bfxsentry-agent 0.1.0

package/dist/src/core/recorder.js

@@ -0,0 +1,42 @@
+import Database from 'better-sqlite3';
+import { resolve } from 'node:path';
+import { getLogger } from './logger.js';
+const log = () => getLogger();
+let db = null;
+const DB_PATH = resolve(import.meta.dirname, '..', '..', 'data', 'sentry.db');
+export function initRecorder() {
+    db = new Database(DB_PATH);
+    db.pragma('journal_mode = WAL');
+    db.exec(`
+    CREATE TABLE IF NOT EXISTS snapshots (
+      id INTEGER PRIMARY KEY AUTOINCREMENT,
+      timestamp INTEGER NOT NULL,
+      data_json TEXT NOT NULL,
+      signals_json TEXT
+    );
+    CREATE INDEX IF NOT EXISTS idx_snapshots_ts ON snapshots(timestamp);
+  `);
+    log().info({ path: DB_PATH }, 'Recorder initialized');
+}
+export function recordSnapshot(snapshot, signals) {
+    if (!db)
+        return;
+    const stmt = db.prepare('INSERT INTO snapshots (timestamp, data_json, signals_json) VALUES (?, ?, ?)');
+    stmt.run(snapshot.timestamp, JSON.stringify(snapshot), JSON.stringify(signals));
+}
+export function cleanOldSnapshots(retentionDays) {
+    if (!db)
+        return;
+    const cutoff = Date.now() - retentionDays * 86400_000;
+    const result = db.prepare('DELETE FROM snapshots WHERE timestamp < ?').run(cutoff);
+    if (result.changes > 0) {
+        log().info({ deleted: result.changes, retentionDays }, 'Cleaned old snapshots');
+    }
+}
+export function closeRecorder() {
+    if (db) {
+        db.close();
+        db = null;
+    }
+}
+//# sourceMappingURL=recorder.js.map

package/dist/src/core/recorder.js.map

@@ -0,0 +1 @@
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package/dist/src/executor/bitfinex-trader.d.ts

@@ -0,0 +1,3 @@
+import type { TradeIntent, ExecutionResult } from '../strategy/types.js';
+export declare function liveExecute(intent: TradeIntent): Promise<ExecutionResult>;
+//# sourceMappingURL=bitfinex-trader.d.ts.map

package/dist/src/executor/bitfinex-trader.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/executor/bitfinex-trader.js

