grid_skeleton/config/config.example.yaml

env: mainnet
api_base: ${PACIFICA_API_BASE}
symbols: [BTC, ETH, SOL]

accounts:
  maker:
    address: ${PACIFICA_MAKER_ADDRESS}
    private_key: ${PACIFICA_MAKER_PRIVATE_KEY}
    subaccount: maker-01
    role: maker
  hedger:
    address: ${PACIFICA_HEDGER_ADDRESS}
    private_key: ${PACIFICA_HEDGER_PRIVATE_KEY}
    subaccount: hedger-01
    role: hedger

# 策略选择：grid（网格）, scalper（剥头皮）, both（混合）
strategy_mode: grid  # 推荐先用 grid 验证对冲架构

# ========================================
# 网格策略配置（Grid Trading Strategy）
# ========================================
grid:
  enabled: true

  # 单标的配置（M1.5 MVP）
  symbol: BTC
  grid_step_bps: 100   # 网格间距 1%（基于波动率调整：BTC 0.8-1.2%, ETH 1.0-1.5%, SOL 1.5-2.5%）
  grid_range_bps: 400  # 网格范围 4%（基于极端波动：BTC 3-5%, ETH 4-6%, SOL 6-10%）
  base_clip_usd: 500   # 单层订单大小（USD）
  base_clip_equity_pct: 0.01  # 按账户权益比例（1%）动态调整，取最大值
  base_clip_leverage: 1       # 动态 clip 杠杆倍数
  max_layers: 4        # 单边最大层数
  hedge_threshold_base: 0.3  # 累积 0.3 BTC 触发对冲（批量对冲模式）
  tick_size: 1         # 价格步长
  lot_size: 0.00001    # 最小数量步长
  incremental_mode: false

  # 多标的配置（M2.5 增强版，注释掉则使用上面的单标的配置）
  # symbols:
  #   - symbol: BTC
  #     grid_step_bps: 100
  #     grid_range_bps: 400
  #     base_clip_usd: 500
  #     max_layers: 4
  #   - symbol: ETH
  #     grid_step_bps: 120
  #     grid_range_bps: 500
  #     base_clip_usd: 400
  #     max_layers: 4

  # 自适应参数（可选）
  adaptive:
    enabled: true
    volatility_window_minutes: 30
    min_volatility_bps: 20
    max_volatility_bps: 200
    min_grid_step_bps: 10
    max_grid_step_bps: 100
    recenter_enabled: true
    recenter_threshold_bps: 150
    recenter_cooldown_ms: 300000
    min_step_change_ratio: 0.2
    tick_interval_ms: 60000
    hedge_pending_timeout_ms: 30000
    post_only_cushion_bps: 5
    min_layers: 8

  # 趋势检测与暂停（M2.5）
  trend_filter:
    enabled: false  # MVP 阶段建议关闭
    lookback_periods: 12  # 12 * 5min = 1 hour
    trend_threshold_bps: 50  # 1 小时涨跌 > 0.5% 暂停网格

  # 低波动监控（M2.5）
  volatility_monitor:
    enabled: false
    min_daily_range_bps: 80  # 日内波动 < 0.8% 时告警
    action: notify  # notify | reduce_step | switch_strategy

# ========================================
# 被动做市 + 剥头皮策略配置（原有策略）
# ========================================
mm:
  layers: 2
  base_clip_usd: 1000
  spread_bps: 1.6
  reprice_ms: 300

scalper:
  trigger:
    spread_bps: 1.8
    min_cooldown_ms: 250
  tp_bps: 3
  sl_bps: 6

risk:
  max_notional_abs: 100000
  max_base_abs: 0.8
  max_order_sz: 0.2
  kill_switch:
    drawdown_pct: 0.5
    triggers:
      - type: delta_abs
        threshold: 1.6
      - type: hedge_failure_count
        threshold: 3
      - type: data_gap_sec
        threshold: 3
      - type: pnl_drawdown
        threshold: 1.0

hedge:
  kp: 0.6
  ki: 0.05
  qmax: 0.4
  min_interval_ms: 200

execution:
  max_slippage_bps: 5
  min_order_interval_ms: 250
  ws_rate_limiter:
    burst: 6
    refill_per_sec: 5
    max_queue_depth: 60
funding:
  poll_interval_ms: 60000