mirror of
https://github.com/discountry/ritmex-bot.git
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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.
This commit is contained in:
discountry
@@ -0,0 +1,913 @@
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import type { MakerPointsConfig } from "../config";
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import type { ExchangeAdapter } from "../exchanges/adapter";
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import type {
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AsterAccountSnapshot,
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AsterDepth,
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AsterOrder,
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AsterTicker,
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} from "../exchanges/types";
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import { formatPriceToString } from "../utils/math";
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import { createTradeLog, type TradeLogEntry } from "../logging/trade-log";
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import { extractMessage, isInsufficientBalanceError, isRateLimitError, isUnknownOrderError } from "../utils/errors";
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import { isOrderActiveStatus } from "../utils/order-status";
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import { getPosition, parseSymbolParts } from "../utils/strategy";
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import type { PositionSnapshot } from "../utils/strategy";
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import { computePositionPnl } from "../utils/pnl";
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import { getTopPrices } from "../utils/price";
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import {
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marketClose,
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placeOrder,
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unlockOperating,
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} from "../core/order-coordinator";
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import type { OrderLockMap, OrderPendingMap, OrderTimerMap } from "../core/order-coordinator";
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import { makeOrderPlan } from "../core/lib/order-plan";
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import { safeCancelOrder } from "../core/lib/orders";
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import { RateLimitController } from "../core/lib/rate-limit";
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import { StrategyEventEmitter } from "./common/event-emitter";
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import { safeSubscribe, type LogHandler } from "./common/subscriptions";
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import { SessionVolumeTracker } from "./common/session-volume";
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import { BinanceDepthTracker, type BinanceDepthSnapshot } from "./common/binance-depth";
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import { buildBpsTargets, computeDislocationBps } from "./maker-points-logic";
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import { t } from "../i18n";
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interface DesiredOrder {
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side: "BUY" | "SELL";
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price: string;
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amount: number;
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reduceOnly: boolean;
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}
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export interface MakerPointsSnapshot {
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ready: boolean;
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symbol: string;
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topBid: number | null;
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topAsk: number | null;
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spread: number | null;
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markPrice: number | null;
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dislocationBps: number | null;
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blockedBps: number;
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priceDecimals: number;
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position: PositionSnapshot;
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pnl: number;
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accountUnrealized: number;
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sessionVolume: number;
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openOrders: AsterOrder[];
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desiredOrders: DesiredOrder[];
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tradeLog: TradeLogEntry[];
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lastUpdated: number | null;
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feedStatus: {
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account: boolean;
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orders: boolean;
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depth: boolean;
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ticker: boolean;
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binance: boolean;
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};
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binanceDepth: BinanceDepthSnapshot | null;
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quoteStatus: {
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closeOnly: boolean;
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skipBuy: boolean;
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skipSell: boolean;
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};
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}
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type MakerPointsEvent = "update";
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type MakerPointsListener = (snapshot: MakerPointsSnapshot) => void;
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const EPS = 1e-5;
