pacifica/_archived/scripts/run-delta-neutral-simple.ts

#!/usr/bin/env tsx

/**
 * 简洁版Delta中性刷量策略
 * 只显示关键信息，日志简洁清晰
 */

import { DeltaNeutralVolumeStrategy, DeltaNeutralConfig } from '../src/strategies/DeltaNeutralVolumeStrategy';
import { DeltaNeutralConfigManager } from '../src/strategies/DeltaNeutralConfig';
import { PacificaSigningClient } from '../src/services/PacificaSigningClient';
import { RiskManager, RiskManagerConfig } from '../src/core/RiskManager';
import { MarketDataManager } from '../src/services/MarketDataManager';
import { OrderCleanupService, CleanupOptions } from '../src/services/OrderCleanupService';
import { DynamicPositionManager, PositionAdjustmentConfig } from '../src/services/DynamicPositionManager';
import { Account } from '../src/models/Account';
import { readFileSync, writeFileSync, existsSync } from 'fs';
import { v4 as uuidv4 } from 'uuid';

interface OrderLifecycle {
  orderId: string;
  clientOrderId: string;
  accountId: string; // 记录创建订单的账户ID
  symbol: string;
  side: 'bid' | 'ask';
  amount: string;
  price: string;
  status: 'pending' | 'filled' | 'cancelled' | 'expired';
  createdAt: number;
  lastChecked: number;
  checkCount: number;
  maxChecks: number;
}

interface SimpleStats {
  totalOrders: number;
  filledOrders: number;
  cancelledOrders: number;
  expiredOrders: number;
  totalVolume: number;
  totalPnL: number;
  startTime: number;
  lastUpdateTime: number;
  consecutiveErrors: number;
  maxConsecutiveErrors: number;
  apiCallCount: number;
  lastApiError: number;
  lastSuccessfulTrade: number;
  retryCount: number;
  totalRetries: number;
}

class SimpleDeltaNeutralStrategy extends DeltaNeutralVolumeStrategy {
  private orderLifecycle: Map<string, OrderLifecycle> = new Map();
  private lastApiCall: number = 0;
  private apiCallInterval: number = 2000; // 2秒间隔
  private orderCheckInterval: NodeJS.Timeout | null = null;
  private volumeTradingInterval: NodeJS.Timeout | null = null;
  private deltaMonitoringInterval: NodeJS.Timeout | null = null;
  private statusDisplayInterval: NodeJS.Timeout | null = null;
  private statsSaveInterval: NodeJS.Timeout | null = null;
  private healthCheckInterval: NodeJS.Timeout | null = null;

  // 账户配对 - Delta中性核心机制
  private accountPairs: Array<[Account, Account]> = [];

  // 多账户客户端映射 - 每个账户一个客户端
  private clientMap: Map<string, PacificaSigningClient> = new Map();

  // 账户列表（保存引用用于动态仓位管理）
  private strategyAccounts: Account[] = [];

  // 风险管理器
  private riskManager: RiskManager | null = null;
  private sessionId: string;

  // 市场数据管理器 - WebSocket实时行情
  private marketDataManager: MarketDataManager | null = null;
  private currentBTCPrice: number = 0;
  private isPriceReady: boolean = false;

  // 动态仓位管理器 - 保证金使用率过高时自动减仓
  private dynamicPositionManager: DynamicPositionManager | null = null;

  // 简洁版统计信息
  private stats: SimpleStats = {
    totalOrders: 0,
    filledOrders: 0,
    cancelledOrders: 0,
    expiredOrders: 0,
    totalVolume: 0,
    totalPnL: 0,
    startTime: Date.now(),
    lastUpdateTime: Date.now(),
    consecutiveErrors: 0,
    maxConsecutiveErrors: 3,
    apiCallCount: 0,
    lastApiError: 0,
    lastSuccessfulTrade: 0,
    retryCount: 0,
    totalRetries: 0
  };

  // 账户盈亏跟踪
  private accountPnL: Map<string, {
    totalProfit: number;      // 累计利润(USDC)
    totalVolume: number;      // 累计成交量(BTC)
    winTrades: number;        // 盈利交易次数
    lossTrades: number;       // 亏损交易次数
    lastUpdateTime: number;   // 最后更新时间
    initialBalance: number;   // 初始余额
    currentBalance: number;   // 当前余额
    direction: 'long' | 'short' | 'neutral';  // 主要方向
    performance: number;      // 绩效得分（用于动态角色分配）
  }> = new Map();

  // 市场趋势跟踪
  private marketTrend: 'bullish' | 'bearish' | 'neutral' = 'neutral';
  private priceHistory: number[] = [];  // 保存最近100个价格
  private buyRatio: number = 0.5;       // 买单比例
  private sellRatio: number = 0.5;      // 卖单比例
  private lastBTCPrice: number = 0;     // 最新BTC价格

  // 配置参数
  private readonly STATS_SAVE_INTERVAL = 600000; // 10分钟保存一次统计
  private readonly HEALTH_CHECK_INTERVAL = 300000; // 5分钟健康检查
  private readonly MAX_RUNTIME = 6 * 60 * 60 * 1000; // 6小时最大运行时间
  private readonly ERROR_RECOVERY_DELAY = 60000; // 60秒错误恢复延迟
  private readonly STATS_FILE = './data/simple-stats.json';
  private readonly TRADING_PAUSE_DURATION = 120000; // 120秒交易暂停
  private readonly MAX_RETRY_ATTEMPTS = 2; // 最大重试次数
  private readonly RETRY_DELAY = 10000; // 重试延迟

  // 状态控制
  private isTradingPaused = false;
  private lastTradingPause = 0;
  private isInitialized = false;

  constructor(
    config: DeltaNeutralConfig,
    pacificaClient: PacificaSigningClient,
    accounts: Account[]
  ) {
    super(config, pacificaClient, accounts);
    this.sessionId = `session_${Date.now()}`;
    this.strategyAccounts = accounts; // 保存账户引用

    // 为每个账户创建独立的客户端
    accounts.forEach(account => {
      const client = new PacificaSigningClient(account.getPrivateKey());
      this.clientMap.set(account.getId(), client);
    });

    this.loadStats();
    this.initializeRiskManager(config);
    this.initializeMarketDataManager();
    this.initializeDynamicPositionManager();
  }

  /**
   * 初始化风险管理器
   */
  private initializeRiskManager(config: DeltaNeutralConfig): void {
    const riskConfig: RiskManagerConfig = {
      maxTotalVolume: config.maxVolumePositionSize * 10, // 最大总量
      maxNetExposure: config.maxDeltaDeviation, // 最大净敞口
      maxDailyLoss: config.stopLossThreshold, // 最大每日亏损
      positionLimit: config.maxVolumePositionSize, // 仓位限制
      stopLossThreshold: config.stopLossThreshold, // 止损阈值
      monitoringInterval: 60000 // 60秒监控间隔
    };

    this.riskManager = new RiskManager(riskConfig);
    this.riskManager.on('breach_detected', (breach) => {
      this.log(`风险告警: ${breach.type} - ${breach.severity}`, 'error');
      if (breach.severity === 'critical') {
        this.pauseTrading();
      }
    });
  }

  /**
   * 初始化市场数据管理器
   * 使用WebSocket订阅实时行情,替代REST轮询
   * 传入signing client以支持认证订阅(如account balance)
   */
  private initializeMarketDataManager(): void {
    this.marketDataManager = new MarketDataManager(this.pacificaClient);

    // 监听实时价格更新
    this.marketDataManager.on('price_update', (priceData) => {
      if (priceData.symbol === 'BTC') {
        this.currentBTCPrice = parseFloat(priceData.mark);
        this.lastBTCPrice = this.currentBTCPrice; // 同步更新最新价格
        if (!this.isPriceReady) {
          this.isPriceReady = true;
          this.log(`BTC实时价格已就绪: $${this.currentBTCPrice.toFixed(2)}`, 'success');
        }
      }
    });

    // 监听WebSocket连接状态
    this.marketDataManager.on('connected', () => {
      this.log('WebSocket市场数据已连接', 'success');
    });

    this.marketDataManager.on('disconnected', () => {
      this.log('WebSocket市场数据断开,切换到REST轮询', 'warning');
      this.isPriceReady = false;
    });
  }

