0,0 +1,196 @@
+2026-03-01 23:06:35,118 [INFO] signal-engine: 已加载策略配置: v51_baseline, v52_8signals
+2026-03-01 23:06:37,990 [INFO] signal-engine: [BTCUSDT] 冷启动完成: 加载425,636条历史数据 (窗口=4h)
+2026-03-01 23:06:41,185 [INFO] signal-engine: [ETHUSDT] 冷启动完成: 加载474,707条历史数据 (窗口=4h)
+2026-03-01 23:06:41,583 [INFO] signal-engine: [XRPUSDT] 冷启动完成: 加载63,246条历史数据 (窗口=4h)
+2026-03-01 23:06:42,041 [INFO] signal-engine: [SOLUSDT] 冷启动完成: 加载70,472条历史数据 (窗口=4h)
+2026-03-01 23:06:42,041 [INFO] signal-engine: === Signal Engine (PG) 启动完成 ===
+2026-03-01 23:06:42,270 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=65362.8
+2026-03-01 23:06:42,270 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=90 price=65362.8
+2026-03-01 23:06:42,726 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=92 price=82.8
+2026-03-01 23:06:42,726 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=92 price=82.8
+2026-03-01 23:07:14,105 [INFO] signal-engine: 冷启动保护期结束，模拟盘开仓已启用
+2026-03-01 23:14:12,791 [INFO] signal-engine: 已加载策略配置: v51_baseline, v52_8signals
+2026-03-01 23:14:15,845 [INFO] signal-engine: [BTCUSDT] 冷启动完成: 加载446,015条历史数据 (窗口=4h)
+2026-03-01 23:14:19,122 [INFO] signal-engine: [ETHUSDT] 冷启动完成: 加载486,995条历史数据 (窗口=4h)
+2026-03-01 23:14:19,543 [INFO] signal-engine: [XRPUSDT] 冷启动完成: 加载64,234条历史数据 (窗口=4h)
+2026-03-01 23:14:20,034 [INFO] signal-engine: [SOLUSDT] 冷启动完成: 加载72,230条历史数据 (窗口=4h)
+2026-03-01 23:14:20,034 [INFO] signal-engine: === Signal Engine (PG) 启动完成 ===
+2026-03-01 23:14:20,277 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=65517.8
+2026-03-01 23:14:20,277 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=90 price=65517.8
+2026-03-01 23:14:20,717 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=92 price=83.2
+2026-03-01 23:14:20,717 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=97 price=83.2
+2026-03-01 23:14:52,024 [INFO] signal-engine: 冷启动保护期结束，模拟盘开仓已启用
+2026-03-01 23:23:48,162 [INFO] signal-engine: 已加载策略配置: v51_baseline, v52_8signals
+2026-03-01 23:23:51,129 [INFO] signal-engine: [BTCUSDT] 冷启动完成: 加载454,017条历史数据 (窗口=4h)
+2026-03-01 23:23:54,321 [INFO] signal-engine: [ETHUSDT] 冷启动完成: 加载489,974条历史数据 (窗口=4h)
+2026-03-01 23:23:54,744 [INFO] signal-engine: [XRPUSDT] 冷启动完成: 加载65,115条历史数据 (窗口=4h)
+2026-03-01 23:23:55,256 [INFO] signal-engine: [SOLUSDT] 冷启动完成: 加载72,235条历史数据 (窗口=4h)
+2026-03-01 23:23:55,257 [INFO] signal-engine: === Signal Engine (PG) 启动完成 ===
+2026-03-01 23:23:55,497 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=95 price=65616.4
+2026-03-01 23:23:55,497 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=95 price=65616.4
+2026-03-01 23:23:55,960 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=92 price=83.4
+2026-03-01 23:23:55,961 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=92 price=83.4
+2026-03-01 23:24:27,328 [INFO] signal-engine: 冷启动保护期结束，模拟盘开仓已启用
+2026-03-01 23:32:18,630 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: SHORT score=82 price=1.4
+2026-03-01 23:32:18,630 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v52_8signals]: SHORT score=82 price=1.4
+2026-03-01 23:32:18,652 [INFO] signal-engine: [XRPUSDT] 📝 模拟开仓: SHORT @ 1.35 score=82 tier=standard strategy=v52_8signals TP1=1.34 TP2=1.33 SL=1.36
+2026-03-01 23:34:08,143 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=85 price=65781.9
+2026-03-01 23:34:08,144 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=85 price=65781.9
+2026-03-01 23:34:08,165 [INFO] signal-engine: [BTCUSDT] 📝 模拟开仓: LONG @ 65781.85 score=85 tier=heavy strategy=v52_8signals TP1=66122.21 TP2=66547.66 SL=65271.31
+2026-03-01 23:34:08,664 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=87 price=83.5
+2026-03-01 23:34:08,664 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=87 price=83.5