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const INSUFFICIENT_BALANCE_COOLDOWN_MS = 15_000;
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const DISLOCATION_THRESHOLD_BPS = 1;
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const STOP_LOSS_COOLDOWN_MS = 10_000;
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export class MakerPointsEngine {
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private accountSnapshot: AsterAccountSnapshot | null = null;
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private depthSnapshot: AsterDepth | null = null;
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private tickerSnapshot: AsterTicker | null = null;
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private openOrders: AsterOrder[] = [];
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private readonly locks: OrderLockMap = {};
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private readonly timers: OrderTimerMap = {};
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private readonly pending: OrderPendingMap = {};
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private readonly pendingCancelOrders = new Set<string>();
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private readonly tradeLog: ReturnType<typeof createTradeLog>;
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private readonly events = new StrategyEventEmitter<MakerPointsEvent, MakerPointsSnapshot>();
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private readonly sessionVolume = new SessionVolumeTracker();
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private readonly rateLimit: RateLimitController;
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private readonly binanceDepth: BinanceDepthTracker;
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private priceTick: number = 0.1;
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private qtyStep: number = 0.001;
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private precisionSync: Promise<void> | null = null;
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private timer: ReturnType<typeof setInterval> | null = null;
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private stopLossTimer: ReturnType<typeof setInterval> | null = null;
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private processing = false;
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private stopLossProcessing = false;
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private stopLossCooldownUntil = 0;
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private desiredOrders: DesiredOrder[] = [];
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private accountUnrealized = 0;
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private initialOrderSnapshotReady = false;
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private initialOrderResetDone = false;
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private entryPricePendingLogged = false;
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private lastDesiredSummary: string | null = null;
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private lastDislocationBlock = 0;
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private lastCloseOnly = false;
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private lastSkipBuy = false;
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private lastSkipSell = false;
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private lastQuoteBid1: number | null = null;
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private lastQuoteAsk1: number | null = null;
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private readinessLogged = {
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account: false,
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depth: false,
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ticker: false,
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orders: false,
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};
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private feedStatus = {
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account: false,
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depth: false,
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ticker: false,
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orders: false,
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binance: false,
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};
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private insufficientBalanceCooldownUntil = 0;
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private insufficientBalanceNotified = false;
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private lastInsufficientMessage: string | null = null;
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constructor(private readonly config: MakerPointsConfig, private readonly exchange: ExchangeAdapter) {
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this.tradeLog = createTradeLog(this.config.maxLogEntries);
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this.rateLimit = new RateLimitController(this.config.refreshIntervalMs, (type, detail) =>
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this.tradeLog.push(type, detail)
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);
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this.priceTick = Math.max(1e-9, this.config.priceTick);
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this.qtyStep = Math.max(1e-9, this.config.qtyStep);
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this.binanceDepth = new BinanceDepthTracker(resolveBinanceSymbol(this.config.symbol), {
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baseUrl: process.env.BINANCE_WS_URL,
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levels: 10,
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ratio: 3,
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logger: (context, error) => {
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this.tradeLog.push("warn", `Binance ${context} 异常: ${extractMessage(error)}`);
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},
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});
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this.binanceDepth.onUpdate(() => {
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this.feedStatus.binance = true;
