mirror of
https://github.com/discountry/ritmex-bot.git
synced 2026-09-11 01:08:07 +00:00
init
This commit is contained in:
discountry
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import type { TradingConfig } from "../config";
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import type { ExchangeAdapter } from "../exchanges/adapter";
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import type {
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AsterAccountSnapshot,
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AsterOrder,
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AsterTicker,
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AsterDepth,
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AsterKline,
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} from "../exchanges/types";
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import {
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calcStopLossPrice,
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calcTrailingActivationPrice,
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getPosition,
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getSMA,
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type PositionSnapshot,
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} from "../utils/strategy";
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import {
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marketClose,
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OrderLockMap,
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OrderPendingMap,
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OrderTimerMap,
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placeMarketOrder,
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placeStopLossOrder,
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placeTrailingStopOrder,
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unlockOperating,
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} from "./order-coordinator";
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import { toPrice1Decimal } from "../utils/math";
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import { createTradeLog, type TradeLogEntry } from "../state/trade-log";
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export interface TrendEngineSnapshot {
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ready: boolean;
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symbol: string;
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lastPrice: number | null;
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sma30: number | null;
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trend: "做多" | "做空" | "无信号";
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position: PositionSnapshot;
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pnl: number;
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unrealized: number;
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totalProfit: number;
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totalTrades: number;
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tradeLog: TradeLogEntry[];
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openOrders: AsterOrder[];
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depth: AsterDepth | null;
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ticker: AsterTicker | null;
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lastUpdated: number | null;
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lastOpenSignal: OpenOrderPlan;
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}
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export interface OpenOrderPlan {
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side: "BUY" | "SELL" | null;
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price: number | null;
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}
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type TrendEngineEvent = "update";
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type TrendEngineListener = (snapshot: TrendEngineSnapshot) => void;
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export class TrendEngine {
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private accountSnapshot: AsterAccountSnapshot | null = null;
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private openOrders: AsterOrder[] = [];
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private depthSnapshot: AsterDepth | null = null;
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private tickerSnapshot: AsterTicker | null = null;
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private klineSnapshot: AsterKline[] = [];
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private readonly locks: OrderLockMap = {};
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private readonly timers: OrderTimerMap = {};
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private readonly pending: OrderPendingMap = {};
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private readonly tradeLog: ReturnType<typeof createTradeLog>;
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private timer: ReturnType<typeof setInterval> | null = null;
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private processing = false;
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private lastPrice: number | null = null;
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private lastSma30: number | null = null;
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private totalProfit = 0;
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private totalTrades = 0;
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private lastOpenPlan: OpenOrderPlan = { side: null, price: null };
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private readonly listeners = new Map<TrendEngineEvent, Set<TrendEngineListener>>();
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constructor(private readonly config: TradingConfig, private readonly exchange: ExchangeAdapter) {
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this.tradeLog = createTradeLog(this.config.maxLogEntries);
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this.bootstrap();
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}
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start(): void {
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if (this.timer) return;
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this.timer = setInterval(() => {
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void this.tick();
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}, this.config.pollIntervalMs);
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}
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stop(): void {
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if (this.timer) {
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clearInterval(this.timer);
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this.timer = null;
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}
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}
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on(event: TrendEngineEvent, handler: TrendEngineListener): void {
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const handlers = this.listeners.get(event) ?? new Set<TrendEngineListener>();
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handlers.add(handler);
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this.listeners.set(event, handlers);
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}
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off(event: TrendEngineEvent, handler: TrendEngineListener): void {
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const handlers = this.listeners.get(event);
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if (!handlers) return;
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handlers.delete(handler);
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if (handlers.size === 0) {
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this.listeners.delete(event);
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}
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}
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getSnapshot(): TrendEngineSnapshot {
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return this.buildSnapshot();
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}
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private bootstrap(): void {
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this.exchange.watchAccount((snapshot) => {
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this.accountSnapshot = snapshot;
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this.emitUpdate();
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});
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this.exchange.watchOrders((orders) => {
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this.synchronizeLocks(orders);
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this.openOrders = Array.isArray(orders)
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? orders.filter((order) => order.type !== "MARKET")
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: [];
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this.emitUpdate();
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});
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this.exchange.watchDepth(this.config.symbol, (depth) => {
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this.depthSnapshot = depth;
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this.emitUpdate();
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});
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this.exchange.watchTicker(this.config.symbol, (ticker) => {
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this.tickerSnapshot = ticker;
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this.emitUpdate();
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});
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this.exchange.watchKlines(this.config.symbol, this.config.klineInterval, (klines) => {
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this.klineSnapshot = klines;
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this.emitUpdate();
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});
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}
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private synchronizeLocks(orders: AsterOrder[]): void {
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Object.keys(this.pending).forEach((type) => {
