From a5cf3fe5831de0574b42028dd23c06b91a8a1402 Mon Sep 17 00:00:00 2001
From: ramseshk <45832522+ramseshk@users.noreply.github.com>
Date: Wed, 12 Aug 2026 12:34:51 +0800
Subject: [PATCH] fix: spot-perp basis floating-point EPS, NORMAL regime
 fallback, realistic fee defaults

---
 strategies/regime_ensemble.py | 13 +++++++++++++
 strategies/spot_perp_basis.py | 14 ++++++++------
 2 files changed, 21 insertions(+), 6 deletions(-)

diff --git a/strategies/regime_ensemble.py b/strategies/regime_ensemble.py
index d194080..1856ee9 100644
--- a/strategies/regime_ensemble.py
+++ b/strategies/regime_ensemble.py
@@ -107,6 +107,19 @@ STRATEGY_REGIME_AFFINITY = {
         "obi": 0.1,
         "mean_rev": 0.1,
     },
+    "NORMAL": {
+        "pairs": 0.7,
+        "cross_sectional": 0.6,
+        "hurst_vpin": 0.5,
+        "momentum": 0.5,
+        "obi": 0.5,
+        "mean_rev": 0.5,
+        "grid_mm": 0.5,
+        "as_mm": 0.4,
+        "funding_arb": 0.3,
+        "queue_imbalance": 0.4,
+        "iceberg": 0.4,
+    },
 }
 
 
diff --git a/strategies/spot_perp_basis.py b/strategies/spot_perp_basis.py
index f260b12..ac6f014 100644
--- a/strategies/spot_perp_basis.py
+++ b/strategies/spot_perp_basis.py
@@ -30,6 +30,8 @@ import numpy as np
 
 logger = logging.getLogger(__name__)
 
+EPS = 1e-10
+
 
 class SpotPerpBasisArb:
     """Delta-neutral spot-perpetual basis arbitrage.
@@ -47,13 +49,13 @@ class SpotPerpBasisArb:
     
     def __init__(
         self,
-        entry_threshold_bps: float = 3.0,
+        entry_threshold_bps: float = 5.0,
         exit_threshold_bps: float = 1.0,
         max_hold_hours: float = 48.0,
         size_usd: float = 1000.0,
-        spot_fee_rate: float = 0.0010,
-        perp_fee_rate: float = 0.0007,
-        min_expected_profit_bps: float = 1.5,
+        spot_fee_rate: float = 0.0004,
+        perp_fee_rate: float = 0.00015,
+        min_expected_profit_bps: float = 1.0,
     ):
         self.entry_threshold = entry_threshold_bps / 10000  # bps → decimal
         self.exit_threshold = exit_threshold_bps / 10000
@@ -112,7 +114,7 @@ class SpotPerpBasisArb:
         funding_apr = abs(funding_rate) * 365 * 3  # 8h → annual
         funding_profit = funding_apr * (self.max_hold_hours / (365 * 24))
 
-        if not in_position and abs(basis) > self.entry_threshold and expected_profit > self.min_expected_profit:
+        if not in_position and abs(basis) > self.entry_threshold and expected_profit >= self.min_expected_profit - EPS:
             if basis > 0:
                 return {
                     "action": "SELL_PERP_BUY_SPOT",
@@ -237,7 +239,7 @@ def multi_asset_basis_scan(
             continue
 
         basis = (perp - spot) / spot
-        if abs(basis) > entry_threshold_bps / 10000:
+        if abs(basis) >= entry_threshold_bps / 10000 - EPS:
             opportunities.append({
                 "coin": coin,
                 "spot": spot,