perp-cli 0.7.50 → 0.9.2

package/dist/bot/strategies/funding-arb-v2-strategy.js

@@ -0,0 +1,873 @@
+import { registerStrategy } from "../strategy-registry.js";
+import { checkArbLiquidity, checkSpotPerpLiquidity } from "../../liquidity.js";
+import { computeMatchedSize, computeSpotPerpMatchedSize, reconcileArbFills } from "../../arb-sizing.js";
+import { getFundingHours } from "../../funding.js";
+import { logExecution, pruneExecutionLog } from "../../execution-log.js";
+import { invalidateCache } from "../../cache.js";
+import { buildAdapterMap, getSpotAdapter, transferUsdcToSpot, transferUsdcToPerp, getPerpSymbol, findRate, matchSymbol, getPriceEstimate, fetchRates, recoverArbPositions, } from "./funding-arb-utils.js";
+let _posIdCounter = 0;
+function genPosId() { return `v2-${Date.now()}-${++_posIdCounter}`; }
+// ── Strategy ──
+export class FundingArbV2Strategy {
+    name = "funding-arb-v2";
+    describe() {
+        return {
+            description: "Funding arbitrage v2 — history-based, spot-perp primary, short rotation",
+            params: [
+                { name: "min_spread", type: "number", required: false, default: 15, description: "Min annualized spread % to enter" },
+                { name: "close_spread", type: "number", required: false, default: 3, description: "Close if spread below this %" },
+                { name: "size_usd", type: "number", required: false, default: 50, description: "Position size in USD" },
+                { name: "max_positions", type: "number", required: false, default: 5, description: "Max concurrent positions" },
+                { name: "exchanges", type: "string", required: true, description: "Comma-separated exchange names" },
+                { name: "leverage", type: "number", required: false, default: 3, description: "Max leverage" },
+                { name: "min_hold_hours", type: "number", required: false, default: 4, description: "Min hold before close (hours)" },
+                { name: "min_consistency", type: "number", required: false, default: 0.7, description: "Min positive payment ratio (0-1)" },
+                { name: "history_periods", type: "number", required: false, default: 6, description: "Funding periods to check" },
+                { name: "spot_perp_priority", type: "boolean", required: false, default: true, description: "Prefer spot-perp over perp-perp" },
+                { name: "rotation_threshold", type: "number", required: false, default: 10, description: "% improvement needed to rotate short" },
+            ],
+        };
+    }
+    _config = {};
+    _failCooldown = new Map();
+    _fundingScoreCache = new Map();
+    get params() {
+        const c = this._config;
+        return {
+            type: "funding-arb-v2",
+            min_spread: c.min_spread ?? 15,
+            close_spread: c.close_spread ?? 3,
+            size_usd: c.size_usd ?? 50,
+            max_positions: c.max_positions ?? 5,
+            exchanges: (typeof c.exchanges === "string" ? c.exchanges.split(",").map(s => s.trim()) : c.exchanges) ?? [],
+            leverage: c.leverage ?? 3,
+            min_hold_hours: c.min_hold_hours ?? 4,
+            min_consistency: c.min_consistency ?? 0.7,
+            history_periods: c.history_periods ?? 6,
+            spot_perp_priority: c.spot_perp_priority ?? true,
+            rotation_threshold: c.rotation_threshold ?? 10,
+        };
+    }
+    // ═══════════════════════════════════════════════════════════════════
+    // init
+    // ═══════════════════════════════════════════════════════════════════
+    async init(ctx, _snapshot) {
+        try {
+            pruneExecutionLog(30);
+        }
+        catch { /* non-critical */ }
+        this._config = ctx.config;
+        const p = this.params;
+        ctx.state.set("arbRunning", true);
+        ctx.state.set("v2Positions", []);
+        ctx.state.set("arbPositions", 0);
+        ctx.state.set("fundingIncome", 0);
+        ctx.state.set("fundingLastCheck", Date.now());
+        ctx.log(`  [ARBv2] Ready | spread >= ${p.min_spread}% | close < ${p.close_spread}% | size $${p.size_usd}`);
+        ctx.log(`  [ARBv2] Consistency >= ${(p.min_consistency * 100).toFixed(0)}% | history ${p.history_periods} periods | rotation ${p.rotation_threshold}%`);
+        ctx.log(`  [ARBv2] Exchanges: ${p.exchanges.join(", ")} | spot-perp priority: ${p.spot_perp_priority}`);
+        try {
+            const adapters = buildAdapterMap(ctx);
+            const rawRecovered = await recoverArbPositions(adapters, (msg) => ctx.log(`  [ARBv2] ${msg}`));
+            if (rawRecovered.length > 0) {
+                const recovered = rawRecovered.map(r => ({
+                    id: genPosId(), symbol: r.symbol, mode: r.mode, longExchange: r.longExchange,
+                    shortExchange: r.shortExchange, size: r.size, entryTime: 0, entrySpread: 0,
+                    fundingHistory: [], lastFundingCheck: 0,
+                }));
+                ctx.state.set("v2Positions", recovered);
+                ctx.state.set("arbPositions", recovered.length);
+                ctx.log(`  [ARBv2] Recovered ${recovered.length} position(s)`);
+            }
+            // Load historical funding
+            let historicalFunding = 0;
+            for (const [name, a] of adapters) {
+                try {
+                    const payments = await a.getFundingPayments(200);
+                    const oneDayAgo = Date.now() - 24 * 60 * 60 * 1000;
+                    const sum = payments.filter(fp => fp.time > oneDayAgo).reduce((s, fp) => s + parseFloat(fp.payment), 0);
+                    if (Math.abs(sum) > 0.001) {
+                        historicalFunding += sum;
+                        ctx.log(`  [FUND] ${name}: $${sum.toFixed(4)} historical`);
+                    }
+                }
+                catch { /* not supported */ }
