bfxsentry-agent 0.1.0

package/config/default.yaml

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+# BfxSentry Agent 默认配置
+
+engine:
+  mode: dry-run          # dry-run | live
+  log_level: info        # debug | info | warn | error
+
+collector:
+  bitfinex:
+    base_url: https://api-pub.bitfinex.com
+    symbol: tBTCUSD
+    deriv_symbol: tBTCF0:USTF0
+    funding_symbol: fUSD
+    ws_url: wss://api-pub.bitfinex.com/ws/2
+  polymarket:
+    gamma_url: https://gamma-api.polymarket.com
+    clob_url: https://clob.polymarket.com
+
+smart_follow:
+  enabled: true
+  tick_interval: 180
+  entry_conditions:
+    min_score: 65
+    min_whales_aligned: 5
+    min_correlation: 0.5
+    position_confirm: true
+  exit_conditions:
+    score_drop_below: 45
+    whale_flip_count: 3
+    max_hold_hours: 24
+    trailing_stop_pct: 1.5
+  risk:
+    size_pct: 8
+    max_leverage: 2
+    stop_loss_pct: 2.0
+
+funding_arb:
+  enabled: true
+  tick_interval: 300
+  lend:
+    min_rate_percentile: 0.75
+    min_utilization: 0.80
+    min_spare_capacity: 0.15
+    lend_amount_pct: 25
+    preferred_period_days: 7
+    high_rate_period_days: 30
+    high_rate_threshold: 0.90
+  warning:
+    rate_spike_pct: 5
+    critical_utilization: 0.90
+  exit_conditions:
+    rate_drop_percentile: 0.30
+    supply_recovery_pct: 2
+
+liq_hunter:
+  enabled: true
+  tick_interval: 5
+  trend_follow:
+    min_intensity_pct: 0.85
+    min_dominance: 0.70
+    min_price_move_pct: 0.3
+    price_window_sec: 180
+  reversal:
+    min_intensity_pct: 0.95
+    price_stall_pct: 0.1
+    require_ob_confirm: true
+    ob_imbalance_threshold: 1.2
+  risk:
+    size_pct: 5
+    max_leverage: 3
+    trend_stop_pct: 0.5
+    reversal_stop_pct: 0.3
+    take_profit_pct: 1.0
+    cooldown_sec: 300
+
+ob_sniper:
+  enabled: true
+  tick_interval: 5
+  entry_conditions:
+    imbalance_buy: 1.5
+    imbalance_sell: 0.67
+    depth_range_pct: 0.5
+    require_flow_confirm: true
+    flow_buy_ratio: 0.60
+    flow_sell_ratio: 0.40
+    flow_window_sec: 60
+    wall_multiplier: 5
+    wall_break_price_pct: 0.1
+  risk:
+    size_pct: 5
+    max_leverage: 3
+    stop_loss_pct: 0.3
+    take_profit_pct: 0.5
+    signal_ttl_sec: 120
+    cooldown_sec: 120
+
+pm_hedge:
+  enabled: true
+  tick_interval: 15
+  signal_driven:
+    min_confidence: 20
+    min_edge_pct: 3
+    stake_usdc: 100
+  market_making:
+    min_spread_cents: 2
+    max_inventory_imbalance: 0.3
+    hedge_when_imbalance: 0.2
+  hedge:
+    delta: 0.5
+    bfx_instrument: tBTCF0:USTF0
+    max_bfx_position_btc: 0.1
+
+risk:
+  max_total_position_usd: 5000
+  max_daily_loss_usd: 200
+  max_daily_trades: 50
+  max_concurrent_positions: 3
+  conflict_resolution: conservative
+  same_direction_cooldown_sec: 300
+  opposite_signal_cooldown_sec: 60
+  max_slippage_pct: 0.1
+  order_type: limit
+  limit_offset_pct: 0.02
+  portfolio:
+    max_portfolio_var_pct: 3
+    var_confidence: 0.95
+    max_same_direction_pct: 70
+    circuit_breaker:
+      consecutive_losses: 5
+      loss_streak_usd: 300
+      cooldown_minutes: 60
+      action: pause_all
+    trading_hours:
+      enabled: false
+
+recorder:
+  enabled: true
+  retention_days: 30