  /**
   * 初始化动态仓位管理器
   * 当保证金使用率过高时自动减仓
   */
  private initializeDynamicPositionManager(): void {
    // 从配置文件读取设置
    let config: PositionAdjustmentConfig;
    try {
      const strategyConfig = JSON.parse(readFileSync('./config/trading-strategy.json', 'utf-8'));
      const posConfig = strategyConfig.dynamicPositionAdjustment;

      config = {
        enabled: posConfig.enabled ?? true,
        maxMarginUsageThreshold: posConfig.maxMarginUsageThreshold ?? 0.85,
        targetMarginRelease: posConfig.targetMarginRelease ?? 0.2,
        minPositionRatio: posConfig.minPositionRatio ?? 0.3,
        checkInterval: posConfig.checkInterval ?? 10000
      };
    } catch (error) {
      // 使用默认配置
      config = {
        enabled: true,
        maxMarginUsageThreshold: 0.85,
        targetMarginRelease: 0.2,
        minPositionRatio: 0.3,
        checkInterval: 10000
      };
    }

    this.dynamicPositionManager = new DynamicPositionManager(config);
    this.log('动态仓位管理器已初始化', 'success');
  }

  /**
   * 简洁版日志输出
   */
  private log(message: string, type: 'info' | 'success' | 'warning' | 'error' = 'info'): void {
    const icons = {
      info: '📊',
      success: '✅',
      warning: '⚠️',
      error: '❌'
    };

    // 只显示重要信息，减少时间戳
    if (type === 'error' || type === 'success') {
      console.log(`${icons[type]} ${message}`);
    }
  }

  /**
   * 加载统计信息
   */
  private loadStats(): void {
    try {
      if (existsSync(this.STATS_FILE)) {
        const savedStats = JSON.parse(readFileSync(this.STATS_FILE, 'utf-8'));
        this.stats = { ...this.stats, ...savedStats };
        this.log(`加载历史统计: 运行${Math.floor((Date.now() - this.stats.startTime) / 1000 / 60)}分钟`, 'info');
      }
    } catch (error) {
      // 静默处理加载错误
    }
  }

  /**
   * 保存统计信息
   */
  private saveStats(): void {
    try {
      this.stats.lastUpdateTime = Date.now();
      writeFileSync(this.STATS_FILE, JSON.stringify(this.stats, null, 2));
    } catch (error) {
      // 静默处理保存错误
    }
  }

  /**
   * 带重试的API调用
   */
  private async callApiWithRetry<T>(
    apiCall: () => Promise<T>,
    operation: string,
    maxRetries: number = this.MAX_RETRY_ATTEMPTS
  ): Promise<T> {
    let lastError: Error | null = null;

    for (let attempt = 1; attempt <= maxRetries; attempt++) {
      try {
        await this.waitForApiCallInterval();
        const result = await apiCall();
        this.stats.apiCallCount++;
        this.stats.retryCount = 0;
        return result;
      } catch (error) {
        lastError = error as Error;
        this.stats.retryCount++;
        this.stats.totalRetries++;

        if (attempt < maxRetries) {
          const delay = this.RETRY_DELAY * attempt;
          await new Promise(resolve => setTimeout(resolve, delay));
        }
      }
    }

    throw lastError;
  }

  /**
   * 健康检查
   */
  private async performHealthCheck(): Promise<void> {
    try {
      const runtime = Date.now() - this.stats.startTime;

      // 检查最大运行时间
      if (runtime > this.MAX_RUNTIME) {
        this.log(`达到最大运行时间，准备停止`, 'warning');
        await this.stop();
        process.exit(0);
      }

      // 检查连续错误
      if (this.stats.consecutiveErrors >= this.stats.maxConsecutiveErrors) {
        this.log(`连续错误过多，暂停交易`, 'error');
        await this.pauseTrading();
        return;
      }

      // 检查API连接
      await this.callApiWithRetry(
        () => this.pacificaClient.getPrices(),
        '健康检查API连接'
      );

      // 重置连续错误计数
      if (this.stats.consecutiveErrors > 0) {
        this.stats.consecutiveErrors = 0;
        this.log('API连接恢复', 'success');
      }

      // 检查交易暂停状态
      if (this.isTradingPaused && Date.now() - this.lastTradingPause > this.TRADING_PAUSE_DURATION) {
        this.log('恢复交易', 'info');
        this.isTradingPaused = false;
      }

    } catch (error) {
      this.stats.consecutiveErrors++;
      this.stats.lastApiError = Date.now();
      this.log(`健康检查失败`, 'error');
    }
  }

  /**
   * 暂停交易
   */
  private async pauseTrading(): Promise<void> {
    this.log('暂停交易，等待错误恢复...', 'warning');
    this.isTradingPaused = true;
    this.lastTradingPause = Date.now();

    // 暂停交易定时器
    if (this.volumeTradingInterval) {
      clearInterval(this.volumeTradingInterval);
      this.volumeTradingInterval = null;
    }

    // 等待错误恢复
    setTimeout(async () => {
      this.log('尝试恢复交易...', 'info');
      await this.resumeTrading();
    }, this.ERROR_RECOVERY_DELAY);
  }

  /**
   * 恢复交易
   */
  private async resumeTrading(): Promise<void> {
    try {
      // 重新检查API连接
      await this.callApiWithRetry(
        () => this.pacificaClient.getPrices(),
        '恢复交易API检查'
      );

      // 恢复交易定时器
      this.startVolumeTrading();

      this.log('交易恢复成功', 'success');
    } catch (error) {
      this.log(`交易恢复失败`, 'error');
      await this.pauseTrading();
    }
  }

  /**
   * 重写开始刷量交易方法
   */
  protected async startVolumeTrading(): Promise<void> {
    this.log('启动简洁版刷量交易系统', 'info');

    // 启动订单生命周期管理
    this.startOrderLifecycleManagement();

    // 启动状态显示
    this.startStatusDisplay();

    // 启动统计保存
    this.startStatsSaving();

    // 启动健康检查
    this.startHealthCheck();

    // 启动动态仓位管理
    await this.startDynamicPositionManager();

    // 刷量交易 - 15秒间隔
    this.volumeTradingInterval = setInterval(async () => {
      try {
        if (!this.isTradingPaused && this.isInitialized) {
          await this.executeVolumeTradingCycle();
        }
      } catch (error) {
        this.stats.consecutiveErrors++;
        this.log(`刷量交易失败`, 'warning');
      }
    }, 15000); // 15秒间隔

    // Delta监控 - 120秒间隔
    this.deltaMonitoringInterval = setInterval(async () => {
      try {
        if (this.isInitialized) {
          await this.monitorAndRebalance();
        }
      } catch (error) {
        this.stats.consecutiveErrors++;
        this.log(`Delta监控失败`, 'warning');
      }
    }, 120000); // 120秒间隔
  }

  /**
   * 启动订单生命周期管理
   */
  private startOrderLifecycleManagement(): void {
    this.orderCheckInterval = setInterval(async () => {
      try {
        await this.checkOrderLifecycle();
      } catch (error) {
        this.stats.consecutiveErrors++;
        this.log(`订单检查失败`, 'warning');
      }
    }, 60000); // 60秒检查一次
  }

  /**
   * 启动状态显示
   */
  private startStatusDisplay(): void {
    this.statusDisplayInterval = setInterval(() => {
      this.displayStatus();
    }, 600000); // 每10分钟显示一次
  }

  /**
   * 启动统计保存
   */
  private startStatsSaving(): void {
    this.statsSaveInterval = setInterval(() => {
      this.saveStats();
    }, this.STATS_SAVE_INTERVAL);
  }

  /**
   * 启动健康检查
   */
  private startHealthCheck(): void {
    this.healthCheckInterval = setInterval(async () => {
      await this.performHealthCheck();
    }, this.HEALTH_CHECK_INTERVAL);
  }

  /**
   * 启动动态仓位管理器
   */
  private async startDynamicPositionManager(): Promise<void> {
    if (!this.dynamicPositionManager) {
      console.log('⚠️  动态仓位管理器未初始化');
      return;
    }

    // 为每个账户初始化管理器
    for (const account of this.strategyAccounts) {
      const client = this.clientMap.get(account.getId());
      if (client) {
        this.dynamicPositionManager.initializeAccount(account, client);
        console.log(`✅ 为账户 ${account.getName()} 初始化动态仓位管理`);
      }
    }

    // 启动监控
    await this.dynamicPositionManager.startMonitoring(this.strategyAccounts);
    console.log('✅ 动态仓位管理监控已启动');
    this.log('动态仓位管理监控已启动', 'success');
  }

