# EDENUSDT Quant Platform - 运行架构与算法说明

导出时间：2026-05-17T21:38:36.468Z
部署域名：https://binance.125879.xyz
下载域名：http://download.125879.xyz

## 1. 系统定位

当前系统是一个 paper-only 的秒级策略仿真与研究平台，不是真实交易机器人。

安全边界：

- 不保存 Binance API Key
- 不调用真实下单接口
- 不提供生产交易 API
- 秒级下单是 paper simulation
- 策略研究任务只能在本机通过 token 调用
- 外部访问 /api/paper/tick 和 /api/research/tick 均被 Nginx 拒绝

## 2. 当前运行架构

### 外部访问链路

```text
用户浏览器
  -> HTTPS + Basic Auth
Nginx: binance.125879.xyz
  -> reverse proxy
Node.js Quant Platform: 127.0.0.1:3000
  -> Binance public REST
Binance public market data
```

### 下载链路

```text
用户浏览器
  -> download.125879.xyz
Nginx static server
  -> /var/www/download.125879.xyz
```

### 秒级 paper 下单模拟链路

```text
systemd timer: edenusdt-paper-sim.timer
  -> every 1 second
systemd service: edenusdt-paper-sim.service
  -> POST http://127.0.0.1:3000/api/paper/tick
Node paper engine
  -> refresh BBO / mark price / funding
  -> update second-level tick window
  -> run champion strategy
  -> risk guard
  -> BBO taker simulated fill
  -> append audit logs
```

### 连续策略研究链路

```text
systemd timer: edenusdt-research-tick.timer
  -> every 5 minutes
systemd service: edenusdt-research-tick.service
  -> POST http://127.0.0.1:3000/api/research/tick
Research optimizer
  -> check new closed 1m bar
  -> train / validation split
  -> candidate parameter search
  -> create challenger strategy if passed
  -> append audit logs
```

## 3. 运行中的 systemd 单元

- edenusdt-app.service: 主 Node 平台，监听 127.0.0.1:3000
- edenusdt-paper-sim.timer: 每 1 秒执行 paper 下单模拟
- edenusdt-paper-sim.service: 单次 paper tick
- edenusdt-research-tick.timer: 每 5 分钟执行策略研究
- edenusdt-research-tick.service: 单次 research tick
- nginx: HTTPS 反向代理和下载静态服务

当前生产代码路径：

```text
/opt/edenusdt-app
```

当前审计和状态数据路径：

```text
/var/lib/edenusdt-app/*.jsonl
/var/lib/edenusdt-app/state.json
```

## 4. Nginx 安全边界

binance.125879.xyz:

- HTTPS by Let's Encrypt
- Basic Auth
- /api/research/tick: allow 127.0.0.1; deny all
- /api/paper/tick: allow 127.0.0.1; deny all
- rate limit enabled

download.125879.xyz:

- static download site
- serves exported documents only

## 5. 当前核心 API

公开给登录控制台使用：

- GET /api/platform/status
- GET /api/strategies
- GET /api/risk/config
- GET /api/risk/events
- GET /api/paper/status
- GET /api/experiments
- GET /api/research/runs
- GET /api/market/state
- GET /api/execution/config
- GET /api/simulation/status
- POST /api/strategies
- PATCH /api/risk/config
- PATCH /api/execution/config
- POST /api/paper/start
- POST /api/paper/stop
- POST /api/experiments/run
- POST /api/history/drawdown

仅本机 + token：

- POST /api/paper/tick
- POST /api/research/tick

## 6. 当前策略体系

### Champion 策略

当前 champion 已切换为秒级策略：

```text
strategy_id = ma-rsi-paper-v1
name = Second-level Micro Momentum Champion
type = micro_momentum
```

核心参数：

```json
{
  "type": "micro_momentum",
  "riskPct": 0.08,
  "leverage": 1,
  "windowSec": 15,
  "enterReturnBps": 8,
  "exitReturnBps": -5,
  "maxVolatilityBps": 80,
  "minMoveBps": 3
}
```

### 支持的策略类型

1. ma_rsi

基于 closed 1m bars：

- fastMa
- slowMa
- RSI
- riskPct
- leverage

2. breakout

基于 closed bars 的突破策略：

- lookback
- riskPct
- leverage

3. micro_momentum

秒级策略，基于 BBO/mark price 短窗特征：

- windowSec
- enterReturnBps
- exitReturnBps
- maxVolatilityBps
- minMoveBps
- riskPct
- leverage

4. portfolio

组合策略，可配置多个子策略和权重：

```json
{
  "type": "portfolio",
  "components": [
    { "strategy_id": "ma-rsi-paper-v1", "weight": 1 },
    { "strategy_id": "spread-mean-revert-v1", "weight": 0.5 }
  ]
}
```