package/config/phase1-safety.yaml

@@ -0,0 +1,24 @@
+# Phase 1 安全覆盖 (前 2 周实盘)
+# 使用: sentry start --mode live --config config/phase1-safety.yaml
+
+risk:
+  max_total_position_usd: 2000
+  max_daily_trades: 15
+  max_concurrent_positions: 1
+  portfolio:
+    circuit_breaker:
+      consecutive_losses: 3
+      cooldown_minutes: 120
+
+smart_follow:
+  entry_conditions:
+    min_score: 70
+  risk:
+    size_pct: 5
+
+liq_hunter:
+  risk:
+    size_pct: 3
+
+pm_hedge:
+  enabled: false

package/dist/bin/sentry.d.ts

@@ -0,0 +1,3 @@
+#!/usr/bin/env node
+export {};
+//# sourceMappingURL=sentry.d.ts.map

package/dist/bin/sentry.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"sentry.d.ts","sourceRoot":"","sources":["../../bin/sentry.ts"],"names":[],"mappings":""}

package/dist/bin/sentry.js

@@ -0,0 +1,124 @@
+#!/usr/bin/env node
+import { Command } from 'commander';
+import { initLogger } from '../src/core/logger.js';
+import { loadConfig } from '../src/core/config.js';
+import { startEngine, stopEngine } from '../src/core/engine.js';
+import { scanCommand } from '../src/skill/scan.js';
+import { signalCommand } from '../src/skill/signal.js';
+import { strategyCommand } from '../src/skill/strategy.js';
+import { positionCommand } from '../src/skill/status.js';
+import { tradeCommand } from '../src/skill/trade.js';
+import { backtestCommand } from '../src/skill/backtest.js';
+import { configCommand } from '../src/skill/config.js';
+import { logsCommand } from '../src/skill/logs.js';
+const program = new Command();
+program
+    .name('sentry')
+    .description('BfxSentry Agent CLI — Bitfinex 信号驱动交易代理')
+    .version('0.1.0');
+// ── sentry scan ──
+program
+    .command('scan')
+    .description('全市场一次性扫描, 不交易')
+    .option('--json', 'JSON 输出')
+    .option('-c, --config <path>', '自定义配置文件')
+    .action(async (options) => {
+    initLogger('silent');
+    await scanCommand(options);
+});
+// ── sentry signal ──
+program
+    .command('signal [module]')
+    .description('查看信号详情 (smart-money|funding|liquidation|orderbook|polymarket)')
+    .option('-c, --config <path>', '自定义配置文件')
+    .action(async (module, options) => {
+    initLogger('silent');
+    await signalCommand(module, options);
+});
+// ── sentry strategy ──
+program
+    .command('strategy [name]')
+    .description('查看策略状态 (smart-follow|funding-arb|liq-hunter|ob-sniper|pm-hedge)')
+    .option('-c, --config <path>', '自定义配置文件')
+    .action(async (name, options) => {
+    initLogger('silent');
+    await strategyCommand(name, options);
+});
