openfund-arbitrage 3.9.1__py3-none-any.whl

app/__init__.py

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+"""OpenFund Arbitrage - 跨交易所资金费率套利系统"""
+
+__version__ = "3.9.1"

app/config.py

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+"""配置管理模块"""
+
+import os
+import re
+from decimal import Decimal, InvalidOperation
+from pathlib import Path
+from typing import Any, Optional
+
+import yaml
+from pydantic import BaseModel, Field
+from dotenv import load_dotenv
+
+# 加载 .env 环境变量
+load_dotenv()
+
+
+def expand_env_vars(value: Any) -> Any:
+    """递归展开环境变量"""
+    if isinstance(value, str):
+        # 匹配 ${VAR_NAME} 格式的环境变量
+        pattern = r'\$\{([^}]+)\}'
+        matches = re.findall(pattern, value)
+        for match in matches:
+            env_value = os.environ.get(match, "")
+            value = value.replace(f"${{{match}}}", env_value)
+        return value
+    elif isinstance(value, dict):
+        return {k: expand_env_vars(v) for k, v in value.items()}
+    elif isinstance(value, list):
+        return [expand_env_vars(item) for item in value]
+    return value
+
+
+class ExchangeConfig(BaseModel):
+    """单个交易所配置"""
+    enabled: bool = True
+    apiKey: str = ""
+    secret: str = ""
+    password: Optional[str] = None
+    is_demo_trading: bool = False
+    options: dict = Field(default_factory=lambda: {"defaultType": "swap"})
+    maker_fee: Decimal = Decimal("0.0002")
+    taker_fee: Decimal = Decimal("0.0005")
+    settlement_interval: int = 1  # 兜底值，实际值由 dialect 动态获取
+    margin_buffer: Decimal = Decimal("1.01")  # 保证金缓冲比例, 可按交易所独立配置
+
+
+class ScheduleConfig(BaseModel):
+    """调度配置"""
+    enabled: bool = True
+    funding_rate_sync_interval: int = 5  # 分钟
+    opportunity_scan_interval: int = 1   # 分钟
+    auto_close_check_interval: int = 1    # 分钟 - 独立控制平仓检查
+    paper_trading_report_interval: int = 30 # 分钟
+    daily_report_minute: int = 5  # 昨天日报更新/每小时滚动更新的时间（分钟）
+    intraday_report_minute: int = 7  # 当天日报初始化创建的时间（分钟）
+
+
+class CommonConfig(BaseModel):
+    """通用配置"""
+    proxy: str = ""
+    timezone: str = "Asia/Shanghai"  # 默认使用北京时间 (UTC+8)
+    data_source_timeout: int = 3
+    cache_ttl: int = 60
+    feishu_webhook: str = ""
+    schedule: ScheduleConfig = ScheduleConfig()
+
+    def get_tzinfo(self):
+        """获取 timezone 对象"""
+        from datetime import timezone, timedelta
+        if self.timezone == "Asia/Shanghai" or self.timezone == "UTC+8":
+            return timezone(timedelta(hours=8))
+        return timezone.utc
+
+
+class AutoTradingConfig(BaseModel):
+    """自动交易配置"""
+    enabled: bool = False
+    default_principal: Decimal = Decimal("100")      # 默认本金 (USDT)
+    default_leverage: int = 3                         # 默认杠杆
+    max_concurrent_positions: int = 5                 # 最大同时持仓数
+    min_rate_diff_to_open: Decimal = Decimal("0.0005")   # 开仓最小费率差 (0.05%)
+    min_rate_diff_to_close: Decimal = Decimal("0.0001")  # 平仓最小费率差 (0.01%)
+    cooldown_minutes: int = 30                        # 同一交易对开仓冷却时间
+    pending_maker_close_interval: int = 10            # 挂起平仓监测时的开仓临时冷却期(秒)，真实平仓监测由 auto_close_check_interval 决定