## 7. 秒级下单算法

每秒 paper tick 的流程：

```text
1. 刷新 Binance public bookTicker
2. 刷新 premiumIndex: mark price / funding rate
3. 写入 marketState.ticks 短窗
4. 计算 micro features
5. 当前 champion 策略产生 ENTER_LONG / EXIT / NOOP
6. proposedOrder 生成拟成交订单
7. applyRisk 做拟成交后风控检查
8. 若 ALLOW，fillPaperOrder 模拟成交
9. updatePaperMark 更新权益、浮盈亏、保证金
10. 写入 paper_ticks / paper_orders / risk_events / paper_account_snapshots
```

### micro features

```text
sampleCount: 短窗样本数
returnBps: 短窗 mid price 收益，单位 bps
volatilityBps: 短窗逐 tick return 标准差
spreadBps: 当前 best ask / best bid spread
mid: 当前 mid price
firstMid / lastMid: 窗口首尾 mid
windowSec: 窗口秒数
```

### micro_momentum 规则

```text
如果样本数不足:
  NOOP

如果 spread > maxSpreadBps:
  NOOP

如果 volatilityBps > maxVolatilityBps:
  NOOP

如果 returnBps >= enterReturnBps 且 abs(returnBps) >= minMoveBps:
  ENTER_LONG

如果 returnBps <= exitReturnBps:
  EXIT

否则:
  NOOP
```

## 8. 模拟成交模型

当前执行模型：

```text
mode = BBO_TAKER
takerFeeBps = 4
entrySlippageBps = 2
exitSlippageBps = 2
defaultLeverage = 1
```

开多成交价：

```text
fill_price = bestAsk * (1 + entrySlippageBps / 10000)
```

平仓成交价：

```text
fill_price = bestBid * (1 - exitSlippageBps / 10000)
```

手续费：

```text
fee = abs(notional) * takerFeeBps / 10000
```

开仓名义金额：

```text
notional = equity * riskPct * leverage
```

仓位数量：

```text
qty = notional / fill_price
```

权益：

```text
equity = walletBalanceUsdt + unrealizedPnlUsdt
```

未实现盈亏：

```text
unrealizedPnl = (markPrice - avgEntryPrice) * positionQty
```

## 9. 风控模型

每次拟成交前检查 proposed state，不只检查当前仓位。

当前主要检查：

- LOW_CONFIDENCE: 信号置信度低于阈值
- NO_VALID_ORDER: 无有效拟成交订单
- MAX_NOTIONAL: 拟成交后名义仓位超过上限
- MAX_LEVERAGE: 拟成交后杠杆超过上限
- DAILY_LOSS: 当日亏损超过上限
- MAX_DRAWDOWN: 拟成交后回撤超过上限
- FUNDING_RATE: funding rate 绝对值过高
- SPREAD: spread 不可用或过大
- SLIPPAGE: 配置滑点超过上限
- OPEN_FREQUENCY: 1 分钟内开仓频率过高
- STALE_MARKET: 行情过旧

当前阈值：

```json
{
  "maxNotionalUsdt": 2000,
  "maxLeverage": 3,
  "maxDailyLossUsdt": 150,
  "maxDrawdownPct": 8,
  "maxOpenFrequencyPerMin": 6,
  "maxSpreadBps": 25,
  "maxSlippageBps": 12,
  "minSignalConfidence": 0.56,
  "fundingRateBlockAbs": 0.0015,
  "maxMarketEventAgeMs": 15000
}
```

## 10. 历史回撤模型

API：

```text
POST /api/history/drawdown
```

输入示例：

```json
{
  "strategy_id": "ma-rsi-paper-v1",
  "interval": "1m",
  "limit": 1000
}
```

计算逻辑：

```text
1. 拉取历史 K 线
2. 按策略类型生成历史信号
3. 使用 bar[t] 生成信号，bar[t+1] open 执行
4. 使用 taker fee / slippage / leverage
5. 逐 bar 生成 equity curve
6. 输出 max drawdown、PNL、return、trades、fees、turnover
```

## 11. 策略研究算法

每 5 分钟运行一次。

流程：

```text
1. refreshMarketState
2. 确认有新的 closed 1m bar
3. 检查 research lock
4. 检查 5 分钟 cooldown
5. 取最近 499 根 closed bars
6. train / validation split
7. 参数网格搜索
8. 硬过滤：交易数、回撤、PF、手续费后收益
9. 按 score 排序
10. 若优于 baseline，则创建 challenger
11. 不直接替换 champion
12. 写审计日志
```

