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chore: 重构策略引擎，将核心逻辑迁移至策略目录，删除旧的引擎文件并更新相关引用
This commit is contained in:
discountry
@@ -1,530 +0,0 @@
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import type { MakerConfig } from "../config";
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import type { ExchangeAdapter } from "../exchanges/adapter";
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import type {
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AsterAccountSnapshot,
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AsterDepth,
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AsterOrder,
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AsterTicker,
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} from "../exchanges/types";
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import { roundDownToTick } from "../utils/math";
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import { createTradeLog, type TradeLogEntry } from "../state/trade-log";
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import { isUnknownOrderError, isRateLimitError } from "../utils/errors";
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import { getPosition, type PositionSnapshot } from "../utils/strategy";
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import { computePositionPnl } from "../utils/pnl";
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import { getTopPrices, getMidOrLast } from "../utils/price";
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import { shouldStopLoss } from "../utils/risk";
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import {
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marketClose,
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placeOrder,
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unlockOperating,
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} from "./order-coordinator";
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import type { OrderLockMap, OrderPendingMap, OrderTimerMap } from "./order-coordinator";
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import { makeOrderPlan } from "./lib/order-plan";
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import { safeCancelOrder } from "./lib/orders";
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import { RateLimitController } from "./lib/rate-limit";
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interface DesiredOrder {
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side: "BUY" | "SELL";
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price: number;
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amount: number;
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reduceOnly: boolean;
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}
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export interface MakerEngineSnapshot {
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ready: boolean;
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symbol: string;
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topBid: number | null;
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topAsk: number | null;
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spread: number | null;
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position: PositionSnapshot;
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pnl: number;
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accountUnrealized: number;
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sessionVolume: number;
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openOrders: AsterOrder[];
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desiredOrders: DesiredOrder[];
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tradeLog: TradeLogEntry[];
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lastUpdated: number | null;
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}
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type MakerEvent = "update";
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type MakerListener = (snapshot: MakerEngineSnapshot) => void;
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const EPS = 1e-5;
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export class MakerEngine {
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private accountSnapshot: AsterAccountSnapshot | null = null;
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private depthSnapshot: AsterDepth | null = null;
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private tickerSnapshot: AsterTicker | null = null;
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private openOrders: AsterOrder[] = [];
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private readonly locks: OrderLockMap = {};
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private readonly timers: OrderTimerMap = {};
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private readonly pending: OrderPendingMap = {};
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private readonly pendingCancelOrders = new Set<string>();
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private readonly tradeLog: ReturnType<typeof createTradeLog>;
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private readonly listeners = new Map<MakerEvent, Set<MakerListener>>();
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private timer: ReturnType<typeof setInterval> | null = null;
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private processing = false;
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private desiredOrders: DesiredOrder[] = [];
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private accountUnrealized = 0;
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private sessionQuoteVolume = 0;
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private prevPositionAmt = 0;
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private initializedPosition = false;
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private initialOrderSnapshotReady = false;
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private initialOrderResetDone = false;
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private entryPricePendingLogged = false;
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private readonly rateLimit: RateLimitController;
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constructor(private readonly config: MakerConfig, private readonly exchange: ExchangeAdapter) {
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this.tradeLog = createTradeLog(this.config.maxLogEntries);
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this.rateLimit = new RateLimitController(this.config.refreshIntervalMs, (type, detail) =>
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this.tradeLog.push(type, detail)
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);
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this.bootstrap();
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}
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start(): void {
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if (this.timer) return;
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this.timer = setInterval(() => {
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void this.tick();
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}, this.config.refreshIntervalMs);
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}
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stop(): void {
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if (this.timer) {
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clearInterval(this.timer);
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this.timer = null;
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}
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}
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on(event: MakerEvent, handler: MakerListener): void {
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const handlers = this.listeners.get(event) ?? new Set<MakerListener>();
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handlers.add(handler);
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this.listeners.set(event, handlers);
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}
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off(event: MakerEvent, handler: MakerListener): void {
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const handlers = this.listeners.get(event);
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if (!handlers) return;
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handlers.delete(handler);
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if (handlers.size === 0) {
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this.listeners.delete(event);
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}
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}
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getSnapshot(): MakerEngineSnapshot {
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return this.buildSnapshot();
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}
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private bootstrap(): void {
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try {
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this.exchange.watchAccount((snapshot) => {
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try {
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this.accountSnapshot = snapshot;
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const totalUnrealized = Number(snapshot.totalUnrealizedProfit ?? "0");
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if (Number.isFinite(totalUnrealized)) {
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this.accountUnrealized = totalUnrealized;
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}
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const position = getPosition(snapshot, this.config.symbol);
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this.updateSessionVolume(position);
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this.emitUpdate();
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} catch (err) {
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this.tradeLog.push("error", `账户推送处理异常: ${String(err)}`);
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}
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});
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} catch (err) {
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this.tradeLog.push("error", `订阅账户失败: ${String(err)}`);
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}
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try {
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this.exchange.watchOrders((orders) => {
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try {
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this.syncLocksWithOrders(orders);
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this.openOrders = Array.isArray(orders)
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? orders.filter((order) => order.type !== "MARKET" && order.symbol === this.config.symbol)
