desic-okx-agent 0.3.0 → 0.3.1

package/README.en.md

@@ -348,6 +348,6 @@ Trading software can cause financial loss. This project provides no investment a
 
 ## Status and license
 
-This is pre-release software at version `0.3.0`. OKX Demo trading should be validated in the target network environment before a `1.0.0` release. Strategy research and live execution have been verified end to end on the OKX demo venue; **live execution has not yet run against real money over any length of time**.
+This is pre-release software at version `0.3.1`. OKX Demo trading should be validated in the target network environment before a `1.0.0` release. Strategy research and live execution have been verified end to end on the OKX demo venue; **live execution has not yet run against real money over any length of time**.
 
 MIT License. See `LICENSE`. OKX and related marks belong to their respective owners.

package/README.md

@@ -334,6 +334,6 @@ npm link
 
 ## 状态与许可
 
-当前为 `0.3.0` 预发布版本。正式发布 `1.0.0` 前，应在目标网络环境中完成 OKX Demo 交易验证。策略研究与实盘执行已在 OKX 模拟盘上端到端验证过，**实盘执行尚未经过长期真钱运行**。
+当前为 `0.3.1` 预发布版本。正式发布 `1.0.0` 前，应在目标网络环境中完成 OKX Demo 交易验证。策略研究与实盘执行已在 OKX 模拟盘上端到端验证过，**实盘执行尚未经过长期真钱运行**。
 