评分：

```text
score =
  validationReturnPct
  - 1.2 * validationMaxDrawdownPct
  + 0.5 * cappedProfitFactor
  - 0.1 * turnoverPenalty
  - 0.2 * parameterInstabilityPenalty
```

## 12. 审计文件

当前 append-only 文件：

```text
/var/lib/edenusdt-app/paper_ticks.jsonl
/var/lib/edenusdt-app/paper_orders.jsonl
/var/lib/edenusdt-app/risk_events.jsonl
/var/lib/edenusdt-app/paper_account_snapshots.jsonl
/var/lib/edenusdt-app/research_runs.jsonl
/var/lib/edenusdt-app/experiment_runs.jsonl
/var/lib/edenusdt-app/historical_drawdowns.jsonl
/var/lib/edenusdt-app/strategy_versions.jsonl
/var/lib/edenusdt-app/system_health_events.jsonl
```

## 13. 当前运行状态摘要

以下为导出时采集的运行上下文摘要。

### systemd timers

```text
NEXT                         LEFT LAST                           PASSED UNIT                         ACTIVATES
Mon 2026-05-18 05:37:26 CST 412ms Mon 2026-05-18 05:37:25 CST 594ms ago edenusdt-paper-sim.timer     edenusdt-paper-sim.service
Mon 2026-05-18 05:37:27 CST    1s Mon 2026-05-18 05:32:14 CST  5min ago edenusdt-research-tick.timer edenusdt-research-tick.service

2 timers listed.
active
active
active
active

```

### service / strategy status

```text
{
  "mode": "paper_only",
  "productionTrading": false,
  "secretAccess": false,
  "services": [
    {
      "name": "backend-market-data-service",
      "status": "online",
      "detail": "REST BBO + closed 1m bars, limit=499"
    },
    {
      "name": "strategy-registry",
      "status": "online",
      "detail": "5 strategies, champion/challenger roles"
    },
    {
      "name": "risk-service",
      "status": "online",
      "detail": "proposed order risk, spread, leverage, frequency, stale market"
    },
    {
      "name": "paper-trading-engine",
      "status": "running",
      "detail": "1s simulation, BBO_TAKER with leverage/fee/slippage"
    },
    {
      "name": "research-optimizer",
      "status": "paused",
      "detail": "timer disabled; local-only tick, closed-bar + cooldown + lock"
    },
    {
      "name": "audit-log",
      "status": "online",
      "detail": "/var/lib/edenusdt-app/*.jsonl"
    }
  ],
  "marketState": {
    "lastMarketEventAt": "2026-05-17T21:37:25.727Z",
    "lastClosedBarCloseTime": 1779053819999,
    "spreadBps": 1.8763486255752064,
    "microFeatures": {
      "sampleCount": 7,
      "returnBps": 0,
      "volatilityBps": 3.017,
      "spreadBps": 1.8763486255752064,
      "mid": 0.053294999999999995,
      "firstMid": 0.053294999999999995,
      "lastMid": 0.053294999999999995,
      "windowSec": 15
    },
    "restErrorCount": 0
  },
  "updated_at": "2026-05-17T21:37:26.329Z"
}[
  {
    "strategy_id": "ma-rsi-paper-v1",
    "version": "1.0.0",
    "role": "champion",
    "name": "Second-level Micro Momentum Champion",
    "status": "paper_ready",
    "created_by": "system",
    "params": {
      "type": "micro_momentum",
      "riskPct": 0.08,
      "leverage": 1,
      "windowSec": 15,
      "enterReturnBps": 8,
      "exitReturnBps": -5,
      "maxVolatilityBps": 80,
      "minMoveBps": 3
    },
    "metrics": {
      "maxDrawdownPct": 4.9,
      "profitFactor": 1.42,
      "trades": 188
    },
    "description": "Second-level strategy: evaluates BBO/mark-price micro features every paper tick and can simulate orders every second.",
    "code_hash": "a55b3f66d4f40f5b"
  },
  {
    "strategy_id": "ema-rsi-paper-v1",
    "version": "1.0.0",
    "role": "alias",
    "name": "SMA + RSI Champion",
    "status": "legacy_alias",
    "created_by": "system",
    "params": {
      "type": "micro_momentum",
      "riskPct": 0.08,
      "leverage": 1,
      "windowSec": 15,
      "enterReturnBps": 8,
      "exitReturnBps": -5,
      "maxVolatilityBps": 80,
      "minMoveBps": 3
    },
    "metrics": {
      "maxDrawdownPct": 4.9,
      "profitFactor": 1.42,
      "trades": 188
    },
    "description": "SMA trend filter + RSI entry guard. Paper-only champion, no live order API."
  },
  {
    "strategy_id": "spread-mean-revert-v1",
    "version": "0.3.0",
    "role": "candidate",
    "name": "Spread Mean Reversion",
    "status": "candidate",
    "created_by": "gpt_lab",
    "params": {
      "zWindow": 96,
      "entryZ": 1.8,
      "exitZ": 0.4,
      "riskPct": 0.1
    },
    "metrics": {
      "maxDrawdownPct": 6.7,
      "profitFactor": 1.19,
      "trades": 241
    },
    "description": "盘口价差均值回归候选，仍需 walk-forward 与实时模拟。"
  },
  {
    "strategy_id": "strategy_1779052253823",
    "version": "0.1.0",
    "role": "candidate",
    "name": "Breakout 20",
    "status": "candidate",
    "created_by": "openclaw",
    "params": {
      "type": "breakout",
      "maType": "SMA",
      "fastMa": 12,
      "slowMa": 36,
      "rsi": 14,
      "riskPct": 0.05,
      "leverage": 1,
      "lookback": 20,
      "components": []
    },
    "metrics": {},
    "code_hash": "0a861782057ea3e4",
    "description": "Created through restricted research API."
  },
  {
    "strategy_id": "strategy_1779052253839",
    "version": "0.1.0",
    "role": "candidate",
    "name": "Portfolio Demo",
    "status": "candidate",
    "created_by": "openclaw",
    "params": {
      "type": "portfolio",
      "maType": "SMA",
      "fastMa": 12,
      "slowMa": 36,
      "rsi": 14,
      "riskPct": 0.08,
      "leverage": 1,
      "lookback": 20,
      "components": [
        {
          "strategy_id": "ma-rsi-paper-v1",
          "weight": 1
        },
        {
          "strategy_id": "spread-mean-revert-v1",
          "weight": 0.5
        }
      ]
    },
    "metrics": {},
    "code_hash": "5dd0bf7172c1a366",
    "description": "Created through restricted research API."
  }
]
```