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: [];
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const currentIds = new Set(this.openOrders.map((order) => String(order.orderId)));
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for (const id of Array.from(this.pendingCancelOrders)) {
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if (!currentIds.has(id)) {
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this.pendingCancelOrders.delete(id);
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}
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}
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this.initialOrderSnapshotReady = true;
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this.emitUpdate();
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} catch (err) {
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this.tradeLog.push("error", `订单推送处理异常: ${String(err)}`);
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}
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});
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} catch (err) {
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this.tradeLog.push("error", `订阅订单失败: ${String(err)}`);
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}
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try {
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this.exchange.watchDepth(this.config.symbol, (depth) => {
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try {
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this.depthSnapshot = depth;
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this.emitUpdate();
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} catch (err) {
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this.tradeLog.push("error", `深度推送处理异常: ${String(err)}`);
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}
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});
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} catch (err) {
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this.tradeLog.push("error", `订阅深度失败: ${String(err)}`);
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}
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try {
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this.exchange.watchTicker(this.config.symbol, (ticker) => {
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try {
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this.tickerSnapshot = ticker;
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this.emitUpdate();
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} catch (err) {
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this.tradeLog.push("error", `价格推送处理异常: ${String(err)}`);
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}
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});
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} catch (err) {
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this.tradeLog.push("error", `订阅Ticker失败: ${String(err)}`);
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}
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// Maker strategy does not consume klines, but subscribe to keep parity with other modules
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try {
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this.exchange.watchKlines(this.config.symbol, "1m", () => {
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try {
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/* no-op */
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} catch (err) {
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this.tradeLog.push("error", `K线推送处理异常: ${String(err)}`);
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}
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});
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} catch (err) {
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this.tradeLog.push("error", `订阅K线失败: ${String(err)}`);
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}
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}
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private syncLocksWithOrders(orders: AsterOrder[] | null | undefined): void {
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const list = Array.isArray(orders) ? orders : [];
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Object.keys(this.pending).forEach((type) => {
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const pendingId = this.pending[type];
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if (!pendingId) return;
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const match = list.find((order) => String(order.orderId) === pendingId);
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if (!match || (match.status && match.status !== "NEW" && match.status !== "PARTIALLY_FILLED")) {
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unlockOperating(this.locks, this.timers, this.pending, type);
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}
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});
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}
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private isReady(): boolean {
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return Boolean(this.accountSnapshot && this.depthSnapshot);
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}
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private async tick(): Promise<void> {
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if (this.processing) return;
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this.processing = true;
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let hadRateLimit = false;
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try {
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const decision = this.rateLimit.beforeCycle();
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if (decision === "paused") {
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this.emitUpdate();
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return;
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}
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if (decision === "skip") {
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return;
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}
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if (!this.isReady()) {
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this.emitUpdate();
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return;
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}
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if (!(await this.ensureStartupOrderReset())) {
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this.emitUpdate();
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return;
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}
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const depth = this.depthSnapshot!;
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const { topBid, topAsk } = getTopPrices(depth);
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if (topBid == null || topAsk == null) {
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this.emitUpdate();
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return;
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}
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const closeBidPrice = roundDownToTick(topBid, this.config.priceTick);
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const closeAskPrice = roundDownToTick(topAsk, this.config.priceTick);
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const bidPrice = roundDownToTick(topBid - this.config.bidOffset, this.config.priceTick);
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const askPrice = roundDownToTick(topAsk + this.config.askOffset, this.config.priceTick);
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const position = getPosition(this.accountSnapshot, this.config.symbol);
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const absPosition = Math.abs(position.positionAmt);
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const desired: DesiredOrder[] = [];
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const canEnter = !this.rateLimit.shouldBlockEntries();
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if (absPosition < EPS) {
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this.entryPricePendingLogged = false;
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if (canEnter) {
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desired.push({ side: "BUY", price: bidPrice, amount: this.config.tradeAmount, reduceOnly: false });
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desired.push({ side: "SELL", price: askPrice, amount: this.config.tradeAmount, reduceOnly: false });
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}
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} else {
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const closeSide: "BUY" | "SELL" = position.positionAmt > 0 ? "SELL" : "BUY";
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const closePrice = closeSide === "SELL" ? closeAskPrice : closeBidPrice;
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desired.push({ side: closeSide, price: closePrice, amount: absPosition, reduceOnly: true });
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}
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this.desiredOrders = desired;
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this.updateSessionVolume(position);
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await this.syncOrders(desired);
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await this.checkRisk(position, closeBidPrice, closeAskPrice);
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this.emitUpdate();
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} catch (error) {
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if (isRateLimitError(error)) {
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hadRateLimit = true;
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this.rateLimit.registerRateLimit("maker");
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await this.enforceRateLimitStop();
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this.tradeLog.push("warn", `MakerEngine 429: ${String(error)}`);
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} else {
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this.tradeLog.push("error", `做市循环异常: ${String(error)}`);
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}
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this.emitUpdate();
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} finally {
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this.rateLimit.onCycleComplete(hadRateLimit);
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this.processing = false;
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}
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}
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private async enforceRateLimitStop(): Promise<void> {
