bfxsentry-agent 0.1.0

package/dist/src/skill/strategy.js

@@ -0,0 +1,44 @@
+import chalk from 'chalk';
+import { loadConfig } from '../core/config.js';
+import { getRecentDecisions } from '../core/decision-log.js';
+const STRATEGY_NAMES = {
+    'smart-follow': '聪明钱跟单',
+    'funding-arb': '融资套利',
+    'liq-hunter': '爆仓猎人',
+    'ob-sniper': '盘口狙击',
+    'pm-hedge': 'PM 对冲',
+};
+export async function strategyCommand(name, options) {
+    const cfg = loadConfig(options?.config);
+    console.log('');
+    console.log(chalk.bold.cyan('  BfxSentry · 策略状态'));
+    console.log('');
+    const strategies = [
+        { key: 'smart_follow', id: 'smart-follow' },
+        { key: 'funding_arb', id: 'funding-arb' },
+        { key: 'liq_hunter', id: 'liq-hunter' },
+        { key: 'ob_sniper', id: 'ob-sniper' },
+        { key: 'pm_hedge', id: 'pm-hedge' },
+    ];
+    for (const s of strategies) {
+        if (name && s.id !== name)
+            continue;
+        const sCfg = cfg[s.key];
+        const enabled = sCfg?.enabled;
+        const interval = sCfg?.tick_interval;
+        const icon = enabled ? chalk.green('ON') : chalk.red('OFF');
+        console.log(`  ${icon}  ${chalk.bold((STRATEGY_NAMES[s.id] || s.id).padEnd(12))}  间隔 ${interval}s`);
+        // Show recent decisions for this strategy
+        const decisions = getRecentDecisions(5).filter(d => d.strategy === s.id);
+        if (decisions.length > 0) {
+            for (const d of decisions.slice(0, 3)) {
+                const time = new Date(d.timestamp).toLocaleTimeString();
+                const action = d.intent ? `${d.intent.direction} ${d.intent.confidence.toFixed(0)}%` : '无操作';
+                const risk = d.riskFilterResult.passed ? chalk.green('通过') : chalk.red(d.riskFilterResult.reason || '拒绝');
+                console.log(chalk.dim(`       ${time}  ${action}  风控: ${risk}`));
+            }
+        }
+        console.log('');
+    }
+}
+//# sourceMappingURL=strategy.js.map

package/dist/src/skill/strategy.js.map

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package/dist/src/skill/trade.d.ts

@@ -0,0 +1,6 @@
+export declare function tradeCommand(direction: string, sizeStr: string, options: {
+    stop?: string;
+    tp?: string;
+    config?: string;
+}): Promise<void>;
+//# sourceMappingURL=trade.d.ts.map

package/dist/src/skill/trade.d.ts.map

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package/dist/src/skill/trade.js