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this.emitUpdate();
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});
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this.syncPrecision();
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this.bootstrap();
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}
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start(): void {
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if (this.timer) return;
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this.timer = setInterval(() => {
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void this.tick();
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}, this.config.refreshIntervalMs);
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if (!this.stopLossTimer) {
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this.stopLossTimer = setInterval(() => {
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void this.checkStopLoss();
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}, Math.max(500, this.config.refreshIntervalMs));
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}
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this.binanceDepth.start();
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}
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stop(): void {
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if (this.timer) {
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clearInterval(this.timer);
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this.timer = null;
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}
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if (this.stopLossTimer) {
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clearInterval(this.stopLossTimer);
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this.stopLossTimer = null;
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}
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this.binanceDepth.stop();
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}
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on(event: MakerPointsEvent, handler: MakerPointsListener): void {
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this.events.on(event, handler);
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}
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off(event: MakerPointsEvent, handler: MakerPointsListener): void {
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this.events.off(event, handler);
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}
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getSnapshot(): MakerPointsSnapshot {
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return this.buildSnapshot();
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}
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private bootstrap(): void {
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const log: LogHandler = (type, detail) => this.tradeLog.push(type, detail);
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safeSubscribe<AsterAccountSnapshot>(
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this.exchange.watchAccount.bind(this.exchange),
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(snapshot) => {
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this.accountSnapshot = snapshot;
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const totalUnrealized = Number(snapshot.totalUnrealizedProfit ?? "0");
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if (Number.isFinite(totalUnrealized)) {
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this.accountUnrealized = totalUnrealized;
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}
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const position = getPosition(snapshot, this.config.symbol);
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this.sessionVolume.update(position, this.getReferencePrice());
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this.feedStatus.account = true;
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this.emitUpdate();
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},
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log,
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{
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subscribeFail: (error) => t("log.subscribe.accountFail", { error: String(error) }),
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processFail: (error) => t("log.process.accountError", { error: String(error) }),
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}
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);
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safeSubscribe<AsterOrder[]>(
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this.exchange.watchOrders.bind(this.exchange),
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(orders) => {
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this.syncLocksWithOrders(orders);
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this.openOrders = Array.isArray(orders)
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? orders.filter(
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(order) =>
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order.type !== "MARKET" &&
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order.symbol === this.config.symbol &&
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isOrderActiveStatus(order.status)
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)
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: [];
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const currentIds = new Set(this.openOrders.map((order) => String(order.orderId)));
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for (const id of Array.from(this.pendingCancelOrders)) {
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if (!currentIds.has(id)) {
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this.pendingCancelOrders.delete(id);
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}
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}
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this.initialOrderSnapshotReady = true;
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this.feedStatus.orders = true;
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this.emitUpdate();
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},