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const position = getPosition(this.accountSnapshot, this.config.symbol);
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if (Math.abs(position.positionAmt) < EPS) return;
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const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
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if (topBid == null || topAsk == null) return;
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const closeBidPrice = roundDownToTick(topBid, this.config.priceTick);
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const closeAskPrice = roundDownToTick(topAsk, this.config.priceTick);
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await this.checkRisk(position, closeBidPrice, closeAskPrice);
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await this.flushOrders();
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}
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private async ensureStartupOrderReset(): Promise<boolean> {
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if (this.initialOrderResetDone) return true;
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if (!this.initialOrderSnapshotReady) return false;
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if (!this.openOrders.length) {
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this.initialOrderResetDone = true;
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return true;
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}
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try {
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await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
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this.pendingCancelOrders.clear();
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unlockOperating(this.locks, this.timers, this.pending, "LIMIT");
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this.openOrders = [];
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this.emitUpdate();
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this.tradeLog.push("order", "启动时清理历史挂单");
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this.initialOrderResetDone = true;
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return true;
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} catch (error) {
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if (isUnknownOrderError(error)) {
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this.tradeLog.push("order", "历史挂单已消失，跳过启动清理");
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this.initialOrderResetDone = true;
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this.openOrders = [];
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this.emitUpdate();
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return true;
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}
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this.tradeLog.push("error", `启动撤单失败: ${String(error)}`);
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return false;
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}
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}
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private async syncOrders(targets: DesiredOrder[]): Promise<void> {
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const tolerance = this.config.priceChaseThreshold;
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const availableOrders = this.openOrders.filter((o) => !this.pendingCancelOrders.has(String(o.orderId)));
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const { toCancel, toPlace } = makeOrderPlan(availableOrders, targets, tolerance);
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for (const order of toCancel) {
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if (this.pendingCancelOrders.has(String(order.orderId))) continue;
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this.pendingCancelOrders.add(String(order.orderId));
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await safeCancelOrder(
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this.exchange,
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this.config.symbol,
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order,
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() => {
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this.tradeLog.push(
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"order",
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`撤销不匹配订单 ${order.side} @ ${order.price} reduceOnly=${order.reduceOnly}`
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);
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},
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() => {
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this.tradeLog.push("order", "撤销时发现订单已被成交/取消，忽略");
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this.pendingCancelOrders.delete(String(order.orderId));
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this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
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},
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(error) => {
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this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
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this.pendingCancelOrders.delete(String(order.orderId));
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this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
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}
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);
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}
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for (const target of toPlace) {
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if (!target) continue;
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if (target.amount < EPS) continue;
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try {
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await placeOrder(
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this.exchange,
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this.config.symbol,
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this.openOrders,
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this.locks,
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this.timers,
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this.pending,
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target.side,
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target.price,
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target.amount,
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(type, detail) => this.tradeLog.push(type, detail),
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target.reduceOnly,
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{
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markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
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maxPct: this.config.maxCloseSlippagePct,
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}
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);
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} catch (error) {
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this.tradeLog.push("error", `挂单失败(${target.side} ${target.price}): ${String(error)}`);
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}
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}
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}
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private async checkRisk(position: PositionSnapshot, bidPrice: number, askPrice: number): Promise<void> {
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const absPosition = Math.abs(position.positionAmt);
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if (absPosition < EPS) return;
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const hasEntryPrice = Number.isFinite(position.entryPrice) && Math.abs(position.entryPrice) > 1e-8;
|
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if (!hasEntryPrice) {
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if (!this.entryPricePendingLogged) {
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this.tradeLog.push("info", "做市持仓均价未同步，等待账户快照刷新后再执行止损判断");
|
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this.entryPricePendingLogged = true;
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}
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return;
|
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}
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this.entryPricePendingLogged = false;
|
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|
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const pnl = computePositionPnl(position, bidPrice, askPrice);
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const triggerStop = shouldStopLoss(position, bidPrice, askPrice, this.config.lossLimit);
|
||||
|
||||
if (triggerStop) {
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// 价格操纵保护：只有平仓方向价格与标记价格在阈值内才允许市价平仓
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const closeSideIsSell = position.positionAmt > 0;
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const closeSidePrice = closeSideIsSell ? bidPrice : askPrice;
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this.tradeLog.push(
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"stop",
|
||||
`触发止损，方向=${position.positionAmt > 0 ? "多" : "空"} 当前亏损=${pnl.toFixed(4)} USDT`
|
||||
);
|
||||
try {
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||||
await this.flushOrders();
|
||||
await marketClose(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
position.positionAmt > 0 ? "SELL" : "BUY",
|
||||
absPosition,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
{
|
||||
markPrice: position.markPrice,
|
||||
expectedPrice: Number(closeSidePrice) || null,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
}
|
||||
);
|
||||
} catch (error) {
|
||||
if (isUnknownOrderError(error)) {
|
||||
this.tradeLog.push("order", "止损平仓时订单已不存在");
|
||||
} else {
|
||||
this.tradeLog.push("error", `止损平仓失败: ${String(error)}`);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private async flushOrders(): Promise<void> {
|
||||
if (!this.openOrders.length) return;
|
||||
for (const order of this.openOrders) {
|
||||
if (this.pendingCancelOrders.has(String(order.orderId))) continue;
|
||||
this.pendingCancelOrders.add(String(order.orderId));
|
||||
await safeCancelOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
order,
|
||||
() => {
|
||||
// 成功撤销不记录日志，保持现有行为
|
||||
},
|
||||
() => {
|
||||
this.tradeLog.push("order", "订单已不存在，撤销跳过");
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
},
|
||||
(error) => {
|
||||
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
}
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
private emitUpdate(): void {
|
||||
try {
|
||||
const snapshot = this.buildSnapshot();
|
||||
const handlers = this.listeners.get("update");
|
||||
if (handlers) {
|
||||
handlers.forEach((handler) => {
