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feat: 更新网格引擎，添加订单版本控制与冷却机制以优化新订单下单逻辑

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discountry
2025-10-08 04:58:11 +08:00
parent da3dacb549
commit 45061ed748
1 changed files with 23 additions and 0 deletions
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src/strategy/grid-engine.ts
+23
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@@ -141,7 +141,11 @@ export class GridEngine {
private stopReason: string | null = null; private stopReason: string | null = null;
private lastUpdated: number | null = null; private lastUpdated: number | null = null;
private accountVersion = 0; private accountVersion = 0;
private ordersVersion = 0;
private awaitingByLevel = new Map<number, { accountVerAtStart: number; absAtStart: number; ts: number }>(); private awaitingByLevel = new Map<number, { accountVerAtStart: number; absAtStart: number; ts: number }>();
private lastPlacementOrdersVersion = -1;
private lastLimitAttemptAt = 0;
static readonly LIMIT_COOLDOWN_MS = 3000;
constructor(private readonly config: GridConfig, private readonly exchange: ExchangeAdapter, options: EngineOptions = {}) { constructor(private readonly config: GridConfig, private readonly exchange: ExchangeAdapter, options: EngineOptions = {}) {
this.tradeLog = createTradeLog(this.config.maxLogEntries); this.tradeLog = createTradeLog(this.config.maxLogEntries);
@@ -251,6 +255,7 @@ export class GridEngine {
? orders.filter((order) => order.symbol === this.config.symbol) ? orders.filter((order) => order.symbol === this.config.symbol)
: []; : [];
this.synchronizeLocks(orders); this.synchronizeLocks(orders);
this.ordersVersion += 1;
if (!this.feedArrived.orders) { if (!this.feedArrived.orders) {
this.feedArrived.orders = true; this.feedArrived.orders = true;
log("info", "订单快照已同步"); log("info", "订单快照已同步");
@@ -846,6 +851,22 @@ export class GridEngine {
const MAX_NEW_ORDERS_PER_TICK = 1; const MAX_NEW_ORDERS_PER_TICK = 1;
for (const d of desired) { for (const d of desired) {
if (newOrdersPlaced >= MAX_NEW_ORDERS_PER_TICK) break; if (newOrdersPlaced >= MAX_NEW_ORDERS_PER_TICK) break;
// Gate: avoid overlapping with coordinator pending LIMIT
if (this.pendings["LIMIT"]) {
this.log("info", "存在未完成的 LIMIT 操作，本轮不再下新单");
break;
}
// Gate: require a new orders snapshot since last placement to proceed
if (this.lastPlacementOrdersVersion === this.ordersVersion) {
this.log("info", "等待订单快照更新后再下单");
break;
}
// Gate: cooldown between LIMIT attempts to avoid thrashing
const nowTs2 = this.now();
if (nowTs2 - this.lastLimitAttemptAt < GridEngine.LIMIT_COOLDOWN_MS) {
this.log("info", "冷却期内，暂不下新 LIMIT 单");
break;
}
// If a LIMIT operation is already pending (coordinator lock), skip issuing more this tick // If a LIMIT operation is already pending (coordinator lock), skip issuing more this tick
if (this.pendings["LIMIT"]) { if (this.pendings["LIMIT"]) {
this.log("info", "存在未完成的 LIMIT 操作，本轮不再下新单"); this.log("info", "存在未完成的 LIMIT 操作，本轮不再下新单");
@@ -895,6 +916,8 @@ export class GridEngine {
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep } { priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
); );
if (placed) { if (placed) {
this.lastPlacementOrdersVersion = this.ordersVersion;
this.lastLimitAttemptAt = this.now();
newOrdersPlaced += 1; newOrdersPlaced += 1;
plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1); plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1);
activeKeyCounts.set(key, (activeKeyCounts.get(key) ?? 0) + 1); activeKeyCounts.set(key, (activeKeyCounts.get(key) ?? 0) + 1);