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log,
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{
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subscribeFail: (error) => t("log.subscribe.orderFail", { error: String(error) }),
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processFail: (error) => t("log.process.orderError", { error: String(error) }),
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}
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);
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safeSubscribe<AsterDepth>(
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this.exchange.watchDepth.bind(this.exchange, this.config.symbol),
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(depth) => {
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this.depthSnapshot = depth;
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this.feedStatus.depth = true;
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this.emitUpdate();
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},
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log,
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{
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subscribeFail: (error) => t("log.subscribe.depthFail", { error: String(error) }),
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processFail: (error) => t("log.process.depthError", { error: String(error) }),
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}
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);
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safeSubscribe<AsterTicker>(
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this.exchange.watchTicker.bind(this.exchange, this.config.symbol),
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(ticker) => {
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this.tickerSnapshot = ticker;
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this.feedStatus.ticker = true;
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this.emitUpdate();
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},
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log,
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{
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subscribeFail: (error) => t("log.subscribe.tickerFail", { error: String(error) }),
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processFail: (error) => t("log.process.tickerError", { error: String(error) }),
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}
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);
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}
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private syncLocksWithOrders(orders: AsterOrder[] | null | undefined): void {
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const list = Array.isArray(orders) ? orders : [];
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Object.keys(this.pending).forEach((type) => {
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const pendingId = this.pending[type];
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if (!pendingId) return;
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const match = list.find((order) => String(order.orderId) === pendingId);
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if (!match || (match.status && match.status !== "NEW" && match.status !== "PARTIALLY_FILLED")) {
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unlockOperating(this.locks, this.timers, this.pending, type);
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}
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});
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}
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private isReady(): boolean {
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return Boolean(
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this.feedStatus.account &&
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this.feedStatus.depth &&
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this.feedStatus.ticker &&
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this.feedStatus.orders
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);
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}
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private async tick(): Promise<void> {
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if (this.processing) return;
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this.processing = true;
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let hadRateLimit = false;
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try {
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const decision = this.rateLimit.beforeCycle();
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if (decision === "paused") {
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this.emitUpdate();
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return;
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}
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if (decision === "skip") {
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return;
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}
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if (!this.isReady()) {
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this.logReadinessBlockers();
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this.emitUpdate();
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return;
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}
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this.resetReadinessFlags();
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if (!(await this.ensureStartupOrderReset())) {
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this.emitUpdate();
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return;
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}
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const depth = this.depthSnapshot!;
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const { topBid, topAsk } = getTopPrices(depth);
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if (topBid == null || topAsk == null) {
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this.emitUpdate();
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return;
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}