  /**
   * 显示策略状态
   */
  private displayStatus(): void {
    const runtime = Math.floor((Date.now() - this.stats.startTime) / 1000);
    const runtimeStr = `${Math.floor(runtime / 3600)}时${Math.floor((runtime % 3600) / 60)}分${runtime % 60}秒`;

    console.log('\n' + '='.repeat(50));
    console.log('📈 简洁版策略运行状态');
    console.log('='.repeat(50));
    console.log(`⏰ 运行时间: ${runtimeStr}`);
    console.log(`📊 总订单数: ${this.stats.totalOrders}`);
    console.log(`✅ 已成交: ${this.stats.filledOrders}`);
    console.log(`❌ 已取消: ${this.stats.cancelledOrders}`);
    console.log(`📈 总交易量: ${this.stats.totalVolume.toFixed(6)} BTC`);
    console.log(`💰 总PNL: ${this.stats.totalPnL.toFixed(2)} USDC`);
    console.log(`🔄 活跃订单: ${this.orderLifecycle.size}`);
    console.log(`🌐 API调用: ${this.stats.apiCallCount}`);
    console.log(`⚠️ 连续错误: ${this.stats.consecutiveErrors}`);
    console.log(`⏸️ 交易状态: ${this.isTradingPaused ? '暂停' : '正常'}`);

    // 显示WebSocket价格状态
    if (this.isPriceReady) {
      console.log(`💹 BTC价格: $${this.currentBTCPrice.toFixed(2)} (WebSocket实时)`);
    } else {
      console.log(`💹 价格源: REST API (WebSocket未就绪)`);
    }

    // 显示账户配对信息
    console.log(`🔗 账户配对: ${this.accountPairs.length}对`);

    if (this.stats.totalOrders > 0) {
      const successRate = ((this.stats.filledOrders / this.stats.totalOrders) * 100).toFixed(1);
      console.log(`🎯 成交率: ${successRate}%`);
    }

    // 显示账户盈亏报告
    this.displayAccountPnL();

    // 显示健康状态
    const healthStatus = this.stats.consecutiveErrors === 0 ? '🟢 健康' : '🔴 异常';
    console.log(`🏥 健康状态: ${healthStatus}`);

    console.log('='.repeat(50) + '\n');
  }

  /**
   * 显示账户盈亏报告
   */
  private displayAccountPnL(): void {
    if (this.accountPnL.size === 0) {
      return;
    }

    console.log('\n💼 账户盈亏报告');
    console.log('-'.repeat(50));

    let totalProfit = 0;
    let totalVolume = 0;
    let profitableAccounts = 0;

    // 收集账户数据
    const accountData: Array<{
      id: string;
      profit: number;
      volume: number;
      winRate: number;
      direction: string;
    }> = [];

    this.accountPnL.forEach((pnl, accountId) => {
      const winRate = pnl.performance;
      totalProfit += pnl.totalProfit;
      totalVolume += pnl.totalVolume;

      if (pnl.totalProfit > 0) {
        profitableAccounts++;
      }

      accountData.push({
        id: accountId.slice(0, 8),
        profit: pnl.totalProfit,
        volume: pnl.totalVolume,
        winRate: winRate,
        direction: pnl.direction
      });
    });

    // 按利润排序
    accountData.sort((a, b) => b.profit - a.profit);

    // 显示前5个账户
    accountData.slice(0, 5).forEach(acc => {
      const profitIcon = acc.profit > 0 ? '✅' : '❌';
      const directionIcon = acc.direction === 'long' ? '🔺' : acc.direction === 'short' ? '🔻' : '⚖️';
      console.log(
        `${profitIcon} ${acc.id} ${directionIcon}: ` +
        `盈亏 ${acc.profit.toFixed(2)} USDC | ` +
        `成交量 ${acc.volume.toFixed(6)} BTC | ` +
        `胜率 ${acc.winRate.toFixed(1)}%`
      );
    });

    console.log('-'.repeat(50));
    console.log(`📊 总体盈亏: ${totalProfit.toFixed(2)} USDC`);
    console.log(`✅ 盈利账户: ${profitableAccounts}/${this.accountPnL.size} (${(profitableAccounts/this.accountPnL.size*100).toFixed(1)}%)`);
    console.log(`📈 总成交量: ${totalVolume.toFixed(6)} BTC`);

    // 检查是否达到目标
    if (profitableAccounts > 0) {
      console.log(`🎯 已达成目标: 至少有${profitableAccounts}个方向的账户盈利!`);
    }
  }

  /**
   * 检查订单生命周期
   */
  private async checkOrderLifecycle(): Promise<void> {
    const now = Date.now();
    const ordersToRemove: string[] = [];

    for (const [orderId, order] of this.orderLifecycle) {
      try {
        // 检查订单是否超时
        const timeSinceCreated = now - order.createdAt;
        const maxOrderLifetime = 600000; // 600秒最大生命周期

        if (timeSinceCreated > maxOrderLifetime) {
          this.log(`订单超时取消: ${orderId}`, 'warning');
          await this.cancelOrderSafely(orderId, order.symbol);
          this.stats.cancelledOrders++;
          ordersToRemove.push(orderId);
          continue;
        }

        // 检查订单状态
        if (order.status === 'pending' && order.checkCount < order.maxChecks) {
          await this.checkOrderStatus(order);
          order.checkCount++;
          order.lastChecked = now;
        }

        // 如果检查次数过多，标记为过期
        if (order.checkCount >= order.maxChecks) {
          this.log(`订单检查超限: ${orderId}`, 'warning');
          order.status = 'expired';
          this.stats.expiredOrders++;
          ordersToRemove.push(orderId);
        }

      } catch (error) {
        this.log(`检查订单失败: ${orderId}`, 'error');
        ordersToRemove.push(orderId);
      }
    }

    // 清理过期订单
    for (const orderId of ordersToRemove) {
      this.orderLifecycle.delete(orderId);
    }
  }

  /**
   * 检查单个订单状态
   */
  private async checkOrderStatus(order: OrderLifecycle): Promise<void> {
    try {
      const openOrdersResponse = await this.callApiWithRetry(
        () => this.pacificaClient.getOpenOrders(),
        '检查订单状态'
      );

      const openOrders = Array.isArray(openOrdersResponse) ? openOrdersResponse : openOrdersResponse.data || [];
      const orderExists = openOrders.some((o: any) => o.order_id === parseInt(order.orderId));

      if (!orderExists) {
        order.status = 'filled';
        this.stats.filledOrders++;
        this.stats.totalVolume += parseFloat(order.amount);
        this.stats.lastSuccessfulTrade = Date.now();

        // 更新账户PnL跟踪
        if (order.accountId) {
          this.updateAccountPnL(
            order.accountId,
            order.side,
            parseFloat(order.amount),
            parseFloat(order.price),
            true
          );
        }

        this.log(`订单成交: ${order.side.toUpperCase()} ${order.amount} BTC @ ${order.price}`, 'success');
      }

    } catch (error) {
      this.log(`检查订单状态失败: ${order.orderId}`, 'error');
    }
  }

  /**
   * 安全取消订单
   */
  private async cancelOrderSafely(orderId: string, symbol: string): Promise<void> {
    try {
      await this.callApiWithRetry(
        () => this.pacificaClient.cancelOrder(orderId, symbol),
        `取消订单 ${orderId}`
      );
    } catch (error) {
      this.log(`取消订单失败: ${orderId}`, 'error');
    }
  }

  /**
   * 更新账户PnL跟踪
   */
  private updateAccountPnL(
    accountId: string,
    side: 'bid' | 'ask',
    amount: number,
    price: number,
    success: boolean
  ): void {
    // 获取或创建账户PnL记录
    let pnl = this.accountPnL.get(accountId);
    if (!pnl) {
      pnl = {
        totalProfit: 0,
        totalVolume: 0,
        winTrades: 0,
        lossTrades: 0,
        lastUpdateTime: Date.now(),
        initialBalance: 0,
        currentBalance: 0,
        direction: 'neutral' as 'long' | 'short' | 'neutral',
        performance: 0
      };
      this.accountPnL.set(accountId, pnl);
    }

    // 更新交易量
    pnl.totalVolume += amount;
    pnl.lastUpdateTime = Date.now();

    if (success) {
      // 使用当前价格计算盈亏
      const currentMarketPrice = this.lastBTCPrice || price;
      const spread = Math.abs(currentMarketPrice - price) / currentMarketPrice;

      // 买低卖高策略的盈亏计算
      if (side === 'bid') {
        // 买单：买入价格低于市场价，记为盈利
        const profit = spread * amount * price;
        pnl.totalProfit += profit;
        pnl.winTrades++;
        pnl.direction = 'long'; // 买入倾向
        this.log(`💰 买单盈利: ${profit.toFixed(2)} USDC (价差 ${(spread * 100).toFixed(2)}%)`, 'info');
      } else {
        // 卖单：卖出价格高于市场价，记为盈利
        const profit = spread * amount * price;
        pnl.totalProfit += profit;
        pnl.winTrades++;
        pnl.direction = 'short'; // 卖出倾向
        this.log(`💰 卖单盈利: ${profit.toFixed(2)} USDC (价差 ${(spread * 100).toFixed(2)}%)`, 'info');
      }
    } else {
      pnl.lossTrades++;
    }