+2026-03-01 23:34:08,686 [INFO] signal-engine: [SOLUSDT] 📝 模拟开仓: LONG @ 83.54 score=87 tier=heavy strategy=v52_8signals TP1=84.10 TP2=84.80 SL=82.70
+2026-03-01 23:35:46,904 [INFO] signal-engine: 已加载策略配置: v51_baseline, v52_8signals
+2026-03-01 23:35:50,048 [INFO] signal-engine: [BTCUSDT] 冷启动完成: 加载459,950条历史数据 (窗口=4h)
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+2026-03-01 23:35:54,229 [INFO] signal-engine: [SOLUSDT] 冷启动完成: 加载71,505条历史数据 (窗口=4h)
+2026-03-01 23:35:54,229 [INFO] signal-engine: === Signal Engine (PG) 启动完成 ===
+2026-03-01 23:35:54,463 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=95 price=65794.8
+2026-03-01 23:35:54,464 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=95 price=65794.8
+2026-03-01 23:35:54,823 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: SHORT score=92 price=1.4
+2026-03-01 23:35:54,823 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v52_8signals]: SHORT score=92 price=1.4
+2026-03-01 23:35:54,901 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=92 price=83.6
+2026-03-01 23:35:54,901 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=92 price=83.6
+2026-03-01 23:36:26,291 [INFO] signal-engine: 冷启动保护期结束，模拟盘开仓已启用
+2026-03-01 23:45:20,597 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: SHORT score=85 price=1937.2
+2026-03-01 23:45:20,598 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: SHORT score=90 price=1937.2
+2026-03-01 23:45:20,621 [INFO] signal-engine: [ETHUSDT] 📝 模拟开仓: SHORT @ 1937.23 score=90 tier=heavy strategy=v52_8signals TP1=1923.04 TP2=1905.29 SL=1958.53
+2026-03-01 23:46:07,484 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=85 price=65708.5
+2026-03-01 23:46:07,484 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=85 price=65708.5
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+2026-03-01 23:46:07,939 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=87 price=83.5
+2026-03-01 23:46:07,939 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=87 price=83.5
+2026-03-01 23:51:22,298 [INFO] signal-engine: [BTCUSDT] 状态: CVD_fast=417.5 CVD_mid=3139.9 ATR=262.21 (11%) VWAP=65702.8
+2026-03-01 23:51:22,298 [INFO] signal-engine: [ETHUSDT] 状态: CVD_fast=-892.3 CVD_mid=-33690.7 ATR=8.38 (11%) VWAP=1937.7
+2026-03-01 23:51:22,298 [INFO] signal-engine: [XRPUSDT] 状态: CVD_fast=-517373.6 CVD_mid=-3295080.7 ATR=0.01 (11%) VWAP=1.4
+2026-03-01 23:51:22,298 [INFO] signal-engine: [SOLUSDT] 状态: CVD_fast=829.6 CVD_mid=204333.9 ATR=0.39 (11%) VWAP=83.6
+2026-03-01 23:55:33,622 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: SHORT score=80 price=1937.9
+2026-03-01 23:55:33,622 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: SHORT score=80 price=1937.9
+2026-03-01 23:56:20,475 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=85 price=65700.6
+2026-03-01 23:56:20,475 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=85 price=65700.6
+2026-03-01 23:56:20,867 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: SHORT score=82 price=1.4
+2026-03-01 23:56:20,867 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v52_8signals]: SHORT score=82 price=1.4
+2026-03-01 23:56:20,955 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=87 price=83.6
+2026-03-01 23:56:20,955 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=87 price=83.6
+2026-03-01 23:57:56,842 [INFO] signal-engine: 已加载策略配置: v51_baseline, v52_8signals
+2026-03-01 23:58:00,054 [INFO] signal-engine: [BTCUSDT] 冷启动完成: 加载469,368条历史数据 (窗口=4h)
+2026-03-01 23:58:03,491 [INFO] signal-engine: [ETHUSDT] 冷启动完成: 加载480,675条历史数据 (窗口=4h)
+2026-03-01 23:58:03,940 [INFO] signal-engine: [XRPUSDT] 冷启动完成: 加载64,627条历史数据 (窗口=4h)
+2026-03-01 23:58:04,405 [INFO] signal-engine: [SOLUSDT] 冷启动完成: 加载69,923条历史数据 (窗口=4h)
+2026-03-01 23:58:04,405 [INFO] signal-engine: === Signal Engine (PG) 启动完成 ===
+2026-03-01 23:58:04,670 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=65701.1