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const position = getPosition(this.accountSnapshot, this.config.symbol);
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const absPosition = Math.abs(position.positionAmt);
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const closeThreshold = Number(this.config.closeThreshold);
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const closeOnly =
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Number.isFinite(closeThreshold) &&
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closeThreshold > 0 &&
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absPosition >= closeThreshold - EPS;
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const prevCloseOnly = this.lastCloseOnly;
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if (closeOnly !== prevCloseOnly) {
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this.tradeLog.push("info", closeOnly ? "进入平仓模式，仅挂 reduce-only" : "退出平仓模式");
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this.lastCloseOnly = closeOnly;
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}
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const markPrice = this.getMarkPrice();
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const hasMarkPrice = Number.isFinite(markPrice) && (markPrice ?? 0) > 0;
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if (!hasMarkPrice && !closeOnly) {
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if (!this.entryPricePendingLogged) {
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this.tradeLog.push("info", "等待标记价格推送…");
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this.entryPricePendingLogged = true;
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}
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this.emitUpdate();
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return;
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}
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if (hasMarkPrice) {
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this.entryPricePendingLogged = false;
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}
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const resolvedMarkPrice = hasMarkPrice ? Number(markPrice) : 0;
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const dislocationBps = hasMarkPrice ? computeDislocationBps(resolvedMarkPrice, topBid, topAsk) : null;
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const blockBps =
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dislocationBps != null && dislocationBps > DISLOCATION_THRESHOLD_BPS
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? Math.floor(dislocationBps + 1e-9)
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: 0;
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const prevBlockBps = this.lastDislocationBlock;
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if (blockBps !== prevBlockBps) {
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if (blockBps > 0) {
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this.tradeLog.push("warn", `标记价偏离盘口 ${blockBps} bps，撤销该范围挂单`);
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} else if (prevBlockBps > 0) {
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this.tradeLog.push("info", "标记价偏离已恢复，恢复挂单");
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}
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this.lastDislocationBlock = blockBps;
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}
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const binanceSnapshot = this.binanceDepth.getSnapshot();
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const rawSkipBuy = Boolean(binanceSnapshot?.skipBuySide);
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const rawSkipSell = Boolean(binanceSnapshot?.skipSellSide);
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const skipBuy = closeOnly ? false : rawSkipBuy;
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const skipSell = closeOnly ? false : rawSkipSell;
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const prevSkipBuy = this.lastSkipBuy;
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const prevSkipSell = this.lastSkipSell;
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if (skipBuy !== prevSkipBuy || skipSell !== prevSkipSell) {
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if (skipBuy || skipSell) {
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const summary = `${skipBuy ? "BUY" : ""}${skipBuy && skipSell ? "/" : ""}${skipSell ? "SELL" : ""}`;
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this.tradeLog.push("info", `Binance 深度失衡，暂停 ${summary} 挂单`);
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} else {
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this.tradeLog.push("info", "Binance 深度恢复，继续挂单");
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}
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this.lastSkipBuy = skipBuy;
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this.lastSkipSell = skipSell;
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}
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const blockChanged = blockBps !== prevBlockBps;
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const closeOnlyChanged = closeOnly !== prevCloseOnly;
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const skipChanged = skipBuy !== prevSkipBuy || skipSell !== prevSkipSell;
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const repriceNeeded = closeOnly ? true : this.shouldReprice(topBid, topAsk);
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const shouldRecompute =
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closeOnly ||
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repriceNeeded ||
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blockChanged ||
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closeOnlyChanged ||
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skipChanged ||
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this.desiredOrders.length === 0;
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const desired = shouldRecompute
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? closeOnly
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? this.buildCloseOnlyOrders(position, topBid, topAsk)
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: this.buildDesiredOrders({