@@ -0,0 +1,58 @@
+import chalk from 'chalk';
+import { loadConfig } from '../core/config.js';
+import { runOnce } from '../core/engine.js';
+import { dryRunExecute } from '../executor/dry-run.js';
+import { liveExecute } from '../executor/bitfinex-trader.js';
+import { openPosition } from '../risk/position-manager.js';
+export async function tradeCommand(direction, sizeStr, options) {
+    if (direction !== 'long' && direction !== 'short') {
+        console.log(chalk.red('\n  用法: sentry trade <long|short> <size_btc> [--stop 2%] [--tp 3%]\n'));
+        return;
+    }
+    const size = parseFloat(sizeStr);
+    if (isNaN(size) || size <= 0) {
+        console.log(chalk.red('\n  无效的仓位大小\n'));
+        return;
+    }
+    const cfg = loadConfig(options.config);
+    const { snapshot } = await runOnce(cfg);
+    const price = snapshot.ticker.lastPrice;
+    const stopPct = parseFloat(options.stop?.replace('%', '') || '2');
+    const tpPct = parseFloat(options.tp?.replace('%', '') || '3');
+    const intent = {
+        id: `manual-${Date.now()}`,
+        strategy: 'manual',
+        direction: direction,
+        instrument: cfg.collector.bitfinex.symbol,
+        sizePct: (size * price / cfg.risk.max_total_position_usd) * 100,
+        leverage: 1,
+        entryPrice: price,
+        stopLossPct: stopPct,
+        takeProfitPct: tpPct,
+        confidence: 100,
+        reason: `手动 ${direction} ${size} BTC`,
+        signalIds: [],
+        timestamp: Date.now(),
+    };
+    console.log('');
+    console.log(chalk.bold(`  手动交易: ${direction.toUpperCase()} ${size} BTC @ $${price.toLocaleString()}`));
+    console.log(chalk.dim(`  止损: ${stopPct}% | 止盈: ${tpPct}%`));
+    let result;
+    if (cfg.engine.mode === 'live') {
+        result = await liveExecute(intent);
+    }
+    else {
+        result = dryRunExecute(intent, snapshot);
+    }
+    if (result.success) {
+        const pos = openPosition(intent, result);
+        console.log(chalk.green(`  成交: $${result.fillPrice?.toFixed(2)} x ${result.fillSize?.toFixed(6)} BTC [${cfg.engine.mode}]`));
+        if (pos)
+            console.log(chalk.dim(`  持仓 ID: ${pos.id}`));
+    }
+    else {
+        console.log(chalk.red(`  失败: ${result.error}`));
+    }
+    console.log('');
+}
+//# sourceMappingURL=trade.js.map

package/dist/src/skill/trade.js.map

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package/dist/src/strategy/funding-arb.d.ts

@@ -0,0 +1,6 @@
+import type { Signal } from '../signal/types.js';
+import type { TradeIntent } from './types.js';
+import type { AgentConfig } from '../core/config.js';
+import type { MarketSnapshot } from '../collector/types.js';
+export declare function evaluateFundingArb(signals: Signal[], snapshot: MarketSnapshot, config: AgentConfig): TradeIntent | null;
+//# sourceMappingURL=funding-arb.d.ts.map

package/dist/src/strategy/funding-arb.d.ts.map

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package/dist/src/strategy/funding-arb.js

@@ -0,0 +1,57 @@
+export function evaluateFundingArb(signals, snapshot, config) {
+    const cfg = config.funding_arb;
+    if (!cfg.enabled)
+        return null;
+    const fundSignals = signals.filter(s => s.module === 'funding');
+    if (fundSignals.length === 0)
+        return null;
+    // S1: Lending opportunity
+    const lendSignal = fundSignals.find(s => s.id === 'FR-S1');
+    if (lendSignal) {
+        const lendCfg = cfg.lend;
+        const details = lendSignal.details;
+        const period = details.frrPct >= lendCfg.high_rate_threshold
+            ? lendCfg.high_rate_period_days
+            : lendCfg.preferred_period_days;
+        return {
+            id: `fa-lend-${Date.now()}-${Math.random().toString(36).slice(2, 6)}`,
+            strategy: 'funding-arb',
+            direction: 'long', // lending = providing capital
+            instrument: 'fUSD',
+            sizePct: lendCfg.lend_amount_pct,
+            leverage: 1,
+            entryPrice: details.frr,
+            stopLossPct: 0, // no stop loss on lending
+            takeProfitPct: 0,
+            confidence: lendSignal.confidence,
+            reason: `适合放贷: FRR P${(details.frrPct * 100).toFixed(0)}, 年化 ${details.annualizedRate.toFixed(1)}%, 建议 ${period} 天`,
+            signalIds: [lendSignal.id],
+            timestamp: Date.now(),
+            meta: { type: 'lend', period, frr: details.frr, utilization: details.utilization },
+        };
+    }
+    // S2: Warning - don't borrow
+    const warnSignal = fundSignals.find(s => s.id === 'FR-S2');
+    if (warnSignal) {
+        // This is an advisory signal, not a trade intent
+        // But we can emit a "reduce leverage" intent
+        return {
+            id: `fa-warn-${Date.now()}-${Math.random().toString(36).slice(2, 6)}`,
+            strategy: 'funding-arb',
+            direction: 'short', // reduce exposure
+            instrument: config.collector.bitfinex.symbol,
+            sizePct: 0,
+            leverage: 1,
+            entryPrice: snapshot.ticker.lastPrice,
+            stopLossPct: 0,
+            takeProfitPct: 0,
+            confidence: warnSignal.confidence,
+            reason: `高费率警告: 不适合借杠杆, 建议减仓`,
+            signalIds: [warnSignal.id],
+            timestamp: Date.now(),
+            meta: { type: 'warning', action: 'reduce_leverage' },
+        };
+    }
+    return null;
+}
+//# sourceMappingURL=funding-arb.js.map