+    ghost_backfill_hours: int = 24                    # Ghost 持仓认领时的资金费回溯小时数
+    max_pending_holding_minutes: int = 480            # 待无损平仓状态的最长持有挂起限时（分钟），作为兜底平仓红线 deadline
+    max_close_attempts: int = 5                       # 最大平仓重试次数（强平熔断阀值）
+    force_close_lead_minutes: int = 5                 # 强制平仓提前时间（分钟），默认 5 分钟
+    
+class OpeningAuditConfig(BaseModel):
+    """开仓前历史审计配置"""
+    enabled: bool = True
+    window_hours: float = 4.0
+    min_confidence: float = 0.7
+    min_volatility_ratio: float = 1.5  # 波动率夏普准入安全阈值 (RateDiff / TotalStdDev)
+    strict_opening_threshold: bool = True
+    fee_coverage_threshold: Decimal = Decimal("0.000041")  # 经济可行性审计门槛 (1h 费率)
+    asymmetric_jitter_window_minutes: int = 30  # 非对称套利短线防抖窗口
+    asymmetric_jitter_threshold: float = 0.7   # 利差萎缩拦截门槛 (例如 0.7 代表利差相比均值萎缩 30% 则拦截)
+
+
+class PremierPoolConfig(BaseModel):
+    """优质机会池配置"""
+    enabled: bool = True
+    opportunity_list_limit: int = Field(default=50, ge=1, le=100)
+    min_achievement_rate: Decimal = Decimal("0.8")  # 达成率阈值 (80%)
+    min_premier_apr: Decimal = Decimal("0.10")     # 平仓净 APR 阈值 (10%)
+    monitoring_boost: Decimal = Decimal("2.0")      # 优先级提升倍数
+
+
+class AsymmetricArbitrageConfig(BaseModel):
+    """不对称结算周期套利配置"""
+    enabled: bool = True
+    exclusive_mode: bool = True                     # 排他模式：仅允许执行不对称套利
+    min_profit_margin: Decimal = Decimal("0.0001")  # 预期净利润率安全垫 (0.01%)
+    exit_buffer_minutes: int = 2                    # 逃跑缓冲时间(分钟)
+    entry_window_minutes: int = 30                  # 小周期结算前允许打点入场的窗口
+    min_interval_multiple: Decimal = Field(default=Decimal("4"), ge=Decimal("1"))  # 不对称套利最小结算周期倍数
+    basis_admission_threshold: Decimal = Decimal("0.002")  # 专属吃单基差阈值 (0.2%)
+
+
+class NetProfitAdmissionConfig(BaseModel):
+    """成本感知净收益准入配置"""
+    enabled: bool = True
+    min_net_profit_usdt: Decimal = Decimal("0.02")
+    fee_coverage_multiplier: Decimal = Decimal("2.0")
+    entry_spread_buffer: Decimal | None = None
+    exit_spread_buffer: Decimal | None = None
+    slippage_buffer: Decimal | None = None
+    dynamic_expected_periods: bool = True
+    max_expected_periods: int = Field(default=3, ge=1, le=3)
+    periods_mapping: dict[str, int] = Field(default_factory=lambda: {"0.90": 3, "0.75": 2})
+
+
+class FundingDirectionReversalConfig(BaseModel):
+    """资金费方向近期翻转评估配置"""
+    evaluation_window_hours: Decimal = Decimal("4")
+    min_sample_count: int = Field(default=1, ge=1)
+    max_flip_count: int = Field(default=0, ge=0)
+
+
+class FundingOffsetConfig(BaseModel):
+    """双腿资金费收益抵消评估配置"""
+    min_net_directional_profit_usdt: Decimal = Field(default=Decimal("0"), ge=Decimal("0"))
+    evaluation_window_hours: Decimal | None = None
+
+
+class GreylistRecommendationConfig(BaseModel):
+    """灰名单候选建议配置"""
+    enabled: bool = True
+    min_sample_count: int = Field(default=2, ge=1)
+    observation_window_days: int = Field(default=30, ge=1)
+    actual_loss_threshold_usdt: Decimal = Field(default=Decimal("1"), ge=Decimal("0"))
+    loss_count_threshold: int = Field(default=2, ge=1)
+    expected_actual_deviation_threshold_usdt: Decimal = Field(default=Decimal("1"), ge=Decimal("0"))
