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- 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）
- 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
- # 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
- funding:
- poll_interval_ms: 60000
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