package/dist/src/strategy/funding-arb.js.map

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package/dist/src/strategy/index.d.ts

@@ -0,0 +1,7 @@
+import type { Signal } from '../signal/types.js';
+import type { TradeIntent } from './types.js';
+import type { AgentConfig } from '../core/config.js';
+import type { MarketSnapshot } from '../collector/types.js';
+export type { TradeIntent, Position, ExecutionResult, DecisionRecord } from './types.js';
+export declare function evaluateAllStrategies(signals: Signal[], snapshot: MarketSnapshot, config: AgentConfig): TradeIntent[];
+//# sourceMappingURL=index.d.ts.map

package/dist/src/strategy/index.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/strategy/index.js

@@ -0,0 +1,27 @@
+import { evaluateSmartFollow } from './smart-follow.js';
+import { evaluateFundingArb } from './funding-arb.js';
+import { evaluateLiqHunter } from './liq-hunter.js';
+import { evaluateObSniper } from './ob-sniper.js';
+import { evaluatePmHedge } from './pm-hedge.js';
+export function evaluateAllStrategies(signals, snapshot, config) {
+    const intents = [];
+    const evaluators = [
+        evaluateSmartFollow,
+        evaluateFundingArb,
+        evaluateLiqHunter,
+        evaluateObSniper,
+        evaluatePmHedge,
+    ];
+    for (const evaluate of evaluators) {
+        try {
+            const intent = evaluate(signals, snapshot, config);
+            if (intent)
+                intents.push(intent);
+        }
+        catch {
+            // Strategy evaluation failure should not crash the engine
+        }
+    }
+    return intents;
+}
+//# sourceMappingURL=index.js.map

package/dist/src/strategy/index.js.map

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package/dist/src/strategy/liq-hunter.d.ts

@@ -0,0 +1,6 @@
+import type { Signal } from '../signal/types.js';
+import type { TradeIntent } from './types.js';
+import type { AgentConfig } from '../core/config.js';
+import type { MarketSnapshot } from '../collector/types.js';
+export declare function evaluateLiqHunter(signals: Signal[], snapshot: MarketSnapshot, config: AgentConfig): TradeIntent | null;
+//# sourceMappingURL=liq-hunter.d.ts.map

package/dist/src/strategy/liq-hunter.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/strategy/liq-hunter.js

