mirror of
https://github.com/discountry/ritmex-bot.git
synced 2026-09-09 08:18:07 +00:00
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
@@ -0,0 +1,530 @@
|
||||
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, type TradeLogEntry } from "../logging/trade-log";
|
||||
import { isUnknownOrderError, isRateLimitError } from "../utils/errors";
|
||||
import { getPosition, type PositionSnapshot } from "../utils/strategy";
|
||||
import { computePositionPnl } from "../utils/pnl";
|
||||
import { getTopPrices, getMidOrLast } from "../utils/price";
|
||||
import { shouldStopLoss } from "../utils/risk";
|
||||
import {
|
||||
marketClose,
|
||||
placeOrder,
|
||||
unlockOperating,
|
||||
} from "../core/order-coordinator";
|
||||
import type { OrderLockMap, OrderPendingMap, OrderTimerMap } from "../core/order-coordinator";
|
||||
import { makeOrderPlan } from "../core/lib/order-plan";
|
||||
import { safeCancelOrder } from "../core/lib/orders";
|
||||
import { RateLimitController } from "../core/lib/rate-limit";
|
||||
|
||||
interface DesiredOrder {
|
||||
side: "BUY" | "SELL";
|
||||
price: number;
|
||||
amount: number;
|
||||
reduceOnly: boolean;
|
||||
}
|
||||
|
||||
export interface MakerEngineSnapshot {
|
||||
ready: boolean;
|
||||
symbol: string;
|
||||
topBid: number | null;
|
||||
topAsk: number | null;
|
||||
spread: number | null;
|
||||
position: PositionSnapshot;
|
||||
pnl: number;
|
||||
accountUnrealized: number;
|
||||
sessionVolume: number;
|
||||
openOrders: AsterOrder[];
|
||||
desiredOrders: DesiredOrder[];
|
||||
tradeLog: TradeLogEntry[];
|
||||
lastUpdated: number | null;
|
||||
}
|
||||
|
||||
type MakerEvent = "update";
|
||||
type MakerListener = (snapshot: MakerEngineSnapshot) => void;
|
||||
|
||||
const EPS = 1e-5;
|
||||
|
||||
export class MakerEngine {
|
||||
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;
|
||||
|
||||
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(): MakerEngineSnapshot {
|
||||
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)}`);
|
||||
}
|
||||
|
||||
// Maker strategy does not consume klines, but subscribe to keep parity with other modules
|
||||
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 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 position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const absPosition = Math.abs(position.positionAmt);
|
||||
const desired: DesiredOrder[] = [];
|
||||
const canEnter = !this.rateLimit.shouldBlockEntries();
|
||||
|
||||
if (absPosition < EPS) {
|
||||
this.entryPricePendingLogged = false;
|
||||
if (canEnter) {
|
||||
desired.push({ side: "BUY", price: bidPrice, amount: this.config.tradeAmount, reduceOnly: false });
|
||||
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("maker");
|
||||
await this.enforceRateLimitStop();
|
||||
this.tradeLog.push("warn", `MakerEngine 429: ${String(error)}`);
|
||||
} else {
|
||||
this.tradeLog.push("error", `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;
|
||||
const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
|
||||
if (topBid == null || topAsk == null) return;
|
||||
const closeBidPrice = roundDownToTick(topBid, this.config.priceTick);
|
||||
const closeAskPrice = roundDownToTick(topAsk, this.config.priceTick);
|
||||
await this.checkRisk(position, closeBidPrice, closeAskPrice);
|
||||
await this.flushOrders();
|
||||
}
|
||||
|
||||
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 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}`
|
||||
);
|
||||
},
|
||||
() => {
|
||||
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: ${String(error)}`);
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
}
|
||||
);
|
||||
}
|
||||
|
||||
for (const target of toPlace) {
|
||||
if (!target) continue;
|
||||
if (target.amount < EPS) continue;
|
||||
try {
|
||||
await placeOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
target.side,
|
||||
target.price,
|
||||
target.amount,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
target.reduceOnly,
|
||||
{
|
||||
markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
}
|
||||
);
|
||||
} catch (error) {
|
||||
this.tradeLog.push("error", `挂单失败(${target.side} ${target.price}): ${String(error)}`);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private async checkRisk(position: PositionSnapshot, bidPrice: number, askPrice: number): Promise<void> {
|
||||
const absPosition = Math.abs(position.positionAmt);
|
||||
if (absPosition < EPS) return;
|
||||
|
||||
const hasEntryPrice = Number.isFinite(position.entryPrice) && Math.abs(position.entryPrice) > 1e-8;
|
||||
if (!hasEntryPrice) {
|
||||
if (!this.entryPricePendingLogged) {
|
||||
this.tradeLog.push("info", "做市持仓均价未同步，等待账户快照刷新后再执行止损判断");
|
||||
this.entryPricePendingLogged = true;
|
||||
}
|
||||
return;
|
||||
}
|
||||
this.entryPricePendingLogged = false;
|
||||
|
||||
const pnl = computePositionPnl(position, bidPrice, askPrice);
|
||||
const triggerStop = shouldStopLoss(position, bidPrice, askPrice, this.config.lossLimit);
|
||||
|
||||
if (triggerStop) {
|
||||
// 价格操纵保护：只有平仓方向价格与标记价格在阈值内才允许市价平仓
|
||||
const closeSideIsSell = position.positionAmt > 0;
|
||||
const closeSidePrice = closeSideIsSell ? bidPrice : askPrice;
|
||||
this.tradeLog.push(
|
||||
"stop",
|
||||
`触发止损，方向=${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(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);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user