### recent audit samples

```text
Total output lines: 8

{"order_id":"8170a6ef-c11f-44d1-9b30-32d1e50c5864","client_order_id":"paper_1779053743437_6e5aeeb4e03608","strategy_id":"ma-rsi-paper-v1","symbol":"EDENUSDT","side":"SELL","position_side":"BOTH","order_type":"MARKET","execution_model":"BBO_TAKER","price":0.05319936,"qty":14978.3892,"notional":796.8407,"fee":0.318736,"status":"FILLED","create_time":"2026-05-17T21:35:43.437Z","update_time":"2026-05-17T21:35:43.437Z","execution_market_time":"2026-05-17T21:35:43.437Z","execution_local_time":"2026-05-17T21:35:43.437Z","audit_at":"2026-05-17T21:35:43.437Z"}
{"order_id":"97495050-1d65-4df2-a0fa-c477812b6c6f","client_order_id":"paper_1779053764727_0237b91ef43ca","strategy_id":"ma-rsi-paper-v1","symbol":"EDENUSDT","side":"BUY","position_side":"BOTH","order_type":"MARKET","execution_model":"BBO_TAKER","price":0.05331066,"qty":14967.174,"notional":797.9099,"fee":0.319164,"status":"FILLED","create_time":"2026-05-17T21:36:04.727Z","update_time":"2026-05-17T21:36:04.727Z","execution_market_time":"2026-05-17T21:36:04.727Z","execution_local_time":"2026-05-17T21:36:04.727Z","audit_at":"2026-05-17T21:36:04.727Z"}
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```

## 14. 当前限制

- 仍是 paper-only，不代表真实交易表现
- 秒级行情目前基于每秒 REST 刷新 BBO/mark，不是本地 WebSocket order book
- 没有 diff depth 本地订单簿
- 没有部分成交和队列位置模型
- funding fee 尚未按周期真实扣减
- 历史回撤对 micro_momentum 的历史模拟仍受 K 线粒度限制
- 自定义策略当前是参数化模板，不是任意代码执行，出于安全考虑不允许任意策略代码直接运行

## 15. 下一步建议

1. 后端改为 Binance WebSocket 持续接入 bookTicker / aggTrade / markPrice
2. 增加 diff depth 本地订单簿和 sequence gap 检查
3. paper 撮合升级为 depth-based slippage / partial fill
4. funding fee 按资金费时间点结算
5. 把 JSONL 审计迁移到 PostgreSQL / ClickHouse
6. 给策略组合增加权重动态调整和风险预算
7. 给控制台增加 equity curve 和实时订单列表