+// ── sentry position ──
+program
+    .command('position [action] [id]')
+    .description('持仓管理 (close <id> | close-all)')
+    .action(async (action, id) => {
+    initLogger('silent');
+    await positionCommand(action, id);
+});
+// ── sentry trade ──
+program
+    .command('trade <direction> <size>')
+    .description('手动交易 (long|short <btc_size> [--stop 2%] [--tp 3%])')
+    .option('--stop <pct>', '止损百分比', '2%')
+    .option('--tp <pct>', '止盈百分比', '3%')
+    .option('-c, --config <path>', '自定义配置文件')
+    .action(async (direction, size, options) => {
+    initLogger('silent');
+    await tradeCommand(direction, size, options);
+});
+// ── sentry backtest ──
+program
+    .command('backtest [strategy]')
+    .description('回测策略 (liq-hunter|smart-follow|ob-sniper|funding-arb|pm-hedge)')
+    .option('-d, --days <n>', '回测天数', '7')
+    .option('-c, --config <path>', '自定义配置文件')
+    .action(async (strategy, options) => {
+    initLogger('silent');
+    await backtestCommand(strategy, options);
+});
+// ── sentry config ──
+program
+    .command('config <action> [args...]')
+    .description('配置管理 (show | set <path> <value>)')
+    .option('-c, --config <path>', '自定义配置文件')
+    .action(async (action, args, options) => {
+    initLogger('silent');
+    await configCommand(action, args, options);
+});
+// ── sentry logs ──
+program
+    .command('logs')
+    .description('查看交易日志')
+    .option('-l, --level <level>', '日志级别 (all|warn)', 'all')
+    .option('-n, --limit <n>', '显示条数', '20')
+    .action(async (options) => {
+    initLogger('silent');
+    await logsCommand(options);
+});
+// ── sentry start ──
+program
+    .command('start')
+    .description('启动 Agent (持续运行)')
+    .option('-m, --mode <mode>', '运行模式 (dry-run|live)', 'dry-run')
+    .option('-c, --config <path>', '自定义配置文件')
+    .option('-i, --interval <sec>', 'Tick 间隔 (秒)', '10')
+    .action(async (options) => {
+    const cfg = loadConfig(options.config);
+    cfg.engine.mode = options.mode;
+    initLogger(cfg.engine.log_level);
+    console.log(`\n  BfxSentry Agent 启动中... (${cfg.engine.mode} 模式)\n`);
+    const shutdown = () => {
+        console.log('\n  正在停止...');
+        stopEngine();
+        setTimeout(() => process.exit(0), 1000);
+    };
+    process.on('SIGINT', shutdown);
+    process.on('SIGTERM', shutdown);
+    await startEngine(cfg, parseInt(options.interval));
+});
+// ── sentry stop ──
+program
+    .command('stop')
+    .description('停止 Agent')
+    .action(() => {
+    stopEngine();
+});
+program.parse();
+//# sourceMappingURL=sentry.js.map

