feat: Implement risk management, order book analysis, and a new alerting system with enhanced Polymarket batch price fetching and market data processing.

src/analysis/orderbook_analyzer.py

@@ -9,65 +9,83 @@ class OrderbookAnalyzer:
         self.wall_threshold = self.config.get("wall_threshold", 500)  # 单笔订单超过此值为墙
         logger.info("Initializing Orderbook Analyzer...")
 
+    def assess_liquidity(self, orderbook, side="ask"):
+        """
+        分析流动性深度 (基于前 3 档)
+        """
+        orders = orderbook.get('asks' if side == "ask" else 'bids', [])
+        if not orders:
+            return "枯竭", 0
+
+        # 前 3 档总量 (Polymarket 通常返回价格字符串)
+        depth = sum(float(o.get("size", 0)) for o in orders[:3])
+
+        if depth < 50:
+            return "稀薄", depth
+        elif depth < 500:
+            return "正常", depth
+        else:
+            return "充裕", depth
+
     def analyze(self, orderbook):
         """
-        订单簿分析决策
-        
-        Args:
-            orderbook: dict 包含 'bids' 和 'asks' 列表
+        增强版订单簿分析：集成深度与 Spread 评估
         """
         bids = orderbook.get('bids', [])
         asks = orderbook.get('asks', [])
 
         if not bids or not asks:
-            return {"signal": "NEUTRAL", "confidence": 0.5, "reason": "Empty orderbook"}
+            return {
+                "signal": "NEUTRAL", 
+                "confidence": 0.0, 
+                "tradeable": False,
+                "reason": "缺乏双边报价",
+                "liquidity": "枯竭",
+                "spread": 1.0
+            }
 
-        # 1. 计算买卖力量对比 (Imbalance)
-        # Polymarket API 返回的通常是 [{"price": "0.90", "size": "100"}, ...]
-        bid_volume = sum([float(b.get('size', 0)) for b in bids])
-        ask_volume = sum([float(a.get('size', 0)) for a in asks])
-        
-        imbalance = bid_volume / ask_volume if ask_volume > 0 else 0
-
-        # 2. 识别墙单
-        max_bid = max([float(b.get('size', 0)) for b in bids]) if bids else 0
-        max_ask = max([float(a.get('size', 0)) for a in asks]) if asks else 0
-
-        # 3. 计算价差 (Spread)
+        # 1. 计算核心指标
         best_bid = float(bids[0].get('price', 0))
         best_ask = float(asks[0].get('price', 0))
-        spread = (best_ask - best_bid) / best_ask if best_ask > 0 else 0
+        spread = abs(best_ask - best_bid)
+        mid_price = (best_ask + best_bid) / 2
+        
+        # 2. 评估流动性
+        ask_liq, ask_depth = self.assess_liquidity(orderbook, "ask")
+        bid_liq, bid_depth = self.assess_liquidity(orderbook, "bid")
+        
+        # 3. 交易可行性判定 (Spread <= 10c 且 深度 >= $50)
+        is_tradeable = (spread <= 0.10) and (ask_depth >= 50 or bid_depth >= 50)
+
+        # 4. Imbalance 计算
+        bid_volume = sum([float(b.get('size', 0)) for b in bids])
+        ask_volume = sum([float(a.get('size', 0)) for a in asks])
+        imbalance = bid_volume / ask_volume if ask_volume > 0 else 0
 
         result = {
+            "best_bid": best_bid,
+            "best_ask": best_ask,
+            "mid_price": mid_price,
+            "spread": round(spread, 4),
+            "ask_depth": round(ask_depth, 2),
+            "bid_depth": round(bid_depth, 2),
+            "liquidity": ask_liq if ask_depth < bid_depth else bid_liq,
+            "tradeable": is_tradeable,
             "imbalance": imbalance,
-            "bid_volume": bid_volume,
-            "ask_volume": ask_volume,
-            "max_bid_wall": max_bid,
-            "max_ask_wall": max_ask,
-            "spread": spread,
             "signal": "NEUTRAL",
             "confidence": 0.5
         }
 
-        # 4. 决策逻辑
-        if imbalance > 2.0:
-            result["signal"] = "BULLISH"
-            result["confidence"] = min(0.9, 0.5 + (imbalance - 1) / 4)
-        elif imbalance < 0.5:
-            result["signal"] = "BEARISH"
-            result["confidence"] = min(0.9, 0.5 + (1 / imbalance - 1) / 4)
-
-        if max_bid > self.wall_threshold and bid_volume > ask_volume:
-            result["signal"] = "STRONG_BUY"
-            result["confidence"] = 0.85
-        elif max_ask > self.wall_threshold and ask_volume > bid_volume:
-            result["signal"] = "STRONG_SELL"
-            result["confidence"] = 0.85
-
-        # 5. 流动性警告
-        if spread > 0.05:  # 价差超过5%
-            result["warning"] = "LOW_LIQUIDITY"
-            result["confidence"] *= 0.8 # 降低置信度
+        # 5. 信号修正
+        if is_tradeable:
+            if imbalance > 2.5:
+                result["signal"] = "BULLISH"
+                result["confidence"] = 0.75
+            elif imbalance < 0.4:
+                result["signal"] = "BEARISH"
+                result["confidence"] = 0.75
+        else:
+            result["confidence"] = 0.1 # 不建议交易
 
         return result