+            }
+            if (Math.abs(historicalFunding) > 0.001) {
+                ctx.state.set("fundingIncome", historicalFunding);
+            }
+        }
+        catch (err) {
+            ctx.log(`  [ARBv2] Position recovery failed: ${err instanceof Error ? err.message : String(err)}`);
+        }
+    }
+    // ═══════════════════════════════════════════════════════════════════
+    // onTick
+    // ═══════════════════════════════════════════════════════════════════
+    async onTick(ctx, _snapshot) {
+        const p = this.params;
+        const openPositions = ctx.state.get("v2Positions");
+        const adapters = buildAdapterMap(ctx);
+        if (adapters.size < 2) {
+            ctx.log(`  [ARBv2] Need 2+ exchanges, have ${adapters.size}`);
+            return [];
+        }
+        // 1. Pre-filter exchanges
+        const exchangeBalances = new Map();
+        const availableAdapters = new Map();
+        for (const [name, a] of adapters) {
+            try {
+                const bal = await a.getBalance();
+                const equity = parseFloat(bal.equity);
+                const marginPct = equity > 0 ? (parseFloat(bal.marginUsed) / equity) * 100 : 100;
+                const available = parseFloat(bal.available);
+                exchangeBalances.set(name, { equity, available, marginPct });
+                const cd = this._failCooldown.get(`${name}:exchange`) ?? 0;
+                if (Date.now() < cd)
+                    ctx.log(`  [ARBv2] ${name} on cooldown`);
+                else if (available < 5)
+                    ctx.log(`  [ARBv2] ${name} available $${available.toFixed(2)} too low`);
+                else if (marginPct >= 90)
+                    ctx.log(`  [ARBv2] ${name} margin ${marginPct.toFixed(0)}%`);
+                else
+                    availableAdapters.set(name, a);
+            }
+            catch (err) {
+                ctx.log(`  [ARBv2] getBalance failed for ${name}: ${err instanceof Error ? err.message : String(err)}`);
+            }
+        }
+        // 2. Fetch rates
+        const atMax = openPositions.length >= p.max_positions;
+        const posExchanges = new Set();
+        if (atMax) {
+            for (const pos of openPositions) {
+                posExchanges.add(pos.longExchange.replace(/-spot$/i, ""));
+                posExchanges.add(pos.shortExchange);
+            }
+        }
+        const toScan = atMax ? [...adapters].filter(([n]) => posExchanges.has(n)) : [...adapters];
+        const ratesByExchange = new Map();
+        for (const [name, a] of toScan) {
+            const rates = await fetchRates(a, name);
+            const map = new Map();
+            for (const r of rates)
+                map.set(r.symbol.toUpperCase(), { rate: r.rate, price: r.price, sizeDecimals: r.sizeDecimals, maxLeverage: r.maxLeverage, fundingHours: r.fundingHours });
+            ratesByExchange.set(name, map);
+        }
+        // Periodic funding income
+        const lastCheck = ctx.state.get("fundingLastCheck");
+        if (Date.now() - lastCheck > 5 * 60 * 1000) {
+            try {
+                let total = 0;
+                for (const [name, a] of adapters) {
+                    try {
+                        const payments = await a.getFundingPayments(50);
+                        const start = ctx.state.get("fundingLastCheck");
+                        const sum = payments.filter(fp => fp.time > start - 5 * 60 * 1000).reduce((s, fp) => s + parseFloat(fp.payment), 0);
+                        total += sum;
+                        if (Math.abs(sum) > 0.001)
+                            ctx.log(`  [FUND] ${name}: $${sum.toFixed(4)}`);
+                    }
+                    catch { /* skip */ }
+                }
+                ctx.state.set("fundingIncome", ctx.state.get("fundingIncome") + total);
+                ctx.state.set("fundingLastCheck", Date.now());
+            }
+            catch { /* non-critical */ }
+        }
+        // 3. Update funding history (every 10 min)
+        for (const pos of openPositions) {
+            if (Date.now() - pos.lastFundingCheck < 10 * 60 * 1000)
+                continue;
+            try {
+                const shortAdapter = adapters.get(pos.shortExchange);
+                if (!shortAdapter)
+                    continue;
+                const payments = await shortAdapter.getFundingPayments(p.history_periods * 2);
+                const perpSym = getPerpSymbol(pos.symbol, pos.shortExchange);
+                const relevant = payments.filter(fp => matchSymbol(fp.symbol, perpSym) || matchSymbol(fp.symbol, pos.symbol));
+                const recent = relevant.slice(0, p.history_periods);
+                if (recent.length > 0)
+                    pos.fundingHistory = recent.map(fp => ({ time: fp.time, amount: parseFloat(fp.payment) }));
+                pos.lastFundingCheck = Date.now();
+            }
+            catch { /* non-critical */ }
+        }
+        // TUI display
+        const display = openPositions.map(pos => {
+            const spread = this.calcSignedSpread(pos, ratesByExchange);
+            const sign = spread >= 0 ? "+" : "";
+            return `${pos.symbol} ${pos.longExchange}<>${pos.shortExchange} ${sign}${spread.toFixed(1)}%`;
+        });
+        ctx.state.set("arbPositionDetails", display);
+        ctx.state.set("fundingTotal", `$${ctx.state.get("fundingIncome").toFixed(4)}`);
+        // 4. CLOSE check
+        const toClose = [];
+        for (const pos of openPositions) {
+            if (!this.checkCloseByHistory(pos, ratesByExchange, p))
+                continue;
+            const cd = this._failCooldown.get(`${pos.symbol}:close`) ?? 0;
+            if (Date.now() < cd)
+                continue;
+            ctx.log(`  [ARBv2] Closing ${pos.symbol} (${pos.mode}) ${pos.longExchange}<>${pos.shortExchange}`);