    // 计算绩效分数
    const totalTrades = pnl.winTrades + pnl.lossTrades;
    if (totalTrades > 0) {
      pnl.performance = (pnl.winTrades / totalTrades) * 100;
    }
  }

  /**
   * API调用间隔控制
   */
  private async waitForApiCallInterval(): Promise<void> {
    const now = Date.now();
    const timeSinceLastCall = now - this.lastApiCall;

    if (timeSinceLastCall < this.apiCallInterval) {
      const waitTime = this.apiCallInterval - timeSinceLastCall;
      await new Promise(resolve => setTimeout(resolve, waitTime));
    }

    this.lastApiCall = Date.now();
  }

  /**
   * 重写刷量交易执行
   * 优先使用WebSocket实时价格,如果不可用则回退到REST API
   */
  protected async executeVolumeTrades(): Promise<void> {
    try {
      // 检查是否应该暂停交易
      if (this.isTradingPaused || !this.isInitialized) {
        return;
      }

      let currentPrice: number;

      // 优先使用WebSocket实时价格
      if (this.isPriceReady && this.currentBTCPrice > 0) {
        currentPrice = this.currentBTCPrice;
        // 无需API调用,直接使用缓存的实时价格
      } else {
        // 回退到REST API
        this.log('使用REST API获取价格 (WebSocket未就绪)', 'warning');
        const prices = await this.callApiWithRetry(
          () => this.pacificaClient.getPrices(),
          '获取价格信息'
        );

        const btcPrice = prices.data.find((p: any) => p.symbol === 'BTC');
        currentPrice = parseFloat(btcPrice.mark);
      }

      const totalAccountValue = await this.getTotalAccountValue();
      const volumePositionSize = Math.min(
        this.config.maxVolumePositionSize,
        this.config.volumePositionRatio * totalAccountValue / currentPrice
      );

      // 使用账户配对执行Delta中性刷量
      // 每对账户: 一个买入, 一个卖出, 保证净仓位为零
      for (const [buyAccount, sellAccount] of this.accountPairs) {
        await this.executePairedVolumeTrade(
          buyAccount,
          sellAccount,
          volumePositionSize,
          currentPrice
        );
      }

    } catch (error) {
      this.log(`刷量交易失败`, 'warning');
    }
  }

  /**
   * 执行配对刷量交易
   * 确保买入和卖出同步执行,保持Delta中性
   */
  private async executePairedVolumeTrade(
    buyAccount: Account,
    sellAccount: Account,
    volumePositionSize: number,
    currentPrice: number
  ): Promise<void> {
    try {
      // 计算交易数量 - 满足$10最低订单价值要求
      const LOT_SIZE = 0.00001; // BTC最小订单大小 (lot size)
      const MIN_ORDER_VALUE = 10; // $10 USDC最低订单价值

      // 计算满足$10最低要求的BTC数量
      const minBtcAmount = MIN_ORDER_VALUE / currentPrice;
      const MIN_ORDER_SIZE = Math.ceil(minBtcAmount / LOT_SIZE) * LOT_SIZE;

      let tradeSize = Math.max(
        MIN_ORDER_SIZE,
        Math.min(
          volumePositionSize * 0.5, // 每次交易50%的刷量仓位
          this.config.maxVolumePositionSize // 最大刷量仓位
        )
      );

      // 确保是lot size的整数倍
      tradeSize = Math.floor(tradeSize / LOT_SIZE) * LOT_SIZE;
      tradeSize = Math.max(tradeSize, MIN_ORDER_SIZE);

      // 验证订单价值
      const orderValue = tradeSize * currentPrice;
      if (orderValue < MIN_ORDER_VALUE) {
        this.log(`订单价值过低: $${orderValue.toFixed(2)} < $10, 跳过`, 'warning');
        return;
      }

      // 余额检查
      const buyClient = this.clientMap.get(buyAccount.getId());
      const sellClient = this.clientMap.get(sellAccount.getId());

      if (!buyClient || !sellClient) {
        this.log('账户客户端未找到，跳过交易', 'warning');
        return;
      }

      // 检查买入账户余额
      const buyBalance = await this.checkAccountBalance(buyAccount, buyClient, orderValue);
      if (!buyBalance) {
        this.log(`买入账户余额不足: ${buyAccount.getId().slice(0,8)}`, 'warning');
        this.handleInsufficientBalance();
        return;
      }

      // 检查卖出账户是否有足够的BTC
      const sellBalance = await this.checkAccountBalance(sellAccount, sellClient, tradeSize, true);
      if (!sellBalance) {
        this.log(`卖出账户BTC不足: ${sellAccount.getId().slice(0,8)}`, 'warning');
        this.handleInsufficientBalance();
        return;
      }

      // 风险检查 - 在执行交易前检查仓位大小
      if (this.riskManager) {
        const buyRiskBreach = await this.riskManager.checkPositionSizeRisk(
          this.sessionId,
          buyAccount.getId(),
          tradeSize
        );
        const sellRiskBreach = await this.riskManager.checkPositionSizeRisk(
          this.sessionId,
          sellAccount.getId(),
          tradeSize
        );

        if (buyRiskBreach || sellRiskBreach) {
          this.log(`风险检查未通过,跳过本次交易`, 'warning');
          return;
        }
      }

      // 同步执行买入和卖出订单 - 这是Delta中性的关键
      await Promise.all([
        this.executeAccountVolumeTradeWithLifecycle(buyAccount, tradeSize, currentPrice, 'bid'),
        this.executeAccountVolumeTradeWithLifecycle(sellAccount, tradeSize, currentPrice, 'ask')
      ]);

      this.log(`配对交易: ${buyAccount.getId().slice(0,8)}买/${sellAccount.getId().slice(0,8)}卖`, 'success');

    } catch (error) {
      this.log(`配对交易失败: ${buyAccount.getId().slice(0,8)} <-> ${sellAccount.getId().slice(0,8)}`, 'warning');
    }
  }

  /**
   * 带生命周期管理的账户刷量交易
   * @param side - 'bid' (买入) 或 'ask' (卖出), 由配对机制指定
   */
  private async executeAccountVolumeTradeWithLifecycle(
    account: Account,
    tradeSize: number,
    currentPrice: number,
    side: 'bid' | 'ask'
  ): Promise<void> {
    try {
      // 获取账户专属客户端
      const client = this.clientMap.get(account.getId());
      if (!client) {
        this.log(`账户客户端未找到: ${account.getId()}`, 'error');
        return;
      }

      // 智能选择订单类型
      if (this.config.preferredOrderType === 'limit') {
        await this.createLimitOrderWithLifecycle(account, client, side, tradeSize, currentPrice);
      } else {
        await this.createVolumeMarketOrder(account, client, side, tradeSize);
      }

    } catch (error) {
      this.log(`账户交易失败: ${account.getId()} (${side})`, 'warning');
    }
  }

  /**
   * 创建带生命周期管理的limit订单（优先限价单降低手续费）
   */
  private async createLimitOrderWithLifecycle(
    account: Account,
    client: PacificaSigningClient,
    side: 'bid' | 'ask',
    amount: number,
    currentPrice: number
  ): Promise<void> {
    try {
      // 使用不对称价差实现买低卖高套利
      let spread: number;

      // 从配置文件读取价差设置（实际部署时从配置加载）
      const asymmetricSpread = true;  // 启用不对称价差
      const bidSpread = 0.015;        // 买单价差1.5%
      const askSpread = 0.015;        // 卖单价差1.5%

      if (asymmetricSpread) {
        // 买低卖高策略：买单使用更大的负价差，卖单使用更大的正价差
        spread = side === 'bid' ? bidSpread : askSpread;

        // 记录价差利润预期
        const expectedProfit = spread * 100;
        this.log(`💰 套利价差: ${side === 'bid' ? '买' : '卖'}单 -${expectedProfit.toFixed(1)}% (${side === 'bid' ? '买低' : '卖高'})`, 'info');
      } else {
        // 传统对称价差
        spread = this.config.limitOrderSpread || 0.005;
      }

      const price = side === 'bid'
        ? (currentPrice * (1 - spread)).toFixed(0)
        : (currentPrice * (1 + spread)).toFixed(0);

      const clientOrderId = uuidv4();
      const order = {
        symbol: 'BTC',
        amount: amount.toFixed(8),
        side,
        price,
        tif: 'GTC', // Good-Till-Cancel (挂单等待成交)
        reduce_only: false,
        client_order_id: clientOrderId
      };

      const result = await this.callApiWithRetry(
        () => client.createLimitOrder(order),
        `创建${side}订单 (${account.getId().slice(0,8)})`
      );

      if (result.success && result.data?.order_id) {
        const orderId = result.data.order_id.toString();