+    expected_actual_deviation_ratio: Decimal = Field(default=Decimal("0.10"), ge=Decimal("0"))
+    fee_to_funding_gross_ratio_threshold: Decimal = Field(default=Decimal("0.50"), ge=Decimal("0"))
+    slippage_loss_threshold_usdt: Decimal = Field(default=Decimal("1"), ge=Decimal("0"))
+    action_mapping: dict[str, str] = Field(default_factory=lambda: {
+        "historical_loss_exceeded": "reject",
+        "expected_actual_deviation_exceeded": "increase_historical_error_buffer",
+        "fee_break_even_eroded": "raise_threshold",
+        "slippage_buffer_exceeded": "raise_threshold",
+        "data_insufficient": "watching",
+        "no_greylist_trigger": "watching",
+    })
+
+
+class RuntimeGreylistRuleConfig(BaseModel):
+    """运行时灰名单准入配置条目"""
+    enabled: bool = True
+    exchange: str = ""
+    symbol: str = ""
+    action: str = "watching"
+    config_version: str | None = None
+    trigger_basis: list[str] = Field(default_factory=list)
+    threshold_adjustment_usdt: Decimal = Decimal("0")
+    historical_error_buffer_usdt: Decimal = Decimal("0")
+
+
+class RuntimeGreylistConfig(BaseModel):
+    """已启用运行时灰名单准入配置"""
+    enabled: bool = False
+    config_version: str | None = None
+    rules: list[RuntimeGreylistRuleConfig] = Field(default_factory=list)
+
+
+def _safe_greylist_decimal_config(value, default: Decimal) -> Decimal:
+    try:
+        amount = Decimal(str(value))
+    except (InvalidOperation, ValueError, TypeError):
+        return default
+    return amount if amount.is_finite() and amount >= 0 else default
+
+
+def _safe_greylist_int_config(value, default: int) -> int:
+    try:
+        amount = Decimal(str(value))
+        if amount != amount.to_integral_value():
+            return default
+        amount = int(amount)
+    except (InvalidOperation, ValueError, TypeError, OverflowError):
+        return default
+    return amount if amount >= 1 else default
+
+
+def _coerce_greylist_recommendation_config(data):
+    if not isinstance(data, dict):
+        return data
+    defaults = GreylistRecommendationConfig()
+    coerced = dict(data)
+    for field_name in ("min_sample_count", "observation_window_days", "loss_count_threshold"):
+        coerced[field_name] = _safe_greylist_int_config(coerced.get(field_name, getattr(defaults, field_name)), getattr(defaults, field_name))
+    for field_name in (
+        "actual_loss_threshold_usdt",
+        "expected_actual_deviation_threshold_usdt",
+        "expected_actual_deviation_ratio",
+        "fee_to_funding_gross_ratio_threshold",
+        "slippage_loss_threshold_usdt",
+    ):
+        coerced[field_name] = _safe_greylist_decimal_config(coerced.get(field_name, getattr(defaults, field_name)), getattr(defaults, field_name))
+    return coerced
+
+
+class LiveTradingConfig(BaseModel):
+    """实盘交易安全配置"""
+    max_position_value: Decimal = Decimal("1.0")    # 最大单腿头寸 (USDT)，-1 为不限制
+    fixed_leverage: int = 1                         # 硬锁杠杆倍数
+    margin_mode: str = "isolated"                   # 强制仓位模式: isolated (逐仓), crossed (全仓)
+    min_notional_validation: bool = True            # 是否校验最小下单额