@@ -0,0 +1,61 @@
+export function evaluateLiqHunter(signals, snapshot, config) {
+    const cfg = config.liq_hunter;
+    if (!cfg.enabled)
+        return null;
+    const risk = cfg.risk;
+    const liqSignals = signals.filter(s => s.module === 'liquidation');
+    if (liqSignals.length === 0)
+        return null;
+    // LQ1/LQ2: Trend follow
+    const trendSignal = liqSignals.find(s => s.id === 'LQ-1' || s.id === 'LQ-2');
+    if (trendSignal) {
+        return {
+            id: `lh-trend-${Date.now()}-${Math.random().toString(36).slice(2, 6)}`,
+            strategy: 'liq-hunter',
+            direction: trendSignal.direction,
+            instrument: config.collector.bitfinex.symbol,
+            sizePct: risk.size_pct,
+            leverage: risk.max_leverage,
+            entryPrice: snapshot.ticker.lastPrice,
+            stopLossPct: risk.trend_stop_pct,
+            takeProfitPct: risk.take_profit_pct,
+            confidence: trendSignal.confidence,
+            reason: trendSignal.summary,
+            signalIds: [trendSignal.id],
+            timestamp: Date.now(),
+            meta: {
+                type: 'trend_follow',
+                intensity: trendSignal.details.intensity,
+            },
+        };
+    }
+    // LQ3: Reversal (requires orderbook confirmation)
+    const reversalCfg = cfg.reversal;
+    const reversalSignal = liqSignals.find(s => s.id === 'LQ-3');
+    if (reversalSignal && reversalCfg) {
+        if (reversalCfg.require_ob_confirm) {
+            const obSignals = signals.filter(s => s.module === 'orderbook' && s.direction !== 'neutral');
+            const confirmed = obSignals.some(s => s.direction === reversalSignal.direction);
+            if (!confirmed)
+                return null;
+        }
+        return {
+            id: `lh-rev-${Date.now()}-${Math.random().toString(36).slice(2, 6)}`,
+            strategy: 'liq-hunter',
+            direction: reversalSignal.direction,
+            instrument: config.collector.bitfinex.symbol,
+            sizePct: risk.size_pct * 0.5, // half size for reversal
+            leverage: risk.max_leverage,
+            entryPrice: snapshot.ticker.lastPrice,
+            stopLossPct: risk.reversal_stop_pct,
+            takeProfitPct: risk.take_profit_pct,
+            confidence: reversalSignal.confidence,
+            reason: reversalSignal.summary,
+            signalIds: [reversalSignal.id],
+            timestamp: Date.now(),
+            meta: { type: 'reversal' },
+        };
+    }
+    return null;
+}
+//# sourceMappingURL=liq-hunter.js.map

package/dist/src/strategy/liq-hunter.js.map

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package/dist/src/strategy/ob-sniper.d.ts

@@ -0,0 +1,6 @@
+import type { Signal } from '../signal/types.js';
+import type { TradeIntent } from './types.js';
+import type { AgentConfig } from '../core/config.js';
+import type { MarketSnapshot } from '../collector/types.js';
+export declare function evaluateObSniper(signals: Signal[], snapshot: MarketSnapshot, config: AgentConfig): TradeIntent | null;
+//# sourceMappingURL=ob-sniper.d.ts.map

package/dist/src/strategy/ob-sniper.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/strategy/ob-sniper.js

@@ -0,0 +1,47 @@
+export function evaluateObSniper(signals, snapshot, config) {
+    const cfg = config.ob_sniper;
+    if (!cfg.enabled)
+        return null;
+    const entry = cfg.entry_conditions;
+    const risk = cfg.risk;
+    const obSignals = signals.filter(s => s.module === 'orderbook' && s.direction !== 'neutral');
+    if (obSignals.length === 0)
+        return null;
+    // Pick strongest signal
+    const best = obSignals.sort((a, b) => b.confidence - a.confidence)[0];
+    // Flow confirmation
+    if (entry.require_flow_confirm) {
+        const flow = snapshot.tradeFlow;
+        if (best.direction === 'long' && flow.buyRatio60s < entry.flow_buy_ratio)
+            return null;
+        if (best.direction === 'short' && flow.buyRatio60s > entry.flow_sell_ratio)
+            return null;
+    }
+    // Check signal TTL
+    if (best.ttlSec) {
+        const age = (Date.now() - best.timestamp) / 1000;
+        if (age > best.ttlSec)
+            return null;
+    }
+    return {
+        id: `ob-${Date.now()}-${Math.random().toString(36).slice(2, 6)}`,
+        strategy: 'ob-sniper',
+        direction: best.direction,
+        instrument: config.collector.bitfinex.symbol,
+        sizePct: risk.size_pct,
+        leverage: risk.max_leverage,
+        entryPrice: snapshot.ticker.lastPrice,
+        stopLossPct: risk.stop_loss_pct,
+        takeProfitPct: risk.take_profit_pct,
+        confidence: best.confidence,
+        reason: best.summary,
+        signalIds: [best.id],
+        timestamp: Date.now(),
+        ttlSec: risk.signal_ttl_sec,
+        meta: {
+            signalType: best.id.startsWith('OB-3') ? 'wall_break' : 'imbalance',
+            imbalance: best.details.imbalance,
+        },
+    };
+}
+//# sourceMappingURL=ob-sniper.js.map

package/dist/src/strategy/ob-sniper.js.map

@@ -0,0 +1 @@
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package/dist/src/strategy/pm-hedge.d.ts

