lulu/arbitrage-engine
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资金费率套利引擎 BTC/ETH 现货+永续对冲
172 Commits 8 Branches 5 Tags 3.9 MiB
TypeScript 54.4%
Python 45.4%
CSS 0.1%
JavaScript 0.1%
262594f16e
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dev-worker 262594f16e fix: entry_price改用最新成交价(last_trade_price)而非VWAP 
VWAP是30分钟加权均价，快速行情下与实际价偏差可达1-2%
历史587笔entry_price+596笔pnl_r已用agg_trades真实价修正
平均偏差31.9bps, 最大189.4bps(1.9%)
V5.1: 42.18R→15.32R | V5.2: 29.83R→0.76R
2026-03-03 02:53:56 +00:00
backend fix: entry_price改用最新成交价(last_trade_price)而非VWAP 2026-03-03 02:53:56 +00:00
docs feat: store and serve indicators per strategy 2026-03-02 02:52:17 +00:00
frontend fix: 模拟盘前端ActivePositions组件自行fetch config计算paper1R 2026-03-02 17:37:03 +00:00
.gitignore fix: 审阅P1/P2/P3全部修复 2026-03-02 14:04:33 +00:00
README.md Initial commit 2026-02-26 11:53:55 +00:00
signal-engine.log fix: clamp direction score to max weight (accel_bonus included) 2026-03-02 01:36:20 +00:00
V52_FRONTEND_TASK.md feat: V5.2 frontend differentiation - strategy tabs, side-by-side scores, visual badges 2026-03-01 12:21:19 +00:00
V52_TASK.md feat: sidebar navigation with V5.1/V5.2 separate entries 2026-03-01 12:25:40 +00:00

README.md

arbitrage-engine

资金费率套利引擎 BTC/ETH 现货+永续对冲