package/dist/bin/sentry.js.map

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package/dist/src/backtest/fill-simulator.d.ts

@@ -0,0 +1,5 @@
+import type { TradeIntent, ExecutionResult } from '../strategy/types.js';
+import type { MarketSnapshot } from '../collector/types.js';
+export declare function simulateFill(intent: TradeIntent, snapshot: MarketSnapshot): ExecutionResult;
+export declare function wouldFillLimit(price: number, direction: 'long' | 'short', nextSnapshot: MarketSnapshot): boolean;
+//# sourceMappingURL=fill-simulator.d.ts.map

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package/dist/src/backtest/fill-simulator.js

@@ -0,0 +1,43 @@
+// Simulates order fills conservatively using recorded snapshot data
+export function simulateFill(intent, snapshot) {
+    const { ticker, orderbook } = snapshot;
+    // Market order: fill at best bid/ask with slippage
+    const bestBid = orderbook.bids[0]?.price || ticker.lastPrice;
+    const bestAsk = orderbook.asks[0]?.price || ticker.lastPrice;
+    let fillPrice;
+    if (intent.direction === 'long') {
+        // Buying: fill at ask + estimated slippage from depth
+        const depth = orderbook.askDepth02;
+        const slippage = depth > 0 ? Math.min(0.001, 0.01 / depth) : 0.001;
+        fillPrice = bestAsk * (1 + slippage);
+    }
+    else {
+        // Selling: fill at bid - estimated slippage
+        const depth = orderbook.bidDepth02;
+        const slippage = depth > 0 ? Math.min(0.001, 0.01 / depth) : 0.001;
+        fillPrice = bestBid * (1 - slippage);
+    }
+    const capitalUsd = 5000;
+    const sizeUsd = capitalUsd * (intent.sizePct / 100);
+    const fillSize = sizeUsd / fillPrice;
+    return {
+        success: true,
+        orderId: `bt-${intent.id}`,
+        fillPrice,
+        fillSize,
+        fee: sizeUsd * 0.001,
+        timestamp: snapshot.timestamp,
+    };
+}
+// Check if a limit order would have been filled
+export function wouldFillLimit(price, direction, nextSnapshot) {
+    if (direction === 'long') {
+        // Buy limit fills when ask drops to or below price
+        return nextSnapshot.ticker.low <= price;
+    }
+    else {
+        // Sell limit fills when bid rises to or above price
+        return nextSnapshot.ticker.high >= price;
+    }
+}
+//# sourceMappingURL=fill-simulator.js.map

package/dist/src/backtest/fill-simulator.js.map

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package/dist/src/backtest/report.d.ts

@@ -0,0 +1,3 @@
+import type { BacktestResult } from './runner.js';
+export declare function printBacktestReport(result: BacktestResult): void;
+//# sourceMappingURL=report.d.ts.map

package/dist/src/backtest/report.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/backtest/report.js

@@ -0,0 +1,43 @@
+import chalk from 'chalk';
+export function printBacktestReport(result) {
+    const { summary, period, trades } = result;
+    console.log('');
+    console.log(chalk.bold.cyan('═══════════════════════════════════════════════════'));
+    console.log(chalk.bold.cyan('  BfxSentry · 回测报告'));
+    console.log(chalk.bold.cyan('═══════════════════════════════════════════════════'));
+    console.log('');
+    console.log(`  策略: ${chalk.bold(result.strategy)}`);
+    console.log(`  区间: ${new Date(period.start).toLocaleDateString()} — ${new Date(period.end).toLocaleDateString()} (${period.days} 天)`);
+    console.log(`  快照数: ${result.snapshotsUsed}`);
+    console.log('');
+    console.log(chalk.bold('  ── 绩效概览 ──'));
+    console.log('');
+    const pnlColor = summary.totalPnl >= 0 ? chalk.green : chalk.red;
+    console.log(`  总交易: ${summary.totalTrades}`);
+    console.log(`  胜/负:  ${chalk.green(String(summary.wins))} / ${chalk.red(String(summary.losses))}`);
+    console.log(`  胜率:   ${(summary.winRate * 100).toFixed(1)}%`);
+    console.log(`  总 PnL: ${pnlColor('$' + summary.totalPnl.toFixed(2))}`);
+    console.log(`  均 PnL: $${summary.avgPnl.toFixed(2)}`);
+    console.log(`  最大回撤: ${(summary.maxDrawdown * 100).toFixed(2)}%`);
+    console.log(`  Sharpe:  ${summary.sharpeRatio.toFixed(2)}`);
+    console.log('');
+    if (trades.length > 0) {
+        console.log(chalk.bold('  ── 最近交易 ──'));
+        console.log('');
+        console.log(chalk.dim('  时间               策略           方向   入场        出场        PnL'));
+        console.log(chalk.dim('  ─────────────────────────────────────────────────────────────────────'));
+        const recent = trades.slice(-15);
+        for (const t of recent) {
+            const dir = t.direction === 'long' ? chalk.green('多') : chalk.red('空');
+            const pnl = t.pnl >= 0 ? chalk.green(`+$${t.pnl.toFixed(2)}`) : chalk.red(`-$${Math.abs(t.pnl).toFixed(2)}`);
+            const time = new Date(t.timestamp).toLocaleString().padEnd(20);
+            console.log(`  ${time} ${t.strategy.padEnd(14)} ${dir}   $${t.entryPrice.toFixed(0).padEnd(10)} $${t.exitPrice.toFixed(0).padEnd(10)} ${pnl}`);
+        }
+        console.log('');
+    }
+    if (trades.length === 0) {
+        console.log(chalk.yellow('  没有录制数据可供回测。先运行 sentry start 采集数据。'));
+        console.log('');
+    }
+}
+//# sourceMappingURL=report.js.map

package/dist/src/backtest/report.js.map

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package/dist/src/backtest/runner.d.ts