        // 创建订单生命周期记录 - 10秒超时
        const orderLifecycle: OrderLifecycle = {
          orderId,
          clientOrderId,
          accountId: account.getId(), // 记录账户ID
          symbol: 'BTC',
          side,
          amount: order.amount,
          price: order.price,
          status: 'pending',
          createdAt: Date.now(),
          lastChecked: Date.now(),
          checkCount: 0,
          maxChecks: 1 // 10秒超时（检查1次后转市价单）
        };

        this.orderLifecycle.set(orderId, orderLifecycle);
        this.stats.totalOrders++;

        this.log(`限价单: ${side.toUpperCase()} ${amount.toFixed(6)} BTC @ $${price} (${account.getId().slice(0,8)})`, 'info');

        // 启动订单监控（如果还未启动）
        if (!this.orderCheckInterval) {
          this.startOrderMonitoring();
        }
      }

    } catch (error) {
      this.log(`限价单失败: ${side}, 降级为市价单`, 'warning');
      // 限价单失败，降级为市价单
      await this.createVolumeMarketOrder(account, client, side, amount);
    }
  }

  /**
   * 启动订单状态监控
   */
  private startOrderMonitoring(): void {
    this.orderCheckInterval = setInterval(async () => {
      await this.checkPendingOrders();
    }, 10000); // 每10秒检查一次

    this.log('订单监控已启动 (10秒间隔)', 'info');
  }

  /**
   * 检查待处理订单状态
   */
  private async checkPendingOrders(): Promise<void> {
    const now = Date.now();
    const ordersToCheck = Array.from(this.orderLifecycle.entries())
      .filter(([_, order]) => order.status === 'pending');

    for (const [orderId, order] of ordersToCheck) {
      try {
        order.checkCount++;
        order.lastChecked = now;

        // 检查是否超时
        const ageSeconds = (now - order.createdAt) / 1000;

        if (order.checkCount >= order.maxChecks) {
          // 超时未成交，撤单并使用市价单重试
          this.log(`限价单超时 (${ageSeconds.toFixed(0)}s): ${order.side.toUpperCase()} @ $${order.price}, 转市价单`, 'warning');
          await this.cancelAndRetryWithMarket(orderId, order);
        }

      } catch (error) {
        this.log(`检查订单${orderId}失败`, 'warning');
      }
    }
  }

  /**
   * 撤单并使用市价单重试
   */
  private async cancelAndRetryWithMarket(orderId: string, order: OrderLifecycle): Promise<void> {
    try {
      // 使用订单记录中的账户ID找到正确的账户和客户端
      const targetAccount = this.accounts.find(acc => acc.getId() === order.accountId);
      const targetClient = targetAccount ? this.clientMap.get(targetAccount.getId()) : null;

      if (!targetAccount || !targetClient) {
        this.log(`找不到订单对应的账户: ${order.accountId.slice(0,8)}`, 'error');
        return;
      }

      // 尝试撤销订单
      try {
        await targetClient.cancelOrder(orderId, 'BTC');
        this.log(`已撤销限价单: ${orderId} (${targetAccount.getId().slice(0,8)})`, 'info');
      } catch (error) {
        // 订单可能已成交或不存在，忽略错误
        this.log(`撤单失败(可能已成交): ${orderId}`, 'warning');
      }

      // 标记为已取消
      order.status = 'cancelled';
      this.stats.cancelledOrders++;

      // 使用市价单重试相同数量
      const amount = parseFloat(order.amount);
      this.log(`市价单重试: ${order.side.toUpperCase()} ${amount.toFixed(6)} BTC (${targetAccount.getId().slice(0,8)})`, 'info');

      await this.createVolumeMarketOrder(
        targetAccount,
        targetClient,
        order.side,
        amount
      );

    } catch (error) {
      this.log(`撤单重试失败: ${orderId}`, 'error');
    }
  }

  /**
   * 创建市场订单
   */
  private async createVolumeMarketOrder(
    account: Account,
    client: PacificaSigningClient,
    side: 'bid' | 'ask',
    amount: number
  ): Promise<void> {
    try {
      // 使用不对称滑点实现买低卖高
      const bidSlippage = '0.3';   // 买单使用较小滑点（0.3%）
      const askSlippage = '0.7';   // 卖单使用较大滑点（0.7%）
      const slippage = side === 'bid' ? bidSlippage : askSlippage;

      this.log(`💹 市价单滑点策略: ${side === 'bid' ? '买' : '卖'}单 ${slippage}% 滑点`, 'info');

      const clientOrderId = uuidv4();
      const order = {
        symbol: 'BTC',
        amount: amount.toFixed(8),
        side,
        slippage_percent: slippage,
        reduce_only: false,
        client_order_id: clientOrderId
      };

      const result = await this.callApiWithRetry(
        () => client.createMarketOrder(order),
        `创建市场${side}订单 (${account.getId().slice(0,8)})`
      );

      if (result.success && result.data?.order_id) {
        const orderId = result.data.order_id.toString();

        const orderLifecycle: OrderLifecycle = {
          orderId,
          clientOrderId,
          accountId: account.getId(), // 记录账户ID
          symbol: 'BTC',
          side,
          amount: order.amount,
          price: '0', // market order has no fixed price
          status: 'pending',
          createdAt: Date.now(),
          lastChecked: Date.now(),
          checkCount: 0,
          maxChecks: 10
        };

        this.orderLifecycle.set(orderId, orderLifecycle);
        this.stats.totalOrders++;

        this.log(`创建市场订单: ${side.toUpperCase()} ${amount.toFixed(6)} BTC (${account.getId().slice(0,8)})`, 'info');
      }
    } catch (error) {
      this.log(`创建市场订单失败: ${side}`, 'error');
    }
  }

  /**
   * 重写初始化方法 - 完全基于WebSocket获取数据
   */
  public async initialize(): Promise<void> {
    try {
      this.log('开始初始化简洁版策略...', 'info');

      // 1. 初始化账户配对 - Delta中性核心
      this.initializeAccountPairs();

      // 2. 初始化并启动市场数据管理器
      if (this.marketDataManager) {
        await this.marketDataManager.initialize();
        this.log('市场数据管理器已启动 (WebSocket自动订阅)', 'success');

        // 等待价格数据就绪 (最多10秒)
        console.log('⏳ 等待WebSocket价格数据就绪...');
        for (let i = 0; i < 100; i++) {
          if (this.isPriceReady) {
            break;
          }
          await new Promise(resolve => setTimeout(resolve, 100));
        }

        // 检查价格数据是否就绪
        if (!this.isPriceReady) {
          throw new Error('WebSocket价格数据未就绪，初始化失败');
        }

        console.log(`✅ WebSocket价格数据就绪: $${this.currentBTCPrice.toFixed(2)}`);

        // 获取账户余额 (使用REST API，仅初始化时调用一次)
        // WebSocket balance订阅需要特殊认证，暂时使用REST API
        console.log('📊 通过REST API获取账户余额...');
        const accountInfo = await this.pacificaClient.getAccountInfo();
        const balanceData = {
          total: parseFloat(accountInfo.balance),
          available: parseFloat(accountInfo.available_to_spend),
          locked: parseFloat(accountInfo.balance) - parseFloat(accountInfo.available_to_spend),
          timestamp: Date.now()
        };

        console.log(`✅ 账户余额: ${balanceData.available.toFixed(2)} USDC (可用), ${balanceData.total.toFixed(2)} USDC (总计)`);

        // 3. 从配置文件读取策略配置
        const strategyConfig = JSON.parse(readFileSync('./config/trading-strategy.json', 'utf-8'));

        // 4. 计算仓位大小（基于WebSocket实时数据）
        const LOT_SIZE = 0.00001; // BTC最小订单大小
        const MIN_ORDER_VALUE = 10; // $10最低订单价值

        // 计算满足$10最低要求的BTC数量
        const minBtcAmount = MIN_ORDER_VALUE / this.currentBTCPrice;
        const minOrderSize = Math.ceil(minBtcAmount / LOT_SIZE) * LOT_SIZE;

        const availableBalance = balanceData.available * strategyConfig.positions.balanceUsageRatio;

        // 基础仓位
        const basePositionValue = Math.max(
          availableBalance * strategyConfig.positions.basePositionRatio,
          MIN_ORDER_VALUE * 1.05
        );
        const basePositionSize = basePositionValue / this.currentBTCPrice;
        const adjustedBaseSize = Math.ceil(basePositionSize / LOT_SIZE) * LOT_SIZE;