 MIT License，详见 `LICENSE`。OKX 及相关商标归其各自权利人所有。

package/dist/strategy/schema.d.ts

@@ -1,9 +1,11 @@
 /**
  * Storage for queued and completed strategy runs.
  *
- * The equity curve is stored as fixed-width little-endian float64 blocks rather
- * than JSON rows. A 500k-bar curve is tens of megabytes as JSON objects and
- * under a megabyte here, and every value round-trips bit-for-bit — decimal JSON
- * text does not guarantee that.
+ * The equity curve is stored as chunked binary float64 blocks rather than JSON rows.
+ * Every value round-trips bit-for-bit, which decimal JSON text does not guarantee, and
+ * a measured 344k-point curve is 2.4 MB here against roughly 40 MB as JSON objects.
+ *
+ * `codec` names the layout of each chunk's payload. It is read rather than inferred so
+ * that chunks written by an earlier build keep decoding correctly — see `series-codec.ts`.
  */
-export declare const STRATEGY_SCHEMA_SQL = "\nCREATE TABLE IF NOT EXISTS strategy_runs (\n  id TEXT PRIMARY KEY,\n  kind TEXT NOT NULL,\n  status TEXT NOT NULL,\n  strategy_name TEXT NOT NULL,\n  strategy_hash TEXT NOT NULL,\n  strategy_source TEXT NOT NULL,\n  inst_id TEXT NOT NULL,\n  request_json TEXT NOT NULL,\n  data_snapshot_id TEXT,\n  bar_count INTEGER NOT NULL DEFAULT 0,\n  preload_bars INTEGER NOT NULL DEFAULT 0,\n  progress_pct REAL NOT NULL DEFAULT 0,\n  eta_ms INTEGER,\n  metrics_json TEXT,\n  -- The assumptions the run actually used. Stored per run because settings can\n  -- change between runs, and a report that cannot say what it assumed is not\n  -- comparable to any other report.\n  assumptions_json TEXT,\n  error TEXT,\n  created_at INTEGER NOT NULL,\n  started_at INTEGER,\n  finished_at INTEGER\n);\n\nCREATE INDEX IF NOT EXISTS idx_strategy_runs_created\n  ON strategy_runs(created_at DESC);\nCREATE INDEX IF NOT EXISTS idx_strategy_runs_status\n  ON strategy_runs(status, created_at DESC);\n\nCREATE TABLE IF NOT EXISTS strategy_run_series (\n  run_id TEXT NOT NULL,\n  chunk_index INTEGER NOT NULL,\n  from_point INTEGER NOT NULL,\n  to_point INTEGER NOT NULL,\n  start_ms INTEGER NOT NULL,\n  step_ms INTEGER NOT NULL,\n  payload BLOB NOT NULL,\n  PRIMARY KEY(run_id, chunk_index)\n) WITHOUT ROWID;\n\nCREATE TABLE IF NOT EXISTS strategy_run_trades (\n  run_id TEXT NOT NULL,\n  seq INTEGER NOT NULL,\n  trade_json TEXT NOT NULL,\n  PRIMARY KEY(run_id, seq)\n) WITHOUT ROWID;\n\nCREATE TABLE IF NOT EXISTS strategy_run_actions (\n  run_id TEXT NOT NULL,\n  seq INTEGER NOT NULL,\n  action_json TEXT NOT NULL,\n  PRIMARY KEY(run_id, seq)\n) WITHOUT ROWID;\n\n-- One row per evaluated parameter combination of an optimize run.\n--\n-- Training and validation metrics are stored separately rather than merged into\n-- one figure. The gap between them is the finding: a candidate that earned its\n-- ranking and one that memorized the training segment are indistinguishable from\n-- a single number.\nCREATE TABLE IF NOT EXISTS strategy_optimization_candidates (\n  run_id TEXT NOT NULL,\n  candidate_index INTEGER NOT NULL,\n  params_json TEXT NOT NULL,\n  status TEXT NOT NULL,\n  train_metrics_json TEXT,\n  validation_metrics_json TEXT,\n  -- Validation-segment score. Null while queued, and for a candidate that failed.\n  rank_score REAL,\n  -- Which formula produced rank_score, because it is not always Calmar.\n  rank_basis TEXT,\n  verdict TEXT,\n  error TEXT,\n  PRIMARY KEY(run_id, candidate_index)\n) WITHOUT ROWID;\n\n-- Ranking reads this in score order, so it is indexed rather than sorted per read.\nCREATE INDEX IF NOT EXISTS idx_optimization_rank\n  ON strategy_optimization_candidates(run_id, rank_score DESC);\n";
+export declare const STRATEGY_SCHEMA_SQL = "\nCREATE TABLE IF NOT EXISTS strategy_runs (\n  id TEXT PRIMARY KEY,\n  kind TEXT NOT NULL,\n  status TEXT NOT NULL,\n  strategy_name TEXT NOT NULL,\n  strategy_hash TEXT NOT NULL,\n  strategy_source TEXT NOT NULL,\n  inst_id TEXT NOT NULL,\n  request_json TEXT NOT NULL,\n  data_snapshot_id TEXT,\n  bar_count INTEGER NOT NULL DEFAULT 0,\n  preload_bars INTEGER NOT NULL DEFAULT 0,\n  progress_pct REAL NOT NULL DEFAULT 0,\n  eta_ms INTEGER,\n  metrics_json TEXT,\n  -- The assumptions the run actually used. Stored per run because settings can\n  -- change between runs, and a report that cannot say what it assumed is not\n  -- comparable to any other report.\n  assumptions_json TEXT,\n  error TEXT,\n  created_at INTEGER NOT NULL,\n  started_at INTEGER,\n  finished_at INTEGER\n);\n\nCREATE INDEX IF NOT EXISTS idx_strategy_runs_created\n  ON strategy_runs(created_at DESC);\nCREATE INDEX IF NOT EXISTS idx_strategy_runs_status\n  ON strategy_runs(status, created_at DESC);\n\nCREATE TABLE IF NOT EXISTS strategy_run_series (\n  run_id TEXT NOT NULL,\n  chunk_index INTEGER NOT NULL,\n  from_point INTEGER NOT NULL,\n  to_point INTEGER NOT NULL,\n  start_ms INTEGER NOT NULL,\n  step_ms INTEGER NOT NULL,\n  payload BLOB NOT NULL,\n  codec TEXT NOT NULL DEFAULT 'f64x4',\n  PRIMARY KEY(run_id, chunk_index)\n) WITHOUT ROWID;\n\nCREATE TABLE IF NOT EXISTS strategy_run_trades (\n  run_id TEXT NOT NULL,\n  seq INTEGER NOT NULL,\n  trade_json TEXT NOT NULL,\n  PRIMARY KEY(run_id, seq)\n) WITHOUT ROWID;\n\nCREATE TABLE IF NOT EXISTS strategy_run_actions (\n  run_id TEXT NOT NULL,\n  seq INTEGER NOT NULL,\n  action_json TEXT NOT NULL,\n  PRIMARY KEY(run_id, seq)\n) WITHOUT ROWID;\n\n-- One row per evaluated parameter combination of an optimize run.\n--\n-- Training and validation metrics are stored separately rather than merged into\n-- one figure. The gap between them is the finding: a candidate that earned its\n-- ranking and one that memorized the training segment are indistinguishable from\n-- a single number.\nCREATE TABLE IF NOT EXISTS strategy_optimization_candidates (\n  run_id TEXT NOT NULL,\n  candidate_index INTEGER NOT NULL,\n  params_json TEXT NOT NULL,\n  status TEXT NOT NULL,\n  train_metrics_json TEXT,\n  validation_metrics_json TEXT,\n  -- Validation-segment score. Null while queued, and for a candidate that failed.\n  rank_score REAL,\n  -- Which formula produced rank_score, because it is not always Calmar.\n  rank_basis TEXT,\n  verdict TEXT,\n  error TEXT,\n  PRIMARY KEY(run_id, candidate_index)\n) WITHOUT ROWID;\n\n-- Ranking reads this in score order, so it is indexed rather than sorted per read.\nCREATE INDEX IF NOT EXISTS idx_optimization_rank\n  ON strategy_optimization_candidates(run_id, rank_score DESC);\n";