@@ -0,0 +1,119 @@
+import crypto from 'node:crypto';
+import https from 'node:https';
+import { SocksProxyAgent } from 'socks-proxy-agent';
+import { generateCid, markCidSubmitted } from './order-id.js';
+import { getLogger } from '../core/logger.js';
+const log = () => getLogger();
+const BFX_API_URL = 'api.bitfinex.com';
+function getCredentials() {
+    const apiKey = process.env.BFX_API_KEY;
+    const apiSecret = process.env.BFX_API_SECRET;
+    if (!apiKey || !apiSecret)
+        return null;
+    return { apiKey, apiSecret };
+}
+function createSignature(path, nonce, body, secret) {
+    const payload = `/api/${path}${nonce}${body}`;
+    return crypto.createHmac('sha384', secret).update(payload).digest('hex');
+}
+function getAgent() {
+    const proxy = process.env.SOCKS_PROXY || process.env.ALL_PROXY || 'socks5h://127.0.0.1:7897';
+    try {
+        return new SocksProxyAgent(proxy);
+    }
+    catch {
+        return undefined;
+    }
+}
+async function authRequest(path, body, creds) {
+    const nonce = Date.now().toString();
+    const bodyStr = JSON.stringify(body);
+    const sig = createSignature(path, nonce, bodyStr, creds.apiSecret);
+    return new Promise((resolve, reject) => {
+        const agent = getAgent();
+        const options = {
+            hostname: BFX_API_URL,
+            port: 443,
+            path: `/api/${path}`,
+            method: 'POST',
+            headers: {
+                'Content-Type': 'application/json',
+                'bfx-nonce': nonce,
+                'bfx-apikey': creds.apiKey,
+                'bfx-signature': sig,
+            },
+            agent,
+        };
+        const req = https.request(options, (res) => {
+            let data = '';
+            res.on('data', chunk => { data += chunk; });
+            res.on('end', () => {
+                try {
+                    resolve(JSON.parse(data));
+                }
+                catch {
+                    reject(new Error(data));
+                }
+            });
+        });
+        req.on('error', reject);
+        req.setTimeout(30_000, () => { req.destroy(); reject(new Error('Timeout')); });
+        req.write(bodyStr);
+        req.end();
+    });
+}
+export async function liveExecute(intent) {
+    const creds = getCredentials();
+    if (!creds) {
+        return {
+            success: false,
+            error: 'BFX_API_KEY / BFX_API_SECRET not set',
+            timestamp: Date.now(),
+        };
+    }
+    const cid = generateCid(intent.strategy);
+    markCidSubmitted(cid);
+    const amount = intent.direction === 'long'
+        ? intent.sizePct / 100 * 5000 / intent.entryPrice // simplified
+        : -(intent.sizePct / 100 * 5000 / intent.entryPrice);
+    const orderType = 'EXCHANGE LIMIT';
+    const price = intent.direction === 'long'
+        ? intent.entryPrice * (1 + 0.0002) // slight offset for limit
+        : intent.entryPrice * (1 - 0.0002);
+    try {
+        const result = await authRequest('v2/auth/w/order/submit', {
+            type: orderType,
+            symbol: intent.instrument,
+            amount: amount.toString(),
+            price: price.toString(),
+            cid: parseInt(cid.replace(/\D/g, '').slice(-10)),
+            meta: { aff_code: 'bfxsentry' },
+        }, creds);
+        const data = result;
+        if (Array.isArray(data) && data[6] === 'SUCCESS') {
+            const order = data[4]?.[0];
+            log().info({
+                cid,
+                orderId: order?.[0],
+                price: order?.[16],
+                amount: order?.[6],
+            }, 'Order submitted successfully');
+            return {
+                success: true,
+                orderId: String(order?.[0] || cid),
+                fillPrice: Number(order?.[16]) || price,
+                fillSize: Math.abs(amount),
+                fee: 0,
+                timestamp: Date.now(),
+            };
+        }
+        const errMsg = Array.isArray(data) ? String(data[6] || data[2] || 'Unknown') : 'Unknown error';
+        log().error({ result: data }, 'Order submission failed');
+        return { success: false, error: errMsg, timestamp: Date.now() };
+    }
+    catch (err) {
+        log().error({ err }, 'Order execution error');
+        return { success: false, error: err.message, timestamp: Date.now() };
+    }
+}
+//# sourceMappingURL=bitfinex-trader.js.map

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package/dist/src/executor/dry-run.d.ts

@@ -0,0 +1,4 @@
+import type { TradeIntent, ExecutionResult } from '../strategy/types.js';
+import type { MarketSnapshot } from '../collector/types.js';
+export declare function dryRunExecute(intent: TradeIntent, snapshot: MarketSnapshot): ExecutionResult;
+//# sourceMappingURL=dry-run.d.ts.map

package/dist/src/executor/dry-run.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/executor/dry-run.js

@@ -0,0 +1,39 @@
+import { getLogger } from '../core/logger.js';
+import { generateCid } from './order-id.js';
+const log = () => getLogger();
+export function dryRunExecute(intent, snapshot) {
+    const price = snapshot.ticker.lastPrice;
+    // Simulate slippage: 0.01-0.05%
+    const slippage = (Math.random() * 0.04 + 0.01) / 100;
+    const fillPrice = intent.direction === 'long'
+        ? price * (1 + slippage)
+        : price * (1 - slippage);
+    // Calculate size from sizePct or from meta (PM hedge uses fixed stake)
+    const capitalUsd = 5000; // simulated capital
+    let sizeUsd = capitalUsd * (intent.sizePct / 100);
+    if (sizeUsd === 0 && intent.meta?.stakeUsdc) {
+        sizeUsd = intent.meta.stakeUsdc;
+    }
+    if (sizeUsd === 0)
+        sizeUsd = 100; // minimum fallback
+    const fillSize = sizeUsd / fillPrice;
+    const cid = generateCid(intent.strategy);
+    log().info({
+        strategy: intent.strategy,
+        direction: intent.direction,
+        price: fillPrice.toFixed(2),
+        size: fillSize.toFixed(6),
+        sizeUsd: sizeUsd.toFixed(2),
+        cid,
+        mode: 'DRY-RUN',
+    }, `[DRY-RUN] ${intent.direction.toUpperCase()} ${intent.instrument}`);
+    return {
+        success: true,
+        orderId: cid,
+        fillPrice,
+        fillSize,
+        fee: sizeUsd * 0.001, // simulated 0.1% fee
+        timestamp: Date.now(),
+    };
+}
+//# sourceMappingURL=dry-run.js.map

package/dist/src/executor/dry-run.js.map

@@ -0,0 +1 @@
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package/dist/src/executor/order-id.d.ts