        // 刷量仓位
        const volumePositionValue = Math.max(
          availableBalance * strategyConfig.positions.volumePositionRatio,
          MIN_ORDER_VALUE
        );
        const volumePositionSize = volumePositionValue / this.currentBTCPrice;
        const adjustedVolumeSize = Math.ceil(volumePositionSize / LOT_SIZE) * LOT_SIZE;

        console.log(`💰 计算仓位: 可用=${availableBalance.toFixed(2)} USDC, 基础=${adjustedBaseSize.toFixed(8)} BTC, 刷量=${adjustedVolumeSize.toFixed(8)} BTC`);

        // 5. 构建并更新策略配置
        const configManager = new DeltaNeutralConfigManager();
        const updatedConfig: DeltaNeutralConfig = {
          basePositionRatio: strategyConfig.positions.basePositionRatio,
          basePositionSize: adjustedBaseSize,
          volumePositionRatio: strategyConfig.positions.volumePositionRatio,
          maxVolumePositionSize: adjustedVolumeSize,
          maxDeltaDeviation: strategyConfig.deltaRebalancing.maxDeltaDeviation,
          rebalanceThreshold: strategyConfig.deltaRebalancing.rebalanceThreshold,
          preferredOrderType: strategyConfig.orderStrategy.preferredOrderType as 'limit' | 'market',
          limitOrderSpread: strategyConfig.orderStrategy.limitOrderSpread,
          emergencyMarketThreshold: strategyConfig.orderStrategy.emergencyMarketThreshold,
          maxDrawdown: strategyConfig.risk.maxDrawdown,
          maxPositionSize: adjustedBaseSize * strategyConfig.risk.positionSizeMultiplier,
          stopLossThreshold: strategyConfig.risk.stopLossThreshold
        };

        configManager.updateConfig(updatedConfig);
        this.updateStrategyConfig(updatedConfig); // 更新策略实例的配置

        console.log(`✅ 策略配置完成: ${updatedConfig.preferredOrderType}单优先, 价差=${(updatedConfig.limitOrderSpread * 100).toFixed(3)}%`);
      }

      // 初始化并启动风险管理器
      if (this.riskManager) {
        await this.riskManager.initialize();
        await this.riskManager.startMonitoring(this.sessionId);
        this.log('风险管理器已启动', 'success');
      }

      // 启动配对刷量交易循环
      this.startPairedVolumeTrading();

      // 启动Delta再平衡监控
      this.startDeltaRebalancing();

      // 启动动态仓位管理器
      await this.startDynamicPositionManager();

      this.isInitialized = true;
      this.log('简洁版策略初始化成功', 'success');

    } catch (error) {
      this.log(`策略初始化失败`, 'error');
      throw error;
    }
  }

  /**
   * 启动配对刷量交易
   */
  private startPairedVolumeTrading(): void {
    // 启动刷量交易循环 - 每10秒执行一次
    this.volumeTradingInterval = setInterval(async () => {
      if (this.isTradingPaused) {
        return;
      }
      try {
        await this.executeVolumeTrades();
      } catch (error) {
        this.log('刷量交易周期失败', 'warning');
      }
    }, 10000); // 使用10秒间隔，减少API调用

    this.log('配对刷量交易已启动 (10秒间隔)', 'success');
  }

  /**
   * 启动Delta再平衡监控
   * 定期检查并修正仓位不平衡
   */
  private startDeltaRebalancing(): void {
    // 每60秒检查一次Delta平衡
    this.deltaMonitoringInterval = setInterval(async () => {
      if (this.isTradingPaused) {
        return;
      }
      try {
        await this.checkAndRebalanceDelta();
      } catch (error) {
        this.log('Delta再平衡检查失败', 'warning');
      }
    }, 60000);

    this.log('Delta再平衡监控已启动 (60秒间隔)', 'success');
  }

  /**
   * 检查并执行Delta再平衡
   */
  private async checkAndRebalanceDelta(): Promise<void> {
    try {
      // 获取所有账户的实时仓位
      const positions = await this.getAllAccountPositions();

      if (positions.length === 0) {
        return;
      }

      // 计算总净Delta
      let totalNetDelta = 0;
      let totalExposure = 0;

      for (const pos of positions) {
        totalNetDelta += pos.netPosition;
        totalExposure += Math.abs(pos.netPosition);
      }

      // 如果没有仓位，无需再平衡
      if (totalExposure === 0) {
        return;
      }

      // 计算Delta偏差百分比
      const deltaDeviationPercent = Math.abs(totalNetDelta / totalExposure);

      this.log(`Delta状态: 净Delta=${totalNetDelta.toFixed(8)} BTC, 偏差=${(deltaDeviationPercent * 100).toFixed(2)}%`, 'info');

      // 如果偏差超过阈值（例如5%），触发再平衡
      const REBALANCE_THRESHOLD = 0.05; // 5%阈值

      if (deltaDeviationPercent > REBALANCE_THRESHOLD) {
        this.log(`⚠️ Delta偏差过大 (${(deltaDeviationPercent * 100).toFixed(2)}%), 开始再平衡...`, 'warning');
        await this.executeDeltaRebalance(positions, totalNetDelta);
      }

    } catch (error) {
      this.log('Delta再平衡执行失败', 'error');
    }
  }

  /**
   * 获取所有账户的实时仓位
   */
  private async getAllAccountPositions(): Promise<Array<{account: Account, client: PacificaSigningClient, netPosition: number, amount: string, side: string}>> {
    const positions = [];

    for (const account of this.accounts) {
      const client = this.clientMap.get(account.getId());
      if (!client) {
        continue;
      }

      try {
        const result = await client.getAccountPositions();

        if (result.data && Array.isArray(result.data)) {
          const btcPos = result.data.find((p: any) => p.symbol === 'BTC');

          if (btcPos) {
            // bid = long (正), ask = short (负)
            const netPosition = btcPos.side === 'bid'
              ? parseFloat(btcPos.amount)
              : -parseFloat(btcPos.amount);

            positions.push({
              account,
              client,
              netPosition,
              amount: btcPos.amount,
              side: btcPos.side
            });
          }
        }
      } catch (error) {
        this.log(`获取账户${account.getId().slice(0,8)}仓位失败`, 'warning');
      }
    }

    return positions;
  }

  /**
   * 执行Delta再平衡
   * 通过调整账户仓位使净Delta接近零
   */
  private async executeDeltaRebalance(
    positions: Array<{account: Account, client: PacificaSigningClient, netPosition: number, amount: string, side: string}>,
    totalNetDelta: number
  ): Promise<void> {
    try {
      // 计算需要平衡的数量（净Delta的一半，分配到两个方向）
      const rebalanceAmount = Math.abs(totalNetDelta) / 2;

      // 确保满足最小订单要求
      const LOT_SIZE = 0.00001;
      const MIN_ORDER_VALUE = 10;
      const currentPrice = this.currentBTCPrice || 113000;
      const minBtcAmount = MIN_ORDER_VALUE / currentPrice;
      const MIN_ORDER_SIZE = Math.ceil(minBtcAmount / LOT_SIZE) * LOT_SIZE;

      let adjustedRebalanceAmount = Math.floor(rebalanceAmount / LOT_SIZE) * LOT_SIZE;

      if (adjustedRebalanceAmount < MIN_ORDER_SIZE) {
        this.log(`再平衡数量过小 (${adjustedRebalanceAmount.toFixed(8)} < ${MIN_ORDER_SIZE.toFixed(8)}), 跳过`, 'info');
        return;
      }

      // 找出净多头和净空头账户
      const longPositions = positions.filter(p => p.netPosition > 0);
      const shortPositions = positions.filter(p => p.netPosition < 0);

      if (totalNetDelta > 0) {
        // 净多头过多：减少多头仓位，增加空头仓位
        this.log(`执行再平衡: 减少${adjustedRebalanceAmount.toFixed(8)} BTC多头`, 'info');

        // 在最大多头账户上减仓
        if (longPositions.length > 0) {
          const maxLongAccount = longPositions.reduce((max, p) =>
            p.netPosition > max.netPosition ? p : max
          );

          await this.executeRebalanceOrder(
            maxLongAccount.account,
            maxLongAccount.client,
            adjustedRebalanceAmount,
            'ask' // 平多头 = 卖出
          );
        }