package/dist/strategy/schema.js

@@ -1,10 +1,12 @@
 /**
  * Storage for queued and completed strategy runs.
  *
- * The equity curve is stored as fixed-width little-endian float64 blocks rather
- * than JSON rows. A 500k-bar curve is tens of megabytes as JSON objects and
- * under a megabyte here, and every value round-trips bit-for-bit — decimal JSON
- * text does not guarantee that.
+ * The equity curve is stored as chunked binary float64 blocks rather than JSON rows.
+ * Every value round-trips bit-for-bit, which decimal JSON text does not guarantee, and
+ * a measured 344k-point curve is 2.4 MB here against roughly 40 MB as JSON objects.
+ *
+ * `codec` names the layout of each chunk's payload. It is read rather than inferred so
+ * that chunks written by an earlier build keep decoding correctly — see `series-codec.ts`.
  */
 export const STRATEGY_SCHEMA_SQL = `
 CREATE TABLE IF NOT EXISTS strategy_runs (
@@ -45,6 +47,7 @@ CREATE TABLE IF NOT EXISTS strategy_run_series (
   start_ms INTEGER NOT NULL,
   step_ms INTEGER NOT NULL,
   payload BLOB NOT NULL,
+  codec TEXT NOT NULL DEFAULT 'f64x4',
   PRIMARY KEY(run_id, chunk_index)
 ) WITHOUT ROWID;
 

package/dist/strategy/schema.js.map

@@ -1 +1 @@
-{"version":3,"file":"schema.js","sourceRoot":"","sources":["../../src/strategy/schema.ts"],"names":[],"mappings":"AAAA;;;;;;;GAOG;AACH,MAAM,CAAC,MAAM,mBAAmB,GAAG;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;CAiFlC,CAAC"}
+{"version":3,"file":"schema.js","sourceRoot":"","sources":["../../src/strategy/schema.ts"],"names":[],"mappings":"AAAA;;;;;;;;;GASG;AACH,MAAM,CAAC,MAAM,mBAAmB,GAAG;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;CAkFlC,CAAC"}

