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Enhance entry price logic in Maker and Liquidity Maker strategies

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- Added `entryDepthLevel` configuration option to `MakerConfig` and `LiquidityMakerConfig` for specifying order entry levels.
- Implemented `getPricesAtLevel` utility function to retrieve bid and ask prices at specified depth levels.
- Updated `MakerEngine`, `LiquidityMakerEngine`, and `OffsetMakerEngine` to utilize the new entry level logic for determining opening prices based on market depth.
- Improved price handling to ensure more accurate order placements in varying market conditions.
This commit is contained in:
discountry
2026-01-20 01:03:38 +08:00
parent 168d8cbb08
commit 76704b6bdd
5 changed files with 79 additions and 9 deletions
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src/strategy/maker-engine.ts
+11 -3
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@@ -14,7 +14,7 @@ import { isOrderActiveStatus } from "../utils/order-status";
import { getPosition } from "../utils/strategy";
import type { PositionSnapshot } from "../utils/strategy";
import { computePositionPnl } from "../utils/pnl";
import { getTopPrices, getMidOrLast } from "../utils/price";
import { getTopPrices, getPricesAtLevel, getMidOrLast } from "../utils/price";
import { shouldStopLoss } from "../utils/risk";
import {
marketClose,
@@ -305,10 +305,18 @@ export class MakerEngine {
// 直接使用orderbook价格，格式化为字符串避免精度问题
const priceDecimals = this.getPriceDecimals();
// 平仓价格始终使用买1/卖1
const closeBidPrice = formatPriceToString(topBid, priceDecimals);
const closeAskPrice = formatPriceToString(topAsk, priceDecimals);
const bidPrice = formatPriceToString(topBid - this.config.bidOffset, priceDecimals);
const askPrice = formatPriceToString(topAsk + this.config.askOffset, priceDecimals);
// 开仓价格根据 entryDepthLevel 使用指定档位
const entryLevel = this.config.entryDepthLevel ?? 1;
const { bidAtLevel: entryBid, askAtLevel: entryAsk } = getPricesAtLevel(depth, entryLevel);
const entryBidBase = entryBid ?? topBid;
const entryAskBase = entryAsk ?? topAsk;
const bidPrice = formatPriceToString(entryBidBase - this.config.bidOffset, priceDecimals);
const askPrice = formatPriceToString(entryAskBase + this.config.askOffset, priceDecimals);
const position = getPosition(this.accountSnapshot, this.config.symbol);
const absPosition = Math.abs(position.positionAmt);
const desired: DesiredOrder[] = [];