+2026-03-01 23:58:04,671 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=90 price=65701.1
+2026-03-01 23:58:05,068 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=92 price=83.6
+2026-03-01 23:58:05,069 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=92 price=83.6
+2026-03-01 23:58:36,358 [INFO] signal-engine: 冷启动保护期结束，模拟盘开仓已启用
+2026-03-02 00:02:15,179 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: SHORT score=87 price=1.4
+2026-03-02 00:02:15,180 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v52_8signals]: SHORT score=87 price=1.4
+2026-03-02 00:08:14,751 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=85 price=65785.2
+2026-03-02 00:08:14,751 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=90 price=65785.2
+2026-03-02 00:08:15,137 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=82 price=83.6
+2026-03-02 00:08:15,138 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=82 price=83.6
+2026-03-02 00:12:25,824 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: LONG score=82 price=1.4
+2026-03-02 00:12:25,824 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v52_8signals]: LONG score=87 price=1.4
+2026-03-02 00:12:57,084 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=1942.8
+2026-03-02 00:12:57,085 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: LONG score=95 price=1942.8
+2026-03-02 00:13:28,619 [INFO] signal-engine: [BTCUSDT] 状态: CVD_fast=492.8 CVD_mid=4524.8 ATR=344.15 (100%) VWAP=65886.1
+2026-03-02 00:13:28,619 [INFO] signal-engine: [ETHUSDT] 状态: CVD_fast=12835.6 CVD_mid=5292.2 ATR=10.87 (100%) VWAP=1942.9
+2026-03-02 00:13:28,619 [INFO] signal-engine: [XRPUSDT] 状态: CVD_fast=561858.0 CVD_mid=1078138.6 ATR=0.01 (100%) VWAP=1.4
+2026-03-02 00:13:28,620 [INFO] signal-engine: [SOLUSDT] 状态: CVD_fast=61604.1 CVD_mid=357198.7 ATR=0.51 (100%) VWAP=83.7
+2026-03-02 00:18:25,810 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=82 price=65894.7
+2026-03-02 00:18:25,810 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=82 price=65894.7
+2026-03-02 00:18:25,829 [INFO] signal-engine: [BTCUSDT] 📝 模拟开仓: LONG @ 65894.67 score=82 tier=standard strategy=v52_8signals TP1=66258.64 TP2=66713.60 SL=65348.71
+2026-03-02 00:18:26,217 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=87 price=83.7
+2026-03-02 00:18:26,217 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=87 price=83.7
+2026-03-02 00:18:26,235 [INFO] signal-engine: [SOLUSDT] 📝 模拟开仓: LONG @ 83.72 score=87 tier=heavy strategy=v52_8signals TP1=84.44 TP2=85.34 SL=82.65
+2026-03-02 00:22:37,394 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: LONG score=77 price=1.4
+2026-03-02 00:22:37,395 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v52_8signals]: LONG score=77 price=1.4
+2026-03-02 00:23:08,756 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: LONG score=85 price=1943.5
+2026-03-02 00:23:08,756 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: LONG score=90 price=1943.5
+2026-03-02 00:25:13,809 [INFO] signal-engine: 已加载策略配置: v51_baseline, v52_8signals
+2026-03-02 00:25:17,084 [INFO] signal-engine: [BTCUSDT] 冷启动完成: 加载467,836条历史数据 (窗口=4h)
+2026-03-02 00:25:20,192 [INFO] signal-engine: [ETHUSDT] 冷启动完成: 加载457,043条历史数据 (窗口=4h)
+2026-03-02 00:25:20,634 [INFO] signal-engine: [XRPUSDT] 冷启动完成: 加载65,387条历史数据 (窗口=4h)
+2026-03-02 00:25:21,081 [INFO] signal-engine: [SOLUSDT] 冷启动完成: 加载67,363条历史数据 (窗口=4h)
+2026-03-02 00:25:21,081 [INFO] signal-engine: === Signal Engine (PG) 启动完成 ===
+2026-03-02 00:25:21,333 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=65913.4
+2026-03-02 00:25:21,334 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=90 price=65913.4
+2026-03-02 00:25:21,612 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=1943.7
+2026-03-02 00:25:21,612 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: LONG score=90 price=1943.7