package/dist/strategy/series-codec.d.ts

@@ -0,0 +1,50 @@
+import type { EquityPoint } from "./types.js";
+/**
+ * How one equity chunk's bytes are laid out.
+ *
+ * The name is stored beside the payload rather than inferred from its length, so a
+ * chunk written by an older build keeps being read the way it was written. A codec is
+ * append-only: once a name has been persisted its decoder stays.
+ */
+export type SeriesCodec = "f64x4" | "f64x3z";
+/** What every codec written before the column existed must be read as. */
+export declare const LEGACY_CODEC: SeriesCodec;
+/** What new chunks are written with. */
+export declare const CURRENT_CODEC: SeriesCodec;
+export interface ChunkPlan {
+    codec: SeriesCodec;
+    /** First point's timestamp, in epoch ms. */
+    startMs: number;
+    /** Spacing between consecutive points, in ms. Zero for a single-point chunk. */
+    stepMs: number;
+    payload: Buffer;
+}
+/**
+ * Encodes one chunk of the equity curve.
+ *
+ * Two things shrink it. The time column is dropped, because a backtest evaluates one
+ * closed bar at a time and those timestamps are an arithmetic sequence — `startMs +
+ * stepMs * i` reproduces them exactly, and this is verified rather than assumed.
+ * The remaining three f64 columns compress well because consecutive equity values
+ * share most of their bytes.
+ *
+ * When the spacing is not uniform the chunk falls back to `f64x4`, which stores every
+ * timestamp. A gap in the curve is a fact about the run, not something to smooth over.
+ */
+export declare function encodeChunk(points: readonly EquityPoint[]): ChunkPlan;
+/**
+ * Reads points `[fromIndex, toIndex)` of a chunk, where the indexes are relative to
+ * the chunk's own first point.
+ *
+ * A compressed chunk has to be inflated whole before any point can be addressed, so
+ * the range only narrows what is materialized, not what is decompressed. That is why
+ * chunks are bounded in size: the cost of reading one point is the cost of one chunk.
+ */
+export declare function decodeChunk(chunk: {
+    codec: SeriesCodec;
+    startMs: number;
+    stepMs: number;
+    payload: Buffer;
+}, fromIndex: number, toIndex: number): EquityPoint[];
+/** Names a stored codec, treating anything written before the column existed as legacy. */
+export declare function codecFrom(value: unknown): SeriesCodec;