@@ -0,0 +1,6 @@
+import type { Signal } from '../signal/types.js';
+import type { TradeIntent } from './types.js';
+import type { AgentConfig } from '../core/config.js';
+import type { MarketSnapshot } from '../collector/types.js';
+export declare function evaluatePmHedge(signals: Signal[], snapshot: MarketSnapshot, config: AgentConfig): TradeIntent | null;
+//# sourceMappingURL=pm-hedge.d.ts.map

package/dist/src/strategy/pm-hedge.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/strategy/pm-hedge.js

@@ -0,0 +1,55 @@
+export function evaluatePmHedge(signals, snapshot, config) {
+    const cfg = config.pm_hedge;
+    if (!cfg.enabled)
+        return null;
+    const signalDriven = cfg.signal_driven;
+    const hedge = cfg.hedge;
+    // Aggregate all directional signals
+    let bullWeight = 0;
+    let bearWeight = 0;
+    for (const s of signals) {
+        if (s.direction === 'long')
+            bullWeight += s.confidence;
+        else if (s.direction === 'short')
+            bearWeight += s.confidence;
+    }
+    const total = bullWeight + bearWeight;
+    if (total === 0)
+        return null;
+    const rawProb = bullWeight / total;
+    // Compress towards 50%
+    const upProb = 0.5 + (rawProb - 0.5) * 0.6;
+    const confidence = Math.abs(upProb - 0.5) * 200;
+    if (confidence < signalDriven.min_confidence)
+        return null;
+    const direction = upProb > 0.55 ? 'long' : upProb < 0.45 ? 'short' : null;
+    if (!direction)
+        return null;
+    // Calculate hedge position
+    const btcPrice = snapshot.ticker.lastPrice;
+    const hedgeBtc = (signalDriven.stake_usdc * hedge.delta) / btcPrice;
+    const maxBtc = hedge.max_bfx_position_btc;
+    return {
+        id: `pm-${Date.now()}-${Math.random().toString(36).slice(2, 6)}`,
+        strategy: 'pm-hedge',
+        direction,
+        instrument: hedge.bfx_instrument,
+        sizePct: 0, // PM hedge uses fixed USDC stake
+        leverage: 1,
+        entryPrice: btcPrice,
+        stopLossPct: 5, // wider stop for hedge
+        takeProfitPct: 10,
+        confidence,
+        reason: `PM 信号聚合 ${direction === 'long' ? '偏多' : '偏空'} ${(upProb * 100).toFixed(0)}%, 对冲 ${Math.min(hedgeBtc, maxBtc).toFixed(5)} BTC`,
+        signalIds: signals.filter(s => s.direction !== 'neutral').map(s => s.id),
+        timestamp: Date.now(),
+        meta: {
+            upProb,
+            confidence,
+            stakeUsdc: signalDriven.stake_usdc,
+            hedgeBtc: Math.min(hedgeBtc, maxBtc),
+            delta: hedge.delta,
+        },
+    };
+}
+//# sourceMappingURL=pm-hedge.js.map

package/dist/src/strategy/pm-hedge.js.map

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package/dist/src/strategy/smart-follow.d.ts

@@ -0,0 +1,6 @@
+import type { Signal } from '../signal/types.js';
+import type { TradeIntent } from './types.js';
+import type { AgentConfig } from '../core/config.js';
+import type { MarketSnapshot } from '../collector/types.js';
+export declare function evaluateSmartFollow(signals: Signal[], snapshot: MarketSnapshot, config: AgentConfig): TradeIntent | null;
+//# sourceMappingURL=smart-follow.d.ts.map

package/dist/src/strategy/smart-follow.d.ts.map

@@ -0,0 +1 @@
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package/dist/src/strategy/smart-follow.js