@@ -0,0 +1,5 @@
+export declare function generateCid(strategy: string): string;
+export declare function markCidSubmitted(cid: string): void;
+export declare function isCidSubmitted(cid: string): boolean;
+export declare function clearCids(): void;
+//# sourceMappingURL=order-id.d.ts.map

package/dist/src/executor/order-id.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"order-id.d.ts","sourceRoot":"","sources":["../../../src/executor/order-id.ts"],"names":[],"mappings":"AAIA,wBAAgB,WAAW,CAAC,QAAQ,EAAE,MAAM,GAAG,MAAM,CAIpD;AAKD,wBAAgB,gBAAgB,CAAC,GAAG,EAAE,MAAM,QAE3C;AAED,wBAAgB,cAAc,CAAC,GAAG,EAAE,MAAM,GAAG,OAAO,CAEnD;AAED,wBAAgB,SAAS,SAExB"}

package/dist/src/executor/order-id.js

@@ -0,0 +1,20 @@
+import crypto from 'node:crypto';
+// Generate a unique, idempotent client order ID
+// Format: sentry-{strategy}-{timestamp}-{nonce}
+export function generateCid(strategy) {
+    const ts = Math.floor(Date.now() / 1000);
+    const nonce = crypto.randomBytes(2).toString('hex');
+    return `sentry-${strategy.replace(/[^a-z0-9]/gi, '')}-${ts}-${nonce}`;
+}
+// Track submitted CIDs to prevent duplicates
+const submittedCids = new Set();
+export function markCidSubmitted(cid) {
+    submittedCids.add(cid);
+}
+export function isCidSubmitted(cid) {
+    return submittedCids.has(cid);
+}
+export function clearCids() {
+    submittedCids.clear();
+}
+//# sourceMappingURL=order-id.js.map

package/dist/src/executor/order-id.js.map

@@ -0,0 +1 @@
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package/dist/src/executor/reconciler.d.ts

@@ -0,0 +1,8 @@
+import type { Order, OrderStatus } from './types.js';
+export declare function trackOrder(order: Order): void;
+export declare function getOrder(cid: string): Order | undefined;
+export declare function updateOrderStatus(cid: string, status: OrderStatus, updates?: Partial<Order>): void;
+export declare function getPendingOrders(): Order[];
+export declare function getRecentOrders(limit?: number): Order[];
+export declare function reconcile(): Promise<void>;
+//# sourceMappingURL=reconciler.d.ts.map

package/dist/src/executor/reconciler.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/executor/reconciler.js

@@ -0,0 +1,44 @@
+import { getLogger } from '../core/logger.js';
+const log = () => getLogger();
+// In-memory order store (will be persisted to SQLite in future)
+const orders = new Map();
+export function trackOrder(order) {
+    orders.set(order.cid, order);
+}
+export function getOrder(cid) {
+    return orders.get(cid);
+}
+export function updateOrderStatus(cid, status, updates) {
+    const order = orders.get(cid);
+    if (!order)
+        return;
+    order.status = status;
+    order.updatedAt = Date.now();
+    if (updates)
+        Object.assign(order, updates);
+}
+export function getPendingOrders() {
+    return [...orders.values()].filter(o => o.status === 'PENDING' || o.status === 'ACCEPTED');
+}
+export function getRecentOrders(limit = 20) {
+    return [...orders.values()]
+        .sort((a, b) => b.createdAt - a.createdAt)
+        .slice(0, limit);
+}
+// Reconciliation: compare local state vs exchange state
+// In a full implementation, this would call Bitfinex auth API
+export async function reconcile() {
+    const pending = getPendingOrders();
+    if (pending.length === 0)
+        return;
+    log().info({ count: pending.length }, 'Reconciling pending orders');
+    for (const order of pending) {
+        const ageSec = (Date.now() - order.createdAt) / 1000;
+        // Timeout orders older than 5 minutes
+        if (ageSec > 300 && order.status === 'PENDING') {
+            updateOrderStatus(order.cid, 'TIMEOUT');
+            log().warn({ cid: order.cid, ageSec }, 'Order timed out');
+        }
+    }
+}
+//# sourceMappingURL=reconciler.js.map

package/dist/src/executor/reconciler.js.map

@@ -0,0 +1 @@
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package/dist/src/executor/types.d.ts