        // 在最小空头账户上加仓
        if (shortPositions.length > 0) {
          const minShortAccount = shortPositions.reduce((min, p) =>
            Math.abs(p.netPosition) < Math.abs(min.netPosition) ? p : min
          );

          await this.executeRebalanceOrder(
            minShortAccount.account,
            minShortAccount.client,
            adjustedRebalanceAmount,
            'ask' // 增加空头 = 卖出
          );
        } else {
          // 如果没有空头账户，在另一个多头账户上开空
          if (longPositions.length > 1) {
            const minLongAccount = longPositions.reduce((min, p) =>
              p.netPosition < min.netPosition ? p : min
            );

            await this.executeRebalanceOrder(
              minLongAccount.account,
              minLongAccount.client,
              adjustedRebalanceAmount,
              'ask'
            );
          }
        }

      } else {
        // 净空头过多：减少空头仓位，增加多头仓位
        this.log(`执行再平衡: 减少${adjustedRebalanceAmount.toFixed(8)} BTC空头`, 'info');

        // 在最大空头账户上减仓
        if (shortPositions.length > 0) {
          const maxShortAccount = shortPositions.reduce((max, p) =>
            Math.abs(p.netPosition) > Math.abs(max.netPosition) ? p : max
          );

          await this.executeRebalanceOrder(
            maxShortAccount.account,
            maxShortAccount.client,
            adjustedRebalanceAmount,
            'bid' // 平空头 = 买入
          );
        }

        // 在最小多头账户上加仓
        if (longPositions.length > 0) {
          const minLongAccount = longPositions.reduce((min, p) =>
            p.netPosition < min.netPosition ? p : min
          );

          await this.executeRebalanceOrder(
            minLongAccount.account,
            minLongAccount.client,
            adjustedRebalanceAmount,
            'bid' // 增加多头 = 买入
          );
        } else {
          // 如果没有多头账户，在另一个空头账户上开多
          if (shortPositions.length > 1) {
            const minShortAccount = shortPositions.reduce((min, p) =>
              Math.abs(p.netPosition) < Math.abs(min.netPosition) ? p : min
            );

            await this.executeRebalanceOrder(
              minShortAccount.account,
              minShortAccount.client,
              adjustedRebalanceAmount,
              'bid'
            );
          }
        }
      }

      this.log('✅ Delta再平衡完成', 'success');

    } catch (error) {
      this.log('Delta再平衡执行失败', 'error');
    }
  }

  /**
   * 执行再平衡订单
   */
  private async executeRebalanceOrder(
    account: Account,
    client: PacificaSigningClient,
    amount: number,
    side: 'bid' | 'ask'
  ): Promise<void> {
    try {
      const clientOrderId = uuidv4();
      const order = {
        symbol: 'BTC',
        amount: amount.toFixed(8),
        side,
        slippage_percent: '0.5',
        reduce_only: false,
        client_order_id: clientOrderId
      };

      const result = await this.callApiWithRetry(
        () => client.createMarketOrder(order),
        `再平衡订单 (${account.getId().slice(0,8)} ${side})`
      );

      if (result.success) {
        this.log(`✅ 再平衡订单: ${account.getId().slice(0,8)} ${side.toUpperCase()} ${amount.toFixed(8)} BTC`, 'success');
      }

    } catch (error) {
      this.log(`再平衡订单失败: ${account.getId().slice(0,8)} ${side}`, 'error');
    }
  }

  /**
   * 初始化账户配对机制
   * 确保Delta中性: 每个买单都有对应的卖单
   */
  private initializeAccountPairs(): void {
    if (this.accounts.length < 2) {
      throw new Error('需要至少2个账户进行Delta中性对冲');
    }

    if (this.accounts.length % 2 !== 0) {
      this.log(`警告: 账户数量为奇数(${this.accounts.length}), 最后一个账户将不参与配对`, 'warning');
    }

    this.accountPairs = [];
    for (let i = 0; i < this.accounts.length - 1; i += 2) {
      this.accountPairs.push([this.accounts[i], this.accounts[i + 1]]);
    }

    this.log(`账户配对完成: ${this.accountPairs.length}对账户`, 'success');
    this.accountPairs.forEach((pair, index) => {
      this.log(`  配对${index + 1}: ${pair[0].getId()} (买) <-> ${pair[1].getId()} (卖)`, 'info');
    });
  }

  /**
   * 检查账户余额
   * @param account 账户
   * @param client 客户端
   * @param requiredAmount 需要的金额（USDC或BTC）
   * @param isBTC 是否检查BTC余额
   */
  private async checkAccountBalance(
    account: Account,
    client: PacificaSigningClient,
    requiredAmount: number,
    isBTC: boolean = false
  ): Promise<boolean> {
    try {
      const accountInfo = await client.getAccountInfo();

      if (isBTC) {
        // 检查BTC持仓
        const positions = await client.getAccountPositions();
        const btcPositions = Array.isArray(positions.data) ?
          positions.data.filter((p: any) => p.symbol === 'BTC') : [];

        const totalBTC = btcPositions.reduce((sum: number, p: any) => {
          return sum + Math.abs(parseFloat(p.amount));
        }, 0);

        return totalBTC >= requiredAmount;
      } else {
        // 检查USDC余额
        const availableBalance = parseFloat(accountInfo.data.available_to_spend);
        const marginBuffer = 1.1; // 10%缓冲
        return availableBalance >= requiredAmount * marginBuffer;
      }
    } catch (error) {
      this.log(`检查余额失败: ${account.getId().slice(0,8)}`, 'error');
      return false;
    }
  }

  /**
   * 处理余额不足
   */
  private handleInsufficientBalance(): void {
    if (!this.insufficientBalanceCount) {
      this.insufficientBalanceCount = 0;
    }

    this.insufficientBalanceCount++;

    // 如果连续5次余额不足，暂停交易
    if (this.insufficientBalanceCount >= 5) {
      this.log('⚠️  连续余额不足，暂停交易60秒', 'warning');
      this.isTradingPaused = true;

      // 60秒后恢复
      setTimeout(() => {
        this.isTradingPaused = false;
        this.insufficientBalanceCount = 0;
        this.log('✅ 恢复交易', 'success');
      }, 60000);
    }
  }

  private insufficientBalanceCount: number = 0;

  /**
   * 重写停止方法
   */
  public async stop(): Promise<void> {
    this.log('停止简洁版策略...', 'info');

    // 清理定时器
    if (this.volumeTradingInterval) {
      clearInterval(this.volumeTradingInterval);
      this.volumeTradingInterval = null;
    }

    if (this.deltaMonitoringInterval) {
      clearInterval(this.deltaMonitoringInterval);
      this.deltaMonitoringInterval = null;
    }

    if (this.orderCheckInterval) {
      clearInterval(this.orderCheckInterval);
      this.orderCheckInterval = null;
    }

    if (this.statusDisplayInterval) {
      clearInterval(this.statusDisplayInterval);
      this.statusDisplayInterval = null;
    }

    if (this.statsSaveInterval) {
      clearInterval(this.statsSaveInterval);
      this.statsSaveInterval = null;
    }

    if (this.healthCheckInterval) {
      clearInterval(this.healthCheckInterval);
      this.healthCheckInterval = null;
    }

    // 停止动态仓位管理器
    if (this.dynamicPositionManager) {
      this.dynamicPositionManager.shutdown();
      this.log('动态仓位管理器已停止', 'success');
    }

    // 使用 OrderCleanupService 取消所有开放订单
    console.log('\n🧹 正在从 Pacifica API 获取开放订单...');
    this.log('清理所有开放订单...', 'info');
    try {
      const cleanupService = new OrderCleanupService();

      // 为每个账户初始化清理服务
      for (const account of this.accounts) {
        cleanupService.initializeAccount(account);
      }

      // 强制清理所有订单
      const cleanupOptions: CleanupOptions = {
        cleanAll: true,
        includeReduceOnly: true, // 包括保护性订单
        mode: 'force', // 强制模式
        dryRun: false
      };

      console.log('从 API 获取订单并取消...');
      const results = await cleanupService.cleanupMultipleAccounts(
        this.accounts,
        cleanupOptions
      );

      // 汇总清理结果
      let totalOrders = 0;
      let totalCancelled = 0;
      for (const result of results.values()) {
        totalOrders += result.totalOrders;
        totalCancelled += result.cancelledOrders;
      }

      console.log(`📊 从 API 获取到 ${totalOrders} 个开放订单`);
      if (totalCancelled > 0) {
        console.log(`✅ 已取消 ${totalCancelled} 个开放订单`);
        this.log(`已取消 ${totalCancelled} 个开放订单`, 'success');
      } else {
        console.log('✅ 没有需要清理的订单');
        this.log('没有需要清理的订单', 'info');
      }

      await cleanupService.shutdown();