+    price_slippage_protection: Decimal = Decimal("0.0005") # IOC 价格保护偏移量 (0.05%)
+    max_latency_ms: int = 3000                      # 最大允许延迟 (ms)
+    max_rollback_attempts: int = 3                  # 触发熔断的连续回滚尝试次数
+    opening_strategy: str = "limit_ioc"             # 开仓策略: limit_ioc, dual_bbo, dual_maker
+    bbo_poll_interval: Decimal = Decimal("1.5")     # BBO 轮询间隔 (秒)
+    bbo_timeout: Decimal = Decimal("15.0")          # BBO 追踪超时 (秒)
+    bbo_min_diff_notional: Decimal = Decimal("5.0")  # 触发对冲的最小差异金额 (USDT)
+    taker_slippage_buffer: Decimal = Decimal("0.002") # 补单/Taker 滑点保护缓冲 (0.2%)
+    post_only_timeout_seconds: int = Field(default=20, gt=0)  # Post-Only 挂单的超时追单时间限制 (秒)
+
+
+class MarketFilterConfig(BaseModel):
+    """市场过滤配置"""
+    quote: str = "USDT"
+    settle: str = "USDT"
+    type: str = "swap"
+
+
+class ArbitrageConfig(BaseModel):
+    """套利配置"""
+    is_paper_trading: bool = True  # 是否为模拟交易模式
+    replacement_enabled: bool = True  # 是否开启动态调仓
+    replacement_min_apr_diff: Decimal = Decimal("0.05")  # 换仓的最小收益差门槛 (5%)
+    replacement_min_holding_minutes: int = 60  # 换仓前的最短持仓分钟数
+    replacement_min_settlements: int = 1  # 换仓前必须经历的最小结算次数
+    negative_funding_tolerance: Decimal = Decimal("-0.00005")  # 负收益保护费率容忍度 (-0.005%)
+    negative_funding_tolerance_minutes: int = 3                # 负收益保护费率持续时间 (分钟)
+    one_position_per_exchange: bool = True  # 每个交易所是否仅允许存在一个套利路径
+    slicing_cooldown_minutes: int = 15  # 分片平仓重试等待冷却时间(分钟)
+    max_closing_slippage: Decimal = Decimal("0.01")  # Taker 平仓最大容忍滑点
+    min_rate_diff: Decimal = Decimal("0.00005")  # 最小费率差 0.005%
+    min_annual_rate: Decimal = Decimal("0.05")   # 最小年化收益率 5%
+    market_filters: MarketFilterConfig = MarketFilterConfig()
+    excluded_symbols: list[str] = Field(default_factory=list)
+    supported_symbols: list[str] = Field(default_factory=list)  # 保持兼容，但优先使用过滤
+    auto_trading: AutoTradingConfig = AutoTradingConfig()
+    live_trading: LiveTradingConfig = LiveTradingConfig()
+    opening_audit: OpeningAuditConfig = OpeningAuditConfig()
+    premier_pool: PremierPoolConfig = PremierPoolConfig()
+    asymmetric_arbitrage: AsymmetricArbitrageConfig = AsymmetricArbitrageConfig()
+    net_profit_admission: NetProfitAdmissionConfig = NetProfitAdmissionConfig()
+    funding_direction_reversal: FundingDirectionReversalConfig = FundingDirectionReversalConfig()
+    funding_offset: FundingOffsetConfig = FundingOffsetConfig()
+    greylist_recommendation: GreylistRecommendationConfig = GreylistRecommendationConfig()
+    runtime_greylist: RuntimeGreylistConfig = RuntimeGreylistConfig()
+
+
+class StopLossConfig(BaseModel):
+    """止损配置"""
+    enabled: bool = True
+    threshold: Decimal = Decimal("-0.005")
+
+
+class RiskConfig(BaseModel):
+    """风险配置"""
+    margin_warning_threshold: Decimal = Decimal("0.50")   # 50% 触发 WARNING
+    margin_critical_threshold: Decimal = Decimal("0.30")  # 30% 触发 CRITICAL
+    basis_info_threshold: Decimal = Decimal("0.01")       # 1% 触发 INFO
+    basis_warning_threshold: Decimal = Decimal("0.02")    # 2% 触发 WARNING
+    basis_critical_threshold: Decimal = Decimal("0.05")   # 5% 触发告警 (CRITICAL)