package/dist/strategy/series-codec.js

@@ -0,0 +1,103 @@
+import zlib from "node:zlib";
+/** What every codec written before the column existed must be read as. */
+export const LEGACY_CODEC = "f64x4";
+/** What new chunks are written with. */
+export const CURRENT_CODEC = "f64x3z";
+/** Bytes per point in the uncompressed four-column layout. */
+const F64X4_STRIDE = 32;
+/** Bytes per point once the time column is dropped. */
+const F64X3_STRIDE = 24;
+/**
+ * Encodes one chunk of the equity curve.
+ *
+ * Two things shrink it. The time column is dropped, because a backtest evaluates one
+ * closed bar at a time and those timestamps are an arithmetic sequence — `startMs +
+ * stepMs * i` reproduces them exactly, and this is verified rather than assumed.
+ * The remaining three f64 columns compress well because consecutive equity values
+ * share most of their bytes.
+ *
+ * When the spacing is not uniform the chunk falls back to `f64x4`, which stores every
+ * timestamp. A gap in the curve is a fact about the run, not something to smooth over.
+ */
+export function encodeChunk(points) {
+    if (points.length === 0) {
+        throw new Error("An equity chunk needs at least one point");
+    }
+    const first = points[0];
+    const stepMs = points.length > 1 ? points[1].timeMs - first.timeMs : 0;
+    if (!isUniform(points, first.timeMs, stepMs)) {
+        return { codec: "f64x4", startMs: first.timeMs, stepMs, payload: encodeF64x4(points) };
+    }
+    const raw = Buffer.allocUnsafe(points.length * F64X3_STRIDE);
+    points.forEach((point, index) => {
+        const base = index * F64X3_STRIDE;
+        raw.writeDoubleLE(point.equityUsdt, base);
+        raw.writeDoubleLE(point.realizedCashUsdt, base + 8);
+        raw.writeDoubleLE(point.unrealizedPnlUsdt, base + 16);
+    });
+    return {
+        codec: "f64x3z",
+        startMs: first.timeMs,
+        stepMs,
+        payload: zlib.deflateSync(raw)
+    };
+}
+/**
+ * Reads points `[fromIndex, toIndex)` of a chunk, where the indexes are relative to
+ * the chunk's own first point.
+ *
+ * A compressed chunk has to be inflated whole before any point can be addressed, so
+ * the range only narrows what is materialized, not what is decompressed. That is why
+ * chunks are bounded in size: the cost of reading one point is the cost of one chunk.
+ */
+export function decodeChunk(chunk, fromIndex, toIndex) {
+    const rows = [];
+    if (chunk.codec === "f64x4") {
+        for (let index = fromIndex; index < toIndex; index += 1) {
+            const base = index * F64X4_STRIDE;
+            rows.push({
+                timeMs: chunk.payload.readDoubleLE(base),
+                equityUsdt: chunk.payload.readDoubleLE(base + 8),
+                realizedCashUsdt: chunk.payload.readDoubleLE(base + 16),
+                unrealizedPnlUsdt: chunk.payload.readDoubleLE(base + 24)
+            });
+        }
+        return rows;
+    }
+    const raw = zlib.inflateSync(chunk.payload);
+    for (let index = fromIndex; index < toIndex; index += 1) {
+        const base = index * F64X3_STRIDE;
+        rows.push({
+            timeMs: chunk.startMs + chunk.stepMs * index,
+            equityUsdt: raw.readDoubleLE(base),
+            realizedCashUsdt: raw.readDoubleLE(base + 8),
+            unrealizedPnlUsdt: raw.readDoubleLE(base + 16)
+        });
+    }
+    return rows;
+}
+/** Names a stored codec, treating anything written before the column existed as legacy. */
+export function codecFrom(value) {
+    return value === "f64x3z" ? "f64x3z" : LEGACY_CODEC;
+}
+function isUniform(points, startMs, stepMs) {
+    // Checked rather than trusted: the decoder reconstructs every timestamp from this
+    // arithmetic, so one irregular bar would silently move the whole tail of the chunk.
+    for (let index = 0; index < points.length; index += 1) {
+        if (points[index].timeMs !== startMs + stepMs * index)
+            return false;
+    }
+    return true;
+}
+function encodeF64x4(points) {
+    const payload = Buffer.allocUnsafe(points.length * F64X4_STRIDE);
+    points.forEach((point, index) => {
+        const base = index * F64X4_STRIDE;
+        payload.writeDoubleLE(point.timeMs, base);
+        payload.writeDoubleLE(point.equityUsdt, base + 8);
+        payload.writeDoubleLE(point.realizedCashUsdt, base + 16);
+        payload.writeDoubleLE(point.unrealizedPnlUsdt, base + 24);
+    });
+    return payload;
+}
+//# sourceMappingURL=series-codec.js.map

