公平价的加入。

checker/c_mexc_to_erc20.py

@@ -74,6 +74,12 @@ historical_data_points = deque(maxlen=MAX_HISTORY_POINTS_PLOTLY)
 TARGET_ASSET_SYMBOL = CEX_TARGET_PAIR_USDT.split('_')[0] # e.g., RATO
 BASE_CURRENCY_SYMBOL = CEX_TARGET_PAIR_USDT.split('_')[1] # e.g., USDT (assumed to be consistent with IN_TOKEN_ADDRESS)
 
+# 价差与平均价差
+GAMMA = decimal.Decimal(0.9999)
+GAMMA_1 = decimal.Decimal(0.99)
+spread_ema = decimal.Decimal(0)
+count = decimal.Decimal(0)
+
 # --- 链上价格获取函数 (链上) ---
 # 返回: price_base_per_target (例如 USDT per RATO)
 def get_dex_price_vs_target_currency(chain_id, in_token_addr, out_token_addr, amount_in_base_human, in_token_decimals, slippage, user_wallet_addr, user_exchange_wallet_addr):
@@ -93,7 +99,9 @@ def get_dex_price_vs_target_currency(chain_id, in_token_addr, out_token_addr, am
             if human_out_base == 0: return {"error": f"DEX输出目标代币为0 ({CHAIN_ID})"}, data, 0 # data 也返回
 
             # 1target = x usdt，这个价格
-            return {"price_base_per_target": human_out_base / human_in_target }, data, human_out_base
+            price = human_out_base / human_in_target
+
+            return {"price_base_per_target": price}, data, human_out_base
         else:
             pprint.pprint(data)
             return {
@@ -277,6 +285,19 @@ def update_data_for_plotly_and_table():
         cex_price = cex_data.get("price_target_per_base") # TARGET/USDT
         cex_err = cex_data.get("error")
 
+        # 加入价差，考虑spread重新计算dex_price
+        global spread_ema, count
+        spread = dex_price - cex_price
+        if count < 120:
+            count = count + 1
+            if count == 1:
+                spread_ema = spread
+            else:
+                spread_ema = spread_ema * GAMMA_1 + spread * (decimal.Decimal(1) - GAMMA_1)
+        else:
+            spread_ema = spread_ema * GAMMA + spread * (decimal.Decimal(1) - GAMMA)
+        dex_price = dex_price - spread_ema
+
         # 3. 计算百分比差异
         # diff = (链上卖价 - CEX买价) / CEX买价
         diff_erc20_vs_cex_pct = calculate_percentage_diff(
@@ -293,7 +314,7 @@ def update_data_for_plotly_and_table():
 
         # 5. 满足利润条件，发送套利消息, PROFIT_LIMIT + 3的3是提前計算的成本，否則一直提交
         global mode
-        if diff_erc20_vs_cex_pct is not None and diff_erc20_vs_cex_pct > OPEN_LIMIT and mode == 'trade':
+        if diff_erc20_vs_cex_pct is not None and diff_erc20_vs_cex_pct > OPEN_LIMIT and mode == 'trade' and count >= 120:
             if chain_swap_full_response: # 确保有完整的链上数据
                 human_in_base = DEX_QUERRY_AMOUNT
                 send_arb_msg(diff_erc20_vs_cex_pct, chain_swap_full_response, cex_price, dex_price)