mzoe/ritmex-bot
1
0
Fork 0
mirror of https://github.com/discountry/ritmex-bot.git synced 2026-09-09 08:18:07 +00:00
Code Issues Packages Projects Releases Wiki Activity

feat: 更新网格引擎，移除减仓订单相关逻辑，优化即时平仓订单处理与状态管理

Browse Source
This commit is contained in:
discountry
2025-10-08 02:32:07 +08:00
parent 6067f759a0
commit 4365d73562
2 changed files with 49 additions and 66 deletions
Download Patch File Download Diff File Expand all files Collapse all files
src/strategy/grid-engine.ts
+49 -62
View File
@@ -22,7 +22,6 @@ interface DesiredGridOrder {
side: "BUY" | "SELL";
price: string;
amount: number;
reduceOnly: boolean;
}
interface LevelMeta {
@@ -39,7 +38,6 @@ interface GridLineSnapshot {
side: "BUY" | "SELL";
active: boolean;
hasOrder: boolean;
reduceOnly: boolean;
}
export interface GridEngineSnapshot {
@@ -92,7 +90,7 @@ export class GridEngine {
private readonly pendingLongLevels = new Set<number>();
private readonly pendingShortLevels = new Set<number>();
private readonly closeKeyBySourceLevel = new Map<number, string>();
private lastKeyMeta = new Map<string, { side: "BUY" | "SELL"; level: number; reduceOnly: boolean }>();
private lastKeyMeta = new Map<string, { side: "BUY" | "SELL"; level: number }>();
private lastOrderIdsByKey = new Map<string, Set<string>>();
// When an order at a level disappears but account delta hasn't arrived yet,
// temporarily block re-opening at that level to avoid immediate re-placement.
@@ -104,7 +102,7 @@ export class GridEngine {
private startupCleaned = false;
private initialCloseHandled = false;
private lastAbsPositionAmt = 0;
private immediateCloseToPlace: Array<{ sourceLevel: number; targetLevel: number; side: "BUY" | "SELL"; price: string; reduceOnly: boolean }> = [];
private immediateCloseToPlace: Array<{ sourceLevel: number; targetLevel: number; side: "BUY" | "SELL"; price: string }> = [];
private accountSnapshot: AsterAccountSnapshot | null = null;
private depthSnapshot: AsterDepth | null = null;
@@ -467,14 +465,14 @@ export class GridEngine {
const prevMeta = this.lastKeyMeta;
const currentKeys = new Set<string>();
const keyToMeta = new Map<string, { side: "BUY" | "SELL"; level: number; reduceOnly: boolean }>();
const keyToMeta = new Map<string, { side: "BUY" | "SELL"; level: number }>();
const currentOrderIdsByKey = new Map<string, Set<string>>();
for (const o of activeOrders) {
const key = this.getOrderKey(o.side, this.normalizePrice(o.price), o.reduceOnly === true);
const key = this.getOrderKey(o.side, this.normalizePrice(o.price));
currentKeys.add(key);
const level = this.resolveLevelIndex(Number(o.price));
if (level != null) {
keyToMeta.set(key, { side: o.side, level, reduceOnly: o.reduceOnly === true });
keyToMeta.set(key, { side: o.side, level });
}
const id = String(o.orderId);
const set = currentOrderIdsByKey.get(key) ?? new Set<string>();
@@ -485,14 +483,9 @@ export class GridEngine {
// Build active order key counts (open and reduce-only) for placement and disappearance handling
const activeKeyCounts = new Map<string, number>();
for (const o of activeOrders) {
const k = this.getOrderKey(o.side, this.normalizePrice(o.price), false);
const k = this.getOrderKey(o.side, this.normalizePrice(o.price));
activeKeyCounts.set(k, (activeKeyCounts.get(k) ?? 0) + 1);
}
const activeKeyCountsRO = new Map<string, number>();
for (const o of activeOrders) {
const k = this.getOrderKey(o.side, this.normalizePrice(o.price), true);
activeKeyCountsRO.set(k, (activeKeyCountsRO.get(k) ?? 0) + 1);
}
for (const prevKey of prevKeys) {
if (currentKeys.has(prevKey)) continue;
@@ -515,18 +508,18 @@ export class GridEngine {
}
}
if (handledByCloseTracking) continue;
// Proactively queue a reduce-only close at target to safely capture profit if the disappearance was a fill