package/dist/strategy/series-codec.js.map

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

@@ -2,9 +2,14 @@ import crypto from "node:crypto";
 import { RuntimeError } from "../core/errors.js";
 import { MAX_PAGE_ROWS } from "./constants.js";
 import { STRATEGY_SCHEMA_SQL } from "./schema.js";
-/** Points per stored blob. Four float64 columns per point. */
+import { codecFrom, decodeChunk, encodeChunk } from "./series-codec.js";
+/**
+ * Points per stored blob.
+ *
+ * A compressed chunk is inflated in full to reach any point inside it, so this bounds
+ * the cost of a single-point read. Measured at 8,192: 0.47 ms to inflate one chunk.
+ */
 const CHUNK_POINTS = 8_192;
-const BYTES_PER_POINT = 32;
 export class StrategyStore {
     db;
     now;
@@ -22,12 +27,17 @@ export class StrategyStore {
      * such column" until the file is deleted.
      */
     migrate() {
-        const columns = new Set(this.db.prepare("PRAGMA table_info(strategy_runs)").all().map((row) => row.name));
-        // Additive only: each entry must be nullable so existing rows stay valid.
-        const additions = [["assumptions_json", "TEXT"]];
-        for (const [name, type] of additions) {
+        // Additive only: each entry must be nullable or carry a default, so rows written
+        // before the column existed stay valid. `codec` defaults to the layout those rows
+        // are actually in, which is what makes an old curve keep decoding correctly.
+        const additions = [
+            ["strategy_runs", "assumptions_json", "TEXT"],
+            ["strategy_run_series", "codec", "TEXT NOT NULL DEFAULT 'f64x4'"]
+        ];
+        for (const [table, name, type] of additions) {
+            const columns = new Set(this.db.prepare(`PRAGMA table_info(${table})`).all().map((row) => row.name));
             if (!columns.has(name))
-                this.db.exec(`ALTER TABLE strategy_runs ADD COLUMN ${name} ${type}`);
+                this.db.exec(`ALTER TABLE ${table} ADD COLUMN ${name} ${type}`);
         }
     }
     /**
@@ -176,23 +186,24 @@ export class StrategyStore {
             return { rows, offset: start, limit: bounded, total };
         const end = Math.min(total, start + bounded);
         const chunks = this.db
-            .prepare(`SELECT chunk_index,from_point,to_point,start_ms,step_ms,payload FROM strategy_run_series
+            .prepare(`SELECT chunk_index,from_point,to_point,start_ms,step_ms,payload,codec FROM strategy_run_series
          WHERE run_id=? AND to_point>=? AND from_point<? ORDER BY chunk_index ASC`)
             .all(id, start, end);
         for (const chunk of chunks) {
             const count = chunk.to_point - chunk.from_point + 1;
-            for (let index = 0; index < count; index += 1) {
-                const point = chunk.from_point + index;
-                if (point < start || point >= end)
-                    continue;
-                const base = index * BYTES_PER_POINT;
-                rows.push({
-                    timeMs: chunk.payload.readDoubleLE(base),
-                    equityUsdt: chunk.payload.readDoubleLE(base + 8),
-                    realizedCashUsdt: chunk.payload.readDoubleLE(base + 16),
-                    unrealizedPnlUsdt: chunk.payload.readDoubleLE(base + 24)
-                });
-            }
+            // Clamped to the chunk before decoding rather than filtered after: a compressed
+            // chunk has to be inflated whole, so the only saving available is in how many
+            // points get materialized.
+            const fromIndex = Math.max(0, start - chunk.from_point);
+            const toIndex = Math.min(count, end - chunk.from_point);
+            if (toIndex <= fromIndex)
+                continue;
+            rows.push(...decodeChunk({
+                codec: codecFrom(chunk.codec),
+                startMs: chunk.start_ms,
+                stepMs: chunk.step_ms,
+                payload: chunk.payload
+            }, fromIndex, toIndex));
         }
         return { rows, offset: start, limit: bounded, total };
     }
@@ -275,22 +286,13 @@ export class StrategyStore {
     writeSeries(id, equity) {
         if (equity.length === 0)
             return;
-        const statement = this.db.prepare(`INSERT INTO strategy_run_series(run_id,chunk_index,from_point,to_point,start_ms,step_ms,payload)
-       VALUES(?,?,?,?,?,?,?)`);
+        const statement = this.db.prepare(`INSERT INTO strategy_run_series(run_id,chunk_index,from_point,to_point,start_ms,step_ms,payload,codec)
+       VALUES(?,?,?,?,?,?,?,?)`);
         let chunkIndex = 0;
         for (let start = 0; start < equity.length; start += CHUNK_POINTS) {
             const slice = equity.slice(start, start + CHUNK_POINTS);
-            const payload = Buffer.allocUnsafe(slice.length * BYTES_PER_POINT);
-            slice.forEach((point, index) => {
-                const base = index * BYTES_PER_POINT;
-                payload.writeDoubleLE(point.timeMs, base);
-                payload.writeDoubleLE(point.equityUsdt, base + 8);
-                payload.writeDoubleLE(point.realizedCashUsdt, base + 16);
-                payload.writeDoubleLE(point.unrealizedPnlUsdt, base + 24);
-            });
-            const first = slice[0];
-            const step = slice.length > 1 ? slice[1].timeMs - first.timeMs : 0;
-            statement.run(id, chunkIndex, start, start + slice.length - 1, first.timeMs, step, payload);
+            const plan = encodeChunk(slice);
+            statement.run(id, chunkIndex, start, start + slice.length - 1, plan.startMs, plan.stepMs, plan.payload, plan.codec);
             chunkIndex += 1;
         }
     }

package/dist/strategy/store.js.map

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package/docs/strategy-research.md

