diff --git a/.env.example b/.env.example index a74823e..578f1d6 100644 --- a/.env.example +++ b/.env.example @@ -61,7 +61,7 @@ MAKER_PRICE_TICK=0.1 # Maker price tick size (defaults to PRI # Maker-points Binance depth imbalance monitor MAKER_POINTS_BINANCE_DEPTH_WINDOW_BPS=3 # Binance depth monitor window around best bid/ask (bps) -MAKER_POINTS_BINANCE_DEPTH_IMBALANCE_RATIO=8 # Imbalance threshold ratio (e.g. 8 => one side >= 8x) +MAKER_POINTS_BINANCE_DEPTH_IMBALANCE_RATIO=9 # Imbalance threshold ratio (e.g. 9 => one side >= 9x) # Grid strategy defaults GRID_LOWER_PRICE=25000 # Grid lower bound price (quote currency) diff --git a/docs/standx/maker-points-guide.md b/docs/standx/maker-points-guide.md index cd181e7..5b2b0d0 100644 --- a/docs/standx/maker-points-guide.md +++ b/docs/standx/maker-points-guide.md @@ -133,7 +133,7 @@ MAKER_POINTS_CLOSE_THRESHOLD=0.1 MAKER_POINTS_STOP_LOSS_USD=0 MAKER_POINTS_MIN_REPRICE_BPS=3 MAKER_POINTS_BINANCE_DEPTH_WINDOW_BPS=3 -MAKER_POINTS_BINANCE_DEPTH_IMBALANCE_RATIO=8 +MAKER_POINTS_BINANCE_DEPTH_IMBALANCE_RATIO=9 # ===== 挂单档位开关 ===== MAKER_POINTS_BAND_0_10=true @@ -176,7 +176,7 @@ MAKER_POINTS_CLOSE_THRESHOLD=0.1 MAKER_POINTS_STOP_LOSS_USD=0 MAKER_POINTS_MIN_REPRICE_BPS=3 MAKER_POINTS_BINANCE_DEPTH_WINDOW_BPS=3 -MAKER_POINTS_BINANCE_DEPTH_IMBALANCE_RATIO=8 +MAKER_POINTS_BINANCE_DEPTH_IMBALANCE_RATIO=9 MAKER_POINTS_BAND_0_10=true MAKER_POINTS_BAND_10_30=true MAKER_POINTS_BAND_30_100=true @@ -219,7 +219,7 @@ bun run pm2:start:maker-points | `MAKER_POINTS_CLOSE_THRESHOLD` | 持仓达到多少开始平仓 | 设为 `0` 表示不自动平仓 | | `MAKER_POINTS_STOP_LOSS_USD` | 亏损多少美元强制平仓 | 设为 `0` 表示关闭止损 | | `MAKER_POINTS_BINANCE_DEPTH_WINDOW_BPS` | Binance 失衡检测窗口(bps) | 默认 `3` | -| `MAKER_POINTS_BINANCE_DEPTH_IMBALANCE_RATIO` | Binance 失衡比例阈值 | 默认 `8` | +| `MAKER_POINTS_BINANCE_DEPTH_IMBALANCE_RATIO` | Binance 失衡比例阈值 | 默认 `9` | | `MAKER_POINTS_BAND_*` | 三个挂单档位的开关 | 全部 `true` 即可 | | `STANDX_TOKEN_CREATE_DATE` | Token 创建日期 | 推荐配置,格式 YYYY-MM-DD | | `STANDX_TOKEN_VALIDITY_DAYS` | Token 有效期天数 | 推荐配置,与创建日期配合使用 | diff --git a/src/config.ts b/src/config.ts index 2cbd705..a7beb6c 100644 --- a/src/config.ts +++ b/src/config.ts @@ -229,7 +229,7 @@ export interface MakerPointsConfig { enableBinanceDepthCancel: boolean; /** Binance 深度监控窗口(bps),默认 3 */ binanceDepthWindowBps?: number; - /** Binance 深度失衡比例阈值,默认 8 */ + /** Binance 深度失衡比例阈值,默认 9 */ binanceDepthImbalanceRatio?: number; /** 各档位最小深度阈值 (BTC),盘口到目标价之间的挂单量低于此值则跳过该档位,默认 10 */ filterMinDepth: number; @@ -259,7 +259,7 @@ export const makerPointsConfig: MakerPointsConfig = { minRepriceBps: parseNumber(process.env.MAKER_POINTS_MIN_REPRICE_BPS, 3), enableBinanceDepthCancel: parseBoolean(process.env.MAKER_POINTS_BINANCE_DEPTH_CANCEL, true), binanceDepthWindowBps: parseNumber(process.env.MAKER_POINTS_BINANCE_DEPTH_WINDOW_BPS, 3), - binanceDepthImbalanceRatio: parseNumber(process.env.MAKER_POINTS_BINANCE_DEPTH_IMBALANCE_RATIO, 8), + binanceDepthImbalanceRatio: parseNumber(process.env.MAKER_POINTS_BINANCE_DEPTH_IMBALANCE_RATIO, 9), filterMinDepth: parseNumber(process.env.MAKER_POINTS_FILTER_MIN_DEPTH, 10), }; diff --git a/src/strategy/maker-points-engine.ts b/src/strategy/maker-points-engine.ts index 0685f38..66ffd78 100644 --- a/src/strategy/maker-points-engine.ts +++ b/src/strategy/maker-points-engine.ts @@ -208,7 +208,7 @@ export class MakerPointsEngine { levels: 20, ratio: Number.isFinite(this.config.binanceDepthImbalanceRatio) ? Math.max(1.01, Number(this.config.binanceDepthImbalanceRatio)) - : 8, + : 9, depthWindowBps: Number.isFinite(this.config.binanceDepthWindowBps) ? Math.max(1, Number(this.config.binanceDepthWindowBps)) : 3, diff --git a/tests/maker-points-binance-depth-config.test.ts b/tests/maker-points-binance-depth-config.test.ts index 52e391e..33770dc 100644 --- a/tests/maker-points-binance-depth-config.test.ts +++ b/tests/maker-points-binance-depth-config.test.ts @@ -27,7 +27,7 @@ class StubAdapter implements ExchangeAdapter { } describe("MakerPointsEngine Binance depth monitor config", () => { - it("uses default 3bps window and ratio 8", () => { + it("uses default 3bps window and ratio 9", () => { const engine = new MakerPointsEngine( { symbol: "BTC-USD", @@ -56,7 +56,7 @@ describe("MakerPointsEngine Binance depth monitor config", () => { .options; expect(trackerOptions?.depthWindowBps).toBe(3); - expect(trackerOptions?.ratio).toBe(8); + expect(trackerOptions?.ratio).toBe(9); engine.stop(); });