+    basis_admission_threshold: Decimal = Decimal("0.01")  # 1% 交易准入控制阈值
+    basis_exit_threshold: Decimal = Decimal("0.01")       # 1% 平仓最大容忍基差偏离度
+    funding_protection_enabled: bool = True               # 是否开启负资金费保护
+    funding_protection_warmup_hours: int = 1              # 开仓保护期 (小时)
+    funding_volatility_tolerance: Decimal = Decimal("-0.2") # 负收益容忍度 (USDT)
+    max_total_position_usdt: Decimal = Decimal("50000")
+    max_single_position_usdt: Decimal = Decimal("10000")
+    total_initial_capital: Decimal = Decimal("0")         # 总本金，用于分析本金安全 (0 则不分析)
+    stop_loss: StopLossConfig = StopLossConfig()
+
+
+
+class LLMConfig(BaseModel):
+    """LLM 复盘配置"""
+    enabled: bool = False
+    api_key: str = ""
+    base_url: str = "https://api.openai.com/v1"
+    model_name: str = "gpt-4o"
+
+
+class Settings(BaseModel):
+    """全局配置"""
+    app_name: str = "OpenFund Arbitrage"
+    api_v1_prefix: str = "/api/v1"
+    debug: bool = True
+    user_name: Optional[str] = None
+    exchanges: dict[str, ExchangeConfig] = Field(default_factory=dict)
+    common: CommonConfig = CommonConfig()
+    arbitrage: ArbitrageConfig = ArbitrageConfig()
+    risk: RiskConfig = RiskConfig()
+    llm: LLMConfig = Field(default_factory=LLMConfig)
+
+    def get_enabled_exchanges(self) -> dict[str, ExchangeConfig]:
+        """获取所有启用的交易所配置"""
+        return {k: v for k, v in self.exchanges.items() if v.enabled}
+
+    def get_exchange(self, exchange_id: str) -> Optional[ExchangeConfig]:
+        """获取指定交易所配置"""
+        return self.exchanges.get(exchange_id)
+
+
+def load_config(config_path: Optional[str | Path] = None) -> Settings:
+    """
+    从 YAML 文件加载配置
+
+    Args:
+        config_path: 配置文件路径，默认为 arbitrage_config.yaml
+
+    Returns:
+        Settings 配置对象
+    """
+    path: Path
+    if config_path is None:
+        # 默认配置文件路径
+        base_dir = Path(__file__).parent.parent
+        path = base_dir / "arbitrage_config.yaml"
+    else:
+        path = Path(config_path)
+
+    if not path.exists():
+        # 配置文件不存在，返回默认配置
+        return Settings()
+
+    with open(path, "r", encoding="utf-8") as f:
+        raw_config = yaml.safe_load(f)
+
+    if raw_config is None:
+        return Settings()
+
+    # 展开环境变量
+    config_data = expand_env_vars(raw_config)
+
+    # 解析交易所配置
+    exchanges = {}
+    if "exchanges" in config_data:
+        for exchange_id, exchange_config in config_data["exchanges"].items():
+            exchanges[exchange_id] = ExchangeConfig(**exchange_config)
+
+    # 解析通用配置
+    common = CommonConfig()
+    if "common" in config_data:
+        common_data = config_data["common"]
+        if "schedule" in common_data:
+            common_data["schedule"] = ScheduleConfig(**common_data["schedule"])
+        common = CommonConfig(**common_data)
+
+    # 解析套利配置
+    arbitrage = ArbitrageConfig()
+    if "arbitrage" in config_data:
+        arb_data = config_data["arbitrage"]
+        if "auto_trading" in arb_data:
+            arb_data["auto_trading"] = AutoTradingConfig(**arb_data["auto_trading"])
+        if "opening_audit" in arb_data:
+            arb_data["opening_audit"] = OpeningAuditConfig(**arb_data["opening_audit"])
+        if "premier_pool" in arb_data:
+            arb_data["premier_pool"] = PremierPoolConfig(**arb_data["premier_pool"])
+        if "net_profit_admission" in arb_data:
+            arb_data["net_profit_admission"] = NetProfitAdmissionConfig(**arb_data["net_profit_admission"])
+        if "greylist_recommendation" in arb_data:
+            arb_data["greylist_recommendation"] = _coerce_greylist_recommendation_config(arb_data["greylist_recommendation"])
+        if "runtime_greylist" in arb_data:
+            runtime_greylist_data = dict(arb_data["runtime_greylist"] or {})
+            runtime_greylist_data["rules"] = [RuntimeGreylistRuleConfig(**item) for item in runtime_greylist_data.get("rules", [])]
+            arb_data["runtime_greylist"] = RuntimeGreylistConfig(**runtime_greylist_data)
+        arbitrage = ArbitrageConfig(**arb_data)
+
+    # 解析风险配置
+    risk = RiskConfig()
+    if "risk" in config_data:
+        risk_data = config_data["risk"]
+        if "stop_loss" in risk_data:
+            risk_data["stop_loss"] = StopLossConfig(**risk_data["stop_loss"])
+        risk = RiskConfig(**risk_data)
+
+    # 解析 LLM 配置
+    llm_data = config_data.get("llm", {})
+    # 显式检查环境变量（支持 .env 优先或作为补充）
+    llm_enabled = os.environ.get("OPENFUND_LLM_ENABLED", "").lower() == "true" or llm_data.get("enabled", False)
+    if isinstance(llm_enabled, str) and llm_enabled.lower() in ("true", "1"):
+        llm_enabled = True
+    elif isinstance(llm_enabled, str):
+        llm_enabled = False
+
+    llm = LLMConfig(
+        enabled=llm_enabled,
+        api_key=os.environ.get("OPENFUND_LLM_API_KEY", llm_data.get("api_key", "")),
+        base_url=os.environ.get("OPENFUND_LLM_BASE_URL", llm_data.get("base_url", "https://api.openai.com/v1")),
+        model_name=os.environ.get("OPENFUND_LLM_MODEL_NAME", llm_data.get("model_name", "gpt-4o")),
+    )
+
+    # 动态嗅探操作用户名 (Story 3.2)
+    user_name = config_data.get("user_name")
+    if not user_name:
+        try:
+            user_name = os.getlogin()
+        except Exception:
+            pass
+    if not user_name:
+        try:
+            import getpass
+            user_name = getpass.getuser()
+        except Exception:
+            pass
+    if not user_name:
+        user_name = os.environ.get("USER") or os.environ.get("USERNAME") or "UNKNOWN_OPERATOR"
+
+    return Settings(
+        exchanges=exchanges,
+        common=common,
+        arbitrage=arbitrage,
+        risk=risk,
+        llm=llm,
+        user_name=user_name,
+    )
+
+
+# 全局配置实例
+settings = load_config()

app/core/__init__.py

@@ -0,0 +1,16 @@
+"""核心执行层模块"""
+
+from app.core.exchange_manager import ExchangeManager
+from app.core.funding_rate_fetcher import FundingRateFetcher
+from app.core.arbitrage_executor import ArbitrageExecutor
+from app.core.notification import NotificationService
+from app.core.twap_manager import TWAPManager, twap_manager
+
+__all__ = [
+    "ExchangeManager",
+    "FundingRateFetcher",
+    "ArbitrageExecutor",
+    "NotificationService",
+    "TWAPManager",
+    "twap_manager",
+]