+2026-03-02 00:25:21,693 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: LONG score=87 price=1.4
+2026-03-02 00:25:21,693 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v52_8signals]: LONG score=82 price=1.4
+2026-03-02 00:25:21,780 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=92 price=83.8
+2026-03-02 00:25:21,780 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=87 price=83.8
+2026-03-02 00:25:53,073 [INFO] signal-engine: 冷启动保护期结束，模拟盘开仓已启用
+2026-03-02 00:34:24,612 [INFO] signal-engine: 已加载策略配置: v51_baseline, v52_8signals
+2026-03-02 00:34:27,756 [INFO] signal-engine: [BTCUSDT] 冷启动完成: 加载459,517条历史数据 (窗口=4h)
+2026-03-02 00:34:30,633 [INFO] signal-engine: [ETHUSDT] 冷启动完成: 加载438,434条历史数据 (窗口=4h)
+2026-03-02 00:34:31,056 [INFO] signal-engine: [XRPUSDT] 冷启动完成: 加载64,941条历史数据 (窗口=4h)
+2026-03-02 00:34:31,510 [INFO] signal-engine: [SOLUSDT] 冷启动完成: 加载66,780条历史数据 (窗口=4h)
+2026-03-02 00:34:31,511 [INFO] signal-engine: === Signal Engine (PG) 启动完成 ===
+2026-03-02 00:34:31,763 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=65953.9
+2026-03-02 00:34:31,763 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=83 price=65953.9
+2026-03-02 00:34:32,046 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: LONG score=95 price=1945.0
+2026-03-02 00:34:32,046 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: LONG score=87 price=1945.0
+2026-03-02 00:34:32,138 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: LONG score=87 price=1.4
+2026-03-02 00:34:32,235 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=92 price=83.8
+2026-03-02 00:34:32,236 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=84 price=83.8
+2026-03-02 00:35:03,725 [INFO] signal-engine: 冷启动保护期结束，模拟盘开仓已启用
+2026-03-02 00:38:28,367 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v52_8signals]: LONG score=75 price=1.4
+2026-03-02 00:44:45,649 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=66018.3
+2026-03-02 00:44:45,649 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=83 price=66018.3
+2026-03-02 00:44:45,939 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=1947.1
+2026-03-02 00:44:45,940 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: LONG score=83 price=1947.1
+2026-03-02 00:44:46,036 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: LONG score=82 price=1.4
+2026-03-02 00:44:46,128 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=87 price=84.0
+2026-03-02 00:44:46,129 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=80 price=84.0
+2026-03-02 00:48:42,855 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v52_8signals]: LONG score=75 price=1.4
+2026-03-02 00:50:01,898 [INFO] signal-engine: [BTCUSDT] 状态: CVD_fast=587.6 CVD_mid=5583.3 ATR=230.66 (69%) VWAP=66328.7
+2026-03-02 00:50:01,898 [INFO] signal-engine: [ETHUSDT] 状态: CVD_fast=13374.7 CVD_mid=74135.1 ATR=7.58 (69%) VWAP=1953.2
+2026-03-02 00:50:01,899 [INFO] signal-engine: [XRPUSDT] 状态: CVD_fast=686323.2 CVD_mid=4294786.9 ATR=0.00 (66%) VWAP=1.4
+2026-03-02 00:50:01,899 [INFO] signal-engine: [SOLUSDT] 状态: CVD_fast=159663.5 CVD_mid=524572.1 ATR=0.37 (38%) VWAP=84.4
+2026-03-02 00:55:01,241 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=85 price=66391.1
+2026-03-02 00:55:01,241 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=83 price=66391.1
+2026-03-02 00:55:01,565 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=1954.9
+2026-03-02 00:55:01,565 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: LONG score=83 price=1954.9
+2026-03-02 00:55:01,681 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: LONG score=77 price=1.4
+2026-03-02 00:55:01,797 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=87 price=84.5
+2026-03-02 00:55:01,797 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=75 price=84.5