+            const closed = pos.mode === "spot-perp"
+                ? await this.closeSpotPerp(pos, adapters, ctx)
+                : await this.closePerpPerp(pos, adapters, ctx);
+            if (closed)
+                toClose.push(pos);
+        }
+        if (toClose.length > 0) {
+            const remaining = openPositions.filter(pos => !toClose.some(c => c.id === pos.id));
+            ctx.state.set("v2Positions", remaining);
+            ctx.state.set("arbPositions", remaining.length);
+        }
+        // 5. ROTATION check (spot-perp only)
+        for (const pos of ctx.state.get("v2Positions")) {
+            if (pos.mode !== "spot-perp")
+                continue;
+            const rcd = this._failCooldown.get(`${pos.id}:rotate`) ?? 0;
+            if (Date.now() < rcd)
+                continue;
+            const best = await this.findBestPerpShort(pos.symbol, adapters, ratesByExchange, p);
+            if (!best || best.exchange === pos.shortExchange)
+                continue;
+            const currentInfo = findRate(ratesByExchange, pos.shortExchange, getPerpSymbol(pos.symbol, pos.shortExchange))
+                ?? findRate(ratesByExchange, pos.shortExchange, pos.symbol);
+            if (!currentInfo)
+                continue;
+            const curAnn = (currentInfo.rate / (currentInfo.fundingHours ?? getFundingHours(pos.shortExchange))) * 8760 * 100;
+            if (best.score.annualized - curAnn < p.rotation_threshold)
+                continue;
+            ctx.log(`  [ARBv2] Rotating ${pos.symbol} short: ${pos.shortExchange} (${curAnn.toFixed(1)}%) -> ${best.exchange} (${best.score.annualized.toFixed(1)}%)`);
+            const ok = await this.rotateShort(pos, best.exchange, adapters, ctx, ratesByExchange);
+            if (!ok)
+                this._failCooldown.set(`${pos.id}:rotate`, Date.now() + 10 * 60 * 1000);
+        }
+        // 6. SCAN for new opportunities
+        const numPos = ctx.state.get("v2Positions").length;
+        if (numPos >= p.max_positions)
+            return [];
+        const openSymbols = new Set(ctx.state.get("v2Positions").map(pos => pos.symbol.toUpperCase()));
+        const scanNames = [...ratesByExchange.keys()].filter(n => availableAdapters.has(n));
+        const scoredOpps = [];
+        // 6a. Spot-perp
+        if (p.spot_perp_priority) {
+            for (const [spotExName, spotExAdapter] of adapters) {
+                try {
+                    const spotAdapter = await getSpotAdapter(spotExName, spotExAdapter);
+                    if (!spotAdapter)
+                        continue;
+                    const spotMarkets = await spotAdapter.getSpotMarkets();
+                    for (const m of spotMarkets) {
+                        const base = m.baseToken.toUpperCase();
+                        if (openSymbols.has(base))
+                            continue;
+                        if (Date.now() < (this._failCooldown.get(`${base}:entry`) ?? 0))
+                            continue;
+                        const best = await this.findBestPerpShort(base, adapters, ratesByExchange, p);
+                        if (!best || best.score.annualized < p.min_spread || best.score.consistency < p.min_consistency)
+                            continue;
+                        scoredOpps.push({ symbol: base, longExchange: `${spotExName}-spot`, shortExchange: best.exchange, spread: best.score.annualized, score: best.score, mode: "spot-perp", shortRate: best.rate, longRate: 0 });
+                    }
+                }
+                catch { /* no spot */ }
+            }
+        }
+        // 6b. Perp-perp
+        const allSyms = new Set();
+        for (const [, map] of ratesByExchange)
+            for (const sym of map.keys())
+                allSyms.add(sym);
+        for (const sym of allSyms) {
+            if (openSymbols.has(sym.toUpperCase()))
+                continue;
+            if (Date.now() < (this._failCooldown.get(`${sym}:entry`) ?? 0))
+                continue;
+            let minH = Infinity, maxH = -Infinity, minEx = "", maxEx = "", minR = 0, maxR = 0;
+            for (const ex of scanNames) {
+                const ri = findRate(ratesByExchange, ex, sym);
+                if (!ri)
+                    continue;
+                const h = ri.rate / (ri.fundingHours ?? getFundingHours(ex));
+                if (h < minH) {
+                    minH = h;
+                    minEx = ex;
+                    minR = ri.rate;
+                }
+                if (h > maxH) {
+                    maxH = h;
+                    maxEx = ex;
+                    maxR = ri.rate;
+                }
+            }
+            if (!minEx || !maxEx || minEx === maxEx)
+                continue;
+            const spread = (maxH - minH) * 8760 * 100;
+            if (spread < p.min_spread)
+                continue;
+            const shortScore = await this.scoreFunding(adapters.get(maxEx), sym, maxEx, p.history_periods);
+            if (shortScore && shortScore.consistency < p.min_consistency)
+                continue;
+            scoredOpps.push({ symbol: sym, longExchange: minEx, shortExchange: maxEx, spread, score: shortScore ?? { symbol: sym, exchange: maxEx, avgRate: maxR, consistency: 1, annualized: spread, payments: 0 }, mode: "perp-perp", shortRate: maxR, longRate: minR });
+        }
+        scoredOpps.sort((a, b) => {
+            if (p.spot_perp_priority) {
+                if (a.mode === "spot-perp" && b.mode !== "spot-perp")
+                    return -1;
+                if (a.mode !== "spot-perp" && b.mode === "spot-perp")
+                    return 1;
+            }
+            return b.spread - a.spread;
+        });
+        if (scoredOpps.length > 0 && numPos < p.max_positions) {
+            for (const opp of scoredOpps.slice(0, 3)) {