@@ -0,0 +1,19 @@
+export type OrderStatus = 'DRAFT' | 'PENDING' | 'ACCEPTED' | 'FILLED' | 'PARTIALLY_FILLED' | 'CANCELLED' | 'TIMEOUT' | 'RECONCILED';
+export interface Order {
+    cid: string;
+    status: OrderStatus;
+    instrument: string;
+    direction: 'long' | 'short';
+    size: number;
+    price: number;
+    orderType: 'limit' | 'market';
+    exchangeOrderId?: string;
+    fillPrice?: number;
+    fillSize?: number;
+    fee?: number;
+    createdAt: number;
+    updatedAt: number;
+    retryCount: number;
+    strategyId: string;
+}
+//# sourceMappingURL=types.d.ts.map

package/dist/src/executor/types.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/executor/types.js

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=types.js.map

package/dist/src/executor/types.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"types.js","sourceRoot":"","sources":["../../../src/executor/types.ts"],"names":[],"mappings":""}

package/dist/src/risk/cooldown.d.ts

@@ -0,0 +1,8 @@
+export declare function addCooldown(strategy: string, direction: 'long' | 'short', durationSec: number, reason: string): void;
+export declare function isCoolingDown(strategy: string, direction: 'long' | 'short'): {
+    cooling: boolean;
+    reason?: string;
+    remainingSec?: number;
+};
+export declare function clearCooldowns(): void;
+//# sourceMappingURL=cooldown.d.ts.map

package/dist/src/risk/cooldown.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/risk/cooldown.js

@@ -0,0 +1,30 @@
+const cooldowns = [];
+export function addCooldown(strategy, direction, durationSec, reason) {
+    cooldowns.push({
+        strategy,
+        direction,
+        reason,
+        expiresAt: Date.now() + durationSec * 1000,
+    });
+}
+export function isCoolingDown(strategy, direction) {
+    const now = Date.now();
+    // Clean expired
+    for (let i = cooldowns.length - 1; i >= 0; i--) {
+        if (cooldowns[i].expiresAt <= now)
+            cooldowns.splice(i, 1);
+    }
+    const active = cooldowns.find(c => c.strategy === strategy && c.direction === direction);
+    if (active) {
+        return {
+            cooling: true,
+            reason: active.reason,
+            remainingSec: Math.ceil((active.expiresAt - now) / 1000),
+        };
+    }
+    return { cooling: false };
+}
+export function clearCooldowns() {
+    cooldowns.length = 0;
+}
+//# sourceMappingURL=cooldown.js.map

package/dist/src/risk/cooldown.js.map

@@ -0,0 +1 @@
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package/dist/src/risk/portfolio-filter.d.ts

@@ -0,0 +1,9 @@
+import type { TradeIntent } from '../strategy/types.js';
+import type { AgentConfig } from '../core/config.js';
+export interface PortfolioFilterResult {
+    passed: boolean;
+    reason?: string;
+}
+export declare function portfolioFilter(intent: TradeIntent, config: AgentConfig): PortfolioFilterResult;
+export declare function resetCircuitBreaker(): void;
+//# sourceMappingURL=portfolio-filter.d.ts.map

package/dist/src/risk/portfolio-filter.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/risk/portfolio-filter.js