// Proactively queue a close at target to safely capture profit if the disappearance was a fill
if (meta) {
const target0 = this.levelMeta[meta.level]?.closeTarget;
if (target0 != null) {
const priceStr0 = this.formatPrice(this.gridLevels[target0]!);
const side0: "BUY" | "SELL" = meta.side === "BUY" ? "SELL" : "BUY";
const roKey = this.getOrderKey(side0, priceStr0, true);
const roCount = activeKeyCountsRO.get(roKey) ?? 0;
if (roCount < 1) {
this.immediateCloseToPlace.push({ sourceLevel: meta.level, targetLevel: target0, side: side0, price: priceStr0, reduceOnly: true });
this.closeKeyBySourceLevel.set(meta.level, roKey);
const key = this.getOrderKey(side0, priceStr0);
const count = activeKeyCounts.get(key) ?? 0;
if (count < 1) {
this.immediateCloseToPlace.push({ sourceLevel: meta.level, targetLevel: target0, side: side0, price: priceStr0 });
}
this.closeKeyBySourceLevel.set(meta.level, key);
}
}
// Use order records to classify disappearance: filled vs canceled
@@ -557,13 +550,13 @@ export class GridEngine {
// no action; allow immediate re-open (do not block)
this.awaitingClassification.delete(meta.level);
this.levelReopenBlockUntil.delete(meta.level);
// clear any reduce-only mapping queued earlier
// clear any close mapping queued earlier
const target = this.levelMeta[meta.level]?.closeTarget;
if (target != null) {
const priceStr = this.formatPrice(this.gridLevels[target]!);
const side: "BUY" | "SELL" = meta.side === "BUY" ? "SELL" : "BUY";
const roKey = this.getOrderKey(side, priceStr, true);
if (this.closeKeyBySourceLevel.get(meta.level) === roKey) {
const closeKey = this.getOrderKey(side, priceStr);
if (this.closeKeyBySourceLevel.get(meta.level) === closeKey) {
this.closeKeyBySourceLevel.delete(meta.level);
}
}
@@ -602,17 +595,20 @@ export class GridEngine {
const desired: DesiredGridOrder[] = [];
const halfTick = this.config.priceTick / 2;
const activeKeySet = new Set(
activeOrders.map((o) => this.getOrderKey(o.side, this.normalizePrice(o.price), o.reduceOnly === true))
activeOrders.map((o) => this.getOrderKey(o.side, this.normalizePrice(o.price)))
);
// activeKeyCounts and activeKeyCountsRO already computed above
// First, place any immediate close orders queued by fresh fills
if (this.immediateCloseToPlace.length) {
for (const item of this.immediateCloseToPlace) {
const key = this.getOrderKey(item.side, item.price, item.reduceOnly);
const count = item.reduceOnly ? (activeKeyCountsRO.get(key) ?? 0) : (activeKeyCounts.get(key) ?? 0);
if (item.reduceOnly ? count < 1 : count < 2) {
desired.push({ level: item.targetLevel, side: item.side, price: item.price, amount: this.config.orderSize, reduceOnly: item.reduceOnly });
const key = this.getOrderKey(item.side, item.price);
const count = activeKeyCounts.get(key) ?? 0;
if (count < 1) {
desired.push({ level: item.targetLevel, side: item.side, price: item.price, amount: this.config.orderSize });
}
if (!this.closeKeyBySourceLevel.has(item.sourceLevel)) {
this.closeKeyBySourceLevel.set(item.sourceLevel, key);
}
}
// clear queue regardless to avoid duplicates next tick
@@ -625,10 +621,10 @@ export class GridEngine {
if (levelPrice >= price - halfTick) continue;
if (this.isLevelTemporarilyBlocked(level)) continue; // skip during cooldown
if (this.pendingLongLevels.has(level)) continue; // wait until close filled
const key = this.getOrderKey("BUY", this.formatPrice(levelPrice), false);
const key = this.getOrderKey("BUY", this.formatPrice(levelPrice));
const targetMax = this.isCloseDesiredForSideAtLevel("BUY", level) ? 2 : 1;
if ((activeKeyCounts.get(key) ?? 0) >= targetMax) continue;
desired.push({ level, side: "BUY", price: this.formatPrice(levelPrice), amount: this.config.orderSize, reduceOnly: false });