+                ctx.log(`  [ARBv2] ${opp.symbol}: ${opp.spread.toFixed(1)}% [${opp.mode}] consistency=${(opp.score.consistency * 100).toFixed(0)}% ${opp.longExchange}<>${opp.shortExchange}`);
+            }
+        }
+        // 7. EXECUTE
+        for (const opp of scoredOpps) {
+            if (ctx.state.get("v2Positions").length >= p.max_positions)
+                break;
+            const opened = opp.mode === "spot-perp"
+                ? await this.openSpotPerp(opp, adapters, ctx, ratesByExchange, exchangeBalances)
+                : await this.openPerpPerp(opp, adapters, ctx, ratesByExchange, exchangeBalances);
+            if (opened)
+                return [{ type: "noop" }];
+        }
+        if (scoredOpps.length === 0 && numPos < p.max_positions) {
+            ctx.log(`  [ARBv2] No opportunities >= ${p.min_spread}% with >= ${(p.min_consistency * 100).toFixed(0)}% consistency`);
+        }
+        return [];
+    }
+    // ═══════════════════════════════════════════════════════════════════
+    // onStop
+    // ═══════════════════════════════════════════════════════════════════
+    async onStop(ctx) {
+        const positions = ctx.state.get("v2Positions");
+        const adapters = buildAdapterMap(ctx);
+        if (positions && positions.length > 0) {
+            const remaining = [];
+            for (const pos of positions) {
+                const closed = pos.mode === "spot-perp"
+                    ? await this.closeSpotPerp(pos, adapters, ctx)
+                    : await this.closePerpPerp(pos, adapters, ctx);
+                if (!closed) {
+                    ctx.log(`  [ARBv2] CRITICAL: ${pos.symbol} could not be closed on stop`);
+                    remaining.push(pos);
+                }
+            }
+            ctx.state.set("v2Positions", remaining);
+            ctx.state.set("arbPositions", remaining.length);
+        }
+        const extra = ctx.state.get("extraAdapters");
+        if (extra) {
+            for (const [, a] of extra) {
+                try {
+                    await a.cancelAllOrders();
+                }
+                catch { /* best effort */ }
+            }
+        }
+        return [{ type: "cancel_all" }];
+    }
+    // ═══════════════════════════════════════════════════════════════════
+    // Core scoring / decision methods
+    // ═══════════════════════════════════════════════════════════════════
+    async scoreFunding(adapter, symbol, exchange, periods) {
+        const key = `${exchange}:${symbol}`;
+        const cached = this._fundingScoreCache.get(key);
+        if (cached && Date.now() - cached.ts < 10 * 60 * 1000)
+            return cached.score;
+        try {
+            const history = await adapter.getFundingHistory(symbol, periods);
+            if (history.length === 0)
+                return null;
+            const rates = history.map(h => parseFloat(h.rate));
+            const fH = getFundingHours(exchange);
+            const avgRate = rates.reduce((s, r) => s + r, 0) / rates.length;
+            const consistency = rates.filter(r => r > 0).length / rates.length;
+            const annualized = (avgRate / fH) * 8760 * 100;
+            const score = { symbol, exchange, avgRate, consistency, annualized, payments: rates.length };
+            this._fundingScoreCache.set(key, { score, ts: Date.now() });
+            return score;
+        }
+        catch {
+            return null;
+        }
+    }
+    calcSignedSpread(pos, ratesByExchange) {
+        if (pos.mode === "spot-perp") {
+            const ri = findRate(ratesByExchange, pos.shortExchange, getPerpSymbol(pos.symbol, pos.shortExchange))
+                ?? findRate(ratesByExchange, pos.shortExchange, pos.symbol);
+            const fH = ri?.fundingHours ?? getFundingHours(pos.shortExchange);
+            return ri ? (ri.rate / fH) * 8760 * 100 : 0;
+        }
+        const li = findRate(ratesByExchange, pos.longExchange, pos.symbol);
+        const si = findRate(ratesByExchange, pos.shortExchange, pos.symbol);
+        if (!li || !si)
+            return 0;
+        const lH = li.rate / (li.fundingHours ?? getFundingHours(pos.longExchange));
+        const sH = si.rate / (si.fundingHours ?? getFundingHours(pos.shortExchange));
+        return (sH - lH) * 8760 * 100;
+    }
+    checkCloseByHistory(pos, ratesByExchange, p) {
+        const minHoldMs = p.min_hold_hours * 60 * 60 * 1000;
+        const holdTime = pos.entryTime > 0 ? Date.now() - pos.entryTime : Infinity;
+        const signedSpread = this.calcSignedSpread(pos, ratesByExchange);
+        // Emergency close
+        if (signedSpread < -50)
+            return true;
+        if (holdTime < minHoldMs)
+            return false;
+        // History-based
+        if (pos.fundingHistory.length >= 3) {
+            const avgFunding = pos.fundingHistory.reduce((s, h) => s + h.amount, 0) / pos.fundingHistory.length;
+            if (avgFunding < 0)
+                return true;
+        }
+        // Fallback to instantaneous
+        if (pos.fundingHistory.length < 3)
+            return signedSpread < p.close_spread;
+        return signedSpread < p.close_spread;
+    }
+    async findBestPerpShort(symbol, adapters, ratesByExchange, p) {
+        let best = null;
+        for (const [exName, adapter] of adapters) {
+            const perpSym = getPerpSymbol(symbol, exName);
+            const ri = findRate(ratesByExchange, exName, perpSym) ?? findRate(ratesByExchange, exName, symbol);
+            if (!ri || ri.rate <= 0)
+                continue;
+            const score = await this.scoreFunding(adapter, perpSym, exName, p.history_periods)
+                ?? await this.scoreFunding(adapter, symbol, exName, p.history_periods);
+            if (!score)
+                continue;
+            if (!best || score.annualized > best.score.annualized)