|
||||
try {
|
||||
handler(snapshot);
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `更新回调处理异常: ${String(err)}`);
|
||||
}
|
||||
});
|
||||
}
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `快照或更新分发异常: ${String(err)}`);
|
||||
}
|
||||
}
|
||||
|
||||
private buildSnapshot(): MakerEngineSnapshot {
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
|
||||
const spread = topBid != null && topAsk != null ? topAsk - topBid : null;
|
||||
const pnl = computePositionPnl(position, topBid, topAsk);
|
||||
|
||||
return {
|
||||
ready: this.isReady(),
|
||||
symbol: this.config.symbol,
|
||||
topBid: topBid,
|
||||
topAsk: topAsk,
|
||||
spread,
|
||||
position,
|
||||
pnl,
|
||||
accountUnrealized: this.accountUnrealized,
|
||||
sessionVolume: this.sessionQuoteVolume,
|
||||
openOrders: this.openOrders,
|
||||
desiredOrders: this.desiredOrders,
|
||||
tradeLog: this.tradeLog.all(),
|
||||
lastUpdated: Date.now(),
|
||||
};
|
||||
}
|
||||
|
||||
private updateSessionVolume(position: PositionSnapshot): void {
|
||||
const price = this.getReferencePrice();
|
||||
if (!this.initializedPosition) {
|
||||
this.prevPositionAmt = position.positionAmt;
|
||||
this.initializedPosition = true;
|
||||
return;
|
||||
}
|
||||
if (price == null) {
|
||||
this.prevPositionAmt = position.positionAmt;
|
||||
return;
|
||||
}
|
||||
const delta = Math.abs(position.positionAmt - this.prevPositionAmt);
|
||||
if (delta > 0) {
|
||||
this.sessionQuoteVolume += delta * price;
|
||||
}
|
||||
this.prevPositionAmt = position.positionAmt;
|
||||
}
|
||||
|
||||
private getReferencePrice(): number | null {
|
||||
return getMidOrLast(this.depthSnapshot, this.tickerSnapshot);
|
||||
}
|
||||
}
|
||||
@@ -1,636 +0,0 @@
|
||||
import type { MakerConfig } from "../config";
|
||||
import type { ExchangeAdapter } from "../exchanges/adapter";
|
||||
import type {
|
||||
AsterAccountSnapshot,
|
||||
AsterDepth,
|
||||
AsterOrder,
|
||||
AsterTicker,
|
||||
} from "../exchanges/types";
|
||||
import { roundDownToTick } from "../utils/math";
|
||||
import { createTradeLog } from "../state/trade-log";
|
||||
import { isUnknownOrderError, isRateLimitError } from "../utils/errors";
|
||||
import { getPosition, type PositionSnapshot } from "../utils/strategy";
|
||||
import { computeDepthStats } from "../utils/depth";
|
||||
import { computePositionPnl } from "../utils/pnl";
|
||||
import { getTopPrices, getMidOrLast } from "../utils/price";
|
||||
import { shouldStopLoss } from "../utils/risk";
|
||||
import {
|
||||
marketClose,
|
||||
placeOrder,
|
||||
unlockOperating,
|
||||
} from "./order-coordinator";
|
||||
import type { OrderLockMap, OrderPendingMap, OrderTimerMap } from "./order-coordinator";
|
||||
import type { MakerEngineSnapshot } from "./maker-engine";
|
||||
import { makeOrderPlan } from "./lib/order-plan";
|
||||
import { safeCancelOrder } from "./lib/orders";
|
||||
import { RateLimitController } from "./lib/rate-limit";
|
||||
|
||||
interface DesiredOrder {
|
||||
side: "BUY" | "SELL";
|
||||
price: number;
|
||||
amount: number;
|
||||
reduceOnly: boolean;
|
||||
}
|
||||
|
||||
export interface OffsetMakerEngineSnapshot extends MakerEngineSnapshot {
|
||||
buyDepthSum10: number;
|
||||
sellDepthSum10: number;
|
||||
depthImbalance: "balanced" | "buy_dominant" | "sell_dominant";
|
||||
skipBuySide: boolean;
|
||||
skipSellSide: boolean;
|
||||
}
|
||||
|
||||
type MakerEvent = "update";
|
||||
type MakerListener = (snapshot: OffsetMakerEngineSnapshot) => void;
|
||||
|
||||
const EPS = 1e-5;
|
||||
|
||||
export class OffsetMakerEngine {
|
||||
private accountSnapshot: AsterAccountSnapshot | null = null;
|
||||
private depthSnapshot: AsterDepth | null = null;
|
||||
private tickerSnapshot: AsterTicker | null = null;
|
||||
private openOrders: AsterOrder[] = [];
|
||||
|
||||
private readonly locks: OrderLockMap = {};
|
||||
private readonly timers: OrderTimerMap = {};
|
||||
private readonly pending: OrderPendingMap = {};
|
||||
private readonly pendingCancelOrders = new Set<string>();
|
||||
|
||||
private readonly tradeLog: ReturnType<typeof createTradeLog>;
|
||||
private readonly listeners = new Map<MakerEvent, Set<MakerListener>>();
|
||||
|
||||
private timer: ReturnType<typeof setInterval> | null = null;
|
||||
private processing = false;
|
||||
private desiredOrders: DesiredOrder[] = [];
|
||||
private accountUnrealized = 0;
|
||||
private sessionQuoteVolume = 0;
|
||||
private prevPositionAmt = 0;
|
||||
private initializedPosition = false;
|
||||
private initialOrderSnapshotReady = false;
|
||||
private initialOrderResetDone = false;
|
||||
private entryPricePendingLogged = false;
|
||||
private readonly rateLimit: RateLimitController;
|
||||
|
||||
private lastBuyDepthSum10 = 0;
|
||||
private lastSellDepthSum10 = 0;
|
||||
private lastSkipBuy = false;
|
||||
private lastSkipSell = false;
|
||||
private lastImbalance: "balanced" | "buy_dominant" | "sell_dominant" = "balanced";
|
||||
|
||||
constructor(private readonly config: MakerConfig, private readonly exchange: ExchangeAdapter) {
|
||||
this.tradeLog = createTradeLog(this.config.maxLogEntries);
|
||||
this.rateLimit = new RateLimitController(this.config.refreshIntervalMs, (type, detail) =>
|
||||
this.tradeLog.push(type, detail)
|
||||
);
|
||||
this.bootstrap();
|
||||
}
|
||||
|
||||
start(): void {
|
||||
if (this.timer) return;
|
||||
this.timer = setInterval(() => {
|
||||
void this.tick();
|
||||
}, this.config.refreshIntervalMs);
|
||||
}
|
||||
|
||||
stop(): void {
|
||||
if (this.timer) {
|
||||
clearInterval(this.timer);
|
||||
this.timer = null;
|
||||
}
|
||||
}
|
||||
|
||||
on(event: MakerEvent, handler: MakerListener): void {
|
||||
const handlers = this.listeners.get(event) ?? new Set<MakerListener>();
|
||||
handlers.add(handler);
|
||||
this.listeners.set(event, handlers);
|
||||
}
|
||||
|
||||
off(event: MakerEvent, handler: MakerListener): void {
|
||||
const handlers = this.listeners.get(event);
|
||||
if (!handlers) return;
|
||||
handlers.delete(handler);
|
||||
if (handlers.size === 0) {
|
||||
this.listeners.delete(event);
|
||||
}
|
||||
}
|
||||
|
||||
getSnapshot(): OffsetMakerEngineSnapshot {
|
||||
return this.buildSnapshot();
|
||||
}
|
||||
|
||||
private bootstrap(): void {
|
||||
try {
|
||||
this.exchange.watchAccount((snapshot) => {
|
||||
try {
|
||||
this.accountSnapshot = snapshot;
|
||||
const totalUnrealized = Number(snapshot.totalUnrealizedProfit ?? "0");
|
||||
if (Number.isFinite(totalUnrealized)) {
|
||||
this.accountUnrealized = totalUnrealized;
|
||||
}
|
||||
const position = getPosition(snapshot, this.config.symbol);
|
||||
this.updateSessionVolume(position);
|
||||
this.emitUpdate();
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `账户推送处理异常: ${String(err)}`);
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订阅账户失败: ${String(err)}`);
|
||||
}
|
||||
|
||||
try {
|
||||
this.exchange.watchOrders((orders) => {
|
||||
try {
|
||||
this.syncLocksWithOrders(orders);
|
||||
this.openOrders = Array.isArray(orders)
|
||||
? orders.filter((order) => order.type !== "MARKET" && order.symbol === this.config.symbol)
|
||||
: [];
|
||||
const currentIds = new Set(this.openOrders.map((order) => String(order.orderId)));
|
||||
for (const id of Array.from(this.pendingCancelOrders)) {
|
||||
if (!currentIds.has(id)) {
|
||||
this.pendingCancelOrders.delete(id);
|
||||
}
|
||||
}
|
||||
this.initialOrderSnapshotReady = true;
|
||||
this.emitUpdate();
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订单推送处理异常: ${String(err)}`);
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订阅订单失败: ${String(err)}`);
|
||||
}
|
||||
|
||||
try {
|
||||
this.exchange.watchDepth(this.config.symbol, (depth) => {
|
||||
try {
|
||||
this.depthSnapshot = depth;
|
||||
this.emitUpdate();
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `深度推送处理异常: ${String(err)}`);
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订阅深度失败: ${String(err)}`);
|
||||
}
|
||||
|
||||
try {
|
||||
this.exchange.watchTicker(this.config.symbol, (ticker) => {
|
||||
try {
|
||||
this.tickerSnapshot = ticker;
|
||||
this.emitUpdate();
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `价格推送处理异常: ${String(err)}`);
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订阅Ticker失败: ${String(err)}`);
|
||||
}
|
||||
|
||||
try {
|
||||
this.exchange.watchKlines(this.config.symbol, "1m", () => {
|
||||
try {
|
||||
/* no-op */
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `K线推送处理异常: ${String(err)}`);
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订阅K线失败: ${String(err)}`);
|
||||
}
|
||||
}
|
||||
|
||||
private syncLocksWithOrders(orders: AsterOrder[] | null | undefined): void {
|
||||
const list = Array.isArray(orders) ? orders : [];
|
||||
Object.keys(this.pending).forEach((type) => {
|
||||
const pendingId = this.pending[type];
|
||||
if (!pendingId) return;
|
||||
const match = list.find((order) => String(order.orderId) === pendingId);
|
||||
if (!match || (match.status && match.status !== "NEW" && match.status !== "PARTIALLY_FILLED")) {
|
||||
unlockOperating(this.locks, this.timers, this.pending, type);
|
||||
}
|
||||
});
|
||||
}
|
||||
|
||||
private isReady(): boolean {
|
||||
return Boolean(this.accountSnapshot && this.depthSnapshot);
|
||||
}
|
||||
|
||||
private async tick(): Promise<void> {
|
||||
if (this.processing) return;
|
||||
this.processing = true;
|
||||
let hadRateLimit = false;
|
||||
try {
|
||||
const decision = this.rateLimit.beforeCycle();
|
||||
if (decision === "paused") {
|
||||
this.emitUpdate();
|
||||
return;
|
||||
}
|
||||
if (decision === "skip") {
|
||||
return;
|
||||
}
|
||||
if (!this.isReady()) {
|
||||
this.emitUpdate();
|
||||
return;
|
||||
}
|
||||
if (!(await this.ensureStartupOrderReset())) {
|
||||
this.emitUpdate();
|
||||
return;
|
||||
}
|
||||
|
||||
const depth = this.depthSnapshot!;
|
||||
const { topBid, topAsk } = getTopPrices(depth);
|
||||
if (topBid == null || topAsk == null) {
|
||||
this.emitUpdate();
|
||||
return;
|
||||
}
|
||||
|
||||
const { buySum, sellSum, skipBuySide, skipSellSide, imbalance } = this.evaluateDepth(depth);
|
||||
this.lastBuyDepthSum10 = buySum;
|
||||
this.lastSellDepthSum10 = sellSum;
|
||||
this.lastSkipBuy = skipBuySide;
|
||||
this.lastSkipSell = skipSellSide;
|
||||
this.lastImbalance = imbalance;
|
||||
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const handledImbalance = await this.handleImbalanceExit(position, buySum, sellSum);
|
||||
if (handledImbalance) {
|
||||
this.emitUpdate();
|
||||
return;
|
||||
}
|
||||
|
||||
const closeBidPrice = roundDownToTick(topBid!, this.config.priceTick);
|
||||
const closeAskPrice = roundDownToTick(topAsk!, this.config.priceTick);
|
||||
const bidPrice = roundDownToTick(topBid! - this.config.bidOffset, this.config.priceTick);
|
||||
const askPrice = roundDownToTick(topAsk! + this.config.askOffset, this.config.priceTick);
|
||||
const absPosition = Math.abs(position.positionAmt);
|
||||
const desired: DesiredOrder[] = [];
|
||||
const canEnter = !this.rateLimit.shouldBlockEntries();
|
||||
|
||||
if (absPosition < EPS) {
|
||||
this.entryPricePendingLogged = false;
|
||||
if (!skipBuySide && canEnter) {
|
||||