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bid1: topBid,
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ask1: topAsk,
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markPrice: resolvedMarkPrice,
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blockBps,
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skipBuy,
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skipSell,
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})
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: this.desiredOrders;
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if (shouldRecompute) {
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if (closeOnly) {
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this.lastQuoteBid1 = null;
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this.lastQuoteAsk1 = null;
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} else {
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this.lastQuoteBid1 = topBid;
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this.lastQuoteAsk1 = topAsk;
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}
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}
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this.desiredOrders = desired;
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this.logDesiredOrders(desired);
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this.sessionVolume.update(position, this.getReferencePrice());
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await this.syncOrders(desired, resolvedMarkPrice, closeOnly);
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this.emitUpdate();
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} catch (error) {
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if (isRateLimitError(error)) {
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hadRateLimit = true;
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this.rateLimit.registerRateLimit("maker-points");
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this.tradeLog.push("warn", `限频触发，暂停挂单: ${extractMessage(error)}`);
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} else {
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this.tradeLog.push("error", `MakerPoints 主循环异常: ${extractMessage(error)}`);
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}
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this.emitUpdate();
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} finally {
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this.rateLimit.onCycleComplete(hadRateLimit);
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this.processing = false;
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}
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}
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private buildDesiredOrders(params: {
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bid1: number;
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ask1: number;
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markPrice: number;
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blockBps: number;
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skipBuy: boolean;
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skipSell: boolean;
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}): DesiredOrder[] {
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const { bid1, ask1, markPrice, blockBps, skipBuy, skipSell } = params;
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const amount = Number(this.config.perOrderAmount);
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if (!Number.isFinite(amount) || amount <= 0) return [];
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const targets = buildBpsTargets({
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band0To10: this.config.enableBand0To10,
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band10To30: this.config.enableBand10To30,
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band30To100: this.config.enableBand30To100,
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}).sort((a, b) => b - a);
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if (!targets.length) return [];
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|
||||
const priceDecimals = this.getPriceDecimals();
|
||||
const desired: DesiredOrder[] = [];
|
||||
|
||||
for (const bps of targets) {
|
||||
if (!skipBuy) {
|
||||
const price = bid1 * (1 - bps / 10000);
|
||||
const distanceBps = (markPrice - price) / markPrice * 10000;
|
||||
if (
|
||||
Number.isFinite(price) &&
|
||||
price > 0 &&
|
||||
(!Number.isFinite(distanceBps) || distanceBps > blockBps)
|
||||
) {
|
||||
desired.push({
|
||||
side: "BUY",
|
||||
price: formatPriceToString(price, priceDecimals),
|
||||
amount,
|
||||
reduceOnly: false,
|
||||
});
|
||||
}
|
||||
}
|
||||
if (!skipSell) {
|
||||
const price = ask1 * (1 + bps / 10000);
|
||||
const distanceBps = (price - markPrice) / markPrice * 10000;
|
||||
if (
|
||||
Number.isFinite(price) &&
|
||||
price > 0 &&
|
||||
(!Number.isFinite(distanceBps) || distanceBps > blockBps)
|
||||
) {
|
||||
desired.push({
|
||||
side: "SELL",
|
||||
price: formatPriceToString(price, priceDecimals),
|
||||
amount,
|
||||
reduceOnly: false,
|
||||
});
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
return desired;
|
||||
}
|
||||
|
||||
private buildCloseOnlyOrders(
|
||||
position: PositionSnapshot,
|
||||
bid1: number,
|
||||
ask1: number
|
||||
): DesiredOrder[] {
|
||||
const absPosition = Math.abs(position.positionAmt);
|
||||
if (absPosition < EPS) return [];
|
||||
const priceDecimals = this.getPriceDecimals();
|
||||
if (position.positionAmt > 0) {
|
||||
return [
|
||||
{
|
||||
side: "SELL",
|
||||
price: formatPriceToString(bid1, priceDecimals),
|
||||
amount: absPosition,
|
||||
reduceOnly: true,
|
||||
},
|
||||
];
|
||||
}
|
||||
return [
|
||||
{
|
||||
side: "BUY",
|
||||
price: formatPriceToString(ask1, priceDecimals),
|
||||
amount: absPosition,
|
||||
reduceOnly: true,
|
||||
},
|
||||
];
|
||||
}
|
||||
|
||||
private shouldReprice(bid1: number, ask1: number): boolean {
|
||||
const threshold = Number(this.config.minRepriceBps);
|
||||
if (!Number.isFinite(threshold) || threshold <= 0) return true;
|
||||
if (!Number.isFinite(bid1) || !Number.isFinite(ask1)) return false;
|
||||
if (!Number.isFinite(this.lastQuoteBid1 ?? NaN) || !Number.isFinite(this.lastQuoteAsk1 ?? NaN)) {