+                best = { exchange: exName, rate: ri.rate, score };
+        }
+        return best;
+    }
+    // ═══════════════════════════════════════════════════════════════════
+    // Rotation
+    // ═══════════════════════════════════════════════════════════════════
+    async rotateShort(pos, newExchange, adapters, ctx, ratesByExchange) {
+        const oldAdapter = adapters.get(pos.shortExchange);
+        const newAdapter = adapters.get(newExchange);
+        if (!oldAdapter || !newAdapter) {
+            ctx.log(`  [ARBv2] Rotation: adapter not found`);
+            return false;
+        }
+        const oldSym = getPerpSymbol(pos.symbol, pos.shortExchange);
+        const newSym = getPerpSymbol(pos.symbol, newExchange);
+        const p = this.params;
+        const newMaxLev = findRate(ratesByExchange, newExchange, newSym)?.maxLeverage ?? findRate(ratesByExchange, newExchange, pos.symbol)?.maxLeverage ?? 1;
+        try {
+            await newAdapter.setLeverage(newSym, Math.min(p.leverage, newMaxLev), "cross");
+        }
+        catch (err) {
+            ctx.log(`  [ARBv2] Rotation setLeverage failed: ${err instanceof Error ? err.message : String(err)}`);
+            return false;
+        }
+        // Close old short
+        try {
+            await oldAdapter.marketOrder(oldSym, "buy", pos.size, { reduceOnly: true });
+            logExecution({ type: "arb_close", exchange: pos.shortExchange, symbol: pos.symbol, side: "buy", size: pos.size, status: "success", dryRun: false, meta: { rotation: true } });
+        }
+        catch (err) {
+            ctx.log(`  [ARBv2] Rotation close failed: ${err instanceof Error ? err.message : String(err)}`);
+            return false;
+        }
+        // Open new short
+        try {
+            await newAdapter.marketOrder(newSym, "sell", pos.size);
+            logExecution({ type: "arb_entry", exchange: newExchange, symbol: pos.symbol, side: "sell", size: pos.size, status: "success", dryRun: false, meta: { rotation: true } });
+        }
+        catch (err) {
+            const msg = err instanceof Error ? err.message : String(err);
+            ctx.log(`  [ARBv2] Rotation new short failed: ${msg} — rolling back`);
+            try {
+                await oldAdapter.marketOrder(oldSym, "sell", pos.size);
+                ctx.log(`  [ARBv2] Rotation rollback OK`);
+                logExecution({ type: "multi_leg_rollback", exchange: pos.shortExchange, symbol: pos.symbol, side: "sell", size: pos.size, status: "success", dryRun: false });
+            }
+            catch (rbErr) {
+                ctx.log(`  [ARBv2] CRITICAL: Rotation rollback failed: ${rbErr instanceof Error ? rbErr.message : String(rbErr)}`);
+                logExecution({ type: "multi_leg_rollback", exchange: pos.shortExchange, symbol: pos.symbol, side: "sell", size: pos.size, status: "failed", error: rbErr instanceof Error ? rbErr.message : String(rbErr), dryRun: false });
+            }
+            return false;
+        }
+        pos.shortExchange = newExchange;
+        pos.fundingHistory = [];
+        pos.lastFundingCheck = 0;
+        return true;
+    }
+    // ═══════════════════════════════════════════════════════════════════
+    // Open / Close — spot-perp
+    // ═══════════════════════════════════════════════════════════════════
+    async openSpotPerp(opp, adapters, ctx, ratesByExchange, exchangeBalances) {
+        const p = this.params;
+        const spotExName = opp.longExchange.replace("-spot", "");
+        const spotExAdapter = adapters.get(spotExName);
+        const perpAdapter = adapters.get(opp.shortExchange);
+        if (!spotExAdapter || !perpAdapter) {
+            this._failCooldown.set(`${opp.symbol}:entry`, Date.now() + 5 * 60 * 1000);
+            return false;
+        }
+        try {
+            const spotAdapter = await getSpotAdapter(spotExName, spotExAdapter);
+            if (!spotAdapter)
+                return false;
+            const perpSymbol = getPerpSymbol(opp.symbol, opp.shortExchange);
+            const perpMaxLev = findRate(ratesByExchange, opp.shortExchange, perpSymbol)?.maxLeverage ?? findRate(ratesByExchange, opp.shortExchange, opp.symbol)?.maxLeverage ?? 1;
+            const leverage = Math.min(p.leverage, perpMaxLev);
+            try {
+                await perpAdapter.setLeverage(perpSymbol, leverage, "cross");
+            }
+            catch (err) {
+                ctx.log(`  [ARBv2] setLeverage failed: ${err instanceof Error ? err.message : String(err)}`);
+                this._failCooldown.set(`${opp.symbol}:entry`, Date.now() + 5 * 60 * 1000);
+                return false;
+            }
+            let targetSizeUsd = p.size_usd;
+            const sameExchange = spotExName === opp.shortExchange;
+            if (sameExchange) {
+                const perpBal = await perpAdapter.getBalance();
+                const perpAvail = parseFloat(perpBal.available);
+                const totalNeeded = targetSizeUsd + targetSizeUsd / leverage;
+                if (perpAvail < totalNeeded) {
+                    const max = perpAvail * 0.8 / (1 + 1 / leverage);
+                    if (max < 10) {
+                        ctx.log(`  [ARBv2] Skip spot-perp ${opp.symbol}: insufficient balance`);
+                        return false;
+                    }
+                    targetSizeUsd = Math.floor(max);
+                }
+            }
+            else {
+                const sBal = exchangeBalances.get(spotExName);
+                const pBal = exchangeBalances.get(opp.shortExchange);
+                if (!sBal || !pBal)
+                    return false;
+                const maxNtl = Math.min(sBal.available, pBal.available * leverage) * 0.8;
+                if (maxNtl < targetSizeUsd) {
+                    if (maxNtl < 10)
