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feat: add price viability checks and ensure maker price adjustments in OffsetMakerEngine for improved order handling

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discountry
2025-11-12 20:45:29 +08:00
parent 28bc1d5210
commit 01e5ab9997
1 changed files with 47 additions and 4 deletions
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src/strategy/offset-maker-engine.ts
+47 -4
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@@ -82,6 +82,8 @@ export class OffsetMakerEngine {
private lastSkipBuy = false;
private lastSkipSell = false;
private lastImbalance: "balanced" | "buy_dominant" | "sell_dominant" = "balanced";
private lastBuyPriceViable = true;
private lastSellPriceViable = true;
// Reprice suppression for fast-ticking Lighter order book
private readonly repriceDwellMs: number;
@@ -284,8 +286,12 @@ export class OffsetMakerEngine {
const priceDecimals = this.getPriceDecimals();
const closeBidPrice = formatPriceToString(finalBid, priceDecimals);
const closeAskPrice = formatPriceToString(finalAsk, priceDecimals);
const bidPrice = formatPriceToString(finalBid - this.config.bidOffset, priceDecimals);
const askPrice = formatPriceToString(finalAsk + this.config.askOffset, priceDecimals);
const rawBidPrice = finalBid - this.config.bidOffset;
const rawAskPrice = finalAsk + this.config.askOffset;
const safeBid = this.ensureMakerPrice("BUY", rawBidPrice, finalBid, finalAsk);
const safeAsk = this.ensureMakerPrice("SELL", rawAskPrice, finalBid, finalAsk);
const bidPrice = safeBid != null ? formatPriceToString(safeBid, priceDecimals) : null;
const askPrice = safeAsk != null ? formatPriceToString(safeAsk, priceDecimals) : null;
const absPosition = Math.abs(position.positionAmt);
const desired: DesiredOrder[] = [];
const canEnter = !this.rateLimit.shouldBlockEntries();
@@ -293,10 +299,22 @@ export class OffsetMakerEngine {
if (absPosition < EPS) {
this.entryPricePendingLogged = false;
if (!skipBuySide && canEnter) {
desired.push({ side: "BUY", price: bidPrice, amount: this.config.tradeAmount, reduceOnly: false });
if (bidPrice != null) {
this.lastBuyPriceViable = true;
desired.push({ side: "BUY", price: bidPrice, amount: this.config.tradeAmount, reduceOnly: false });
} else if (this.lastBuyPriceViable) {
this.lastBuyPriceViable = false;
this.tradeLog.push("info", "跳过买单：价差不足以构造maker价格");
}
}
if (!skipSellSide && canEnter) {
desired.push({ side: "SELL", price: askPrice, amount: this.config.tradeAmount, reduceOnly: false });
if (askPrice != null) {
this.lastSellPriceViable = true;
desired.push({ side: "SELL", price: askPrice, amount: this.config.tradeAmount, reduceOnly: false });
} else if (this.lastSellPriceViable) {
this.lastSellPriceViable = false;
this.tradeLog.push("info", "跳过卖单：价差不足以构造maker价格");
}
}
} else {
const closeSide: "BUY" | "SELL" = position.positionAmt > 0 ? "SELL" : "BUY";
@@ -727,6 +745,31 @@ export class OffsetMakerEngine {
return getMidOrLast(this.depthSnapshot, this.tickerSnapshot);
}
private ensureMakerPrice(
side: "BUY" | "SELL",
rawPrice: number,
topBid: number | null,
topAsk: number | null
): number | null {
if (!Number.isFinite(rawPrice) || rawPrice <= 0) return null;
const tick = Math.max(this.priceTick, 1e-9);
if (side === "BUY") {
if (topAsk == null || !Number.isFinite(topAsk)) return rawPrice;
const maxPrice = Number(topAsk) - tick;
if (!Number.isFinite(maxPrice) || maxPrice <= 0) return null;
const adjusted = Math.min(rawPrice, maxPrice);
return adjusted > 0 ? adjusted : null;
}
if (side === "SELL") {
if (topBid == null || !Number.isFinite(topBid)) return rawPrice;
const minPrice = Number(topBid) + tick;
if (!Number.isFinite(minPrice) || minPrice <= 0) return null;
const adjusted = Math.max(rawPrice, minPrice);
return adjusted > 0 ? adjusted : null;
}
return rawPrice;
}
private isInvalidAmountError(error: unknown): boolean {
const message =
typeof error === "string"