pacifica/config/delta-strategy-config.json

{
  "description": "Delta中性刷量策略完整配置 - Sprint 1",
  "version": "1.0.0",
  "orderLifecycle": {
    "_comment": "订单生命周期管理配置",
    "enabled": true,
    "maxOrderAge": 30000,
    "_maxOrderAge注释": "订单最大存活时间(ms)，默认30秒",
    "lifecycleCheckInterval": 5000,
    "_lifecycleCheckInterval注释": "检查间隔(ms)，默认5秒",
    "cancelRetryAttempts": 3,
    "_cancelRetryAttempts注释": "取消重试次数，默认3次",
    "cancelRetryDelay": 1000,
    "_cancelRetryDelay注释": "重试延迟(ms)，默认1秒"
  },
  "pricing": {
    "_comment": "定价引擎配置 - 穿越价差快速成交策略（激进模式，更接近盘口）",
    "priceBuffer": 1e-05,
    "_priceBuffer注释": "价格缓冲，0.00001 (0.001%) - 非常接近盘口",
    "dynamicPriceBuffer": true,
    "_dynamicPriceBuffer注释": "是否启用动态缓冲，根据价差自动调整",
    "minBuffer": 5e-06,
    "_minBuffer注释": "最小缓冲，0.000005 (0.0005%) - 极小缓冲",
    "maxBuffer": 5e-05,
    "_maxBuffer注释": "最大缓冲，0.00005 (0.005%) - 降低最大值",
    "bufferMultiplier": 0.5,
    "_bufferMultiplier注释": "缓冲调整系数，0.5 - 减半以更接近盘口"
  },
  "orderbook": {
    "_comment": "Orderbook数据管理配置",
    "wsUrl": "wss://ws.pacifica.fi/ws",
    "_wsUrl注释": "WebSocket URL",
    "symbols": [
      "BTC"
    ],
    "_symbols注释": "订阅的交易对列表",
    "reconnectDelay": 5000,
    "_reconnectDelay注释": "重连延迟(ms)，默认5秒",
    "heartbeatInterval": 30000,
    "_heartbeatInterval注释": "心跳间隔(ms)，默认30秒",
    "maxDataAge": 10000,
    "_maxDataAge注释": "最大数据年龄(ms)，默认10秒，超过视为过期"
  },
  "strategy": {
    "_comment": "策略基础配置",
    "enabled": true,
    "tradingInterval": 15000,
    "_tradingInterval注释": "交易间隔(ms)，15秒避免rate limit",
    "symbols": [
      "BTC"
    ],
    "_symbols注释": "交易的交易对"
  },
  "orderExecution": {
    "_comment": "订单执行配置",
    "preferredOrderType": "limit",
    "_preferredOrderType注释": "优先订单类型: limit=限价单, market=市价单",
    "orderTimeout": 30,
    "_orderTimeout注释": "订单超时时间(秒)，与orderLifecycle.maxOrderAge保持一致",
    "minOrderValue": 10,
    "_minOrderValue注释": "最小订单价值(USDC)，Pacifica要求至少$10",
    "maxOrderValue": 20,
    "_maxOrderValue注释": "最大订单价值(USDC)，限制单笔风险暴露",
    "maxOrderValueRatio": 0.15,
    "_maxOrderValueRatio注释": "最大订单占账户权益比例 (0.15=15%)",
    "allowBypassMaxOrderValue": true
  },
  "positions": {
    "_comment": "仓位管理配置",
    "basePositionRatio": 0.2,
    "_basePositionRatio注释": "基础仓位比例 (0.2=20%)",
    "volumePositionRatio": 0.8,
    "_volumePositionRatio注释": "刷量仓位比例 (0.8=80%)",
    "balanceUsageRatio": 0.2,
    "_balanceUsageRatio注释": "账户余额使用比例 (0.2=20%，建议不超过30%)",
    "maxPositionSize": 1000,
    "_maxPositionSize注释": "最大仓位大小(USDC)"
  },
  "delta": {
    "_comment": "Delta控制配置 - EnhancedDeltaController（已优化为更严格）",
    "maxDeltaDeviation": 0.001,
    "_maxDeltaDeviation注释": "最大Delta偏差 (0.001=0.1%, 更严格)",
    "rebalanceThreshold": 0.01,
    "_rebalanceThreshold注释": "再平衡阈值 (0.01=1%, 从5%降到1%)",
    "baseDeltaTolerance": 0.001,
    "_baseDeltaTolerance注释": "基础容忍度 (0.001=0.1%, 从0.5%降到0.1%)",
    "stableDeltaTolerance": 0.001,
    "_stableDeltaTolerance注释": "平稳市场容忍度 (0.001=0.1%)",
    "volatileDeltaTolerance": 0.02,
    "_volatileDeltaTolerance注释": "波动市场容忍度 (0.02=2%)"
  },
  "risk": {
    "_comment": "风险控制配置",
    "maxDrawdown": 0.01,
    "_maxDrawdown注释": "最大回撤 (0.01=1%)",
    "stopLossThreshold": 0.005,
    "_stopLossThreshold注释": "止损阈值 (0.005=0.5%)",
    "maxSpreadThreshold": 0.002,
    "_maxSpreadThreshold注释": "最大价差阈值 (0.002=0.2%)，超过则不交易"
  },
  "dynamicTPSL": {