desired.push({ side: "BUY", price: bidPrice, amount: this.config.tradeAmount, reduceOnly: false });
|
||||
}
|
||||
if (!skipSellSide && canEnter) {
|
||||
desired.push({ side: "SELL", price: askPrice, amount: this.config.tradeAmount, reduceOnly: false });
|
||||
}
|
||||
} else {
|
||||
const closeSide: "BUY" | "SELL" = position.positionAmt > 0 ? "SELL" : "BUY";
|
||||
const closePrice = closeSide === "SELL" ? closeAskPrice : closeBidPrice;
|
||||
desired.push({ side: closeSide, price: closePrice, amount: absPosition, reduceOnly: true });
|
||||
}
|
||||
|
||||
this.desiredOrders = desired;
|
||||
this.updateSessionVolume(position);
|
||||
await this.syncOrders(desired);
|
||||
await this.checkRisk(position, closeBidPrice, closeAskPrice);
|
||||
this.emitUpdate();
|
||||
} catch (error) {
|
||||
if (isRateLimitError(error)) {
|
||||
hadRateLimit = true;
|
||||
this.rateLimit.registerRateLimit("offset-maker");
|
||||
await this.enforceRateLimitStop();
|
||||
this.tradeLog.push("warn", `OffsetMakerEngine 429: ${String(error)}`);
|
||||
} else {
|
||||
this.tradeLog.push("error", `偏移做市循环异常: ${String(error)}`);
|
||||
}
|
||||
this.emitUpdate();
|
||||
} finally {
|
||||
this.rateLimit.onCycleComplete(hadRateLimit);
|
||||
this.processing = false;
|
||||
}
|
||||
}
|
||||
|
||||
private async enforceRateLimitStop(): Promise<void> {
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
if (Math.abs(position.positionAmt) < EPS) return;
|
||||
await this.flushOrders();
|
||||
const absPosition = Math.abs(position.positionAmt);
|
||||
const side: "BUY" | "SELL" = position.positionAmt > 0 ? "SELL" : "BUY";
|
||||
const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
|
||||
const closeBidPrice = topBid != null ? roundDownToTick(topBid, this.config.priceTick) : null;
|
||||
const closeAskPrice = topAsk != null ? roundDownToTick(topAsk, this.config.priceTick) : null;
|
||||
try {
|
||||
await marketClose(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
side,
|
||||
absPosition,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
{
|
||||
markPrice: position.markPrice,
|
||||
expectedPrice:
|
||||
side === "SELL"
|
||||
? (closeAskPrice != null ? Number(closeAskPrice) : null)
|
||||
: (closeBidPrice != null ? Number(closeBidPrice) : null),
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
}
|
||||
);
|
||||
} catch (error) {
|
||||
if (isUnknownOrderError(error)) {
|
||||
this.tradeLog.push("order", "限频强制平仓时订单已不存在");
|
||||
} else {
|
||||
this.tradeLog.push("error", `限频强制平仓失败: ${String(error)}`);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private async ensureStartupOrderReset(): Promise<boolean> {
|
||||
if (this.initialOrderResetDone) return true;
|
||||
if (!this.initialOrderSnapshotReady) return false;
|
||||
if (!this.openOrders.length) {
|
||||
this.initialOrderResetDone = true;
|
||||
return true;
|
||||
}
|
||||
try {
|
||||
await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
|
||||
this.pendingCancelOrders.clear();
|
||||
unlockOperating(this.locks, this.timers, this.pending, "LIMIT");
|
||||
this.openOrders = [];
|
||||
this.emitUpdate();
|
||||
this.tradeLog.push("order", "启动时清理历史挂单");
|
||||
this.initialOrderResetDone = true;
|
||||
return true;
|
||||
} catch (error) {
|
||||
if (isUnknownOrderError(error)) {
|
||||
this.tradeLog.push("order", "历史挂单已消失，跳过启动清理");
|
||||
this.initialOrderResetDone = true;
|
||||
this.openOrders = [];
|
||||
this.emitUpdate();
|
||||
return true;
|
||||
}
|
||||
this.tradeLog.push("error", `启动撤单失败: ${String(error)}`);
|
||||
return false;
|
||||
}
|
||||
}
|
||||
|
||||
private evaluateDepth(depth: AsterDepth): {
|
||||
buySum: number;
|
||||
sellSum: number;
|
||||
skipBuySide: boolean;
|
||||
skipSellSide: boolean;
|
||||
imbalance: "balanced" | "buy_dominant" | "sell_dominant";
|
||||
} {
|
||||
// Keep existing behavior: 10 levels, ratio threshold 3x
|
||||
return computeDepthStats(depth, 10, 3);
|
||||
}
|
||||
|
||||
private async handleImbalanceExit(
|
||||
position: PositionSnapshot,
|
||||
buySum: number,
|
||||
sellSum: number
|
||||
): Promise<boolean> {
|
||||
const absPosition = Math.abs(position.positionAmt);
|
||||
if (absPosition < EPS) return false;
|
||||
|
||||
const longExitRequired = position.positionAmt > 0 && (buySum === 0 || buySum * 6 < sellSum);
|
||||
const shortExitRequired = position.positionAmt < 0 && (sellSum === 0 || sellSum * 6 < buySum);
|
||||
|
||||
if (!longExitRequired && !shortExitRequired) return false;
|
||||
|
||||
const side: "BUY" | "SELL" = position.positionAmt > 0 ? "SELL" : "BUY";
|
||||
const bid = Number(this.depthSnapshot?.bids?.[0]?.[0]);
|
||||
const ask = Number(this.depthSnapshot?.asks?.[0]?.[0]);
|
||||
const closeSidePrice = side === "SELL" ? bid : ask;
|
||||
this.tradeLog.push(
|
||||
"stop",
|
||||
`深度极端不平衡(${buySum.toFixed(4)} vs ${sellSum.toFixed(4)}), 市价平仓 ${side}`
|
||||
);
|
||||
try {
|
||||
await this.flushOrders();
|
||||
await marketClose(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
side,
|
||||
absPosition,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
{
|
||||
markPrice: position.markPrice,
|
||||
expectedPrice: Number(closeSidePrice) || null,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
}
|
||||
);
|
||||
} catch (error) {
|
||||
if (isUnknownOrderError(error)) {
|
||||
this.tradeLog.push("order", "深度不平衡平仓时订单已不存在");
|
||||
} else {
|
||||
this.tradeLog.push("error", `深度不平衡平仓失败: ${String(error)}`);
|
||||
}
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
private async syncOrders(targets: DesiredOrder[]): Promise<void> {
|
||||
const tolerance = this.config.priceChaseThreshold;
|
||||
const availableOrders = this.openOrders.filter((o) => !this.pendingCancelOrders.has(String(o.orderId)));
|
||||
const { toCancel, toPlace } = makeOrderPlan(availableOrders, targets, tolerance);
|
||||
|
||||
for (const order of toCancel) {
|
||||
if (this.pendingCancelOrders.has(String(order.orderId))) continue;
|
||||
this.pendingCancelOrders.add(String(order.orderId));
|
||||
await safeCancelOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
order,
|
||||
() => {
|
||||
this.tradeLog.push(
|
||||
"order",
|
||||
`撤销不匹配订单 ${order.side} @ ${order.price} reduceOnly=${order.reduceOnly}`
|
||||
);
|
||||
// 保持与原逻辑一致：成功撤销不立即修改本地 openOrders，等待订单流重建
|
||||
},
|
||||
() => {
|
||||
this.tradeLog.push("order", "撤销时发现订单已被成交/取消，忽略");
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
},
|
||||
(error) => {
|
||||
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
// 避免同一轮内重复操作同一张已出错的本地挂单，直接从本地缓存移除，等待下一次订单推送重建
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
}
|
||||
);
|
||||
}
|
||||
|
||||
for (const target of toPlace) {
|
||||
if (!target) continue;
|
||||
if (target.amount < EPS) continue;
|
||||
try {
|
||||
await placeOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
target.side,
|
||||
target.price,
|
||||
target.amount,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
target.reduceOnly,
|
||||
{
|
||||
markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
}
|
||||
);
|
||||
} catch (error) {
|
||||
this.tradeLog.push("error", `挂单失败(${target.side} ${target.price}): ${String(error)}`);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private async checkRisk(position: PositionSnapshot, bidPrice: number, askPrice: number): Promise<void> {
|
||||
const absPosition = Math.abs(position.positionAmt);
|
||||
if (absPosition < EPS) return;
|
||||
|
||||
const hasEntryPrice = Number.isFinite(position.entryPrice) && Math.abs(position.entryPrice) > 1e-8;
|
||||
if (!hasEntryPrice) {
|
||||
if (!this.entryPricePendingLogged) {
|
||||
this.tradeLog.push("info", "做市持仓均价未同步，等待账户快照刷新后再执行止损判断");
|
||||
this.entryPricePendingLogged = true;
|
||||
}
|
||||
return;
|
||||
}
|
||||
this.entryPricePendingLogged = false;
|
||||
|
||||
const pnl = computePositionPnl(position, bidPrice, askPrice);
|
||||
const triggerStop = shouldStopLoss(position, bidPrice, askPrice, this.config.lossLimit);
|
||||
|
||||
if (triggerStop) {
|
||||
this.tradeLog.push(
|
||||
"stop",
|
||||
`触发止损，方向=${position.positionAmt > 0 ? "多" : "空"} 当前亏损=${pnl.toFixed(4)} USDT`
|
||||
);
|
||||
try {
|
||||
await this.flushOrders();
|
||||
await marketClose(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
position.positionAmt > 0 ? "SELL" : "BUY",
|
||||
absPosition,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
{
|
||||
markPrice: position.markPrice,
|
||||
expectedPrice: Number(position.positionAmt > 0 ? bidPrice : askPrice) || null,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
}
|
||||
);
|
||||
} catch (error) {
|
||||
if (isUnknownOrderError(error)) {
|
||||
this.tradeLog.push("order", "止损平仓时订单已不存在");
|
||||
} else {
|
||||
this.tradeLog.push("error", `止损平仓失败: ${String(error)}`);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private async flushOrders(): Promise<void> {
|
||||
if (!this.openOrders.length) return;
|
||||
for (const order of this.openOrders) {
|
||||
if (this.pendingCancelOrders.has(String(order.orderId))) continue;
|
||||
this.pendingCancelOrders.add(String(order.orderId));
|
||||
await safeCancelOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
order,
|
||||
() => {
|
||||
// 与原逻辑保持一致：成功撤销不记录日志且不修改本地 openOrders
|
||||
},
|
||||
() => {
|
||||
this.tradeLog.push("order", "订单已不存在，撤销跳过");
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
},
|
||||
(error) => {
|
||||
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
// 与同步撤单路径保持一致，移除本地异常订单，等待订单流重建
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
}
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
private emitUpdate(): void {
|
||||
try {
|
||||
const snapshot = this.buildSnapshot();
|
||||
const handlers = this.listeners.get("update");
|
||||
if (handlers) {
|
||||
handlers.forEach((handler) => {
|
||||
try {
|
||||
handler(snapshot);
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `更新回调处理异常: ${String(err)}`);
|
||||
}
|
||||
});
|
||||
}
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `快照或更新分发异常: ${String(err)}`);
|
||||
}
|
||||
}
|
||||
|
||||
private buildSnapshot(): OffsetMakerEngineSnapshot {
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
|
||||
const spread = topBid != null && topAsk != null ? topAsk - topBid : null;
|
||||
const pnl = computePositionPnl(position, topBid, topAsk);
|
||||
|
||||
return {
|
||||
ready: this.isReady(),
|
||||
symbol: this.config.symbol,
|
||||
topBid: topBid,
|
||||
topAsk: topAsk,
|
||||
spread,
|
||||
position,
|
||||
pnl,
|
||||
accountUnrealized: this.accountUnrealized,
|
||||
sessionVolume: this.sessionQuoteVolume,
|
||||
openOrders: this.openOrders,
|
||||
desiredOrders: this.desiredOrders,
|
||||
tradeLog: this.tradeLog.all(),
|
||||
lastUpdated: Date.now(),
|
||||
buyDepthSum10: this.lastBuyDepthSum10,
|
||||
sellDepthSum10: this.lastSellDepthSum10,
|
||||
depthImbalance: this.lastImbalance,
|
||||
skipBuySide: this.lastSkipBuy,
|
||||
skipSellSide: this.lastSkipSell,
|
||||
};
|
||||
}
|
||||
|
||||
private updateSessionVolume(position: PositionSnapshot): void {
|
||||
const price = this.getReferencePrice();
|
||||
if (!this.initializedPosition) {
|
||||
this.prevPositionAmt = position.positionAmt;
|
||||
this.initializedPosition = true;