+                        return false;
+                    targetSizeUsd = Math.floor(maxNtl);
+                }
+            }
+            const price = await getPriceEstimate(perpAdapter, perpSymbol, opp.symbol);
+            if (price <= 0)
+                return false;
+            const liq = await checkSpotPerpLiquidity(spotAdapter, perpAdapter, opp.symbol, perpSymbol, targetSizeUsd, 0.5, (msg) => ctx.log(`  ${msg}`));
+            if (!liq.viable)
+                return false;
+            const spotMarkets = await spotAdapter.getSpotMarkets();
+            const spotDec = spotMarkets.find(m => m.baseToken.toUpperCase() === opp.symbol.toUpperCase())?.sizeDecimals;
+            const matched = computeSpotPerpMatchedSize(liq.adjustedSizeUsd, price, spotExName, opp.shortExchange, spotDec);
+            if (!matched) {
+                ctx.log(`  [ARBv2] Skip spot-perp ${opp.symbol}: matched size fail`);
+                return false;
+            }
+            ctx.log(`  [ARBv2] Opening spot-perp: ${matched.size} ${opp.symbol} ($${matched.notional.toFixed(0)})`);
+            if (sameExchange) {
+                const tAmt = Math.ceil(matched.notional * 1.02);
+                await transferUsdcToSpot(spotAdapter, spotExName, tAmt);
+            }
+            // Buy spot
+            try {
+                await spotAdapter.spotMarketOrder(opp.symbol, "buy", matched.size);
+                logExecution({ type: "arb_entry", exchange: opp.longExchange, symbol: opp.symbol, side: "buy", size: matched.size, notional: matched.notional, status: "success", dryRun: false, meta: { mode: "spot-perp", leg: "spot" } });
+            }
+            catch (err) {
+                const msg = err instanceof Error ? err.message : String(err);
+                ctx.log(`  [ARBv2] Spot buy failed: ${msg}`);
+                if (sameExchange) {
+                    try {
+                        await transferUsdcToPerp(spotAdapter, spotExName, Math.ceil(matched.notional * 1.02));
+                    }
+                    catch { /* best effort */ }
+                }
+                this._failCooldown.set(`${opp.symbol}:entry`, Date.now() + 5 * 60 * 1000);
+                return false;
+            }
+            // Short perp
+            try {
+                await perpAdapter.marketOrder(perpSymbol, "sell", matched.size);
+                logExecution({ type: "arb_entry", exchange: opp.shortExchange, symbol: opp.symbol, side: "sell", size: matched.size, notional: matched.notional, status: "success", dryRun: false, meta: { mode: "spot-perp", leg: "perp" } });
+            }
+            catch (err) {
+                const msg = err instanceof Error ? err.message : String(err);
+                ctx.log(`  [ARBv2] Perp short failed: ${msg} — ROLLING BACK spot`);
+                try {
+                    await spotAdapter.spotMarketOrder(opp.symbol, "sell", matched.size);
+                    logExecution({ type: "multi_leg_rollback", exchange: opp.longExchange, symbol: opp.symbol, side: "sell", size: matched.size, status: "success", dryRun: false });
+                    if (sameExchange) {
+                        try {
+                            await transferUsdcToPerp(spotAdapter, spotExName, Math.ceil(matched.notional * 1.02));
+                        }
+                        catch { /* best effort */ }
+                    }
+                }
+                catch (rbErr) {
+                    ctx.log(`  [ARBv2] CRITICAL: Spot rollback failed: ${rbErr instanceof Error ? rbErr.message : String(rbErr)}`);
+                }
+                this._failCooldown.set(`${opp.symbol}:entry`, Date.now() + 5 * 60 * 1000);
+                return false;
+            }
+            const cur = ctx.state.get("v2Positions");
+            cur.push({ id: genPosId(), symbol: opp.symbol, mode: "spot-perp", longExchange: opp.longExchange, shortExchange: opp.shortExchange, size: matched.size, entryTime: Date.now(), entrySpread: opp.spread, fundingHistory: [], lastFundingCheck: 0 });
+            ctx.state.set("v2Positions", cur);
+            ctx.state.set("arbPositions", cur.length);
+            ctx.log(`  [ARBv2] Spot-perp opened! (${cur.length}/${p.max_positions})`);
+            return true;
+        }
+        catch (err) {
+            ctx.log(`  [ARBv2] Open spot-perp failed: ${err instanceof Error ? err.message : String(err)}`);
+            this._failCooldown.set(`${opp.symbol}:entry`, Date.now() + 5 * 60 * 1000);
+            return false;
+        }
+    }
+    async closeSpotPerp(pos, adapters, ctx) {
+        const spotExName = pos.longExchange.replace("-spot", "");
+        const adapterForSpot = adapters.get(spotExName) ?? adapters.get(pos.shortExchange);
+        const perpAdapter = adapters.get(pos.shortExchange);
+        if (!perpAdapter || !adapterForSpot) {
+            ctx.log(`  [ARBv2] Close spot-perp: no adapter`);
+            return false;
+        }
+        try {
+            const spotAdapter = await getSpotAdapter(spotExName, adapterForSpot);
+            if (!spotAdapter)
+                return false;
+            // Sell spot
+            try {
+                await spotAdapter.spotMarketOrder(pos.symbol, "sell", pos.size);
+            }
+            catch (err) {
+                ctx.log(`  [ARBv2] Spot sell failed: ${err instanceof Error ? err.message : String(err)}`);
+                this._failCooldown.set(`${pos.symbol}:close`, Date.now() + 5 * 60 * 1000);
+                return false;
+            }
+            // Transfer USDC back (same-exchange)
+            if (spotExName === pos.shortExchange) {
+                try {
+                    const perpSym = getPerpSymbol(pos.symbol, pos.shortExchange);
+                    const price = await getPriceEstimate(perpAdapter, perpSym, pos.symbol);