    "_comment": "动态止盈止损配置 - 基于参考价格动态调整",
    "enabled": true,
    "_enabled注释": "是否启用动态止盈止损",
    "updateInterval": 20000,
    "_updateInterval注释": "更新间隔(ms)，由12秒放宽至20秒，减少频繁改价",
    "takeProfit": {
      "enabled": true,
      "_enabled注释": "是否启用止盈",
      "percent": 0.004,
      "_percent注释": "止盈百分比 (0.004=0.4%)，基于建仓价"
    },
    "stopLoss": {
      "enabled": true,
      "_enabled注释": "是否启用止损",
      "percent": 0.004,
      "_percent注释": "止损百分比 (0.004=0.4%)，对盈利方向提供追踪保护"
    },
    "minExposure": 10,
    "_minExposure注释": "最小敞口(USDC)，低于此值不设置TP/SL，避免小仓位频繁触发",
    "priceChangeThreshold": 0.0015,
    "_priceChangeThreshold注释": "价格变化阈值(相对比例)，从0.05%提升至0.15%，避免无谓重发",
    "tickSize": 1,
    "_tickSize注释": "价格最小单位(Tick)，TPSL价格需为其整数倍"
  },
  "exposureControl": {
    "_comment": "敞口风险控制配置 - 监控所有账户的净敞口，避免单边风险",
    "enabled": true,
    "_enabled注释": "是否启用敞口风险监控",
    "stopLoss": {
      "enabled": true,
      "_enabled注释": "是否启用止损",
      "threshold": 50,
      "_threshold注释": "绝对止损阈值(USDC) - 净敞口亏损达到50 USDC时触发",
      "thresholdPercent": 0.02,
      "_thresholdPercent注释": "相对止损阈值 (0.02=2%) - 净敞口亏损占总权益2%时触发"
    },
    "takeProfit": {
      "enabled": true,
      "_enabled注释": "是否启用止盈",
      "threshold": 100,
      "_threshold注释": "绝对止盈阈值(USDC) - 净敞口盈利达到100 USDC时触发",
      "thresholdPercent": 0.05,
      "_thresholdPercent注释": "相对止盈阈值 (0.05=5%) - 净敞口盈利占总权益5%时触发"
    },
    "maxExposure": {
      "absolute": 500,
      "_absolute注释": "最大绝对敞口(USDC) - 净敞口价值不能超过500 USDC",
      "percent": 0.3,
      "_percent注释": "最大敞口占权益百分比 (0.3=30%) - 净敞口不能超过总权益30%"
    },
    "monitoringInterval": 5000,
    "_monitoringInterval注释": "监控间隔(ms)，默认5秒检查一次",
    "leverage": 50,
    "_leverage注释": "账户预估杠杆倍数，用于将名义敞口换算成保证金敞口"
  },
  "monitoring": {
    "_comment": "监控配置",
    "enableStats": true,
    "_enableStats注释": "是否启用统计收集",
    "statsInterval": 60000,
    "_statsInterval注释": "统计输出间隔(ms)，默认60秒",
    "enableEvents": true,
    "_enableEvents注释": "是否启用事件通知"
  },
  "sprint1Features": {
    "_comment": "Sprint 1 特性开关",
    "orderLifecycleManager": true,
    "_orderLifecycleManager注释": "启用订单生命周期管理",
    "pricingEngine": true,
    "_pricingEngine注释": "启用定价引擎（穿越价差）",
    "orderbookManager": true,
    "_orderbookManager注释": "启用Orderbook实时数据（通过MarketDataManager适配器）"
  },
  "phaseManagement": {
    "_comment": "三阶段交易状态机配置 - 紧急降仓 → 保持中性 → 逐步建仓",
    "enabled": true,
    "_enabled注释": "是否启用阶段管理机制",
    "emergencyNetExposureThreshold": 0.001,
    "_emergencyNetExposureThreshold注释": "紧急降仓阈值(BTC) - 净敞口超过0.001 BTC (≈$125)触发紧急降仓",
    "emergencyMarginUtilizationThreshold": 0.75,
    "_emergencyMarginUtilizationThreshold注释": "紧急降仓保证金阈值 - 保证金利用率超过75%触发",
    "neutralNetExposureThreshold": 0.0001,
    "_neutralNetExposureThreshold注释": "中性阶段阈值(BTC) - 净敞口小于0.0001 BTC可进入中性阶段",
    "buildNetExposureThreshold": 0.00005,
    "_buildNetExposureThreshold注释": "建仓阶段阈值(BTC) - 净敞口小于0.00005 BTC才允许建仓",
    "buildMarginUtilizationThreshold": 0.6,
    "_buildMarginUtilizationThreshold注释": "建仓保证金阈值 - 保证金利用率低于60%才允许建仓",
    "buildMinBalance": 100,
    "_buildMinBalance注释": "建仓最小余额(USDC) - 账户余额至少100 USDC才允许建仓",
    "emergencyMaxOrderSize": 1000,
    "_emergencyMaxOrderSize注释": "紧急降仓阶段最大单笔订单(USDC)",
    "neutralMaxOrderSize": 50,
    "_neutralMaxOrderSize注释": "中性阶段最大单笔订单(USDC)",
    "buildMaxOrderSize": 100,
    "_buildMaxOrderSize注释": "建仓阶段最大单笔订单(USDC)"
  }
}