|
||||
return;
|
||||
}
|
||||
if (price == null) {
|
||||
this.prevPositionAmt = position.positionAmt;
|
||||
return;
|
||||
}
|
||||
const delta = Math.abs(position.positionAmt - this.prevPositionAmt);
|
||||
if (delta > 0) {
|
||||
this.sessionQuoteVolume += delta * price;
|
||||
}
|
||||
this.prevPositionAmt = position.positionAmt;
|
||||
}
|
||||
|
||||
private getReferencePrice(): number | null {
|
||||
return getMidOrLast(this.depthSnapshot, this.tickerSnapshot);
|
||||
}
|
||||
}
|
||||
@@ -1,965 +0,0 @@
|
||||
import crypto from "crypto";
|
||||
import type { TradingConfig } from "../config";
|
||||
import type { ExchangeAdapter } from "../exchanges/adapter";
|
||||
import type {
|
||||
AsterAccountSnapshot,
|
||||
AsterOrder,
|
||||
AsterTicker,
|
||||
AsterDepth,
|
||||
AsterKline,
|
||||
} from "../exchanges/types";
|
||||
import {
|
||||
calcStopLossPrice,
|
||||
calcTrailingActivationPrice,
|
||||
computeBollingerBandwidth,
|
||||
getPosition,
|
||||
getSMA,
|
||||
type PositionSnapshot,
|
||||
} from "../utils/strategy";
|
||||
import { computePositionPnl } from "../utils/pnl";
|
||||
import { getMidOrLast } from "../utils/price";
|
||||
import {
|
||||
marketClose,
|
||||
placeMarketOrder,
|
||||
placeStopLossOrder,
|
||||
placeTrailingStopOrder,
|
||||
unlockOperating,
|
||||
} from "./order-coordinator";
|
||||
import type { OrderLockMap, OrderPendingMap, OrderTimerMap } from "./order-coordinator";
|
||||
import { extractMessage, isUnknownOrderError } from "../utils/errors";
|
||||
import { roundDownToTick } from "../utils/math";
|
||||
import { createTradeLog, type TradeLogEntry } from "../state/trade-log";
|
||||
import { decryptCopyright } from "../utils/copyright";
|
||||
import { isRateLimitError } from "../utils/errors";
|
||||
import { RateLimitController } from "./lib/rate-limit";
|
||||
|
||||
export interface TrendEngineSnapshot {
|
||||
ready: boolean;
|
||||
symbol: string;
|
||||
lastPrice: number | null;
|
||||
sma30: number | null;
|
||||
bollingerBandwidth: number | null;
|
||||
trend: "做多" | "做空" | "无信号";
|
||||
position: PositionSnapshot;
|
||||
pnl: number;
|
||||
unrealized: number;
|
||||
totalProfit: number;
|
||||
totalTrades: number;
|
||||
sessionVolume: number;
|
||||
tradeLog: TradeLogEntry[];
|
||||
openOrders: AsterOrder[];
|
||||
depth: AsterDepth | null;
|
||||
ticker: AsterTicker | null;
|
||||
lastUpdated: number | null;
|
||||
lastOpenSignal: OpenOrderPlan;
|
||||
}
|
||||
|
||||
export interface OpenOrderPlan {
|
||||
side: "BUY" | "SELL" | null;
|
||||
price: number | null;
|
||||
}
|
||||
|
||||
type TrendEngineEvent = "update";
|
||||
|
||||
type TrendEngineListener = (snapshot: TrendEngineSnapshot) => void;
|
||||
|
||||
export class TrendEngine {
|
||||
private accountSnapshot: AsterAccountSnapshot | null = null;
|
||||
private openOrders: AsterOrder[] = [];
|
||||
private depthSnapshot: AsterDepth | null = null;
|
||||
private tickerSnapshot: AsterTicker | null = null;
|
||||
private klineSnapshot: AsterKline[] = [];
|
||||
|
||||
private readonly locks: OrderLockMap = {};
|
||||
private readonly timers: OrderTimerMap = {};
|
||||
private readonly pending: OrderPendingMap = {};
|
||||
|
||||
private readonly tradeLog: ReturnType<typeof createTradeLog>;
|
||||
|
||||
private timer: ReturnType<typeof setInterval> | null = null;
|
||||
private processing = false;
|
||||
private lastPrice: number | null = null;
|
||||
private lastSma30: number | null = null;
|
||||
private lastBollingerBandwidth: number | null = null;
|
||||
private totalProfit = 0;
|
||||
private totalTrades = 0;
|
||||
private lastOpenPlan: OpenOrderPlan = { side: null, price: null };
|
||||
private sessionQuoteVolume = 0;
|
||||
private prevPositionAmt = 0;
|
||||
private initializedPosition = false;
|
||||
private cancelAllRequested = false;
|
||||
private readonly pendingCancelOrders = new Set<string>();
|
||||
private readonly rateLimit: RateLimitController;
|
||||
private lastAccountPosition: PositionSnapshot = {
|
||||
positionAmt: 0,
|
||||
entryPrice: 0,
|
||||
unrealizedProfit: 0,
|
||||
markPrice: null,
|
||||
};
|
||||
private pendingRealized: { pnl: number; timestamp: number } | null = null;
|
||||
|
||||
// 控制入场频率：同一分钟内最多入场一次
|
||||
private lastEntryMinute: number | null = null;
|
||||
// 止损后冷却：止损发生后的 60s 内忽略 SMA 入场信号
|
||||
private lastStopLossAt: number | null = null;
|
||||
private lastBollingerBlockLogged = 0;
|
||||
|
||||
private ordersSnapshotReady = false;
|
||||
private startupLogged = false;
|
||||
private entryPricePendingLogged = false;
|
||||
private readonly copyrightFingerprint = crypto
|
||||
.createHash("sha256")
|
||||
.update(decryptCopyright())
|
||||
.digest("hex");
|
||||
|
||||
private readonly listeners = new Map<TrendEngineEvent, Set<TrendEngineListener>>();
|
||||
|
||||
constructor(private readonly config: TradingConfig, private readonly exchange: ExchangeAdapter) {
|
||||
this.tradeLog = createTradeLog(this.config.maxLogEntries);
|
||||
this.rateLimit = new RateLimitController(this.config.pollIntervalMs, (type, detail) =>
|
||||
this.tradeLog.push(type, detail)
|
||||
);
|
||||
this.bootstrap();
|
||||
}
|
||||
|
||||
start(): void {
|
||||
if (this.timer) return;
|
||||
this.timer = setInterval(() => {
|
||||
void this.tick();
|
||||
}, this.config.pollIntervalMs);
|
||||
}
|
||||
|
||||
stop(): void {
|
||||
if (this.timer) {
|
||||
clearInterval(this.timer);
|
||||
this.timer = null;
|
||||
}
|
||||
}
|
||||
|
||||
on(event: TrendEngineEvent, handler: TrendEngineListener): void {
|
||||
const handlers = this.listeners.get(event) ?? new Set<TrendEngineListener>();
|
||||
handlers.add(handler);
|
||||
this.listeners.set(event, handlers);
|
||||
}
|
||||
|
||||
off(event: TrendEngineEvent, handler: TrendEngineListener): void {
|
||||
const handlers = this.listeners.get(event);
|
||||
if (!handlers) return;
|
||||
handlers.delete(handler);
|
||||
if (handlers.size === 0) {
|
||||
this.listeners.delete(event);
|
||||
}
|
||||
}
|
||||
|
||||
getSnapshot(): TrendEngineSnapshot {
|
||||
return this.buildSnapshot();
|
||||
}
|
||||
|
||||
private bootstrap(): void {
|
||||
try {
|
||||
this.exchange.watchAccount((snapshot) => {
|
||||
try {
|
||||
this.accountSnapshot = snapshot;
|
||||
const position = getPosition(snapshot, this.config.symbol);
|
||||
this.updateSessionVolume(position);
|
||||
this.trackPositionLifecycle(position, this.getReferencePrice());
|
||||
this.emitUpdate();
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `账户推送处理异常: ${extractMessage(err)}`);
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订阅账户失败: ${String(err)}`);
|
||||
}
|
||||
try {
|
||||
this.exchange.watchOrders((orders) => {
|
||||
try {
|
||||
this.synchronizeLocks(orders);
|
||||
this.openOrders = Array.isArray(orders)
|
||||
? orders.filter((order) => order.type !== "MARKET" && order.symbol === this.config.symbol)
|
||||
: [];
|
||||
const currentIds = new Set(this.openOrders.map((order) => String(order.orderId)));
|
||||
for (const id of Array.from(this.pendingCancelOrders)) {
|
||||
if (!currentIds.has(id)) {
|
||||
this.pendingCancelOrders.delete(id);
|
||||
}
|
||||
}
|
||||
if (this.openOrders.length === 0 || this.pendingCancelOrders.size === 0) {
|
||||
this.cancelAllRequested = false;
|
||||
}
|
||||
this.ordersSnapshotReady = true;
|
||||
this.emitUpdate();
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订单推送处理异常: ${extractMessage(err)}`);
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订阅订单失败: ${String(err)}`);
|
||||
}
|
||||
try {
|
||||
this.exchange.watchDepth(this.config.symbol, (depth) => {
|
||||
try {
|
||||
this.depthSnapshot = depth;
|
||||
this.emitUpdate();
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `深度推送处理异常: ${extractMessage(err)}`);
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订阅深度失败: ${String(err)}`);
|
||||
}
|
||||
try {
|
||||
this.exchange.watchTicker(this.config.symbol, (ticker) => {
|
||||
try {
|
||||
this.tickerSnapshot = ticker;
|
||||
this.emitUpdate();
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `价格推送处理异常: ${extractMessage(err)}`);
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订阅Ticker失败: ${String(err)}`);
|
||||
}
|
||||
try {
|
||||
this.exchange.watchKlines(this.config.symbol, this.config.klineInterval, (klines) => {
|
||||
try {
|
||||
this.klineSnapshot = Array.isArray(klines) ? klines : [];
|
||||
this.emitUpdate();
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `K线推送处理异常: ${extractMessage(err)}`);
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `订阅K线失败: ${String(err)}`);
|
||||
}
|
||||
}
|
||||
|
||||
private synchronizeLocks(orders: AsterOrder[] | null | undefined): void {
|
||||
const list = Array.isArray(orders) ? orders : [];
|
||||
Object.keys(this.pending).forEach((type) => {
|
||||
const pendingId = this.pending[type];
|
||||
if (!pendingId) return;
|
||||
const match = list.find((order) => String(order.orderId) === pendingId);
|
||||
if (!match || (match.status && match.status !== "NEW")) {
|
||||
unlockOperating(this.locks, this.timers, this.pending, type);
|
||||
}
|
||||
});
|
||||
}
|
||||
|
||||
private isReady(): boolean {
|
||||
const minKlines = Math.max(30, this.config.bollingerLength);
|
||||
return Boolean(
|
||||
this.accountSnapshot &&
|
||||
this.tickerSnapshot &&
|
||||
this.depthSnapshot &&
|
||||
this.klineSnapshot.length >= minKlines
|
||||
);
|
||||
}
|
||||
|
||||
private async tick(): Promise<void> {
|
||||
if (this.processing) return;
|
||||
this.processing = true;
|
||||
let hadRateLimit = false;
|
||||
try {
|
||||
const decision = this.rateLimit.beforeCycle();
|
||||
if (decision === "paused") {
|
||||
this.emitUpdate();
|
||||
return;
|
||||
}
|
||||
if (decision === "skip") {
|
||||
return;
|
||||
}
|
||||
if (!this.ordersSnapshotReady) {
|
||||
this.emitUpdate();
|
||||
return;
|
||||
}
|
||||
if (!this.isReady()) {
|
||||
this.emitUpdate();
|
||||
return;
|
||||
}
|
||||
this.logStartupState();
|
||||
const sma30 = getSMA(this.klineSnapshot, 30);
|
||||
if (sma30 == null) {
|
||||
return;
|
||||
}
|
||||
const bollingerBandwidth = computeBollingerBandwidth(
|
||||
this.klineSnapshot,
|
||||
this.config.bollingerLength,
|
||||
this.config.bollingerStdMultiplier
|
||||
);
|
||||
this.lastBollingerBandwidth = bollingerBandwidth;
|
||||
const ticker = this.tickerSnapshot!;
|
||||
const price = Number(ticker.lastPrice);
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
|
||||
if (Math.abs(position.positionAmt) < 1e-5) {
|
||||
if (!this.rateLimit.shouldBlockEntries()) {
|
||||
await this.handleOpenPosition(price, sma30, bollingerBandwidth);
|
||||
}
|
||||
} else {
|
||||
const result = await this.handlePositionManagement(position, price);
|
||||
if (result.closed) {
|
||||
this.pendingRealized = { pnl: result.pnl, timestamp: Date.now() };
|
||||
}
|
||||
}
|
||||
|
||||
this.updateSessionVolume(position);
|
||||
this.trackPositionLifecycle(position, price);
|
||||
this.lastSma30 = sma30;
|
||||
this.lastPrice = price;
|
||||
this.emitUpdate();
|
||||
} catch (error) {
|
||||
if (isRateLimitError(error)) {
|
||||
hadRateLimit = true;
|
||||
this.rateLimit.registerRateLimit("trend");
|
||||
await this.enforceRateLimitStop();
|
||||