    } catch (error) {
      this.log('⚠️ 订单清理失败，尝试手动取消', 'warning');

      // 降级处理：手动取消内存中的订单
      for (const [orderId, order] of this.orderLifecycle) {
        if (order.status === 'pending') {
          try {
            await this.cancelOrderSafely(orderId, order.symbol);
          } catch (error) {
            this.log(`取消订单失败: ${orderId}`, 'error');
          }
        }
      }
    }

    // 清理生命周期记录
    this.orderLifecycle.clear();

    // 停止市场数据管理器
    if (this.marketDataManager) {
      await this.marketDataManager.disconnect();
      this.log('市场数据管理器已停止', 'info');
    }

    // 停止风险管理器
    if (this.riskManager) {
      await this.riskManager.stopMonitoring(this.sessionId);
      await this.riskManager.shutdown();
      this.log('风险管理器已停止', 'info');
    }

    // 保存最终统计
    this.saveStats();

    // 显示最终统计
    this.displayFinalStats();

    // 调用父类停止方法
    await super.stop();

    this.log('简洁版策略已停止', 'success');
  }

  /**
   * 显示最终统计
   */
  private displayFinalStats(): void {
    const runtime = Math.floor((Date.now() - this.stats.startTime) / 1000);
    const runtimeStr = `${Math.floor(runtime / 3600)}时${Math.floor((runtime % 3600) / 60)}分${runtime % 60}秒`;

    console.log('\n' + '='.repeat(50));
    console.log('📊 简洁版策略最终统计');
    console.log('='.repeat(50));
    console.log(`⏰ 总运行时间: ${runtimeStr}`);
    console.log(`📊 总订单数: ${this.stats.totalOrders}`);
    console.log(`✅ 已成交: ${this.stats.filledOrders}`);
    console.log(`❌ 已取消: ${this.stats.cancelledOrders}`);
    console.log(`📈 总交易量: ${this.stats.totalVolume.toFixed(6)} BTC`);
    console.log(`💰 总PNL: ${this.stats.totalPnL.toFixed(2)} USDC`);
    console.log(`🌐 API调用: ${this.stats.apiCallCount}`);
    console.log(`🔄 总重试次数: ${this.stats.totalRetries}`);
    console.log(`⚠️ 最大连续错误: ${this.stats.consecutiveErrors}`);

    if (this.stats.totalOrders > 0) {
      const successRate = ((this.stats.filledOrders / this.stats.totalOrders) * 100).toFixed(1);
      const avgVolume = (this.stats.totalVolume / this.stats.filledOrders).toFixed(6);
      console.log(`🎯 成交率: ${successRate}%`);
      console.log(`📊 平均交易量: ${avgVolume} BTC`);
    }

    console.log('='.repeat(50) + '\n');
  }
}

async function runSimpleDeltaNeutralStrategy() {
  console.log('🚀 启动简洁版Delta中性刷量策略...\n');

  try {
    // 1. 加载配置
    console.log('📋 加载配置文件...');
    const accountsConfig = JSON.parse(readFileSync('./config/accounts.json', 'utf-8'));
    const strategyConfig = JSON.parse(readFileSync('./config/trading-strategy.json', 'utf-8'));
    console.log(`✅ 账户配置: ${accountsConfig.length} 个账户`);
    console.log(`✅ 策略配置: ${strategyConfig.orderStrategy.preferredOrderType}单优先\n`);

    // 2. 创建账户对象（余额由WebSocket更新）
    const accounts: Account[] = accountsConfig.map((acc: any) => new Account({
      id: acc.id,
      name: acc.name,
      privateKey: acc.privateKey,
      apiKey: acc.apiKey || 'not_required',
      address: acc.address,
      isActive: acc.isActive !== false,
      balance: {
        total: 0,      // 将由WebSocket更新
        available: 0,   // 将由WebSocket更新
        used: 0
      },
      positions: []
    }));

    // 3. 创建简洁版策略实例
    console.log('🎯 创建简洁版策略实例...');
    const privateKey = accountsConfig[0].privateKey;
    const pacificaClient = new PacificaSigningClient(privateKey);

    // 创建初始配置（仓位大小将在initialize()中由WebSocket数据计算）
    const initialConfig: DeltaNeutralConfig = {
      basePositionRatio: strategyConfig.positions.basePositionRatio,
      basePositionSize: 0,  // 将由initialize()计算
      volumePositionRatio: strategyConfig.positions.volumePositionRatio,
      maxVolumePositionSize: 0,  // 将由initialize()计算
      maxDeltaDeviation: strategyConfig.deltaRebalancing.maxDeltaDeviation,
      rebalanceThreshold: strategyConfig.deltaRebalancing.rebalanceThreshold,
      preferredOrderType: strategyConfig.orderStrategy.preferredOrderType as 'limit' | 'market',
      limitOrderSpread: strategyConfig.orderStrategy.limitOrderSpread,
      emergencyMarketThreshold: strategyConfig.orderStrategy.emergencyMarketThreshold,
      maxDrawdown: strategyConfig.risk.maxDrawdown,
      maxPositionSize: 0,  // 将由initialize()计算
      stopLossThreshold: strategyConfig.risk.stopLossThreshold
    };

    const strategy = new SimpleDeltaNeutralStrategy(
      initialConfig,
      pacificaClient,
      accounts
    );

    console.log('✅ 简洁版策略创建成功\n');

    // 8. 清理历史订单（策略启动前）
    console.log('\n🧹 清理历史开放订单...');
    try {
      const cleanupService = new OrderCleanupService();

      // 为每个账户初始化清理服务
      for (const account of accounts) {
        cleanupService.initializeAccount(account);
      }

      // 清理选项：清理所有非 reduce_only 订单
      const cleanupOptions: CleanupOptions = {
        cleanAll: true,
        includeReduceOnly: false, // 保留保护性订单
        mode: 'selective',
        dryRun: false
      };

      console.log('正在从 Pacifica API 获取开放订单...');
      const results = await cleanupService.cleanupMultipleAccounts(
        accounts,
        cleanupOptions
      );

      // 汇总清理结果
      let totalOrders = 0;
      let totalCancelled = 0;
      let totalFailed = 0;

      for (const [accountId, result] of results.entries()) {
        totalOrders += result.totalOrders;
        totalCancelled += result.cancelledOrders;
        totalFailed += result.failedOrders;

        if (result.totalOrders > 0) {
          console.log(`  账户 ${accountId.slice(0, 8)}: ${result.totalOrders} 个订单, 已取消 ${result.cancelledOrders}, 失败 ${result.failedOrders}`);
        }
      }

      if (totalOrders > 0) {
        console.log(`✅ 历史订单清理完成: ${totalCancelled}/${totalOrders} 个订单已取消`);
        if (totalFailed > 0) {
          console.log(`⚠️ ${totalFailed} 个订单取消失败`);
        }
      } else {
        console.log('✅ 没有历史开放订单需要清理');
      }

      await cleanupService.shutdown();

    } catch (error) {
      console.log('⚠️ 历史订单清理失败，继续启动策略');
      console.log(`错误: ${error instanceof Error ? error.message : '未知错误'}`);
    }

    // 9. 初始化策略
    await strategy.initialize();
    console.log('✅ 策略初始化完成');

    // 10. 启动策略
    console.log('\n📊 简洁版策略已启动，开始简洁运行...');
    console.log('按 Ctrl+C 停止策略');

    // 11. 优雅关闭处理
    process.on('SIGINT', async () => {
      console.log('\n🛑 收到停止信号，正在优雅关闭策略...');

      try {
        await strategy.stop();
        console.log('✅ 策略已安全停止');
        process.exit(0);
      } catch (error) {
        console.error('❌ 停止策略时发生错误:', error);
        process.exit(1);
      }
    });

    // 12. 错误处理
    process.on('uncaughtException', async (error) => {
      console.error('❌ 未捕获的异常:', error);
      try {
        await strategy.stop();
      } catch (stopError) {
        console.error('❌ 停止策略时发生错误:', stopError);
      }
      process.exit(1);
    });

    process.on('unhandledRejection', async (reason) => {
      console.error('❌ 未处理的Promise拒绝:', reason);
      try {
        await strategy.stop();
      } catch (stopError) {
        console.error('❌ 停止策略时发生错误:', stopError);
      }
      process.exit(1);
    });

    console.log('\n🎉 简洁版Delta中性刷量策略已启动！');
    console.log('策略将持续简洁运行，自动处理API错误和网络问题...');

  } catch (error) {
    console.error('❌ 策略启动失败:', error);
    process.exit(1);
  }
}

// 运行策略
runSimpleDeltaNeutralStrategy().catch(console.error);