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feat: 更新网格引擎，添加等待分类机制以处理消失订单，优化订单状态确认逻辑

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discountry
2025-10-08 00:14:12 +08:00
parent ed49dca2a6
commit 20c73eba21
1 changed files with 36 additions and 17 deletions
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src/strategy/grid-engine.ts
+36 -17
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@@ -98,6 +98,9 @@ export class GridEngine {
// temporarily block re-opening at that level to avoid immediate re-placement.
private readonly levelReopenBlockUntil = new Map<number, number>();
private static readonly DISAPPEAR_REOPEN_COOLDOWN_MS = 2000;
// Track levels awaiting classification after disappearance when neither fill nor cancel is confirmed
private readonly awaitingClassification = new Map<number, { until: number; absAtStart: number }>();
private static readonly AWAIT_CLASSIFICATION_TIMEOUT_MS = 2500;
private sidesLocked = false;
private startupCleaned = false;
private initialCloseHandled = false;
@@ -502,39 +505,35 @@ export class GridEngine {
if (meta) {
const prevIds = this.lastOrderIdsByKey.get(prevKey);
let classified: "filled" | "canceled" | "unknown" = "unknown";
if (prevIds && prevIds.size) {
// We generally cannot see final states for disappeared orders in openOrders; rely on position if available
const absNow = Math.abs(this.position.positionAmt);
if (absNow > this.lastAbsPositionAmt + EPSILON) {
classified = "filled";
} else if (prevIds && prevIds.size) {
// If any explicit canceled-like status is observable (rare in open snapshot), allow classification
for (const id of prevIds) {
const rec = allOrdersById.get(id);
if (!rec) continue;
const status = String(rec.status || "").toUpperCase();
const executed = Number(rec.executedQty);
if (status === "FILLED" || (executed > EPSILON && ["CANCELED", "CANCELLED", "EXPIRED", "REJECTED"].includes(status) === false)) {
classified = "filled";
break;
}
if (["CANCELED", "CANCELLED", "EXPIRED", "REJECTED"].includes(status) && executed <= EPSILON) {
classified = "canceled";
// do not break; keep searching for any filled among duplicates; but canceled is acceptable if no filled found
}
}
}
if (classified === "unknown") {
// fallback to position delta confirmation
const absNow = Math.abs(this.position.positionAmt);
if (absNow > this.lastAbsPositionAmt + EPSILON) {
classified = "filled";
} else {
classified = "canceled";
}
}
if (classified === "filled") {
if (meta.side === "BUY") this.pendingLongLevels.add(meta.level);
else this.pendingShortLevels.add(meta.level);
} else if (classified === "canceled") {
// no action; allow immediate re-open (do not block)
this.awaitingClassification.delete(meta.level);
this.levelReopenBlockUntil.delete(meta.level);
} else {
// unknown: defer decision until position/account updates or timeout
const until = this.now() + GridEngine.AWAIT_CLASSIFICATION_TIMEOUT_MS;
this.awaitingClassification.set(meta.level, { until, absAtStart: this.lastAbsPositionAmt });
this.blockLevelReopen(meta.level);
}
// ensure any previous block is cleared if exists
this.levelReopenBlockUntil.delete(meta.level);
}
}
this.lastOpenOrderKeys = currentKeys;
@@ -542,6 +541,26 @@ export class GridEngine {
this.lastKeyMeta = keyToMeta;
this.lastOrderIdsByKey = currentOrderIdsByKey;
// Resolve any awaiting classifications based on updated account snapshot or timeout
if (this.awaitingClassification.size) {
const nowTs = this.now();
for (const [level, info] of Array.from(this.awaitingClassification.entries())) {
const absNow = Math.abs(this.position.positionAmt);
if (absNow > info.absAtStart + EPSILON) {
// treat as filled
const side = this.levelMeta[level]?.side === "BUY" ? "BUY" : "SELL";
if (side === "BUY") this.pendingLongLevels.add(level);
else this.pendingShortLevels.add(level);
this.awaitingClassification.delete(level);
this.levelReopenBlockUntil.delete(level);
} else if (nowTs >= info.until) {
// timeout -> treat as canceled
this.awaitingClassification.delete(level);
this.levelReopenBlockUntil.delete(level);
}
}
}
// Desired open orders according to locked sides
const desired: DesiredGridOrder[] = [];
const halfTick = this.config.priceTick / 2;