@@ -0,0 +1,58 @@
+import { getSameDirectionPct, getDailyPnl, getConsecutiveLosses, getLossStreakUsd, } from './position-manager.js';
+import { wouldExceedVaR } from './var-calculator.js';
+import { getLogger } from '../core/logger.js';
+const log = () => getLogger();
+let circuitBreakerUntil = 0;
+export function portfolioFilter(intent, config) {
+    const portfolio = config.risk.portfolio;
+    // 1. Circuit breaker
+    if (Date.now() < circuitBreakerUntil) {
+        const remaining = Math.ceil((circuitBreakerUntil - Date.now()) / 60000);
+        return { passed: false, reason: `熔断中, ${remaining}min 后恢复` };
+    }
+    const cb = portfolio.circuit_breaker;
+    if (getConsecutiveLosses() >= cb.consecutive_losses) {
+        circuitBreakerUntil = Date.now() + cb.cooldown_minutes * 60000;
+        log().warn({ consecutiveLosses: getConsecutiveLosses() }, 'Circuit breaker triggered');
+        return { passed: false, reason: `连续亏损 ${getConsecutiveLosses()} 笔, 熔断 ${cb.cooldown_minutes}min` };
+    }
+    if (getLossStreakUsd() >= cb.loss_streak_usd) {
+        circuitBreakerUntil = Date.now() + cb.cooldown_minutes * 60000;
+        log().warn({ lossStreakUsd: getLossStreakUsd() }, 'Circuit breaker triggered (USD)');
+        return { passed: false, reason: `连亏 $${getLossStreakUsd().toFixed(0)}, 熔断 ${cb.cooldown_minutes}min` };
+    }
+    // 2. Daily loss limit
+    const maxDailyLoss = config.risk.max_daily_loss_usd;
+    if (Math.abs(getDailyPnl()) > maxDailyLoss && getDailyPnl() < 0) {
+        return { passed: false, reason: `日亏损已达 $${Math.abs(getDailyPnl()).toFixed(0)} (限额 $${maxDailyLoss})` };
+    }
+    // 3. Same direction concentration
+    const dirPct = getSameDirectionPct(intent.direction);
+    if (dirPct > portfolio.max_same_direction_pct) {
+        return { passed: false, reason: `${intent.direction} 方向集中度 ${dirPct.toFixed(0)}% > ${portfolio.max_same_direction_pct}%` };
+    }
+    // 4. VaR check
+    const intentUsd = intent.entryPrice * (intent.sizePct / 100) * config.risk.max_total_position_usd;
+    if (wouldExceedVaR(intentUsd, portfolio.max_portfolio_var_pct, config.risk.max_total_position_usd)) {
+        return { passed: false, reason: `VaR 将超限 (>${portfolio.max_portfolio_var_pct}%)` };
+    }
+    // 5. Trading hours (if enabled)
+    if (portfolio.trading_hours?.enabled && portfolio.trading_hours.active_windows) {
+        const now = new Date();
+        const utcHour = now.getUTCHours();
+        const utcMin = now.getUTCMinutes();
+        const utcTime = `${String(utcHour).padStart(2, '0')}:${String(utcMin).padStart(2, '0')}`;
+        const inWindow = portfolio.trading_hours.active_windows.some(w => {
+            return utcTime >= w.start && utcTime <= w.end;
+        });
+        if (!inWindow) {
+            return { passed: false, reason: `非交易时段 (UTC ${utcTime}), 仅允许平仓` };
+        }
+    }
+    log().debug({ strategy: intent.strategy }, 'Portfolio filter passed');
+    return { passed: true };
+}
+export function resetCircuitBreaker() {
+    circuitBreakerUntil = 0;
+}
+//# sourceMappingURL=portfolio-filter.js.map

package/dist/src/risk/portfolio-filter.js.map

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package/dist/src/risk/position-manager.d.ts

@@ -0,0 +1,19 @@
+import type { Position, TradeIntent, ExecutionResult } from '../strategy/types.js';
+export declare function getPositions(): Position[];
+export declare function getOpenPositionCount(): number;
+export declare function getTotalPositionUsd(): number;
+export declare function getSameDirectionPct(direction: 'long' | 'short'): number;
+export declare function getDailyTrades(): number;
+export declare function getDailyPnl(): number;
+export declare function getConsecutiveLosses(): number;
+export declare function getLossStreakUsd(): number;
+export declare function openPosition(intent: TradeIntent, result: ExecutionResult): Position | null;
+export declare function closePosition(posId: string, exitPrice: number, reason: string): number;
+export declare function updatePositionPrices(currentPrice: number): void;
+export declare function checkStopLossAndTakeProfit(currentPrice: number): {
+    posId: string;
+    reason: string;
+    pnl: number;
+}[];
+export declare function closeAllPositions(currentPrice: number): number;
+//# sourceMappingURL=position-manager.d.ts.map

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