+2026-03-02 00:56:24,512 [INFO] signal-engine: 已加载策略配置: v51_baseline, v52_8signals
+2026-03-02 00:56:27,834 [INFO] signal-engine: [BTCUSDT] 冷启动完成: 加载487,314条历史数据 (窗口=4h)
+2026-03-02 00:56:30,636 [INFO] signal-engine: [ETHUSDT] 冷启动完成: 加载423,049条历史数据 (窗口=4h)
+2026-03-02 00:56:31,186 [INFO] signal-engine: [XRPUSDT] 冷启动完成: 加载63,935条历史数据 (窗口=4h)
+2026-03-02 00:56:31,669 [INFO] signal-engine: [SOLUSDT] 冷启动完成: 加载67,314条历史数据 (窗口=4h)
+2026-03-02 00:56:31,669 [INFO] signal-engine: === Signal Engine (PG) 启动完成 ===
+2026-03-02 00:56:31,916 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=95 price=66401.1
+2026-03-02 00:56:31,916 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=87.0 price=66401.1
+2026-03-02 00:56:32,159 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: LONG score=95 price=1955.3
+2026-03-02 00:56:32,159 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: LONG score=87.0 price=1955.3
+2026-03-02 00:56:32,227 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: LONG score=87 price=1.4
+2026-03-02 00:56:32,296 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=92 price=84.6
+2026-03-02 00:56:32,296 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=79.0 price=84.6
+2026-03-02 00:57:03,538 [INFO] signal-engine: 冷启动保护期结束，模拟盘开仓已启用
+2026-03-02 01:06:43,805 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=85 price=66469.7
+2026-03-02 01:06:43,805 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=83.0 price=66469.7
+2026-03-02 01:06:44,079 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: LONG score=90 price=1959.2
+2026-03-02 01:06:44,079 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: LONG score=83.0 price=1959.2
+2026-03-02 01:06:44,158 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: LONG score=82 price=1.4
+2026-03-02 01:06:44,232 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=82 price=84.8
+2026-03-02 01:06:44,232 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=80.0 price=84.8
+2026-03-02 01:06:44,253 [INFO] signal-engine: [SOLUSDT] 📝 模拟开仓: LONG @ 84.81 score=80.0 tier=standard strategy=v52_8signals TP1=85.30 TP2=85.91 SL=84.08
+2026-03-02 01:10:55,723 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v52_8signals]: LONG score=75.0 price=1.4
+2026-03-02 01:11:58,908 [INFO] signal-engine: [BTCUSDT] 状态: CVD_fast=952.8 CVD_mid=5720.3 ATR=235.00 (100%) VWAP=66586.5
+2026-03-02 01:11:58,908 [INFO] signal-engine: [ETHUSDT] 状态: CVD_fast=31499.2 CVD_mid=101911.4 ATR=7.67 (100%) VWAP=1966.7
+2026-03-02 01:11:58,908 [INFO] signal-engine: [XRPUSDT] 状态: CVD_fast=763930.9 CVD_mid=3518537.2 ATR=0.01 (100%) VWAP=1.4
+2026-03-02 01:11:58,908 [INFO] signal-engine: [SOLUSDT] 状态: CVD_fast=173330.9 CVD_mid=509498.7 ATR=0.38 (46%) VWAP=85.1
+2026-03-02 01:16:57,856 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v51_baseline]: LONG score=85 price=66677.4
+2026-03-02 01:16:57,856 [INFO] signal-engine: [BTCUSDT] 🚨 信号[v52_8signals]: LONG score=78.0 price=66677.4
+2026-03-02 01:16:58,164 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v51_baseline]: LONG score=85 price=1971.5
+2026-03-02 01:16:58,164 [INFO] signal-engine: [ETHUSDT] 🚨 信号[v52_8signals]: LONG score=78.0 price=1971.5
+2026-03-02 01:16:58,185 [INFO] signal-engine: [ETHUSDT] 📝 模拟开仓: LONG @ 1971.50 score=78.0 tier=standard strategy=v52_8signals TP1=1984.82 TP2=2001.47 SL=1951.52
+2026-03-02 01:16:58,264 [INFO] signal-engine: [XRPUSDT] 🚨 信号[v51_baseline]: LONG score=77 price=1.4
+2026-03-02 01:16:58,346 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v51_baseline]: LONG score=82 price=85.3
+2026-03-02 01:16:58,346 [INFO] signal-engine: [SOLUSDT] 🚨 信号[v52_8signals]: LONG score=75.0 price=85.3
+2026-03-02 01:16:58,368 [INFO] signal-engine: [SOLUSDT] 📝 模拟开仓: LONG @ 85.32 score=75.0 tier=standard strategy=v52_8signals TP1=85.98 TP2=86.80 SL=84.34