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const pendingId = this.pending[type];
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if (!pendingId) return;
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const match = orders.find((order) => String(order.orderId) === pendingId);
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if (!match || (match.status && match.status !== "NEW")) {
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unlockOperating(this.locks, this.timers, this.pending, type);
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}
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});
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}
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private isReady(): boolean {
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return Boolean(
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this.accountSnapshot &&
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this.tickerSnapshot &&
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this.depthSnapshot &&
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this.klineSnapshot.length >= 30
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);
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}
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private async tick(): Promise<void> {
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if (this.processing) return;
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this.processing = true;
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try {
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if (!this.isReady()) {
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this.emitUpdate();
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return;
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}
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const sma30 = getSMA(this.klineSnapshot, 30);
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if (sma30 == null) {
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return;
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}
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const ticker = this.tickerSnapshot!;
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const price = Number(ticker.lastPrice);
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const position = getPosition(this.accountSnapshot, this.config.symbol);
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if (Math.abs(position.positionAmt) < 1e-5) {
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await this.handleOpenPosition(price, sma30);
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} else {
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const result = await this.handlePositionManagement(position, price);
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if (result.closed) {
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this.totalTrades += 1;
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this.totalProfit += result.pnl;
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}
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}
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this.lastSma30 = sma30;
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this.lastPrice = price;
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this.emitUpdate();
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} catch (error) {
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this.tradeLog.push("error", `策略循环异常: ${String(error)}`);
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this.emitUpdate();
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} finally {
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this.processing = false;
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}
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}
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private async handleOpenPosition(currentPrice: number, currentSma: number): Promise<void> {
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if (this.lastPrice == null) {
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this.lastPrice = currentPrice;
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return;
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}
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if (this.openOrders.length > 0) {
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try {
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await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
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} catch (err) {
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this.tradeLog.push("error", `撤销挂单失败: ${String(err)}`);
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}
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}
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if (this.lastPrice > currentSma && currentPrice < currentSma) {
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await this.submitMarketOrder("SELL", currentPrice, "下穿SMA30，市价开空");
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} else if (this.lastPrice < currentSma && currentPrice > currentSma) {
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await this.submitMarketOrder("BUY", currentPrice, "上穿SMA30，市价开多");
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}
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}
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private async submitMarketOrder(side: "BUY" | "SELL", price: number, reason: string): Promise<void> {
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try {
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await placeMarketOrder(
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this.exchange,
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this.config.symbol,
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this.openOrders,
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this.locks,
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this.timers,
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this.pending,
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side,
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this.config.tradeAmount,
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(type, detail) => this.tradeLog.push(type, detail)
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);
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this.tradeLog.push("open", `${reason}: ${side} @ ${price}`);
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this.lastOpenPlan = { side, price };
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} catch (err) {
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this.tradeLog.push("error", `市价下单失败: ${String(err)}`);
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}
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}
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private async handlePositionManagement(
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position: PositionSnapshot,
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price: number
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): Promise<{ closed: boolean; pnl: number }> {
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const direction = position.positionAmt > 0 ? "long" : "short";
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const pnl =
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(direction === "long"
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? price - position.entryPrice
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: position.entryPrice - price) * Math.abs(position.positionAmt);
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const stopSide = direction === "long" ? "SELL" : "BUY";
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const stopPrice = calcStopLossPrice(
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position.entryPrice,
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Math.abs(position.positionAmt),
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direction,
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this.config.lossLimit
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);
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const activationPrice = calcTrailingActivationPrice(
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position.entryPrice,
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Math.abs(position.positionAmt),
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direction,
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this.config.trailingProfit
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);
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const currentStop = this.openOrders.find(
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(o) => o.type === "STOP_MARKET" && o.side === stopSide
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);
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const currentTrailing = this.openOrders.find(
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(o) => o.type === "TRAILING_STOP_MARKET" && o.side === stopSide
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);
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const profitLockStopPrice = direction === "long"
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? toPrice1Decimal(
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position.entryPrice + this.config.profitLockOffsetUsd / Math.abs(position.positionAmt)
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)
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: toPrice1Decimal(
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position.entryPrice - this.config.profitLockOffsetUsd / Math.abs(position.positionAmt)
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);
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if (pnl > this.config.profitLockTriggerUsd || position.unrealizedProfit > this.config.profitLockTriggerUsd) {
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if (!currentStop) {
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await this.tryPlaceStopLoss(stopSide, profitLockStopPrice, price);
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} else {
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const existingPrice = Number(currentStop.stopPrice);
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if (Math.abs(existingPrice - profitLockStopPrice) > 0.01) {
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await this.tryReplaceStop(stopSide, currentStop, profitLockStopPrice, price);
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}