desired.push({ level, side: "BUY", price: this.formatPrice(levelPrice), amount: this.config.orderSize });
}
// opens above price (SELL)
@@ -637,10 +633,10 @@ export class GridEngine {
if (levelPrice <= price + halfTick) continue;
if (this.isLevelTemporarilyBlocked(level)) continue; // skip during cooldown
if (this.pendingShortLevels.has(level)) continue;
const key = this.getOrderKey("SELL", this.formatPrice(levelPrice), false);
const key = this.getOrderKey("SELL", this.formatPrice(levelPrice));
const targetMax = this.isCloseDesiredForSideAtLevel("SELL", level) ? 2 : 1;
if ((activeKeyCounts.get(key) ?? 0) >= targetMax) continue;
desired.push({ level, side: "SELL", price: this.formatPrice(levelPrice), amount: this.config.orderSize, reduceOnly: false });
desired.push({ level, side: "SELL", price: this.formatPrice(levelPrice), amount: this.config.orderSize });
}
// close orders for pending levels (now non-reduce-only)
@@ -648,45 +644,33 @@ export class GridEngine {
const target = this.levelMeta[source]?.closeTarget;
if (target == null) continue;
const priceStr = this.formatPrice(this.gridLevels[target]!);
const closeKeyRO = this.getOrderKey("SELL", priceStr, true);
if ((activeKeyCountsRO.get(closeKeyRO) ?? 0) < 1) {
desired.push({ level: target, side: "SELL", price: priceStr, amount: this.config.orderSize, reduceOnly: true });
}
const closeKey = this.getOrderKey("SELL", priceStr, false);
const closeKey = this.getOrderKey("SELL", priceStr);
if ((activeKeyCounts.get(closeKey) ?? 0) < 1) {
desired.push({ level: target, side: "SELL", price: priceStr, amount: this.config.orderSize, reduceOnly: false });
} else {
// Map existing identical open as the close so disappearance clears pending
if (!this.closeKeyBySourceLevel.has(source)) {
this.closeKeyBySourceLevel.set(source, closeKey);
}
desired.push({ level: target, side: "SELL", price: priceStr, amount: this.config.orderSize });
}
if (!this.closeKeyBySourceLevel.has(source)) {
this.closeKeyBySourceLevel.set(source, closeKey);
}
}
for (const source of this.pendingShortLevels) {
const target = this.levelMeta[source]?.closeTarget;
if (target == null) continue;
const priceStr = this.formatPrice(this.gridLevels[target]!);
const closeKeyRO = this.getOrderKey("BUY", priceStr, true);
if ((activeKeyCountsRO.get(closeKeyRO) ?? 0) < 1) {
desired.push({ level: target, side: "BUY", price: priceStr, amount: this.config.orderSize, reduceOnly: true });
}
const closeKey = this.getOrderKey("BUY", priceStr, false);
const closeKey = this.getOrderKey("BUY", priceStr);
if ((activeKeyCounts.get(closeKey) ?? 0) < 1) {
desired.push({ level: target, side: "BUY", price: priceStr, amount: this.config.orderSize, reduceOnly: false });
} else {
if (!this.closeKeyBySourceLevel.has(source)) {
this.closeKeyBySourceLevel.set(source, closeKey);
}
desired.push({ level: target, side: "BUY", price: priceStr, amount: this.config.orderSize });
}
if (!this.closeKeyBySourceLevel.has(source)) {
this.closeKeyBySourceLevel.set(source, closeKey);
}
}
// Place desired orders
this.desiredOrders = desired;
for (const d of desired) {
const key = this.getOrderKey(d.side, d.price, d.reduceOnly);
const key = this.getOrderKey(d.side, d.price);
const isClose = (d.side === "SELL" && this.isTargetOfPendingLong(d.level)) || (d.side === "BUY" && this.isTargetOfPendingShort(d.level));
const maxAllowed = isClose ? 2 : 1;
if ((activeKeyCounts.get(key) ?? 0) >= maxAllowed) continue;
if ((activeKeyCounts.get(key) ?? 0) >= 1) continue;
try {
const placed = await placeOrder(
this.exchange,
@@ -701,7 +685,7 @@ export class GridEngine {
this.log,
false,
undefined,
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep, skipDedupe: true }