@@ -211,6 +211,17 @@ if not buckets[-1].confirmed:
 
 注意：`ctx.indicators` 只接受 `1m`。高周期的当前桶在确认前还可能被修正，用它做增量指标状态，缓存值会悄悄依赖于"第一次算的时间点"。
 
+### 只要尾部就一定传 `lookback`
+
+`ctx.market.bars()` 的开销取决于你要多少根，**传了 `lookback` 就只付那么多**。省略它会返回至今全部可见 K 线，而这个方法每根收线都会被调一次 —— 长窗口下这是"几秒"和"几分钟"的差别。
+
+```python
+bars = ctx.market.bars(ctx.instrument_id, "1m", lookback=period + 3)   # 只付 period+3
+bars = ctx.market.bars(ctx.instrument_id, "1m")                        # 26 万根全拿
+```
+
+只用 `ctx.indicators.*` 的策略完全不碰这条路径 —— 指标是增量维护的。
+
 ### 看不到未来
 
 `ctx.market.bars()` 只暴露到当前可见长度，物理上取不到之后的 K 线。任何可见 K 线的 `closeTime ≤ ctx.as_of_ms`。测试里专门构造了"能看到未来就会盈利"的策略，断言它无法盈利。

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "desic-okx-agent",
-  "version": "0.3.0",
+  "version": "0.3.1",
   "description": "Independent Desic runtime, MCP server, CLI, and agent skills for OKX",
   "type": "module",
   "license": "MIT",

package/python/desic_strategy/context.py

@@ -44,18 +44,25 @@ class MarketView:
                 f"Market data is available for {self._instrument_id}, not {instrument_id}"
             )
         interval_ms(interval)
-        if interval == "1m":
-            series: tuple[Bar, ...] = tuple(self._minutes[: self._visible])
-        else:
-            found = self._aggregates.get(interval)
-            if found is None:
-                raise ContextError(f"Series '{interval}' is not available in this run")
-            series = found
-        if lookback is None:
-            return series
-        if not isinstance(lookback, int) or isinstance(lookback, bool) or lookback <= 0:
+        if lookback is not None and (
+            not isinstance(lookback, int) or isinstance(lookback, bool) or lookback <= 0
+        ):
             raise ValueError("lookback must be a positive integer")
-        return series[-lookback:]
+        if interval == "1m":
+            # Sliced before the copy, not after. `_minutes` holds the whole run, so
+            # copying the visible prefix and then discarding all but the tail costs one
+            # copy of everything seen so far, on every bar — quadratic in the window
+            # length. Measured on a 260k-bar run: a strategy asking for 17 bars here
+            # took 576 us/bar, against 16 us/bar for one that never called this method.
+            stop = self._visible
+            start = 0 if lookback is None else max(0, stop - lookback)
+            return tuple(self._minutes[start:stop])
+        found = self._aggregates.get(interval)
+        if found is None:
+            raise ContextError(f"Series '{interval}' is not available in this run")
+        # Aggregates are already immutable tuples ending at the cutoff, so slicing one
+        # copies only what was asked for.
+        return found if lookback is None else found[-lookback:]
 
 
 class StrategyContext:

package/skills/okx-strategy-research/references/python-api.md

@@ -37,6 +37,10 @@ bars = ctx.market.bars(ctx.instrument_id, "1m", lookback=240)
 intervals are `1m`, `3m`, `5m`, `15m`, `30m`, `1H`, `2H`, `4H`, `6H`, `12H`, and
 `1D`, but a higher timeframe must be requested for the run before it is readable.
 
+Always pass `lookback` when only a tail is needed. It costs the size of the window
+asked for, whereas omitting it copies every bar seen so far on every call — on a
+long run that is the difference between a few seconds and a few minutes.
+
 `Bar` fields: `openTimeMs`, `closeTimeMs`, `open`, `high`, `low`, `close`,
 `volume`, `confirmed`.