perp-cli 0.9.4 → 0.9.7

package/dist/bot/engine.js

@@ -76,10 +76,11 @@ mode = "headless") {
         tick: 0,
         log,
     };
-    // Pass extra adapters to strategy context for funding-arb
+    // Pass extra adapters and risk config to strategy context
     if (extraAdapters) {
         strategyCtx.state.set("extraAdapters", extraAdapters);
     }
+    strategyCtx.state.set("riskConfig", config.risk);
     const isDryRun = false; // TODO: wire up from config when dry-run mode is added
     let running = true;
     // ── TUI / JSON mode setup ──

package/dist/bot/strategies/funding-arb-utils.d.ts

@@ -38,6 +38,25 @@ export interface RecoveredPosition {
 }
 /** Recover arb positions from exchange state (perp-perp + spot-perp, same + cross exchange). */
 export declare function recoverArbPositions(adapters: Map<string, ExchangeAdapter>, log: (msg: string) => void): Promise<RecoveredPosition[]>;
+export interface FundingScore {
+    symbol: string;
+    exchange: string;
+    avgRate: number;
+    consistency: number;
+    annualized: number;
+    payments: number;
+}
+/** Returns true if a reduceOnly rejection indicates the position is already gone. */
+export declare function isPositionGone(msg: string): boolean;
+/** Compute funding period in hours from history timestamps. Falls back to static map. */
+export declare function computeFundingHoursFromHistory(history: {
+    time: number;
+}[]): number;
+/** Score a symbol's funding rate using history. Returns null if insufficient data. */
+export declare function scoreFunding(adapter: ExchangeAdapter, symbol: string, exchangeName: string, periods: number, cache?: Map<string, {
+    score: FundingScore;
+    ts: number;
+}>): Promise<FundingScore | null>;
 /** Fetch funding rates from an exchange adapter. */
 export declare function fetchRates(adapter: ExchangeAdapter, exchangeName: string): Promise<{
     symbol: string;

package/dist/bot/strategies/funding-arb-utils.js

@@ -2,6 +2,8 @@
  * Shared utilities for funding arbitrage strategies (v1 + v2).
  * Extracted to keep individual strategy files under size limits.
  */
+import { getFundingHours } from "../../funding.js";
+import { annualizeHourlyRate } from "../../funding/normalize.js";
 // ── Adapter helpers ──
 /** Build adapter map from primary adapter + extraAdapters in context state. */
 export function buildAdapterMap(ctx) {
@@ -206,6 +208,44 @@ export async function recoverArbPositions(adapters, log) {
     }
     return recovered;
 }
+/** Returns true if a reduceOnly rejection indicates the position is already gone. */
+export function isPositionGone(msg) {
+    return msg.includes("ReduceOnly") || msg.includes("reduceOnly") || msg.includes("-2022");
+}
+/** Compute funding period in hours from history timestamps. Falls back to static map. */
+export function computeFundingHoursFromHistory(history) {
+    if (history.length < 2)
+        return getFundingHours("unknown"); // fallback to 1
+    const times = history.map(h => h.time).sort((a, b) => a - b);
+    let totalInterval = 0;
+    for (let i = 1; i < times.length; i++)
+        totalInterval += times[i] - times[i - 1];
+    const avgIntervalH = totalInterval / (times.length - 1) / 3600000;
+    return avgIntervalH < 1.5 ? 1 : avgIntervalH < 5 ? 4 : 8;
+}
+/** Score a symbol's funding rate using history. Returns null if insufficient data. */
+export async function scoreFunding(adapter, symbol, exchangeName, periods, cache) {
+    const key = `${exchangeName}:${symbol}`;
+    const cached = cache?.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 < 2)
+            return null;
+        const rates = history.map(h => parseFloat(h.rate));
+        const fH = computeFundingHoursFromHistory(history);
+        const avgRate = rates.reduce((s, r) => s + r, 0) / rates.length;
+        const consistency = rates.filter(r => r > 0).length / rates.length;
+        const annualized = annualizeHourlyRate(avgRate / fH);
+        const score = { symbol, exchange: exchangeName, avgRate, consistency, annualized, payments: rates.length };
+        cache?.set(key, { score, ts: Date.now() });
+        return score;
+    }
+    catch {
+        return null;
+    }
+}
 /** Fetch funding rates from an exchange adapter. */
 export async function fetchRates(adapter, exchangeName) {
     try {

package/dist/bot/strategies/funding-arb-v2-strategy.d.ts

@@ -30,7 +30,7 @@ export declare class FundingArbV2Strategy implements Strategy {
     init(ctx: StrategyContext, _snapshot: EnrichedSnapshot): Promise<void>;
     onTick(ctx: StrategyContext, _snapshot: EnrichedSnapshot): Promise<StrategyAction[]>;
     onStop(ctx: StrategyContext): Promise<StrategyAction[]>;
-    private scoreFunding;
+    private scoreFundingLocal;
     private calcSignedSpread;
     private checkCloseByHistory;
     private findBestPerpShort;

