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feat: 更新网格引擎，增强即时平仓订单处理逻辑，添加减仓订单支持以优化利润捕获

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discountry
2025-10-08 02:11:31 +08:00
parent b31b98f816
commit 6067f759a0
1 changed files with 53 additions and 22 deletions
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src/strategy/grid-engine.ts
+53 -22
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@@ -100,12 +100,11 @@ export class GridEngine {
private static readonly DISAPPEAR_REOPEN_COOLDOWN_MS = 2000;
// Track levels awaiting classification after disappearance until next account snapshot confirms
private readonly awaitingClassification = new Map<number, { accountVerAtStart: number; absAtStart: number }>();
private static readonly AWAIT_CLASSIFICATION_TIMEOUT_MS = 2500;
private sidesLocked = false;
private startupCleaned = false;
private initialCloseHandled = false;
private lastAbsPositionAmt = 0;
private immediateCloseToPlace: Array<{ sourceLevel: number; targetLevel: number; side: "BUY" | "SELL"; price: string }> = [];
private immediateCloseToPlace: Array<{ sourceLevel: number; targetLevel: number; side: "BUY" | "SELL"; price: string; reduceOnly: boolean }> = [];
private accountSnapshot: AsterAccountSnapshot | null = null;
private depthSnapshot: AsterDepth | null = null;
@@ -483,6 +482,18 @@ export class GridEngine {
currentOrderIdsByKey.set(key, set);
}
// 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);
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;
const meta = prevMeta.get(prevKey);
@@ -504,6 +515,20 @@ export class GridEngine {
}
}
if (handledByCloseTracking) continue;
// Proactively queue a reduce-only 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);
}
}
}
// Use order records to classify disappearance: filled vs canceled
if (meta) {
const prevIds = this.lastOrderIdsByKey.get(prevKey);
@@ -527,19 +552,21 @@ export class GridEngine {
if (classified === "filled") {
if (meta.side === "BUY") this.pendingLongLevels.add(meta.level);
else this.pendingShortLevels.add(meta.level);
// Immediately queue a close at the mapped target to ensure it is placed this tick
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";
this.immediateCloseToPlace.push({ sourceLevel: meta.level, targetLevel: target, side, price: priceStr });
// also map source->close key for disappearance tracking
this.closeKeyBySourceLevel.set(meta.level, this.getOrderKey(side, priceStr, false));
}
// ensure reduce-only close mapping exists for disappearance tracking (already queued above)
} else if (classified === "canceled") {
// 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
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) {
this.closeKeyBySourceLevel.delete(meta.level);
}
}
} else {
// unknown: defer decision until we see a newer account snapshot
this.awaitingClassification.set(meta.level, { accountVerAtStart: this.accountVersion, absAtStart: this.lastAbsPositionAmt });
@@ -577,19 +604,15 @@ export class GridEngine {
const activeKeySet = new Set(
activeOrders.map((o) => this.getOrderKey(o.side, this.normalizePrice(o.price), o.reduceOnly === true))
);
const activeKeyCounts = new Map<string, number>();
for (const o of activeOrders) {
const k = this.getOrderKey(o.side, this.normalizePrice(o.price), false);
activeKeyCounts.set(k, (activeKeyCounts.get(k) ?? 0) + 1);
}
// 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, false);
const count = activeKeyCounts.get(key) ?? 0;
if (count < 2) {
desired.push({ level: item.targetLevel, side: item.side, price: item.price, amount: this.config.orderSize, reduceOnly: false });
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 });
}
}
// clear queue regardless to avoid duplicates next tick
@@ -625,8 +648,12 @@ 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);
if ((activeKeyCounts.get(closeKey) ?? 0) < 2) {
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
@@ -639,8 +666,12 @@ export class GridEngine {
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);
if ((activeKeyCounts.get(closeKey) ?? 0) < 2) {
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)) {