@@ -0,0 +1,44 @@
+export function evaluateSmartFollow(signals, snapshot, config) {
+    const cfg = config.smart_follow;
+    if (!cfg.enabled)
+        return null;
+    const entry = cfg.entry_conditions;
+    const risk = cfg.risk;
+    const smSignals = signals.filter(s => s.module === 'smart-money');
+    if (smSignals.length === 0)
+        return null;
+    const main = smSignals[0];
+    if (main.direction === 'neutral')
+        return null;
+    // Check entry conditions
+    const score = snapshot.whaleScore;
+    if (score < entry.min_score)
+        return null;
+    const whales = snapshot.whales;
+    const aligned = whales.filter(w => w.direction === main.direction).length;
+    if (aligned < entry.min_whales_aligned)
+        return null;
+    // Position confirmation
+    if (entry.position_confirm) {
+        const posSignals = signals.filter(s => s.module === 'smart-money' && s.direction === main.direction);
+        if (posSignals.length === 0)
+            return null;
+    }
+    return {
+        id: `sf-${Date.now()}-${Math.random().toString(36).slice(2, 6)}`,
+        strategy: 'smart-follow',
+        direction: main.direction,
+        instrument: config.collector.bitfinex.symbol,
+        sizePct: risk.size_pct,
+        leverage: risk.max_leverage,
+        entryPrice: snapshot.ticker.lastPrice,
+        stopLossPct: risk.stop_loss_pct,
+        takeProfitPct: cfg.exit_conditions.trailing_stop_pct || 1.5,
+        confidence: main.confidence,
+        reason: `聪明钱 ${main.direction === 'long' ? '看多' : '看空'}, 评分 ${score.toFixed(0)}, ${aligned} 鲸鱼同向`,
+        signalIds: smSignals.map(s => s.id),
+        timestamp: Date.now(),
+        meta: { score, aligned, whaleDirection: snapshot.whaleDirection },
+    };
+}
+//# sourceMappingURL=smart-follow.js.map

package/dist/src/strategy/smart-follow.js.map

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package/dist/src/strategy/types.d.ts

@@ -0,0 +1,58 @@
+export interface TradeIntent {
+    id: string;
+    strategy: string;
+    direction: 'long' | 'short';
+    instrument: string;
+    sizePct: number;
+    leverage: number;
+    entryPrice: number;
+    stopLossPct: number;
+    takeProfitPct: number;
+    confidence: number;
+    reason: string;
+    signalIds: string[];
+    timestamp: number;
+    ttlSec?: number;
+    meta?: Record<string, unknown>;
+}
+export interface Position {
+    id: string;
+    strategy: string;
+    direction: 'long' | 'short';
+    instrument: string;
+    entryPrice: number;
+    currentPrice: number;
+    size: number;
+    sizeUsd: number;
+    leverage: number;
+    unrealizedPnl: number;
+    unrealizedPnlPct: number;
+    stopLoss: number;
+    takeProfit: number;
+    openedAt: number;
+    highWatermark: number;
+    trailingStopPct?: number;
+}
+export interface ExecutionResult {
+    success: boolean;
+    orderId?: string;
+    fillPrice?: number;
+    fillSize?: number;
+    fee?: number;
+    error?: string;
+    timestamp: number;
+}
+export interface DecisionRecord {
+    timestamp: number;
+    strategy: string;
+    signalsSnapshot: Record<string, unknown>[];
+    configSnapshot: Record<string, unknown>;
+    intent: TradeIntent | null;
+    riskFilterResult: {
+        passed: boolean;
+        reason?: string;
+    };
+    executionResult: ExecutionResult | null;
+    pnlAtExit?: number;
+}
+//# sourceMappingURL=types.d.ts.map

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

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

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+export {};
+//# sourceMappingURL=types.js.map

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

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+{"version":3,"file":"types.js","sourceRoot":"","sources":["../../../src/strategy/types.ts"],"names":[],"mappings":""}