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

@@ -2,9 +2,10 @@ 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 { annualizeHourlyRate } from "../../funding/normalize.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";
+import { buildAdapterMap, getSpotAdapter, transferUsdcToSpot, transferUsdcToPerp, getPerpSymbol, findRate, matchSymbol, getPriceEstimate, fetchRates, recoverArbPositions, scoreFunding, isPositionGone, } from "./funding-arb-utils.js";
 let _posIdCounter = 0;
 function genPosId() { return `v2-${Date.now()}-${++_posIdCounter}`; }
 // ── Strategy ──
@@ -235,7 +236,7 @@ export class FundingArbV2Strategy {
                 ?? findRate(ratesByExchange, pos.shortExchange, pos.symbol);
             if (!currentInfo)
                 continue;
-            const curAnn = (currentInfo.rate / (currentInfo.fundingHours ?? getFundingHours(pos.shortExchange))) * 8760 * 100;
+            const curAnn = annualizeHourlyRate(currentInfo.rate / (currentInfo.fundingHours ?? getFundingHours(pos.shortExchange)));
             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)}%)`);
@@ -302,10 +303,10 @@ export class FundingArbV2Strategy {
             }
             if (!minEx || !maxEx || minEx === maxEx)
                 continue;
-            const spread = (maxH - minH) * 8760 * 100;
+            const spread = annualizeHourlyRate(maxH - minH);
             if (spread < p.min_spread)
                 continue;
-            const shortScore = await this.scoreFunding(adapters.get(maxEx), sym, maxEx, p.history_periods);
+            const shortScore = await this.scoreFundingLocal(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 });
@@ -373,34 +374,15 @@ export class FundingArbV2Strategy {
     // ═══════════════════════════════════════════════════════════════════
     // 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;
-        }
+    scoreFundingLocal(adapter, symbol, exchange, periods) {
+        return scoreFunding(adapter, symbol, exchange, periods, this._fundingScoreCache);
     }
     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;
+            return ri ? annualizeHourlyRate(ri.rate / fH) : 0;
         }
         const li = findRate(ratesByExchange, pos.longExchange, pos.symbol);
         const si = findRate(ratesByExchange, pos.shortExchange, pos.symbol);
@@ -408,7 +390,7 @@ export class FundingArbV2Strategy {
             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;
+        return annualizeHourlyRate(sH - lH);
     }
     checkCloseByHistory(pos, ratesByExchange, p) {
         const minHoldMs = p.min_hold_hours * 60 * 60 * 1000;
@@ -437,8 +419,8 @@ export class FundingArbV2Strategy {
             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);
+            const score = await this.scoreFundingLocal(adapter, perpSym, exName, p.history_periods)
+                ?? await this.scoreFundingLocal(adapter, symbol, exName, p.history_periods);
             if (!score)
                 continue;
             if (!best || score.annualized > best.score.annualized)
@@ -813,7 +795,7 @@ export class FundingArbV2Strategy {
             ctx.log(`  [ARBv2] Close perp-perp: adapters not found`);
             return false;
         }
-        const isGone = (msg) => msg.includes("ReduceOnly") || msg.includes("reduceOnly") || msg.includes("-2022");
+        const isGone = isPositionGone;
         let closeLongOk = false;
         let longGone = false;
         try {

package/dist/bot/strategies/spot-perp-arb-strategy.d.ts

@@ -34,7 +34,7 @@ export declare class SpotPerpArbStrategy implements Strategy {
     init(ctx: StrategyContext, _snapshot: EnrichedSnapshot): Promise<void>;
     onTick(ctx: StrategyContext, _snapshot: EnrichedSnapshot): Promise<StrategyAction[]>;
     onStop(ctx: StrategyContext): Promise<StrategyAction[]>;
-    private scoreFunding;
+    private scoreFundingLocal;
     private findBestPerp;
     private calcAnnualized;
     private shouldClose;

