feat: 优化订单去重和取消逻辑,确保在处理STOP订单时避免精度损失

This commit is contained in:
discountry
2025-10-11 21:41:39 +08:00
parent 8b20e60753
commit 2627fa9db8
4 changed files with 27 additions and 15 deletions
+9 -11
View File
@@ -89,7 +89,14 @@ export async function deduplicateOrders(
side: string,
log: LogHandler
): Promise<void> {
const sameTypeOrders = openOrders.filter((o) => o.type === type && o.side === side);
// Treat STOP orders on some exchanges (e.g., Lighter) as LIMIT with stopPrice populated.
const sameTypeOrders = openOrders.filter((o) => {
const normalizedType = String(o.type).toUpperCase();
const isStopLike = Number.isFinite(Number(o.stopPrice)) && Number(o.stopPrice) > 0;
const matchesStop = type === "STOP_MARKET" && isStopLike && o.side === side;
const exactMatch = normalizedType === type && o.side === side;
return exactMatch || matchesStop;
});
if (sameTypeOrders.length <= 1) return;
sameTypeOrders.sort((a, b) => {
const ta = b.updateTime || b.time || 0;
@@ -241,7 +248,6 @@ export async function placeStopLossOrder(
}
const priceTick = opts?.priceTick ?? 0.1;
const qtyStep = opts?.qtyStep ?? 0.001;
const isAster = String((adapter as any).id ?? "").toLowerCase() === "aster";
const params: CreateOrderParams = {
symbol,
side,
@@ -249,14 +255,10 @@ export async function placeStopLossOrder(
stopPrice: roundDownToTick(stopPrice, priceTick),
closePosition: "true",
timeInForce: "GTC",
// Do not round down stop quantity here to avoid underflow to exchange min; gateway will quantize precisely
quantity,
triggerType: "STOP_LOSS",
};
// For Aster futures, STOP orders must not include reduceOnly; omit it specifically.
if (!isAster) {
params.reduceOnly = "true";
}
// Avoid forcing price for STOP_MARKET globally; keep this exchange-specific in gateways
await deduplicateOrders(adapter, symbol, openOrders, locks, timers, pendings, type, side, log);
lockOperating(locks, timers, pendings, type, log);
@@ -299,8 +301,6 @@ export async function placeTrailingStopOrder(
symbol,
side,
type,
// Do not round down trailing-stop quantity to avoid underflowing small positions to zero;
// let the exchange adapter handle precise quantization.
quantity,
reduceOnly: "true",
activationPrice: roundDownToTick(activationPrice, priceTick),
@@ -351,8 +351,6 @@ export async function marketClose(
side,
type,
quantity: safeQty,
reduceOnly: "true",
// Hint exchanges (like Paradex) to close the whole position and tolerate omitted size
closePosition: "true",
};
await deduplicateOrders(adapter, symbol, openOrders, locks, timers, pendings, type, side, log);
+3 -2
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@@ -108,13 +108,14 @@ export class LighterExchangeAdapter implements ExchangeAdapter {
async cancelOrder(params: { symbol: string; orderId: number | string }): Promise<void> {
await this.ensureInitialized("cancelOrder");
await this.gateway.cancelOrder({ orderId: params.orderId });
// Accept both clientOrderId and order_index as strings; forward as-is to preserve precision
await this.gateway.cancelOrder({ orderId: String(params.orderId) });
}
async cancelOrders(params: { symbol: string; orderIdList: Array<number | string> }): Promise<void> {
await this.ensureInitialized("cancelOrders");
for (const orderId of params.orderIdList) {
await this.gateway.cancelOrder({ orderId });
await this.gateway.cancelOrder({ orderId: String(orderId) });
}
}
+13 -1
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@@ -312,7 +312,14 @@ export class LighterGateway {
await this.ensureInitialized();
const marketIndex = params.marketIndex ?? this.marketId;
if (marketIndex == null) throw new Error("Market index unknown");
const indexValue = BigInt(typeof params.orderId === "string" ? Number(params.orderId) : params.orderId);
// Parse order id to BigInt without precision loss; prefer string input
let indexValue: bigint;
if (typeof params.orderId === "string") {
indexValue = BigInt(params.orderId);
} else {
// Fallback for numeric ids (may be unsafe if beyond 2^53-1)
indexValue = BigInt(Math.trunc(params.orderId));
}
const { apiKeyIndex, nonce } = this.nonceManager.next();
try {
const signed = await this.signer.signCancelOrder({
@@ -323,6 +330,11 @@ export class LighterGateway {
});
const auth = await this.ensureAuthToken();
await this.http.sendTransaction(signed.txType, signed.txInfo, { authToken: auth });
// Optimistically remove the order locally to avoid stale duplicates until WS confirms
const key = String(params.orderId);
this.orderMap.delete(key);
this.orders = Array.from(this.orderMap.values());
this.emitOrders();
} catch (error) {
this.nonceManager.acknowledgeFailure(apiKeyIndex);
throw error;
+2 -1
View File
@@ -78,7 +78,8 @@ export function lighterOrderToAster(symbol: string, order: LighterOrder): AsterO
? "SELL"
: "BUY";
return {
orderId: order.order_index,
// Use string order id to avoid precision loss; prefer on-chain order_index for cancellation
orderId: String(order.order_index ?? order.client_order_index ?? ""),
clientOrderId: String(order.client_order_index ?? order.order_index ?? ""),
symbol,
side,