Add Liquidity Maker strategy and related configurations

- Introduced a new `LiquidityMakerConfig` interface and corresponding configuration settings in `config.ts`.
- Updated CLI argument handling to include the new "liquidity-maker" strategy option.
- Implemented the `LiquidityMakerEngine` class to manage the liquidity making strategy, including order handling and risk management.
- Added a new `LiquidityMakerApp` component for user interaction and display of strategy status.
- Enhanced internationalization support with translations for the liquidity maker strategy.
- Updated the main application to integrate the new liquidity maker strategy into the existing framework.
This commit is contained in:
discountry
2026-01-14 00:56:29 +08:00
parent 4915dc574e
commit 792351ab8a
7 changed files with 1606 additions and 4 deletions
+33
View File
@@ -294,6 +294,39 @@ export const gridConfig: GridConfig = {
gridConfig.maxPositionSize = resolveGridMaxPosition(gridConfig.orderSize, gridConfig.gridLevels);
export interface LiquidityMakerConfig {
symbol: string;
tradeAmount: number;
lossLimit: number;
bidOffset: number;
askOffset: number;
refreshIntervalMs: number;
maxLogEntries: number;
maxCloseSlippagePct: number;
priceTick: number;
/** 平仓挂单距成交价的档位数,默认1档 */
closeTickOffset: number;
/** 偏移判断阈值倍数,当一侧深度超出另一侧此倍数时取消薄端订单,默认2 */
depthImbalanceRatio: number;
}
export const liquidityMakerConfig: LiquidityMakerConfig = {
symbol: resolveSymbolFromEnv(),
tradeAmount: parseNumber(process.env.TRADE_AMOUNT, 0.001),
lossLimit: parseNumber(process.env.LIQUIDITY_MAKER_LOSS_LIMIT, parseNumber(process.env.MAKER_LOSS_LIMIT, parseNumber(process.env.LOSS_LIMIT, 0.03))),
bidOffset: parseNumber(process.env.LIQUIDITY_MAKER_BID_OFFSET, parseNumber(process.env.MAKER_BID_OFFSET, 0)),
askOffset: parseNumber(process.env.LIQUIDITY_MAKER_ASK_OFFSET, parseNumber(process.env.MAKER_ASK_OFFSET, 0)),
refreshIntervalMs: parseNumber(process.env.LIQUIDITY_MAKER_REFRESH_INTERVAL_MS, parseNumber(process.env.MAKER_REFRESH_INTERVAL_MS, 500)),
maxLogEntries: parseNumber(process.env.LIQUIDITY_MAKER_MAX_LOG_ENTRIES, parseNumber(process.env.MAKER_MAX_LOG_ENTRIES, 200)),
maxCloseSlippagePct: parseNumber(
process.env.LIQUIDITY_MAKER_MAX_CLOSE_SLIPPAGE_PCT ?? process.env.MAKER_MAX_CLOSE_SLIPPAGE_PCT ?? process.env.MAX_CLOSE_SLIPPAGE_PCT,
0.05
),
priceTick: parseNumber(process.env.LIQUIDITY_MAKER_PRICE_TICK ?? process.env.MAKER_PRICE_TICK ?? process.env.PRICE_TICK, 0.1),
closeTickOffset: Math.max(1, Math.floor(parseNumber(process.env.LIQUIDITY_MAKER_CLOSE_TICK_OFFSET, 1))),
depthImbalanceRatio: Math.max(1.1, parseNumber(process.env.LIQUIDITY_MAKER_DEPTH_IMBALANCE_RATIO, 2)),
};
export function isBasisStrategyEnabled(): boolean {
const raw = process.env.ENABLE_BASIS_STRATEGY;
if (!raw) return false;