feat: enhance precision synchronization in trading strategies and improve order quantity normalization logic

This commit is contained in:
discountry
2025-10-27 18:42:44 +08:00
parent 295c6a47b7
commit 5bba8169b5
8 changed files with 325 additions and 14 deletions
+17
View File
@@ -2,6 +2,7 @@ import type {
AccountListener,
DepthListener,
ExchangeAdapter,
ExchangePrecision,
KlineListener,
OrderListener,
TickerListener,
@@ -124,6 +125,22 @@ export class LighterExchangeAdapter implements ExchangeAdapter {
await this.gateway.cancelAllOrders();
}
async getPrecision(): Promise<ExchangePrecision | null> {
try {
const precision = await this.gateway.getPrecision();
return {
priceTick: precision.priceTick,
qtyStep: precision.qtyStep,
priceDecimals: precision.priceDecimals,
sizeDecimals: precision.sizeDecimals,
marketId: precision.marketId ?? undefined,
};
} catch (error) {
this.logError("precision", error);
return null;
}
}
private ensureInitialized(context?: string): Promise<void> {
if (!this.initPromise) {
this.initContexts.clear();
+100 -3
View File
@@ -116,6 +116,8 @@ interface Pollers {
const KLINE_DEFAULT_COUNT = 120;
const DEFAULT_TICKER_POLL_MS = 3000;
const DEFAULT_KLINE_POLL_MS = 15000;
const WS_HEARTBEAT_INTERVAL_MS = 5_000;
const WS_STALE_TIMEOUT_MS = 20_000;
const RESOLUTION_MS: Record<string, number> = {
"1m": 60_000,
@@ -172,6 +174,8 @@ export class LighterGateway {
private reconnectTimer: ReturnType<typeof setTimeout> | null = null;
private readonly wsUrl: string;
private connectPromise: Promise<void> | null = null;
private heartbeatTimer: ReturnType<typeof setInterval> | null = null;
private lastMessageAt = 0;
private accountDetails: LighterAccountDetails | null = null;
private positions: LighterPosition[] = [];
@@ -438,25 +442,56 @@ export class LighterGateway {
await new Promise<void>((resolve, reject) => {
const ws = new WebSocket(this.wsUrl);
this.ws = ws;
let settled = false;
const cleanup = () => {
ws.removeAllListeners();
this.stopHeartbeat();
if (this.ws === ws) {
this.ws = null;
}
};
const fail = (error: unknown) => {
if (settled) return;
settled = true;
reject(error instanceof Error ? error : new Error(String(error)));
};
ws.on("open", async () => {
try {
this.lastMessageAt = Date.now();
this.startHeartbeat();
await this.subscribeChannels();
settled = true;
resolve();
} catch (error) {
reject(error);
cleanup();
fail(error);
return;
}
});
ws.on("message", (data) => this.handleMessage(data));
ws.on("message", (data) => {
this.lastMessageAt = Date.now();
this.handleMessage(data);
});
ws.on("pong", () => {
this.lastMessageAt = Date.now();
});
ws.on("close", (code, reason) => {
cleanup();
const normalizedReason = typeof reason === "string" && reason.length ? reason : undefined;
if (!settled) {
fail(new Error(`WebSocket closed before ready (code=${code}${normalizedReason ? `, reason=${normalizedReason}` : ""})`));
return;
}
this.scheduleReconnect();
});
ws.on("error", (error) => {
cleanup();
this.logger("ws:error", error);
cleanup();
if (!settled) {
fail(error);
return;
}
this.scheduleReconnect();
});
});
}
@@ -506,6 +541,38 @@ export class LighterGateway {
}, 2000);
}
private startHeartbeat(): void {
if (this.heartbeatTimer) return;
this.heartbeatTimer = setInterval(() => {
const ws = this.ws;
if (!ws || ws.readyState !== WebSocket.OPEN) return;
const now = Date.now();
if (now - this.lastMessageAt > WS_STALE_TIMEOUT_MS) {
try {
ws.terminate();
} catch (error) {
this.logger("ws:terminate", error);
} finally {
this.stopHeartbeat();
this.scheduleReconnect();
}
return;
}
try {
ws.ping();
} catch (error) {
this.logger("ws:ping", error);
}
}, WS_HEARTBEAT_INTERVAL_MS);
}
private stopHeartbeat(): void {
if (this.heartbeatTimer) {
clearInterval(this.heartbeatTimer);
this.heartbeatTimer = null;
}
}
private handleMessage(data: WebSocket.RawData): void {
try {
const text = typeof data === "string" ? data : data.toString("utf8");
@@ -785,6 +852,28 @@ export class LighterGateway {
this.tickerEvent.emit(ticker);
}
async getPrecision(): Promise<{
priceTick: number;
qtyStep: number;
priceDecimals: number;
sizeDecimals: number;
marketId: number | null;
}> {
await this.loadMetadata();
if (this.priceDecimals == null || this.sizeDecimals == null) {
throw new Error("Lighter market metadata not initialized");
}
const priceTick = decimalsToStep(this.priceDecimals);
const qtyStep = decimalsToStep(this.sizeDecimals);
return {
priceTick,
qtyStep,
priceDecimals: this.priceDecimals,
sizeDecimals: this.sizeDecimals,
marketId: this.marketId ?? null,
};
}
private mapCreateOrderParams(params: CreateOrderParams): Omit<CreateOrderSignParams, "nonce"> & {
baseAmountScaledString: string;
priceScaledString: string;
@@ -953,3 +1042,11 @@ function mapTimeInForce(timeInForce: string | undefined, type: OrderType): numbe
return LIGHTER_TIME_IN_FORCE.GOOD_TILL_TIME;
}
}
function decimalsToStep(decimals: number): number {
if (!Number.isFinite(decimals) || decimals <= 0) {
return 1;
}
const step = Number(`1e-${decimals}`);
return Number.isFinite(step) ? step : Math.pow(10, -decimals);
}