package/dist/bot/strategies/spot-perp-arb-strategy.js

@@ -9,8 +9,9 @@
  */
 import { registerStrategy } from "../strategy-registry.js";
 import { getFundingHours } from "../../funding.js";
+import { annualizeHourlyRate } from "../../funding/normalize.js";
 import { pruneExecutionLog } from "../../execution-log.js";
-import { buildAdapterMap, getSpotAdapter, getPerpSymbol, findRate, matchSymbol, fetchRates, } from "./funding-arb-utils.js";
+import { buildAdapterMap, getSpotAdapter, getPerpSymbol, findRate, matchSymbol, fetchRates, scoreFunding, } from "./funding-arb-utils.js";
 import { SpotPerpExecutor } from "./spot-perp-executor.js";
 let _posIdCounter = 0;
 function genPosId() { return `spa-${Date.now()}-${++_posIdCounter}`; }
@@ -227,7 +228,7 @@ export class SpotPerpArbStrategy {
                 ?? findRate(ratesByExchange, pos.perpExchange, pos.symbol);
             if (!currentInfo)
                 continue;
-            const curAnn = (currentInfo.rate / (currentInfo.fundingHours ?? getFundingHours(pos.perpExchange))) * 8760 * 100;
+            const curAnn = annualizeHourlyRate(currentInfo.rate / (currentInfo.fundingHours ?? getFundingHours(pos.perpExchange)));
             if (best.score.annualized - curAnn < p.rotation_threshold)
                 continue;
             ctx.log(`  [SPA] Rotating ${pos.symbol} short: ${pos.perpExchange} (${curAnn.toFixed(1)}%) -> ${best.exchange} (${best.score.annualized.toFixed(1)}%)`);
@@ -346,28 +347,8 @@ export class SpotPerpArbStrategy {
         return [{ type: "cancel_all" }];
     }
     // ── Scoring (decision logic) ──
-    async scoreFunding(adapter, symbol, exchangeName) {
-        const p = this.params;
-        const key = `${exchangeName}:${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, p.history_periods);
-            if (history.length === 0)
-                return null;
-            const rates = history.map(h => parseFloat(h.rate));
-            const fH = getFundingHours(exchangeName);
-            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: exchangeName, avgRate, consistency, annualized, payments: rates.length };
-            this._fundingScoreCache.set(key, { score, ts: Date.now() });
-            return score;
-        }
-        catch {
-            return null;
-        }
+    scoreFundingLocal(adapter, symbol, exchangeName) {
+        return scoreFunding(adapter, symbol, exchangeName, this.params.history_periods, this._fundingScoreCache);
     }
     async findBestPerp(symbol, adapters, ratesByExchange) {
         let best = null;
@@ -376,8 +357,8 @@ export class SpotPerpArbStrategy {
             const ri = findRate(ratesByExchange, exName, perpSym) ?? findRate(ratesByExchange, exName, symbol);
             if (!ri || ri.rate <= 0)
                 continue;
-            const score = await this.scoreFunding(adapter, perpSym, exName)
-                ?? await this.scoreFunding(adapter, symbol, exName);
+            const score = await this.scoreFundingLocal(adapter, perpSym, exName)
+                ?? await this.scoreFundingLocal(adapter, symbol, exName);
             if (!score)
                 continue;
             if (!best || score.annualized > best.score.annualized)
@@ -391,7 +372,7 @@ export class SpotPerpArbStrategy {
         if (!ri)
             return null; // rate unknown — don't assume 0
         const fH = ri.fundingHours ?? getFundingHours(pos.perpExchange);
-        return (ri.rate / fH) * 8760 * 100;
+        return annualizeHourlyRate(ri.rate / fH);
     }
     shouldClose(pos, ratesByExchange, p) {
         const minHoldMs = p.min_hold_hours * 60 * 60 * 1000;
@@ -440,15 +421,31 @@ export class SpotPerpArbStrategy {
                     this._failCooldown.set(`${symbol}:entry`, Date.now() + 5 * 60 * 1000);
                     return false;
                 }
-                const actualAnn = (rateInfo.rate / actualFh) * 8760 * 100;
+                const actualAnn = annualizeHourlyRate(rateInfo.rate / actualFh);
                 if (actualAnn < p.min_rate) {
                     ctx.log(`  [SPA] Skip ${symbol}: actual rate ${actualAnn.toFixed(1)}% (${actualFh}h funding) below min_rate ${p.min_rate}%`);
                     this._failCooldown.set(`${symbol}:entry`, Date.now() + 10 * 60 * 1000);
                     return false;
                 }
             }
-            // Size decision
-            let targetSizeUsd = p.size_usd;
+            // Risk policy: enforce max_position_usd from risk config
+            const riskConfig = ctx.state.get("riskConfig");
+            const maxTotalPositionUsd = riskConfig?.max_position_usd ?? Infinity;
+            const positions = ctx.state.get("spaPositions");
+            let currentTotalUsd = 0;
+            for (const pos of positions) {
+                const ri = findRate(ratesByExchange, pos.perpExchange, getPerpSymbol(pos.symbol, pos.perpExchange))
+                    ?? findRate(ratesByExchange, pos.perpExchange, pos.symbol);
+                const price = ri?.price ?? 0;
+                currentTotalUsd += price * parseFloat(pos.size);
+            }
+            const remainingBudget = maxTotalPositionUsd - currentTotalUsd;
+            if (remainingBudget < 10) {
+                ctx.log(`  [SPA] Skip ${symbol}: risk limit — total positions $${currentTotalUsd.toFixed(0)}/$${maxTotalPositionUsd} (no budget)`);
+                return false;
+            }
+            // Size decision (capped by risk budget)
+            let targetSizeUsd = Math.min(p.size_usd, remainingBudget);
             const sameExchange = spotExchange === perpExchange;
             if (sameExchange) {
                 const perpBal = await perpAdapter.getBalance();