@@ -0,0 +1,34 @@
+import type { AgentConfig } from '../core/config.js';
+export interface BacktestResult {
+    strategy: string | 'all';
+    period: {
+        start: number;
+        end: number;
+        days: number;
+    };
+    snapshotsUsed: number;
+    trades: BacktestTrade[];
+    summary: {
+        totalTrades: number;
+        wins: number;
+        losses: number;
+        winRate: number;
+        totalPnl: number;
+        avgPnl: number;
+        maxDrawdown: number;
+        sharpeRatio: number;
+    };
+}
+interface BacktestTrade {
+    timestamp: number;
+    strategy: string;
+    direction: 'long' | 'short';
+    entryPrice: number;
+    exitPrice: number;
+    pnl: number;
+    holdingMs: number;
+    reason: string;
+}
+export declare function runBacktest(config: AgentConfig, strategyFilter_: string | undefined, days: number): Promise<BacktestResult>;
+export {};
+//# sourceMappingURL=runner.d.ts.map

package/dist/src/backtest/runner.d.ts.map

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package/dist/src/backtest/runner.js

@@ -0,0 +1,132 @@
+import Database from 'better-sqlite3';
+import { resolve } from 'node:path';
+import { generateAllSignals } from '../signal/index.js';
+import { evaluateAllStrategies } from '../strategy/index.js';
+import { strategyFilter } from '../risk/strategy-filter.js';
+import { portfolioFilter } from '../risk/portfolio-filter.js';
+import { simulateFill } from './fill-simulator.js';
+import { openPosition, closePosition, checkStopLossAndTakeProfit, updatePositionPrices, getPositions } from '../risk/position-manager.js';
+const DB_PATH = resolve(import.meta.dirname, '..', '..', 'data', 'sentry.db');
+export async function runBacktest(config, strategyFilter_, days) {
+    const db = new Database(DB_PATH, { readonly: true });
+    const cutoff = Date.now() - days * 86400_000;
+    const rows = db.prepare(`
+    SELECT data_json, signals_json, timestamp FROM snapshots
+    WHERE timestamp >= ? ORDER BY timestamp ASC
+  `).all(cutoff);
+    db.close();
+    if (rows.length === 0) {
+        return emptyResult(strategyFilter_ || 'all', days);
+    }
+    const trades = [];
+    let equity = 5000;
+    let peakEquity = equity;
+    let maxDrawdown = 0;
+    const returns = [];
+    for (let i = 0; i < rows.length; i++) {
+        const snapshot = JSON.parse(rows[i].data_json);
+        const price = snapshot.ticker.lastPrice;
+        // Update positions
+        updatePositionPrices(price);
+        // Check stop loss / take profit
+        const closed = checkStopLossAndTakeProfit(price);
+        for (const c of closed) {
+            const pos = getPositions().find(p => p.id === c.posId);
+            trades.push({
+                timestamp: snapshot.timestamp,
+                strategy: pos?.strategy || 'unknown',
+                direction: pos?.direction || 'long',
+                entryPrice: pos?.entryPrice || 0,
+                exitPrice: price,
+                pnl: c.pnl,
+                holdingMs: pos ? snapshot.timestamp - pos.openedAt : 0,
+                reason: c.reason,
+            });
+            equity += c.pnl;
+            returns.push(c.pnl / equity);
+        }
+        // Generate signals and evaluate strategies
+        const signals = generateAllSignals(snapshot);
+        let intents = evaluateAllStrategies(signals, snapshot, config);
+        if (strategyFilter_) {
+            intents = intents.filter(i => i.strategy === strategyFilter_);