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}
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}
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if (!currentStop) {
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await this.tryPlaceStopLoss(stopSide, toPrice1Decimal(stopPrice), price);
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}
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if (!currentTrailing) {
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await this.tryPlaceTrailingStop(
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stopSide,
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toPrice1Decimal(activationPrice),
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Math.abs(position.positionAmt)
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);
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}
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if (pnl < -this.config.lossLimit || position.unrealizedProfit < -this.config.lossLimit) {
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try {
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if (this.openOrders.length > 0) {
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const orderIdList = this.openOrders.map((order) => order.orderId);
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await this.exchange.cancelOrders({ symbol: this.config.symbol, orderIdList });
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}
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await marketClose(
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this.exchange,
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this.config.symbol,
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this.openOrders,
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this.locks,
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this.timers,
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this.pending,
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direction === "long" ? "SELL" : "BUY",
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this.config.tradeAmount,
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(type, detail) => this.tradeLog.push(type, detail)
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);
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this.tradeLog.push("close", `止损平仓: ${direction === "long" ? "SELL" : "BUY"}`);
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} catch (err) {
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this.tradeLog.push("error", `止损平仓失败: ${String(err)}`);
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}
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return { closed: true, pnl };
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}
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return { closed: false, pnl };
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}
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private async tryPlaceStopLoss(
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side: "BUY" | "SELL",
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stopPrice: number,
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lastPrice: number
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): Promise<void> {
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try {
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await placeStopLossOrder(
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this.exchange,
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this.config.symbol,
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this.openOrders,
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this.locks,
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this.timers,
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this.pending,
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side,
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stopPrice,
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this.config.tradeAmount,
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lastPrice,
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(type, detail) => this.tradeLog.push(type, detail)
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);
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} catch (err) {
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this.tradeLog.push("error", `挂止损单失败: ${String(err)}`);
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}
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}
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private async tryReplaceStop(
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side: "BUY" | "SELL",
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currentOrder: AsterOrder,
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nextStopPrice: number,
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lastPrice: number
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): Promise<void> {
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try {
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await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: currentOrder.orderId });
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} catch (err) {
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this.tradeLog.push("error", `取消原止损单失败: ${String(err)}`);
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}
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await this.tryPlaceStopLoss(side, nextStopPrice, lastPrice);
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this.tradeLog.push("stop", `移动止损到 ${nextStopPrice}`);
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}
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private async tryPlaceTrailingStop(
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side: "BUY" | "SELL",
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activationPrice: number,
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quantity: number
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): Promise<void> {
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try {
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await placeTrailingStopOrder(
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this.exchange,
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this.config.symbol,
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this.openOrders,
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this.locks,
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this.timers,
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this.pending,
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side,
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activationPrice,
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quantity,
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this.config.trailingCallbackRate,
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(type, detail) => this.tradeLog.push(type, detail)
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);
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} catch (err) {
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this.tradeLog.push("error", `挂动态止盈失败: ${String(err)}`);
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}
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}
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private emitUpdate(): void {
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const snapshot = this.buildSnapshot();
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const handlers = this.listeners.get("update");
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if (!handlers) return;
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handlers.forEach((handler) => handler(snapshot));
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}
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private buildSnapshot(): TrendEngineSnapshot {
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const position = getPosition(this.accountSnapshot, this.config.symbol);
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const price = this.tickerSnapshot ? Number(this.tickerSnapshot.lastPrice) : null;
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const sma30 = this.lastSma30;
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const trend = price == null || sma30 == null
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? "无信号"
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: price > sma30
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? "做多"
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: price < sma30
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? "做空"
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: "无信号";
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const pnl = price != null && position
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? (position.positionAmt > 0
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? (price - position.entryPrice) * Math.abs(position.positionAmt)
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: (position.entryPrice - price) * Math.abs(position.positionAmt))
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: 0;
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return {
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ready: this.isReady(),
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symbol: this.config.symbol,
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lastPrice: price,
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sma30,
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trend,
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position,
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pnl,
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unrealized: position.unrealizedProfit,
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totalProfit: this.totalProfit,
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totalTrades: this.totalTrades,
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tradeLog: this.tradeLog.all(),
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openOrders: this.openOrders,
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depth: this.depthSnapshot,
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ticker: this.tickerSnapshot,
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lastUpdated: Date.now(),
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lastOpenSignal: this.lastOpenPlan,
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};
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}
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}
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