this.tradeLog.push("warn", `TrendEngine 429: ${String(error)}`);
|
||||
} else {
|
||||
this.tradeLog.push("error", `策略循环异常: ${String(error)}`);
|
||||
}
|
||||
this.emitUpdate();
|
||||
} finally {
|
||||
try {
|
||||
this.rateLimit.onCycleComplete(hadRateLimit);
|
||||
} catch (rateLimitError) {
|
||||
this.tradeLog.push("error", `限频控制器状态更新失败: ${String(rateLimitError)}`);
|
||||
} finally {
|
||||
this.processing = false;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private async enforceRateLimitStop(): Promise<void> {
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
if (Math.abs(position.positionAmt) < 1e-5) return;
|
||||
const price = this.getReferencePrice() ?? Number(this.tickerSnapshot?.lastPrice) ?? this.lastPrice;
|
||||
if (!Number.isFinite(price) || price == null) return;
|
||||
const result = await this.handlePositionManagement(position, Number(price));
|
||||
if (result.closed) {
|
||||
this.pendingRealized = { pnl: result.pnl, timestamp: Date.now() };
|
||||
}
|
||||
}
|
||||
|
||||
private logStartupState(): void {
|
||||
if (this.startupLogged) return;
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const hasPosition = Math.abs(position.positionAmt) > 1e-5;
|
||||
if (hasPosition) {
|
||||
this.tradeLog.push(
|
||||
"info",
|
||||
`检测到已有持仓: ${position.positionAmt > 0 ? "多" : "空"} ${Math.abs(position.positionAmt).toFixed(4)} @ ${position.entryPrice.toFixed(2)}`
|
||||
);
|
||||
}
|
||||
if (this.openOrders.length > 0) {
|
||||
this.tradeLog.push("info", `检测到已有挂单 ${this.openOrders.length} 笔，将按策略规则接管`);
|
||||
}
|
||||
this.startupLogged = true;
|
||||
}
|
||||
|
||||
private async handleOpenPosition(
|
||||
currentPrice: number,
|
||||
currentSma: number,
|
||||
currentBandwidth: number | null
|
||||
): Promise<void> {
|
||||
this.entryPricePendingLogged = false;
|
||||
const now = Date.now();
|
||||
const currentMinute = Math.floor(now / 60_000);
|
||||
// 止损后的冷却期：60s 内不允许基于 SMA 穿越再次入场
|
||||
if (this.lastStopLossAt != null && now - this.lastStopLossAt < 60_000) {
|
||||
const remaining = Math.max(0, 60_000 - (now - this.lastStopLossAt));
|
||||
this.tradeLog.push("info", `止损后冷却中 ${(remaining / 1000).toFixed(0)}s，忽略入场信号`);
|
||||
return;
|
||||
}
|
||||
// 同一分钟只允许一次入场
|
||||
if (this.lastEntryMinute != null && this.lastEntryMinute === currentMinute) {
|
||||
this.tradeLog.push("info", "本分钟已入场，忽略新的 SMA 入场信号");
|
||||
return;
|
||||
}
|
||||
if (
|
||||
Number.isFinite(currentBandwidth) &&
|
||||
this.config.minBollingerBandwidth > 0 &&
|
||||
Number(currentBandwidth) < this.config.minBollingerBandwidth
|
||||
) {
|
||||
if (now - this.lastBollingerBlockLogged > 15_000) {
|
||||
this.tradeLog.push(
|
||||
"info",
|
||||
`布林带宽度不足：${Number(currentBandwidth).toFixed(4)} < ${this.config.minBollingerBandwidth}，忽略入场信号`
|
||||
);
|
||||
this.lastBollingerBlockLogged = now;
|
||||
}
|
||||
return;
|
||||
}
|
||||
if (this.lastPrice == null) {
|
||||
this.lastPrice = currentPrice;
|
||||
return;
|
||||
}
|
||||
if (this.openOrders.length > 0 && !this.cancelAllRequested) {
|
||||
try {
|
||||
await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
|
||||
this.cancelAllRequested = true;
|
||||
// 清空本地挂单与撤单队列，避免在下一轮中基于过期快照继续操作
|
||||
this.pendingCancelOrders.clear();
|
||||
this.openOrders = [];
|
||||
} catch (err) {
|
||||
if (isUnknownOrderError(err)) {
|
||||
this.tradeLog.push("order", "撤单时部分订单已不存在，忽略");
|
||||
this.cancelAllRequested = true;
|
||||
// 与成功撤单路径保持一致，立即清空本地缓存，等待订单流推送重建
|
||||
this.pendingCancelOrders.clear();
|
||||
this.openOrders = [];
|
||||
} else {
|
||||
this.tradeLog.push("error", `撤销挂单失败: ${String(err)}`);
|
||||
this.cancelAllRequested = false;
|
||||
}
|
||||
}
|
||||
}
|
||||
if (this.lastPrice > currentSma && currentPrice < currentSma) {
|
||||
await this.submitMarketOrder("SELL", currentPrice, "下穿SMA30，市价开空");
|
||||
this.lastEntryMinute = currentMinute;
|
||||
} else if (this.lastPrice < currentSma && currentPrice > currentSma) {
|
||||
await this.submitMarketOrder("BUY", currentPrice, "上穿SMA30，市价开多");
|
||||
this.lastEntryMinute = currentMinute;
|
||||
}
|
||||
}
|
||||
|
||||
private async submitMarketOrder(side: "BUY" | "SELL", price: number, reason: string): Promise<void> {
|
||||
try {
|
||||
await placeMarketOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
side,
|
||||
this.config.tradeAmount,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
false,
|
||||
{
|
||||
markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
|
||||
expectedPrice: Number(this.tickerSnapshot?.lastPrice) || null,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
},
|
||||
{ qtyStep: this.config.qtyStep }
|
||||
);
|
||||
this.tradeLog.push("open", `${reason}: ${side} @ ${price}`);
|
||||
this.lastOpenPlan = { side, price };
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `市价下单失败: ${String(err)}`);
|
||||
}
|
||||
}
|
||||
|
||||
private async handlePositionManagement(
|
||||
position: PositionSnapshot,
|
||||
price: number
|
||||
): Promise<{ closed: boolean; pnl: number }> {
|
||||
const hasEntryPrice = Number.isFinite(position.entryPrice) && Math.abs(position.entryPrice) > 1e-8;
|
||||
if (!hasEntryPrice) {
|
||||
if (!this.entryPricePendingLogged) {
|
||||
this.tradeLog.push("info", "持仓均价尚未同步，等待交易所账户快照更新后再执行风控");
|
||||
this.entryPricePendingLogged = true;
|
||||
}
|
||||
return { closed: false, pnl: position.unrealizedProfit };
|
||||
}
|
||||
this.entryPricePendingLogged = false;
|
||||
const direction = position.positionAmt > 0 ? "long" : "short";
|
||||
const pnl =
|
||||
(direction === "long"
|
||||
? price - position.entryPrice
|
||||
: position.entryPrice - price) * Math.abs(position.positionAmt);
|
||||
const unrealized = Number.isFinite(position.unrealizedProfit)
|
||||
? position.unrealizedProfit
|
||||
: null;
|
||||
const stopSide = direction === "long" ? "SELL" : "BUY";
|
||||
const stopPrice = calcStopLossPrice(
|
||||
position.entryPrice,
|
||||
Math.abs(position.positionAmt),
|
||||
direction,
|
||||
this.config.lossLimit
|
||||
);
|
||||
const activationPrice = calcTrailingActivationPrice(
|
||||
position.entryPrice,
|
||||
Math.abs(position.positionAmt),
|
||||
direction,
|
||||
this.config.trailingProfit
|
||||
);
|
||||
|
||||
const currentStop = this.openOrders.find(
|
||||
(o) => o.type === "STOP_MARKET" && o.side === stopSide
|
||||
);
|
||||
const currentTrailing = this.openOrders.find(
|
||||
(o) => o.type === "TRAILING_STOP_MARKET" && o.side === stopSide
|
||||
);
|
||||
|
||||
// 步进式锁盈移动：在动态止盈生效前，盈利每增加一个 profitLockOffsetUsd 就上移/下移一次止损
|
||||
{
|
||||
const tick = Math.max(1e-9, this.config.priceTick);
|
||||
const qtyAbs = Math.abs(position.positionAmt);
|
||||
const stepUsd = Math.max(0, this.config.profitLockOffsetUsd);
|
||||
const triggerUsd = Math.max(0, this.config.profitLockTriggerUsd);
|
||||
const trailingActivateFromOrderRaw = currentTrailing?.activatePrice ?? (currentTrailing as any)?.activationPrice;
|
||||
const trailingActivateFromOrder = Number(trailingActivateFromOrderRaw);
|
||||
const trailingActivate = Number.isFinite(trailingActivateFromOrder)
|
||||
? trailingActivateFromOrder
|
||||
: activationPrice;
|
||||
|
||||
// 判断动态止盈是否已生效：多头 price >= activate；空头 price <= activate
|
||||
const trailingActivated =
|
||||
direction === "long"
|
||||
? Number.isFinite(trailingActivate) && price >= trailingActivate - tick
|
||||
: Number.isFinite(trailingActivate) && price <= trailingActivate + tick;
|
||||
|
||||
// 仅在动态止盈未生效时执行步进移动
|
||||
if (!trailingActivated && qtyAbs > 0 && stepUsd > 0) {
|
||||
const basisProfit = Number.isFinite(unrealized ?? pnl) ? Math.max(pnl, unrealized ?? pnl) : pnl;
|
||||
if (basisProfit >= triggerUsd) {
|
||||
const over = basisProfit - triggerUsd;
|
||||
const steps = 1 + Math.floor(over / stepUsd);
|
||||
const stepPx = stepUsd / qtyAbs;
|
||||
const rawTarget = direction === "long"
|
||||
? position.entryPrice + steps * stepPx
|
||||
: position.entryPrice - steps * stepPx;
|
||||
let targetStop = roundDownToTick(rawTarget, this.config.priceTick);
|
||||
|
||||
// 不允许下一次移动超过动态止盈订单的激活价
|
||||
if (Number.isFinite(trailingActivate)) {
|
||||
if (stopSide === "SELL" && targetStop >= trailingActivate - tick) {
|
||||
// 达到或超过激活价，停止移动
|
||||
targetStop = Math.min(targetStop, trailingActivate - tick);
|
||||
// 若已经无法进一步改善，则不再尝试
|
||||
const existingRaw = Number(currentStop?.stopPrice);
|
||||
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
|
||||
const canImprove =
|
||||
!Number.isFinite(existingPrice) ||
|
||||
(stopSide === "SELL" && targetStop >= existingPrice + tick);
|
||||
if (!canImprove) {
|
||||
// 直接跳过
|
||||
// no-op
|
||||
} else if (currentStop) {
|
||||
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
|
||||
} else {
|
||||
await this.tryPlaceStopLoss(stopSide, targetStop, price);
|
||||
}
|
||||
} else if (stopSide === "BUY" && targetStop <= trailingActivate + tick) {
|
||||
targetStop = Math.max(targetStop, trailingActivate + tick);
|
||||
const existingRaw = Number(currentStop?.stopPrice);
|
||||
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
|
||||
const canImprove =
|
||||
!Number.isFinite(existingPrice) ||
|
||||
(stopSide === "BUY" && targetStop <= existingPrice - tick);
|
||||
if (!canImprove) {
|
||||
// no-op
|
||||
} else if (currentStop) {
|
||||
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
|
||||
} else {
|
||||
await this.tryPlaceStopLoss(stopSide, targetStop, price);
|
||||
}
|
||||
} else {
|
||||
// 正常范围内，且必须与当前价方向不冲突
|
||||
const validForSide =
|
||||
(stopSide === "SELL" && targetStop <= price - tick) ||
|
||||
(stopSide === "BUY" && targetStop >= price + tick);
|
||||
if (validForSide) {
|
||||
if (!currentStop) {
|
||||
await this.tryPlaceStopLoss(stopSide, targetStop, price);
|
||||
} else {
|
||||
const existingRaw = Number(currentStop.stopPrice);
|
||||
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
|
||||
const improves =
|
||||
!Number.isFinite(existingPrice) ||
|
||||
(stopSide === "SELL" && targetStop >= existingPrice + tick) ||
|
||||
(stopSide === "BUY" && targetStop <= existingPrice - tick);
|
||||
if (improves) {
|
||||
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
} else {
|
||||
// 无法取得动态止盈激活价时，仅按普通步进逻辑
|
||||
const validForSide =
|
||||
(stopSide === "SELL" && targetStop <= price - tick) ||
|
||||
(stopSide === "BUY" && targetStop >= price + tick);
|
||||
if (validForSide) {
|
||||
if (!currentStop) {
|
||||
await this.tryPlaceStopLoss(stopSide, targetStop, price);
|
||||
} else {
|
||||
const existingRaw = Number(currentStop.stopPrice);
|
||||
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
|
||||
const improves =
|
||||
!Number.isFinite(existingPrice) ||
|
||||
(stopSide === "SELL" && targetStop >= existingPrice + tick) ||
|
||||
(stopSide === "BUY" && targetStop <= existingPrice - tick);
|
||||
if (improves) {
|
||||
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (!currentStop) {
|
||||
await this.tryPlaceStopLoss(stopSide, roundDownToTick(stopPrice, this.config.priceTick), price);
|
||||
}
|
||||
|
||||
if (!currentTrailing) {
|
||||
await this.tryPlaceTrailingStop(
|
||||
stopSide,
|
||||
roundDownToTick(activationPrice, this.config.priceTick),
|
||||
Math.abs(position.positionAmt)
|
||||
);
|
||||
}
|
||||