package/dist/bot/strategies/spot-perp-executor.d.ts

@@ -20,8 +20,6 @@ export declare class SpotPerpExecutor {
     transferToSpot(spotAdapter: SpotAdapter, exchange: string, amount: number): Promise<void>;
     /** Transfer USDC: spot -> perp account. */
     transferToPerp(spotAdapter: SpotAdapter, exchange: string, amount: number): Promise<void>;
-    /** Returns true if a reduceOnly rejection indicates the position is already gone. */
-    private isPositionGone;
     /**
      * Full spot-perp entry flow:
      * 1. Check liquidity

package/dist/bot/strategies/spot-perp-executor.js

@@ -8,7 +8,7 @@ import { logExecution } from "../../execution-log.js";
 import { invalidateCache } from "../../cache.js";
 import { checkSpotPerpLiquidity } from "../../liquidity.js";
 import { computeSpotPerpMatchedSize } from "../../arb-sizing.js";
-import { getSpotAdapter as getSpotAdapterUtil, transferUsdcToSpot, transferUsdcToPerp, getPerpSymbol, matchSymbol, getPriceEstimate, } from "./funding-arb-utils.js";
+import { getSpotAdapter as getSpotAdapterUtil, transferUsdcToSpot, transferUsdcToPerp, getPerpSymbol, matchSymbol, getPriceEstimate, isPositionGone, } from "./funding-arb-utils.js";
 // ── Executor ──
 export class SpotPerpExecutor {
     _spotAdapterCache = new Map();
@@ -30,10 +30,7 @@ export class SpotPerpExecutor {
     async transferToPerp(spotAdapter, exchange, amount) {
         await transferUsdcToPerp(spotAdapter, exchange, amount);
     }
-    /** Returns true if a reduceOnly rejection indicates the position is already gone. */
-    isPositionGone(msg) {
-        return msg.includes("ReduceOnly") || msg.includes("reduceOnly") || msg.includes("-2022");
-    }
+    // isPositionGone() is now in funding-arb-utils.ts
     /**
      * Full spot-perp entry flow:
      * 1. Check liquidity
@@ -197,7 +194,7 @@ export class SpotPerpExecutor {
             catch (err) {
                 const msg = err instanceof Error ? err.message : String(err);
                 // ReduceOnly rejected = position already gone, proceed to sell spot
-                if (this.isPositionGone(msg)) {
+                if (isPositionGone(msg)) {
                     log(`  [SPA] Perp already closed (ReduceOnly rejected)`);
                 }
                 else {

package/dist/funding/normalize.js

@@ -18,7 +18,7 @@ const EXCHANGE_FUNDING_HOURS = {
     hyperliquid: 1,
     pacifica: 1,
     lighter: 8,
-    aster: 1,
+    aster: 8,
 };
 /**
  * Get funding period in hours for an exchange.

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "perp-cli",
-  "version": "0.9.4",
+  "version": "0.9.7",
   "description": "Multi-DEX Perpetual Futures CLI - Pacifica, Hyperliquid, Lighter, Aster",
   "bin": {
     "perp": "dist/index.js",