Add Maker Points strategy support in StandX. Introduce new configuration for Maker Points, including point bands and order management logic. Implement MakerPointsEngine for handling order placement and tracking. Update CLI and UI components to integrate Maker Points functionality, enhancing user experience and strategy options.

2026-09-10 16:58:08 +00:00 · 2026-01-06 16:01:10 +08:00
parent 9a093459bc
commit 7aafc3b69d
11 changed files with 2032 additions and 12 deletions
@@ -0,0 +1,177 @@
+import NodeWebSocket from "ws";
+import { computeDepthStats, type DepthImbalance } from "../../utils/depth";
+
+const WebSocketCtor: typeof globalThis.WebSocket =
+  typeof globalThis.WebSocket !== "undefined"
+    ? globalThis.WebSocket
+    : ((NodeWebSocket as unknown) as typeof globalThis.WebSocket);
+
+const DEFAULT_BASE_URL = "wss://fstream.binance.com/ws";
+
+export interface BinanceDepthSnapshot {
+  symbol: string;
+  buySum: number;
+  sellSum: number;
+  skipBuySide: boolean;
+  skipSellSide: boolean;
+  imbalance: DepthImbalance;
+  updatedAt: number;
+}
+
+export class BinanceDepthTracker {
+  private ws: WebSocket | null = null;
+  private reconnectTimer: ReturnType<typeof setTimeout> | null = null;
+  private reconnectDelayMs = 3000;
+  private stopped = false;
+  private snapshot: BinanceDepthSnapshot | null = null;
+  private listeners = new Set<(snapshot: BinanceDepthSnapshot) => void>();
+
+  constructor(
+    private readonly symbol: string,
+    private readonly options?: {
+      baseUrl?: string;
+      levels?: number;
+      ratio?: number;
+      logger?: (context: string, error: unknown) => void;
+    }
+  ) {}
+
+  start(): void {
+    this.stopped = false;
+    this.connect();
+  }
+
+  stop(): void {
+    this.stopped = true;
+    if (this.reconnectTimer) {
+      clearTimeout(this.reconnectTimer);
+      this.reconnectTimer = null;
+    }
+    if (this.ws) {
+      try {
+        this.ws.close();
+      } catch {
+        // Ignore close errors
+      }
+      this.ws = null;
+    }
+  }
+
+  onUpdate(handler: (snapshot: BinanceDepthSnapshot) => void): void {
+    this.listeners.add(handler);
+  }
+
+  offUpdate(handler: (snapshot: BinanceDepthSnapshot) => void): void {
+    this.listeners.delete(handler);
+  }
+
+  getSnapshot(): BinanceDepthSnapshot | null {
+    return this.snapshot ? { ...this.snapshot } : null;
+  }
+
+  private connect(): void {
+    if (this.ws || this.stopped) return;
+    const url = this.buildUrl();
+    this.ws = new WebSocketCtor(url);
+
+    const handleOpen = () => {
+      this.reconnectDelayMs = 3000;
+    };
+
+    const handleClose = () => {
+      this.ws = null;
+      if (!this.stopped) {
+        this.scheduleReconnect();
+      }
+    };
+
+    const handleError = (error: unknown) => {
+      this.options?.logger?.("binanceDepth", error);
+    };
+
+    const handleMessage = (event: { data: unknown }) => {
+      this.handlePayload(event.data);
+    };
+
+    const handlePing = (data: unknown) => {
+      if (this.ws && "pong" in this.ws && typeof this.ws.pong === "function") {
+        this.ws.pong(data as any);
+      }
+    };
+
+    if ("addEventListener" in this.ws && typeof this.ws.addEventListener === "function") {
+      this.ws.addEventListener("open", handleOpen);
+      this.ws.addEventListener("message", handleMessage as any);
+      this.ws.addEventListener("close", handleClose);
+      this.ws.addEventListener("error", handleError as any);
+      this.ws.addEventListener("ping", handlePing as any);
+    } else if ("on" in this.ws && typeof (this.ws as any).on === "function") {
+      const nodeSocket = this.ws as any;
+      nodeSocket.on("open", handleOpen);
+      nodeSocket.on("message", (data: unknown) => handleMessage({ data }));
+      nodeSocket.on("close", handleClose);
+      nodeSocket.on("error", handleError);
+      nodeSocket.on("ping", handlePing);
+    } else {
+      (this.ws as any).onopen = handleOpen;
+      (this.ws as any).onmessage = handleMessage;
+      (this.ws as any).onclose = handleClose;
+      (this.ws as any).onerror = handleError;
+    }
+  }
+
+  private buildUrl(): string {
+    const base = this.options?.baseUrl ?? DEFAULT_BASE_URL;
+    const stream = `${this.symbol.toLowerCase()}@depth10@100ms`;
+    return `${base}/${stream}`;
+  }
+
+  private scheduleReconnect(): void {
+    if (this.reconnectTimer || this.stopped) return;
+    this.reconnectTimer = setTimeout(() => {
+      this.reconnectTimer = null;
+      this.reconnectDelayMs = Math.min(this.reconnectDelayMs * 2, 60_000);
+      this.connect();
+    }, this.reconnectDelayMs);
+  }
+
+  private handlePayload(data: unknown): void {
+    const payload = this.parsePayload(data);
+    if (!payload) return;
+    const bids = Array.isArray(payload.b) ? payload.b : [];
+    const asks = Array.isArray(payload.a) ? payload.a : [];
+    const depth = {
+      lastUpdateId: Number(payload.u ?? Date.now()),
+      bids,
+      asks,
+    };
+    const levels = this.options?.levels ?? 10;
+    const ratio = this.options?.ratio ?? 3;
+    const stats = computeDepthStats(depth, levels, ratio);
+    this.snapshot = {
+      symbol: this.symbol,
+      buySum: stats.buySum,
+      sellSum: stats.sellSum,
+      skipBuySide: stats.skipBuySide,
+      skipSellSide: stats.skipSellSide,
+      imbalance: stats.imbalance,
+      updatedAt: Date.now(),
+    };
+    for (const listener of this.listeners) {
+      listener({ ...this.snapshot });
+    }
+  }
+
+  private parsePayload(data: unknown): { b?: [string, string][]; a?: [string, string][]; u?: number } | null {
+    try {
+      const text = typeof data === "string" ? data : Buffer.isBuffer(data) ? data.toString("utf-8") : null;
+      if (!text) return null;
+      const parsed = JSON.parse(text);
+      if (!parsed || typeof parsed !== "object") return null;
+      return parsed as { b?: [string, string][]; a?: [string, string][]; u?: number };
+    } catch {
+      return null;
+    }
+  }
+}
+