diff --git a/src/config.ts b/src/config.ts index 260077a..5841f46 100644 --- a/src/config.ts +++ b/src/config.ts @@ -227,7 +227,7 @@ export interface MakerPointsConfig { minRepriceBps: number; /** 是否根据 Binance 盘口深度失衡自动取消单边挂单,默认 true */ enableBinanceDepthCancel: boolean; - /** 各档位最小深度阈值 (BTC),盘口到目标价之间的挂单量低于此值则跳过该档位,默认 5 */ + /** 各档位最小深度阈值 (BTC),盘口到目标价之间的挂单量低于此值则跳过该档位,默认 10 */ filterMinDepth: number; } @@ -254,7 +254,7 @@ export const makerPointsConfig: MakerPointsConfig = { band30To100Amount: parseNumber(process.env.MAKER_POINTS_BAND_30_100_AMOUNT, defaultMakerPointsAmount), minRepriceBps: parseNumber(process.env.MAKER_POINTS_MIN_REPRICE_BPS, 3), enableBinanceDepthCancel: parseBoolean(process.env.MAKER_POINTS_BINANCE_DEPTH_CANCEL, true), - filterMinDepth: parseNumber(process.env.MAKER_POINTS_FILTER_MIN_DEPTH, 5), + filterMinDepth: parseNumber(process.env.MAKER_POINTS_FILTER_MIN_DEPTH, 10), }; export interface BasisArbConfig { diff --git a/src/strategy/common/binance-depth.ts b/src/strategy/common/binance-depth.ts index d6dabf6..3a866d7 100644 --- a/src/strategy/common/binance-depth.ts +++ b/src/strategy/common/binance-depth.ts @@ -19,7 +19,7 @@ const RECONNECT_DELAY_MAX_MS = 60_000; const DEFAULT_REFRESH_SYNC_INTERVAL_MS = 30_000; const DEFAULT_DEPTH_WINDOW_BPS = 9; -const DEFAULT_IMBALANCE_RATIO = 9; +const DEFAULT_IMBALANCE_RATIO = 8; const MAX_BUFFER_SIZE = 5000; const SYNC_SNAPSHOT_MAX_RETRIES = 5; const REST_FAILURE_DEFENSE_THRESHOLD = 1; diff --git a/src/strategy/maker-points-engine.ts b/src/strategy/maker-points-engine.ts index 1b9a950..b855858 100644 --- a/src/strategy/maker-points-engine.ts +++ b/src/strategy/maker-points-engine.ts @@ -205,7 +205,7 @@ export class MakerPointsEngine { baseUrl: process.env.BINANCE_SPOT_WS_URL ?? process.env.BINANCE_WS_URL, restBaseUrl: process.env.BINANCE_REST_URL, levels: 20, - ratio: 9, + ratio: 8, depthWindowBps: 9, speedMs: 100, logger: (context, error) => {