+        }
+        // Risk filter + execute
+        for (const intent of intents) {
+            const sf = strategyFilter(intent, config);
+            if (!sf.passed)
+                continue;
+            const pf = portfolioFilter(intent, config);
+            if (!pf.passed)
+                continue;
+            const result = simulateFill(intent, snapshot);
+            if (result.success) {
+                openPosition(intent, result);
+            }
+        }
+        // Track drawdown
+        if (equity > peakEquity)
+            peakEquity = equity;
+        const dd = (peakEquity - equity) / peakEquity;
+        if (dd > maxDrawdown)
+            maxDrawdown = dd;
+    }
+    // Close remaining positions at last price
+    const lastSnapshot = JSON.parse(rows[rows.length - 1].data_json);
+    const remaining = getPositions();
+    for (const pos of remaining) {
+        const pnl = closePosition(pos.id, lastSnapshot.ticker.lastPrice, '回测结束');
+        trades.push({
+            timestamp: lastSnapshot.timestamp,
+            strategy: pos.strategy,
+            direction: pos.direction,
+            entryPrice: pos.entryPrice,
+            exitPrice: lastSnapshot.ticker.lastPrice,
+            pnl,
+            holdingMs: lastSnapshot.timestamp - pos.openedAt,
+            reason: '回测结束平仓',
+        });
+        equity += pnl;
+        returns.push(pnl / equity);
+    }
+    const wins = trades.filter(t => t.pnl > 0).length;
+    const totalPnl = trades.reduce((s, t) => s + t.pnl, 0);
+    const avgReturn = returns.length > 0 ? returns.reduce((a, b) => a + b, 0) / returns.length : 0;
+    const stdReturn = returns.length > 1
+        ? Math.sqrt(returns.reduce((s, r) => s + (r - avgReturn) ** 2, 0) / (returns.length - 1))
+        : 0;
+    const sharpe = stdReturn > 0 ? (avgReturn / stdReturn) * Math.sqrt(252) : 0;
+    return {
+        strategy: strategyFilter_ || 'all',
+        period: {
+            start: rows[0].timestamp,
+            end: rows[rows.length - 1].timestamp,
+            days,
+        },
+        snapshotsUsed: rows.length,
+        trades,
+        summary: {
+            totalTrades: trades.length,
+            wins,
+            losses: trades.length - wins,
+            winRate: trades.length > 0 ? wins / trades.length : 0,
+            totalPnl,
+            avgPnl: trades.length > 0 ? totalPnl / trades.length : 0,
+            maxDrawdown,
+            sharpeRatio: sharpe,
+        },
+    };
+}
+function emptyResult(strategy, days) {
+    return {
+        strategy,
+        period: { start: 0, end: 0, days },
+        snapshotsUsed: 0,
+        trades: [],
+        summary: {
+            totalTrades: 0, wins: 0, losses: 0, winRate: 0,
+            totalPnl: 0, avgPnl: 0, maxDrawdown: 0, sharpeRatio: 0,
+        },
+    };
+}
+//# sourceMappingURL=runner.js.map

package/dist/src/backtest/runner.js.map

@@ -0,0 +1 @@
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package/dist/src/collector/basis-monitor.d.ts

@@ -0,0 +1,9 @@
+export interface BasisSnapshot {
+    timestamp: number;
+    bfxPrice: number;
+    binancePrice: number | null;
+    bfxVsBinance: number | null;
+}
+export declare function fetchBinancePrice(): Promise<number | null>;
+export declare function calculateBasis(bfxPrice: number): Promise<BasisSnapshot>;
+//# sourceMappingURL=basis-monitor.d.ts.map

package/dist/src/collector/basis-monitor.d.ts.map

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