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Refactor price calculation in MakerPointsEngine for improved accuracy

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- Replaced direct price calculations with a new method `normalizeDepthTargetPrice` to ensure valid target prices for buy and sell orders.
- Updated all instances of price calculations in the MakerPointsEngine to utilize the new normalization method.
- Added boundary tests for `getDepthBetweenPrices` to validate behavior when prices are exactly at the target.
This commit is contained in:
discountry
2026-02-07 23:27:42 +08:00
parent b8942c18e6
commit 6998afebb1
2 changed files with 69 additions and 22 deletions
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src/strategy/maker-points-engine.ts
+32 -22
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@@ -772,17 +772,17 @@ export class MakerPointsEngine {
const shouldCheckDepth = minDepth > 0;
if (!skipBuy) {
const price = bid1 * (1 - bps / 10000);
if (Number.isFinite(price) && price > 0) {
const targetPrice = this.normalizeDepthTargetPrice(bid1 * (1 - bps / 10000), priceDecimals);
if (targetPrice != null) {
if (shouldCheckDepth) {
const depthQty = getDepthBetweenPrices(depth, "BUY", price);
const depthQty = getDepthBetweenPrices(depth, "BUY", targetPrice);
if (depthQty < minDepth) {
this.logThinDepthSkip("BUY", bps, depthQty, minDepth);
} else {
this.resetThinDepthSkip("BUY", bps);
desired.push({
side: "BUY",
price: formatPriceToString(price, priceDecimals),
price: formatPriceToString(targetPrice, priceDecimals),
amount,
reduceOnly: false,
});
@@ -790,7 +790,7 @@ export class MakerPointsEngine {
} else {
desired.push({
side: "BUY",
price: formatPriceToString(price, priceDecimals),
price: formatPriceToString(targetPrice, priceDecimals),
amount,
reduceOnly: false,
});
@@ -798,17 +798,17 @@ export class MakerPointsEngine {
}
}
if (!skipSell) {
const price = ask1 * (1 + bps / 10000);
if (Number.isFinite(price) && price > 0) {
const targetPrice = this.normalizeDepthTargetPrice(ask1 * (1 + bps / 10000), priceDecimals);
if (targetPrice != null) {
if (shouldCheckDepth) {
const depthQty = getDepthBetweenPrices(depth, "SELL", price);
const depthQty = getDepthBetweenPrices(depth, "SELL", targetPrice);
if (depthQty < minDepth) {
this.logThinDepthSkip("SELL", bps, depthQty, minDepth);
} else {
this.resetThinDepthSkip("SELL", bps);
desired.push({
side: "SELL",
price: formatPriceToString(price, priceDecimals),
price: formatPriceToString(targetPrice, priceDecimals),
amount,
reduceOnly: false,
});
@@ -816,7 +816,7 @@ export class MakerPointsEngine {
} else {
desired.push({
side: "SELL",
price: formatPriceToString(price, priceDecimals),
price: formatPriceToString(targetPrice, priceDecimals),
amount,
reduceOnly: false,
});
@@ -839,6 +839,7 @@ export class MakerPointsEngine {
): boolean {
const minDepth = this.config.filterMinDepth;
if (minDepth <= 0) return false;
const priceDecimals = this.getPriceDecimals();
// 获取启用的所有档位
const targets = buildBpsTargets({
@@ -850,11 +851,11 @@ export class MakerPointsEngine {
let changed = false;
for (const bps of targets) {
const buyPrice = bid1 * (1 - bps / 10000);
const sellPrice = ask1 * (1 + bps / 10000);
const buyTargetPrice = this.normalizeDepthTargetPrice(bid1 * (1 - bps / 10000), priceDecimals);
const sellTargetPrice = this.normalizeDepthTargetPrice(ask1 * (1 + bps / 10000), priceDecimals);
const buyDepthQty = getDepthBetweenPrices(depth, "BUY", buyPrice);
const sellDepthQty = getDepthBetweenPrices(depth, "SELL", sellPrice);
const buyDepthQty = getDepthBetweenPrices(depth, "BUY", buyTargetPrice ?? 0);
const sellDepthQty = getDepthBetweenPrices(depth, "SELL", sellTargetPrice ?? 0);
const currentBuyOk = buyDepthQty >= minDepth;
const currentSellOk = sellDepthQty >= minDepth;
@@ -889,15 +890,16 @@ export class MakerPointsEngine {
band10To30: this.config.enableBand10To30,
band30To100: this.config.enableBand30To100,
});
const priceDecimals = this.getPriceDecimals();
for (const bps of targets) {
const lastStatus = this.lastDepthOkStatus[bps];
if (!lastStatus) continue;
const buyPrice = topBid * (1 - bps / 10000);
const sellPrice = topAsk * (1 + bps / 10000);
const buyDepthQty = getDepthBetweenPrices(depth, "BUY", buyPrice);
const sellDepthQty = getDepthBetweenPrices(depth, "SELL", sellPrice);
const buyTargetPrice = this.normalizeDepthTargetPrice(topBid * (1 - bps / 10000), priceDecimals);
const sellTargetPrice = this.normalizeDepthTargetPrice(topAsk * (1 + bps / 10000), priceDecimals);
const buyDepthQty = getDepthBetweenPrices(depth, "BUY", buyTargetPrice ?? 0);
const sellDepthQty = getDepthBetweenPrices(depth, "SELL", sellTargetPrice ?? 0);
const currentBuyOk = buyDepthQty >= minDepth;
const currentSellOk = sellDepthQty >= minDepth;
@@ -1344,6 +1346,13 @@ export class MakerPointsEngine {
return Math.max(0, Math.floor(raw + 1e-9));
}
private normalizeDepthTargetPrice(price: number, priceDecimals: number): number | null {
if (!Number.isFinite(price) || price <= 0) return null;
const normalized = Number(formatPriceToString(price, priceDecimals));
if (!Number.isFinite(normalized) || normalized <= 0) return null;
return normalized;
}
private emitUpdate(): void {
try {
const snapshot = this.buildSnapshot();
@@ -1398,12 +1407,13 @@ export class MakerPointsEngine {
if (!this.depthSnapshot || topBid == null || topAsk == null) {
return bands;
}
const priceDecimals = this.getPriceDecimals();
return bands.map((band) => {
const buyPrice = topBid * (1 - band.bps / 10000);
const sellPrice = topAsk * (1 + band.bps / 10000);
const buyDepth = getDepthBetweenPrices(this.depthSnapshot, "BUY", buyPrice);
const sellDepth = getDepthBetweenPrices(this.depthSnapshot, "SELL", sellPrice);
const buyTargetPrice = this.normalizeDepthTargetPrice(topBid * (1 - band.bps / 10000), priceDecimals);
const sellTargetPrice = this.normalizeDepthTargetPrice(topAsk * (1 + band.bps / 10000), priceDecimals);
const buyDepth = getDepthBetweenPrices(this.depthSnapshot, "BUY", buyTargetPrice ?? 0);
const sellDepth = getDepthBetweenPrices(this.depthSnapshot, "SELL", sellTargetPrice ?? 0);
return { ...band, buyDepth, sellDepth };
});
}