+                    const proceeds = price * parseFloat(pos.size) * 0.95;
+                    if (proceeds > 1)
+                        await transferUsdcToPerp(spotAdapter, spotExName, Math.floor(proceeds));
+                }
+                catch { /* non-fatal */ }
+            }
+            // Close perp short
+            const perpSym = getPerpSymbol(pos.symbol, pos.shortExchange);
+            try {
+                await perpAdapter.marketOrder(perpSym, "buy", pos.size, { reduceOnly: true });
+                logExecution({ type: "arb_close", exchange: pos.shortExchange, symbol: pos.symbol, side: "buy", size: pos.size, status: "success", dryRun: false, meta: { mode: pos.mode } });
+                return true;
+            }
+            catch (err) {
+                ctx.log(`  [ARBv2] Perp close failed: ${err instanceof Error ? err.message : String(err)} — rollback spot`);
+                try {
+                    await spotAdapter.spotMarketOrder(pos.symbol, "buy", pos.size);
+                }
+                catch (rbErr) {
+                    ctx.log(`  [ARBv2] CRITICAL: Spot rollback failed: ${rbErr instanceof Error ? rbErr.message : String(rbErr)}`);
+                }
+                this._failCooldown.set(`${pos.symbol}:close`, Date.now() + 5 * 60 * 1000);
+                return false;
+            }
+        }
+        catch (err) {
+            ctx.log(`  [ARBv2] Close spot-perp failed: ${err instanceof Error ? err.message : String(err)}`);
+            return false;
+        }
+    }
+    // ═══════════════════════════════════════════════════════════════════
+    // Open / Close — perp-perp
+    // ═══════════════════════════════════════════════════════════════════
+    async openPerpPerp(opp, adapters, ctx, ratesByExchange, exchangeBalances) {
+        const p = this.params;
+        const longAdapter = adapters.get(opp.longExchange);
+        const shortAdapter = adapters.get(opp.shortExchange);
+        if (!longAdapter || !shortAdapter)
+            return false;
+        const price = findRate(ratesByExchange, opp.longExchange, opp.symbol)?.price ?? 0;
+        if (price <= 0)
+            return false;
+        const longMaxLev = findRate(ratesByExchange, opp.longExchange, opp.symbol)?.maxLeverage ?? 1;
+        const shortMaxLev = findRate(ratesByExchange, opp.shortExchange, opp.symbol)?.maxLeverage ?? 1;
+        const leverage = Math.min(p.leverage, longMaxLev, shortMaxLev);
+        try {
+            await longAdapter.setLeverage(opp.symbol, leverage, "cross");
+        }
+        catch (err) {
+            this._failCooldown.set(`${opp.symbol}:entry`, Date.now() + 5 * 60 * 1000);
+            return false;
+        }
+        try {
+            await shortAdapter.setLeverage(opp.symbol, leverage, "cross");
+        }
+        catch (err) {
+            this._failCooldown.set(`${opp.symbol}:entry`, Date.now() + 5 * 60 * 1000);
+            return false;
+        }
+        let targetSizeUsd = p.size_usd;
+        const lBal = exchangeBalances.get(opp.longExchange);
+        const sBal = exchangeBalances.get(opp.shortExchange);
+        if (!lBal || !sBal)
+            return false;
+        const minAvail = Math.min(lBal.available, sBal.available);
+        if (minAvail < targetSizeUsd / leverage) {
+            const max = minAvail * leverage * 0.8;
+            if (max < 10)
+                return false;
+            targetSizeUsd = Math.floor(max);
+        }
+        const liq = await checkArbLiquidity(longAdapter, shortAdapter, opp.symbol, targetSizeUsd, 0.5, (msg) => ctx.log(`  ${msg}`));
+        if (!liq.viable)
+            return false;
+        const lDec = findRate(ratesByExchange, opp.longExchange, opp.symbol)?.sizeDecimals;
+        const sDec = findRate(ratesByExchange, opp.shortExchange, opp.symbol)?.sizeDecimals;
+        const matched = computeMatchedSize(liq.adjustedSizeUsd, price, opp.longExchange, opp.shortExchange, { longSizeDecimals: lDec, shortSizeDecimals: sDec });
+        if (!matched) {
+            ctx.log(`  [ARBv2] Skip ${opp.symbol}: matched size fail`);
+            return false;
+        }
+        ctx.log(`  [ARBv2] Opening perp-perp: ${matched.size} ${opp.symbol} ($${matched.notional.toFixed(0)}/leg)`);
+        // Long leg
+        try {
+            await longAdapter.marketOrder(opp.symbol, "buy", matched.size);
+            logExecution({ type: "arb_entry", exchange: opp.longExchange, symbol: opp.symbol, side: "buy", size: matched.size, notional: matched.notional / 2, status: "success", dryRun: false, meta: { mode: "perp-perp", leg: "long" } });
+        }
+        catch (err) {
+            ctx.log(`  [ARBv2] Long leg failed: ${err instanceof Error ? err.message : String(err)}`);
+            this._failCooldown.set(`${opp.symbol}:entry`, Date.now() + 5 * 60 * 1000);
+            return false;
+        }
+        // Short leg
+        try {
+            await shortAdapter.marketOrder(opp.symbol, "sell", matched.size);
+            logExecution({ type: "arb_entry", exchange: opp.shortExchange, symbol: opp.symbol, side: "sell", size: matched.size, notional: matched.notional / 2, status: "success", dryRun: false, meta: { mode: "perp-perp", leg: "short" } });
+        }
+        catch (err) {
+            const msg = err instanceof Error ? err.message : String(err);
+            ctx.log(`  [ARBv2] Short leg failed: ${msg} — ROLLING BACK`);
+            try {
+                await longAdapter.marketOrder(opp.symbol, "sell", matched.size, { reduceOnly: true });
+                logExecution({ type: "multi_leg_rollback", exchange: opp.longExchange, symbol: opp.symbol, side: "sell", size: matched.size, status: "success", dryRun: false });
+            }
+            catch (rbErr) {
+                ctx.log(`  [ARBv2] CRITICAL: Rollback failed: ${rbErr instanceof Error ? rbErr.message : String(rbErr)}`);