|
||||
const derivedLoss = pnl < -this.config.lossLimit;
|
||||
const snapshotLoss = Boolean(
|
||||
unrealized != null &&
|
||||
unrealized < -this.config.lossLimit &&
|
||||
pnl <= 0
|
||||
);
|
||||
|
||||
if (derivedLoss || snapshotLoss) {
|
||||
const result = { closed: false, pnl };
|
||||
try {
|
||||
if (this.openOrders.length > 0) {
|
||||
const orderIdList = this.openOrders.map((order) => order.orderId);
|
||||
const orderIdSet = new Set(orderIdList.map(String));
|
||||
try {
|
||||
await this.exchange.cancelOrders({ symbol: this.config.symbol, orderIdList });
|
||||
orderIdSet.forEach((id) => this.pendingCancelOrders.add(id));
|
||||
} catch (err) {
|
||||
if (isUnknownOrderError(err)) {
|
||||
this.tradeLog.push("order", "止损前撤单发现订单已不存在");
|
||||
// 清理本地缓存，避免重复对同一订单执行撤单
|
||||
for (const id of orderIdSet) {
|
||||
this.pendingCancelOrders.delete(id);
|
||||
}
|
||||
this.openOrders = this.openOrders.filter((o) => !orderIdSet.has(String(o.orderId)));
|
||||
} else {
|
||||
throw err;
|
||||
}
|
||||
}
|
||||
}
|
||||
// 价格操纵保护：仅当平仓方向价格与标记价格偏离在阈值内才执行市价平仓
|
||||
const mark = getPosition(this.accountSnapshot, this.config.symbol).markPrice;
|
||||
const limitPct = this.config.maxCloseSlippagePct;
|
||||
const sideIsSell = direction === "long";
|
||||
const depthBid = Number(this.depthSnapshot?.bids?.[0]?.[0]);
|
||||
const depthAsk = Number(this.depthSnapshot?.asks?.[0]?.[0]);
|
||||
const closeSidePrice = sideIsSell ? depthBid : depthAsk;
|
||||
if (mark != null && Number.isFinite(mark) && mark > 0 && Number.isFinite(closeSidePrice)) {
|
||||
const pctDiff = Math.abs(closeSidePrice - mark) / mark;
|
||||
if (pctDiff > limitPct) {
|
||||
this.tradeLog.push(
|
||||
"info",
|
||||
`市价平仓保护触发：closePx=${Number(closeSidePrice).toFixed(2)} mark=${mark.toFixed(2)} 偏离 ${(pctDiff * 100).toFixed(2)}% > ${(limitPct * 100).toFixed(2)}%`
|
||||
);
|
||||
return { closed: false, pnl };
|
||||
}
|
||||
}
|
||||
await marketClose(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
direction === "long" ? "SELL" : "BUY",
|
||||
Math.abs(position.positionAmt),
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
{
|
||||
markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
|
||||
expectedPrice: Number(
|
||||
direction === "long"
|
||||
? this.depthSnapshot?.bids?.[0]?.[0]
|
||||
: this.depthSnapshot?.asks?.[0]?.[0]
|
||||
) || null,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
},
|
||||
{ qtyStep: this.config.qtyStep }
|
||||
);
|
||||
result.closed = true;
|
||||
this.tradeLog.push("close", `止损平仓: ${direction === "long" ? "SELL" : "BUY"}`);
|
||||
// 记录止损时间以便短期内抑制再次入场
|
||||
this.lastStopLossAt = Date.now();
|
||||
} catch (err) {
|
||||
if (isUnknownOrderError(err)) {
|
||||
this.tradeLog.push("order", "止损平仓时目标订单已不存在");
|
||||
} else {
|
||||
this.tradeLog.push("error", `止损平仓失败: ${String(err)}`);
|
||||
}
|
||||
return result;
|
||||
}
|
||||
return result;
|
||||
}
|
||||
|
||||
return { closed: false, pnl };
|
||||
}
|
||||
|
||||
private async tryPlaceStopLoss(
|
||||
side: "BUY" | "SELL",
|
||||
stopPrice: number,
|
||||
lastPrice: number
|
||||
): Promise<void> {
|
||||
try {
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const quantity = Math.abs(position.positionAmt) || this.config.tradeAmount;
|
||||
await placeStopLossOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
side,
|
||||
stopPrice,
|
||||
quantity,
|
||||
lastPrice,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
{
|
||||
markPrice: position.markPrice,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
},
|
||||
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
|
||||
);
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `挂止损单失败: ${String(err)}`);
|
||||
}
|
||||
}
|
||||
|
||||
private async tryReplaceStop(
|
||||
side: "BUY" | "SELL",
|
||||
currentOrder: AsterOrder,
|
||||
nextStopPrice: number,
|
||||
lastPrice: number
|
||||
): Promise<void> {
|
||||
// 预校验：SELL 止损价必须低于当前价；BUY 止损价必须高于当前价
|
||||
const invalidForSide =
|
||||
(side === "SELL" && nextStopPrice >= lastPrice) ||
|
||||
(side === "BUY" && nextStopPrice <= lastPrice);
|
||||
if (invalidForSide) {
|
||||
// 目标止损价与当前价冲突时跳过移动，避免反复撤单/重下导致的循环
|
||||
return;
|
||||
}
|
||||
const existingStopPrice = Number(currentOrder.stopPrice);
|
||||
try {
|
||||
await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: currentOrder.orderId });
|
||||
} catch (err) {
|
||||
if (isUnknownOrderError(err)) {
|
||||
this.tradeLog.push("order", "原止损单已不存在，跳过撤销");
|
||||
// 订单已不存在，移除本地记录，防止后续重复匹配
|
||||
this.openOrders = this.openOrders.filter((o) => o.orderId !== currentOrder.orderId);
|
||||
} else {
|
||||
this.tradeLog.push("error", `取消原止损单失败: ${String(err)}`);
|
||||
}
|
||||
}
|
||||
// 仅在成功创建新止损单后记录“移动止损”日志
|
||||
try {
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const quantity = Math.abs(position.positionAmt) || this.config.tradeAmount;
|
||||
const order = await placeStopLossOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
side,
|
||||
nextStopPrice,
|
||||
quantity,
|
||||
lastPrice,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
{
|
||||
markPrice: position.markPrice,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
},
|
||||
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
|
||||
);
|
||||
if (order) {
|
||||
this.tradeLog.push("stop", `移动止损到 ${roundDownToTick(nextStopPrice, this.config.priceTick)}`);
|
||||
}
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `移动止损失败: ${String(err)}`);
|
||||
// 回滚策略：尝试用原价恢复止损，以避免出现短时间内无止损保护
|
||||
try {
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const quantity = Math.abs(position.positionAmt) || this.config.tradeAmount;
|
||||
const restoreInvalid =
|
||||
(side === "SELL" && existingStopPrice >= lastPrice) ||
|
||||
(side === "BUY" && existingStopPrice <= lastPrice);
|
||||
if (!restoreInvalid) {
|
||||
const restored = await placeStopLossOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
side,
|
||||
existingStopPrice,
|
||||
quantity,
|
||||
lastPrice,
|
||||
(t, d) => this.tradeLog.push(t, d),
|
||||
{
|
||||
markPrice: position.markPrice,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
},
|
||||
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
|
||||
);
|
||||
if (restored) {
|
||||
this.tradeLog.push("order", `恢复原止损 @ ${roundDownToTick(existingStopPrice, this.config.priceTick)}`);
|
||||
}
|
||||
}
|
||||
} catch (recoverErr) {
|
||||
this.tradeLog.push("error", `恢复原止损失败: ${String(recoverErr)}`);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private async tryPlaceTrailingStop(
|
||||
side: "BUY" | "SELL",
|
||||
activationPrice: number,
|
||||
quantity: number
|
||||
): Promise<void> {
|
||||
try {
|
||||
await placeTrailingStopOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
side,
|
||||
activationPrice,
|
||||
quantity,
|
||||
this.config.trailingCallbackRate,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
{
|
||||
markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
},
|
||||
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
|
||||
);
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `挂动态止盈失败: ${String(err)}`);
|
||||
}
|
||||
}
|
||||
|
||||
private emitUpdate(): void {
|
||||
try {
|
||||
const snapshot = this.buildSnapshot();
|
||||
const handlers = this.listeners.get("update");
|
||||
if (handlers) {
|
||||
handlers.forEach((handler) => {
|
||||
try {
|
||||
handler(snapshot);
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `更新回调处理异常: ${String(err)}`);
|
||||
}
|
||||
});
|
||||
}
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `快照或更新分发异常: ${String(err)}`);
|
||||
}
|
||||
}
|
||||
|
||||
private buildSnapshot(): TrendEngineSnapshot {
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const price = this.tickerSnapshot ? Number(this.tickerSnapshot.lastPrice) : null;
|
||||
const sma30 = this.lastSma30;
|
||||
const trend = price == null || sma30 == null
|
||||
? "无信号"
|
||||
: price > sma30
|
||||
? "做多"
|
||||
: price < sma30
|
||||
? "做空"
|
||||
: "无信号";
|
||||
const pnl = price != null ? computePositionPnl(position, price, price) : 0;
|
||||
return {
|
||||
ready: this.isReady(),
|
||||
symbol: this.config.symbol,
|
||||
lastPrice: price,
|
||||
sma30,
|
||||
bollingerBandwidth: this.lastBollingerBandwidth,
|
||||
trend,
|
||||
position,
|
||||
pnl,
|
||||
unrealized: position.unrealizedProfit,
|
||||
totalProfit: this.totalProfit,
|
||||
totalTrades: this.totalTrades,
|
||||
sessionVolume: this.sessionQuoteVolume,
|
||||
tradeLog: this.tradeLog.all(),
|
||||
openOrders: this.openOrders,
|
||||
depth: this.depthSnapshot,
|
||||
ticker: this.tickerSnapshot,
|
||||
lastUpdated: Date.now(),
|
||||
lastOpenSignal: this.lastOpenPlan,
|
||||
};
|
||||
}
|
||||
|
||||
private updateSessionVolume(position: PositionSnapshot): void {
|
||||
const price = this.getReferencePrice();
|
||||
if (!this.initializedPosition) {
|
||||
this.prevPositionAmt = position.positionAmt;
|
||||
this.initializedPosition = true;
|
||||
return;
|
||||
}
|
||||
if (price == null) {
|
||||
this.prevPositionAmt = position.positionAmt;
|
||||
return;
|
||||
}
|
||||
const delta = Math.abs(position.positionAmt - this.prevPositionAmt);
|
||||
if (delta > 0) {
|
||||
this.sessionQuoteVolume += delta * price;
|
||||
}
|
||||
this.prevPositionAmt = position.positionAmt;
|
||||
}
|
||||
|
||||
private getReferencePrice(): number | null {
|
||||
return getMidOrLast(this.depthSnapshot, this.tickerSnapshot) ?? (this.lastPrice != null && Number.isFinite(this.lastPrice) ? this.lastPrice : null);
|
||||
}
|
||||
|
||||
private trackPositionLifecycle(position: PositionSnapshot, referencePrice: number | null): void {
|
||||
const prev = this.lastAccountPosition;
|
||||
const prevExposure = Math.abs(prev.positionAmt) > 1e-5;
|
||||
const currentExposure = Math.abs(position.positionAmt) > 1e-5;
|
||||
const signChanged =
|
||||
prevExposure && currentExposure && Math.sign(prev.positionAmt) !== Math.sign(position.positionAmt);
|
||||
|
||||
if (prevExposure && (!currentExposure || signChanged)) {
|
||||
let realized: number | null = this.pendingRealized?.pnl ?? null;
|
||||
if (!Number.isFinite(realized)) {
|
||||
realized = this.estimateRealizedPnl(prev, referencePrice);
|
||||
}
|
||||
if (Number.isFinite(realized)) {
|
||||
this.totalTrades += 1;
|
||||
this.totalProfit += realized ?? 0;
|
||||
}
|
||||
this.pendingRealized = null;
|
||||
}
|
||||
|
||||
if (!prevExposure && currentExposure) {
|
||||
this.pendingRealized = null;
|
||||
}
|
||||
|
||||
this.lastAccountPosition = {
|
||||
positionAmt: position.positionAmt,
|
||||
entryPrice: position.entryPrice,
|
||||
unrealizedProfit: position.unrealizedProfit,
|
||||
markPrice: position.markPrice,
|
||||
};
|
||||
}
|
||||
|
||||
private estimateRealizedPnl(position: PositionSnapshot, referencePrice: number | null): number {
|
||||
const fallbackPrice =
|
||||
referencePrice ??
|
||||
this.getReferencePrice() ??
|
||||
(this.lastPrice != null && Number.isFinite(this.lastPrice) ? this.lastPrice : position.entryPrice);
|
||||
if (!Number.isFinite(fallbackPrice)) {
|
||||
return 0;
|
||||
}
|
||||
return computePositionPnl(position, fallbackPrice, fallbackPrice);
|
||||
}
|
||||
|
||||
}
|
||||
Reference in New Issue
Block a user