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
);
if (placed) {
activeKeyCounts.set(key, (activeKeyCounts.get(key) ?? 0) + 1);
@@ -762,6 +746,10 @@ export class GridEngine {
return this.isTargetOfPendingShort(level);
}
private isTargetOfPendingShortOrLong(targetLevel: number): boolean {
return this.isTargetOfPendingLong(targetLevel) || this.isTargetOfPendingShort(targetLevel);
}
private computeGridLevels(): number[] {
if (!this.configValid) return [];
const { lowerPrice, upperPrice, gridLevels } = this.config;
@@ -784,19 +772,19 @@ export class GridEngine {
const lastPrice = Number.isFinite(tickerLast) ? tickerLast : reference;
const midPrice = reference;
const desiredKeys = new Set(
this.desiredOrders.map((order) => this.getOrderKey(order.side, order.price, order.reduceOnly))
this.desiredOrders.map((order) => this.getOrderKey(order.side, order.price))
);
const openOrderKeys = new Set(
this.openOrders
.filter((order) => order.symbol === this.config.symbol && order.type === "LIMIT")
.map((order) => this.getOrderKey(order.side, this.normalizePrice(order.price), order.reduceOnly === true))
.map((order) => this.getOrderKey(order.side, this.normalizePrice(order.price)))
);
const gridLines: GridLineSnapshot[] = this.gridLevels.map((price, level) => {
const desired = this.desiredOrders.find((order) => order.level === level);
const defaultSide = this.buyLevelIndices.includes(level) ? "BUY" : "SELL";
const side = desired?.side ?? defaultSide;
const key = desired ? this.getOrderKey(desired.side, desired.price, desired.reduceOnly) : null;
const key = desired ? this.getOrderKey(desired.side, desired.price) : null;
const hasOrder = key ? openOrderKeys.has(key) : false;
const active = Boolean(desired && key && desiredKeys.has(key));
return {
@@ -805,7 +793,6 @@ export class GridEngine {
side,
active,
hasOrder,
reduceOnly: desired?.reduceOnly ?? false,
};
});
@@ -981,14 +968,14 @@ export class GridEngine {
this.log,
false,
undefined,
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep, skipDedupe: true }
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
);
if (placed) {
// mark pending exposure broadly so we don't re-open immediately on that source level (choose closest source side)
const source = this.findSourceForInitialPosition(side);
if (side === "SELL") this.pendingLongLevels.add(source);
else this.pendingShortLevels.add(source);
this.closeKeyBySourceLevel.set(source, this.getOrderKey(side, priceStr, false));
this.closeKeyBySourceLevel.set(source, this.getOrderKey(side, priceStr));
this.log("order", `为已有仓位挂出一次性平仓单 ${side} @ ${priceStr}`);
}
} catch (error) {
src/ui/GridApp.tsx
-4
View File
@@ -91,7 +91,6 @@ export function GridApp({ onExit }: GridAppProps) {
{ key: "side", header: "Side", minWidth: 4 },
{ key: "active", header: "Active", minWidth: 6 },
{ key: "hasOrder", header: "Order", minWidth: 5 },
{ key: "reduceOnly", header: "RO", minWidth: 4 },
];
const gridRows = snapshot.gridLines.map((line) => ({
level: line.level,
@@ -99,7 +98,6 @@ export function GridApp({ onExit }: GridAppProps) {
side: line.side,
active: line.active ? "yes" : "no",
hasOrder: line.hasOrder ? "yes" : "no",
reduceOnly: line.reduceOnly ? "yes" : "no",
}));
const desiredColumns: TableColumn[] = [
@@ -107,14 +105,12 @@ export function GridApp({ onExit }: GridAppProps) {
{ key: "side", header: "Side", minWidth: 4 },
{ key: "price", header: "Price", align: "right", minWidth: 10 },
{ key: "amount", header: "Qty", align: "right", minWidth: 8 },
{ key: "reduceOnly", header: "RO", minWidth: 4 },
];
const desiredRows = snapshot.desiredOrders.map((order) => ({
level: order.level,
side: order.side,
price: order.price,
amount: formatNumber(order.amount, 4),
reduceOnly: order.reduceOnly ? "yes" : "no",
}));
return (