|
||||
return true;
|
||||
}
|
||||
if ((this.lastQuoteBid1 ?? 0) <= 0 || (this.lastQuoteAsk1 ?? 0) <= 0) return true;
|
||||
const bidMove = Math.abs(bid1 - (this.lastQuoteBid1 ?? bid1)) / (this.lastQuoteBid1 ?? bid1) * 10000;
|
||||
const askMove = Math.abs(ask1 - (this.lastQuoteAsk1 ?? ask1)) / (this.lastQuoteAsk1 ?? ask1) * 10000;
|
||||
return bidMove >= threshold || askMove >= threshold;
|
||||
}
|
||||
|
||||
private async ensureStartupOrderReset(): Promise<boolean> {
|
||||
if (this.initialOrderResetDone) return true;
|
||||
if (!this.initialOrderSnapshotReady) return false;
|
||||
if (!this.openOrders.length) {
|
||||
this.initialOrderResetDone = true;
|
||||
return true;
|
||||
}
|
||||
try {
|
||||
await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
|
||||
this.pendingCancelOrders.clear();
|
||||
unlockOperating(this.locks, this.timers, this.pending, "LIMIT");
|
||||
this.openOrders = [];
|
||||
this.emitUpdate();
|
||||
this.tradeLog.push("order", "启动时清理历史挂单");
|
||||
this.initialOrderResetDone = true;
|
||||
return true;
|
||||
} catch (error) {
|
||||
if (isUnknownOrderError(error)) {
|
||||
this.tradeLog.push("order", "历史挂单已消失，跳过启动清理");
|
||||
this.initialOrderResetDone = true;
|
||||
this.openOrders = [];
|
||||
this.emitUpdate();
|
||||
return true;
|
||||
}
|
||||
this.tradeLog.push("error", `启动撤单失败: ${String(error)}`);
|
||||
return false;
|
||||
}
|
||||
}
|
||||
|
||||
private async syncOrders(targets: DesiredOrder[], markPrice: number, closeOnly: boolean): Promise<void> {
|
||||
const availableOrders = this.openOrders.filter((o) => !this.pendingCancelOrders.has(String(o.orderId)));
|
||||
const openOrders = availableOrders.filter((order) => isOrderActiveStatus(order.status));
|
||||
const { toCancel, toPlace } = makeOrderPlan(openOrders, targets);
|
||||
|
||||
for (const order of toCancel) {
|
||||
if (this.pendingCancelOrders.has(String(order.orderId))) continue;
|
||||
this.pendingCancelOrders.add(String(order.orderId));
|
||||
await safeCancelOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
order,
|
||||
() => {
|
||||
this.tradeLog.push(
|
||||
"order",
|
||||
`撤销不匹配订单 ${order.side} @ ${order.price} reduceOnly=${order.reduceOnly}`
|
||||
);
|
||||
},
|
||||
() => {
|
||||
this.tradeLog.push("order", "撤销时发现订单已被成交/取消，忽略");
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
},
|
||||
(error) => {
|
||||
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
}
|
||||
);
|
||||
}
|
||||
|
||||
const insufficientActive = this.applyInsufficientBalanceState(Date.now());
|
||||
if (this.rateLimit.shouldBlockEntries() || insufficientActive) {
|
||||
return;
|
||||
}
|
||||
|
||||
for (const target of toPlace) {
|
||||
if (!target) continue;
|
||||
if (target.amount < EPS) continue;
|
||||
try {
|
||||
await placeOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
target.side,
|
||||
target.price,
|
||||
target.amount,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
target.reduceOnly,
|
||||
closeOnly
|
||||
? undefined
|
||||
: {
|
||||
markPrice,
|
||||
maxPct: this.config.maxCloseSlippagePct,
|
||||
},
|
||||
{
|
||||
priceTick: this.priceTick,
|
||||
qtyStep: this.qtyStep,
|
||||
}
|
||||
);
|
||||
} catch (error) {
|
||||
if (isInsufficientBalanceError(error)) {
|
||||
this.registerInsufficientBalance(error);
|
||||
break;
|
||||
}
|
||||
this.tradeLog.push(
|
||||
"error",
|
||||
`挂单失败 ${target.side} @ ${target.price}: ${extractMessage(error)}`
|
||||
);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private async checkStopLoss(): Promise<void> {
|
||||
if (this.stopLossProcessing) return;
|
||||
const lossLimit = Number(this.config.stopLossUsd);
|
||||
if (!Number.isFinite(lossLimit) || lossLimit <= 0) return;
|
||||
if (!this.accountSnapshot) return;
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const absPosition = Math.abs(position.positionAmt);
|
||||
if (absPosition < EPS) return;
|
||||
if (!Number.isFinite(position.unrealizedProfit)) return;
|
||||
|
||||
const now = Date.now();
|
||||
if (now < this.stopLossCooldownUntil) return;
|
||||
if (position.unrealizedProfit > -lossLimit) return;
|
||||
|
||||
this.stopLossProcessing = true;
|
||||
this.stopLossCooldownUntil = now + STOP_LOSS_COOLDOWN_MS;
|
||||
this.tradeLog.push(
|
||||
"stop",
|
||||
`触发止损: 未实现亏损 ${position.unrealizedProfit.toFixed(4)} USDT`
|
||||
);
|
||||
try {
|
||||
await this.flushOrders();
|
||||
await marketClose(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
this.openOrders,
|
||||
this.locks,
|
||||
this.timers,
|
||||
this.pending,
|
||||
position.positionAmt > 0 ? "SELL" : "BUY",
|
||||
absPosition,
|
||||
(type, detail) => this.tradeLog.push(type, detail),
|
||||
undefined,
|
||||
{ qtyStep: this.qtyStep }
|
||||
);
|
||||
} catch (error) {
|
||||
if (isUnknownOrderError(error)) {
|
||||
this.tradeLog.push("order", "止损平仓时订单已不存在");
|
||||
} else {
|
||||
this.tradeLog.push("error", `止损平仓失败: ${extractMessage(error)}`);
|
||||
}
|
||||
} finally {
|
||||
this.stopLossProcessing = false;
|
||||
this.emitUpdate();
|
||||
}
|
||||
}
|
||||
|
||||
private async flushOrders(): Promise<void> {
|
||||
if (!this.openOrders.length) return;
|
||||
for (const order of this.openOrders) {
|
||||
if (this.pendingCancelOrders.has(String(order.orderId))) continue;
|
||||
this.pendingCancelOrders.add(String(order.orderId));
|
||||
await safeCancelOrder(
|
||||
this.exchange,
|
||||
this.config.symbol,
|
||||
order,
|
||||
() => {
|
||||
// No log on successful cancel
|
||||
},
|
||||
() => {
|
||||
this.tradeLog.push("order", "撤销时发现订单已被成交/取消，忽略");
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
},
|
||||
(error) => {
|
||||
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
|
||||
this.pendingCancelOrders.delete(String(order.orderId));
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
}
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
private syncPrecision(): void {
|
||||
if (this.precisionSync) return;
|
||||
const getPrecision = this.exchange.getPrecision?.bind(this.exchange);
|
||||
if (!getPrecision) return;
|
||||
this.precisionSync = getPrecision()
|
||||
.then((precision) => {
|
||||
if (!precision) return;
|
||||
let updated = false;
|
||||
if (Number.isFinite(precision.priceTick) && precision.priceTick > 0) {
|
||||
if (Math.abs(precision.priceTick - this.priceTick) > 1e-12) {
|
||||
this.priceTick = precision.priceTick;
|
||||
this.config.priceTick = precision.priceTick;