+            }
+            this._failCooldown.set(`${opp.symbol}:entry`, Date.now() + 5 * 60 * 1000);
+            return false;
+        }
+        // Verify
+        try {
+            const r = await reconcileArbFills(longAdapter, shortAdapter, opp.symbol, (msg) => ctx.log(`  ${msg}`));
+            if (!r.matched)
+                ctx.log(`  [ARBv2] WARNING: fills not matched`);
+        }
+        catch { /* non-critical */ }
+        invalidateCache("acct");
+        await new Promise(resolve => setTimeout(resolve, 2000));
+        try {
+            const [lp, sp] = await Promise.all([longAdapter.getPositions(), shortAdapter.getPositions()]);
+            const lE = lp.some(x => matchSymbol(x.symbol, opp.symbol) && parseFloat(x.size) > 0);
+            const sE = sp.some(x => matchSymbol(x.symbol, opp.symbol) && parseFloat(x.size) > 0);
+            if (!lE && !sE) {
+                ctx.log(`  [ARBv2] Positions not visible (cache delay?)`);
+            }
+            else if (!lE || !sE) {
+                ctx.log(`  [ARBv2] Position verify failed: long=${lE}, short=${sE}`);
+                if (lE && !sE) {
+                    try {
+                        await longAdapter.marketOrder(opp.symbol, "sell", matched.size, { reduceOnly: true });
+                    }
+                    catch { /* best effort */ }
+                }
+                if (sE && !lE) {
+                    try {
+                        await shortAdapter.marketOrder(opp.symbol, "buy", matched.size, { reduceOnly: true });
+                    }
+                    catch { /* best effort */ }
+                }
+                this._failCooldown.set(`${opp.symbol}:entry`, Date.now() + 10 * 60 * 1000);
+                return false;
+            }
+        }
+        catch (err) {
+            ctx.log(`  [ARBv2] Verify error: ${err instanceof Error ? err.message : String(err)}`);
+        }
+        const cur = ctx.state.get("v2Positions");
+        cur.push({ id: genPosId(), symbol: opp.symbol, mode: "perp-perp", longExchange: opp.longExchange, shortExchange: opp.shortExchange, size: matched.size, entryTime: Date.now(), entrySpread: opp.spread, fundingHistory: [], lastFundingCheck: 0 });
+        ctx.state.set("v2Positions", cur);
+        ctx.state.set("arbPositions", cur.length);
+        ctx.log(`  [ARBv2] Perp-perp opened! (${cur.length}/${p.max_positions})`);
+        return true;
+    }
+    async closePerpPerp(pos, adapters, ctx) {
+        const longAdapter = adapters.get(pos.longExchange);
+        const shortAdapter = adapters.get(pos.shortExchange);
+        if (!longAdapter || !shortAdapter) {
+            ctx.log(`  [ARBv2] Close perp-perp: adapters not found`);
+            return false;
+        }
+        const isGone = (msg) => msg.includes("ReduceOnly") || msg.includes("reduceOnly") || msg.includes("-2022");
+        let closeLongOk = false;
+        let longGone = false;
+        try {
+            await longAdapter.marketOrder(pos.symbol, "sell", pos.size, { reduceOnly: true });
+            closeLongOk = true;
+            logExecution({ type: "arb_close", exchange: pos.longExchange, symbol: pos.symbol, side: "sell", size: pos.size, status: "success", dryRun: false, meta: { mode: pos.mode, leg: "long" } });
+        }
+        catch (err) {
+            const msg = err instanceof Error ? err.message : String(err);
+            if (isGone(msg)) {
+                longGone = true;
+                this._failCooldown.set(`${pos.longExchange}:exchange`, Date.now() + 30 * 60 * 1000);
+            }
+            else {
+                ctx.log(`  [ARBv2] Close long failed: ${msg}`);
+                this._failCooldown.set(`${pos.symbol}:close`, Date.now() + 5 * 60 * 1000);
+                return false;
+            }
+        }
+        try {
+            await shortAdapter.marketOrder(pos.symbol, "buy", pos.size, { reduceOnly: true });
+            logExecution({ type: "arb_close", exchange: pos.shortExchange, symbol: pos.symbol, side: "buy", size: pos.size, status: "success", dryRun: false, meta: { mode: pos.mode, leg: "short" } });
+        }
+        catch (err) {
+            const msg = err instanceof Error ? err.message : String(err);
+            if (isGone(msg)) {
+                this._failCooldown.set(`${pos.shortExchange}:exchange`, Date.now() + 30 * 60 * 1000);
+            }
+            else if (closeLongOk) {
+                ctx.log(`  [ARBv2] Close short failed: ${msg} — re-opening long`);
+                try {
+                    await longAdapter.marketOrder(pos.symbol, "buy", pos.size);
+                    logExecution({ type: "multi_leg_rollback", exchange: pos.longExchange, symbol: pos.symbol, side: "buy", size: pos.size, status: "success", dryRun: false });
+                }
+                catch (rbErr) {
+                    ctx.log(`  [ARBv2] CRITICAL: Rollback failed: ${rbErr instanceof Error ? rbErr.message : String(rbErr)}`);
+                }
+                this._failCooldown.set(`${pos.symbol}:close`, Date.now() + 5 * 60 * 1000);
+                return false;
+            }
+            else {
+                ctx.log(`  [ARBv2] Force closing orphaned short: ${msg}`);
+                try {
+                    await shortAdapter.marketOrder(pos.symbol, "buy", pos.size);
+                }
+                catch (fErr) {
+                    ctx.log(`  [ARBv2] CRITICAL: Force close failed: ${fErr instanceof Error ? fErr.message : String(fErr)}`);
+                    this._failCooldown.set(`${pos.symbol}:close`, Date.now() + 10 * 60 * 1000);
+                    return false;
+                }
+            }
+        }
+        ctx.log(`  [ARBv2] Closed ${pos.symbol}${longGone ? " (long was liquidated)" : ""}`);
+        return true;
+    }
+}
+registerStrategy("funding-arb-v2", (_config) => new FundingArbV2Strategy());