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优化动态止盈逻辑，添加步进式锁盈移动功能，确保在动态止盈未生效时根据盈利情况调整止损价格，提高交易策略的灵活性和有效性。

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discountry
2025-09-25 16:03:12 +08:00
parent 5c420f8a5f
commit 5e3fefc072
1 changed files with 103 additions and 26 deletions
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src/core/trend-engine.ts
+103 -26
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@@ -387,33 +387,110 @@ export class TrendEngine {
(o) => o.type === "TRAILING_STOP_MARKET" && o.side === stopSide
);
const profitLockStopPrice = direction === "long"
? roundDownToTick(
position.entryPrice + this.config.profitLockOffsetUsd / Math.abs(position.positionAmt),
this.config.priceTick
)
: roundDownToTick(
position.entryPrice - this.config.profitLockOffsetUsd / Math.abs(position.positionAmt),
this.config.priceTick
);
if (pnl > this.config.profitLockTriggerUsd || position.unrealizedProfit > this.config.profitLockTriggerUsd) {
// 步进式锁盈移动：在动态止盈生效前，盈利每增加一个 profitLockOffsetUsd 就上移/下移一次止损
{
const tick = Math.max(1e-9, this.config.priceTick);
const profitLockValid =
(stopSide === "SELL" && profitLockStopPrice <= price - tick) ||
(stopSide === "BUY" && profitLockStopPrice >= price + tick);
if (profitLockValid) {
if (!currentStop) {
await this.tryPlaceStopLoss(stopSide, profitLockStopPrice, price);
} else {
const existingRaw = Number(currentStop.stopPrice);
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
const improves =
!Number.isFinite(existingPrice) ||
(stopSide === "SELL" && profitLockStopPrice >= existingPrice + tick) ||
(stopSide === "BUY" && profitLockStopPrice <= existingPrice - tick);
if (improves) {
await this.tryReplaceStop(stopSide, currentStop, profitLockStopPrice, price);
const qtyAbs = Math.abs(position.positionAmt);
const stepUsd = Math.max(0, this.config.profitLockOffsetUsd);
const triggerUsd = Math.max(0, this.config.profitLockTriggerUsd);
const trailingActivateFromOrderRaw = currentTrailing?.activatePrice ?? (currentTrailing as any)?.activationPrice;
const trailingActivateFromOrder = Number(trailingActivateFromOrderRaw);
const trailingActivate = Number.isFinite(trailingActivateFromOrder)
? trailingActivateFromOrder
: activationPrice;
// 判断动态止盈是否已生效：多头 price >= activate；空头 price <= activate
const trailingActivated =
direction === "long"
? Number.isFinite(trailingActivate) && price >= trailingActivate - tick
: Number.isFinite(trailingActivate) && price <= trailingActivate + tick;
// 仅在动态止盈未生效时执行步进移动
if (!trailingActivated && qtyAbs > 0 && stepUsd > 0) {
const basisProfit = Number.isFinite(unrealized ?? pnl) ? Math.max(pnl, unrealized ?? pnl) : pnl;
if (basisProfit >= triggerUsd) {
const over = basisProfit - triggerUsd;
const steps = 1 + Math.floor(over / stepUsd);
const stepPx = stepUsd / qtyAbs;
const rawTarget = direction === "long"
? position.entryPrice + steps * stepPx
: position.entryPrice - steps * stepPx;
let targetStop = roundDownToTick(rawTarget, this.config.priceTick);
// 不允许下一次移动超过动态止盈订单的激活价
if (Number.isFinite(trailingActivate)) {
if (stopSide === "SELL" && targetStop >= trailingActivate - tick) {
// 达到或超过激活价，停止移动
targetStop = Math.min(targetStop, trailingActivate - tick);
// 若已经无法进一步改善，则不再尝试
const existingRaw = Number(currentStop?.stopPrice);
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
const canImprove =
!Number.isFinite(existingPrice) ||
(stopSide === "SELL" && targetStop >= existingPrice + tick);
if (!canImprove) {
// 直接跳过
// no-op
} else if (currentStop) {
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
} else {
await this.tryPlaceStopLoss(stopSide, targetStop, price);
}
} else if (stopSide === "BUY" && targetStop <= trailingActivate + tick) {
targetStop = Math.max(targetStop, trailingActivate + tick);
const existingRaw = Number(currentStop?.stopPrice);
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
const canImprove =
!Number.isFinite(existingPrice) ||
(stopSide === "BUY" && targetStop <= existingPrice - tick);
if (!canImprove) {
// no-op
} else if (currentStop) {
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
} else {
await this.tryPlaceStopLoss(stopSide, targetStop, price);
}
} else {
// 正常范围内，且必须与当前价方向不冲突
const validForSide =
(stopSide === "SELL" && targetStop <= price - tick) ||
(stopSide === "BUY" && targetStop >= price + tick);
if (validForSide) {
if (!currentStop) {
await this.tryPlaceStopLoss(stopSide, targetStop, price);
} else {
const existingRaw = Number(currentStop.stopPrice);
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
const improves =
!Number.isFinite(existingPrice) ||
(stopSide === "SELL" && targetStop >= existingPrice + tick) ||
(stopSide === "BUY" && targetStop <= existingPrice - tick);
if (improves) {
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
}
}
}
}
} else {
// 无法取得动态止盈激活价时，仅按普通步进逻辑
const validForSide =
(stopSide === "SELL" && targetStop <= price - tick) ||
(stopSide === "BUY" && targetStop >= price + tick);
if (validForSide) {
if (!currentStop) {
await this.tryPlaceStopLoss(stopSide, targetStop, price);
} else {
const existingRaw = Number(currentStop.stopPrice);
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
const improves =
!Number.isFinite(existingPrice) ||
(stopSide === "SELL" && targetStop >= existingPrice + tick) ||
(stopSide === "BUY" && targetStop <= existingPrice - tick);
if (improves) {
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
}
}
}
}
}
}