|
||||
updated = true;
|
||||
}
|
||||
}
|
||||
if (Number.isFinite(precision.qtyStep) && precision.qtyStep > 0) {
|
||||
if (Math.abs(precision.qtyStep - this.qtyStep) > 1e-12) {
|
||||
this.qtyStep = precision.qtyStep;
|
||||
updated = true;
|
||||
}
|
||||
}
|
||||
if (updated) {
|
||||
this.tradeLog.push(
|
||||
"info",
|
||||
t("log.common.precisionSynced", {
|
||||
priceTick: precision.priceTick,
|
||||
qtyStep: precision.qtyStep,
|
||||
})
|
||||
);
|
||||
}
|
||||
})
|
||||
.catch((error) => {
|
||||
this.tradeLog.push("error", t("log.common.precisionFailed", { error: extractMessage(error) }));
|
||||
this.precisionSync = null;
|
||||
setTimeout(() => this.syncPrecision(), 2000);
|
||||
});
|
||||
}
|
||||
|
||||
private getPriceDecimals(): number {
|
||||
const tick = Math.max(1e-9, this.priceTick);
|
||||
const raw = Math.log10(1 / tick);
|
||||
if (!Number.isFinite(raw)) return 0;
|
||||
return Math.max(0, Math.floor(raw + 1e-9));
|
||||
}
|
||||
|
||||
private emitUpdate(): void {
|
||||
try {
|
||||
const snapshot = this.buildSnapshot();
|
||||
this.events.emit("update", snapshot, (error) => {
|
||||
this.tradeLog.push("error", `更新监听异常: ${String(error)}`);
|
||||
});
|
||||
} catch (err) {
|
||||
this.tradeLog.push("error", `快照生成异常: ${String(err)}`);
|
||||
}
|
||||
}
|
||||
|
||||
private buildSnapshot(): MakerPointsSnapshot {
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
|
||||
const spread = topBid != null && topAsk != null ? topAsk - topBid : null;
|
||||
const markPrice = this.getMarkPrice();
|
||||
const dislocationBps = computeDislocationBps(markPrice, topBid, topAsk);
|
||||
const blockBps =
|
||||
dislocationBps != null && dislocationBps > DISLOCATION_THRESHOLD_BPS
|
||||
? Math.floor(dislocationBps + 1e-9)
|
||||
: 0;
|
||||
const pnl = computePositionPnl(position, topBid, topAsk);
|
||||
|
||||
return {
|
||||
ready: this.isReady(),
|
||||
symbol: this.config.symbol,
|
||||
topBid,
|
||||
topAsk,
|
||||
spread,
|
||||
markPrice,
|
||||
dislocationBps,
|
||||
blockedBps: blockBps,
|
||||
priceDecimals: this.getPriceDecimals(),
|
||||
position,
|
||||
pnl,
|
||||
accountUnrealized: this.accountUnrealized,
|
||||
sessionVolume: this.sessionVolume.value,
|
||||
openOrders: this.openOrders,
|
||||
desiredOrders: this.desiredOrders,
|
||||
tradeLog: this.tradeLog.all(),
|
||||
lastUpdated: Date.now(),
|
||||
feedStatus: { ...this.feedStatus },
|
||||
binanceDepth: this.binanceDepth.getSnapshot(),
|
||||
quoteStatus: {
|
||||
closeOnly: this.lastCloseOnly,
|
||||
skipBuy: this.lastSkipBuy,
|
||||
skipSell: this.lastSkipSell,
|
||||
},
|
||||
};
|
||||
}
|
||||
|
||||
private getReferencePrice(): number | null {
|
||||
const mark = Number(this.tickerSnapshot?.markPrice);
|
||||
if (Number.isFinite(mark) && mark > 0) return mark;
|
||||
const last = Number(this.tickerSnapshot?.lastPrice);
|
||||
return Number.isFinite(last) && last > 0 ? last : null;
|
||||
}
|
||||
|
||||
private getMarkPrice(): number | null {
|
||||
const mark = Number(this.tickerSnapshot?.markPrice);
|
||||
if (Number.isFinite(mark) && mark > 0) return mark;
|
||||
const positionMark = Number(getPosition(this.accountSnapshot, this.config.symbol).markPrice);
|
||||
if (Number.isFinite(positionMark) && positionMark > 0) return positionMark;
|
||||
const last = Number(this.tickerSnapshot?.lastPrice);
|
||||
return Number.isFinite(last) && last > 0 ? last : null;
|
||||
}
|
||||
|
||||
private logReadinessBlockers(): void {
|
||||
if (!this.feedStatus.account && !this.readinessLogged.account) {
|
||||
this.tradeLog.push("info", t("log.maker.waitAccount"));
|
||||
this.readinessLogged.account = true;
|
||||
}
|
||||
if (!this.feedStatus.depth && !this.readinessLogged.depth) {
|
||||
this.tradeLog.push("info", t("log.maker.waitDepth"));
|
||||
this.readinessLogged.depth = true;
|
||||
}
|
||||
if (!this.feedStatus.ticker && !this.readinessLogged.ticker) {
|
||||
this.tradeLog.push("info", t("log.maker.waitTicker"));
|
||||
this.readinessLogged.ticker = true;
|
||||
}
|
||||
if (!this.feedStatus.orders && !this.readinessLogged.orders) {
|
||||
this.tradeLog.push("info", t("log.maker.waitOrders"));
|
||||
this.readinessLogged.orders = true;
|
||||
}
|
||||
}
|
||||
|
||||
private resetReadinessFlags(): void {
|
||||
this.readinessLogged = {
|
||||
account: false,
|
||||
depth: false,
|
||||
ticker: false,
|
||||
orders: false,
|
||||
};
|
||||
}
|
||||
|
||||
private logDesiredOrders(desired: DesiredOrder[]): void {
|
||||
if (!desired.length) {
|
||||
if (this.lastDesiredSummary !== "none") {
|
||||
this.tradeLog.push("info", "暂无目标挂单");
|
||||
this.lastDesiredSummary = "none";
|
||||
}
|
||||
return;
|
||||
}
|
||||
const summary = desired
|
||||
.map((order) => `${order.side}@${order.price}${order.reduceOnly ? "(RO)" : ""}`)
|
||||
.join(" | ");
|
||||
if (summary !== this.lastDesiredSummary) {
|
||||
this.tradeLog.push("info", `目标挂单: ${summary}`);
|
||||
this.lastDesiredSummary = summary;
|
||||
}
|
||||
}
|
||||
|
||||
private registerInsufficientBalance(error: unknown): void {
|
||||
const now = Date.now();
|
||||
const detail = extractMessage(error);
|
||||
const alreadyActive = now < this.insufficientBalanceCooldownUntil;
|
||||
if (alreadyActive && detail === this.lastInsufficientMessage) {
|
||||
this.insufficientBalanceCooldownUntil = now + INSUFFICIENT_BALANCE_COOLDOWN_MS;
|
||||
return;
|
||||
}
|
||||
this.insufficientBalanceCooldownUntil = now + INSUFFICIENT_BALANCE_COOLDOWN_MS;
|
||||
this.lastInsufficientMessage = detail;
|
||||
const seconds = Math.ceil(INSUFFICIENT_BALANCE_COOLDOWN_MS / 1000);
|
||||
this.tradeLog.push("warn", `余额不足，暂停挂单 ${seconds}s: ${detail}`);
|
||||
this.insufficientBalanceNotified = true;
|
||||
}
|
||||
|
||||
private applyInsufficientBalanceState(now: number): boolean {
|
||||
const active = now < this.insufficientBalanceCooldownUntil;
|
||||
if (!active && this.insufficientBalanceNotified) {
|
||||
this.tradeLog.push("info", "余额恢复，继续挂单");
|
||||
this.insufficientBalanceNotified = false;
|
||||
this.lastInsufficientMessage = null;
|
||||
}
|
||||
return active;
|
||||
}
|
||||
}
|
||||
|
||||
function resolveBinanceSymbol(symbol: string): string {
|
||||
const parts = parseSymbolParts(symbol);
|
||||
const base = (parts.base ?? symbol).replace(/[^a-zA-Z0-9]/g, "").toUpperCase();
|
||||
return base ? `${base}USDT` : "BTCUSDT";
|
||||
}
|
||||
Reference in New Issue
Block a user