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feat: 更新网格引擎，增强入口数量限制逻辑，支持按买卖方向分别计算待处理订单数量

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discountry
2025-10-08 03:43:47 +08:00
parent f973fe433d
commit 640f1bfb4e
1 changed files with 9 additions and 6 deletions
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src/strategy/grid-engine.ts
+9 -6
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@@ -680,12 +680,12 @@ export class GridEngine {
if (capped <= EPSILON) continue; if (capped <= EPSILON) continue;
d.amount = capped; d.amount = capped;
} else { } else {
const capped = this.capEntryQty(d.amount); const capped = this.capEntryQty(d.amount, d.side);
if (capped <= EPSILON) continue; if (capped <= EPSILON) continue;
d.amount = capped; d.amount = capped;
} }
const key = this.getOrderKey(d.side, d.price, intent); const key = this.getOrderKey(d.side, d.price, intent);
if ((plannedKeyCounts.get(key) ?? 0) >= 1) continue; if ((activeKeyCounts.get(key) ?? 0) >= 1) continue;
try { try {
const placed = await placeOrder( const placed = await placeOrder(
this.exchange, this.exchange,
@@ -704,6 +704,7 @@ export class GridEngine {
); );
if (placed) { if (placed) {
plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1); plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1);
activeKeyCounts.set(key, (activeKeyCounts.get(key) ?? 0) + 1);
if (placed.orderId != null) { if (placed.orderId != null) {
const record: { side: "BUY" | "SELL"; price: string; level: number; intent: "ENTRY" | "EXIT"; sourceLevel?: number } = { const record: { side: "BUY" | "SELL"; price: string; level: number; intent: "ENTRY" | "EXIT"; sourceLevel?: number } = {
side: d.side, side: d.side,
@@ -751,10 +752,11 @@ export class GridEngine {
return Math.min(desiredQty, remain); return Math.min(desiredQty, remain);
} }
private estimatePendingEntryQty(): number { private estimatePendingEntryQty(side: "BUY" | "SELL"): number {
let sum = 0; let sum = 0;
for (const o of this.openOrders) { for (const o of this.openOrders) {
if (!this.isActiveLimitOrder(o)) continue; if (!this.isActiveLimitOrder(o)) continue;
if (o.side !== side) continue;
const meta = this.orderIntentById.get(String(o.orderId)); const meta = this.orderIntentById.get(String(o.orderId));
if (!meta || meta.intent !== "ENTRY") continue; if (!meta || meta.intent !== "ENTRY") continue;
const orig = Number(o.origQty || 0); const orig = Number(o.origQty || 0);
@@ -764,10 +766,11 @@ export class GridEngine {
return sum; return sum;
} }
private capEntryQty(desiredQty: number): number { private capEntryQty(desiredQty: number, side: "BUY" | "SELL"): number {
// Cap per side to allow simultaneous BUY/SELL grids without mutual blocking
const absPos = Math.abs(this.position.positionAmt); const absPos = Math.abs(this.position.positionAmt);
const pendingEntry = this.estimatePendingEntryQty(); const pendingEntrySameSide = this.estimatePendingEntryQty(side);
const remain = Math.max(this.config.maxPositionSize - absPos - pendingEntry, 0); const remain = Math.max(this.config.maxPositionSize - absPos - pendingEntrySameSide, 0);
return Math.min(desiredQty, remain); return Math.min(desiredQty, remain);
} }