更新 MakerEngine、OffsetMakerEngine 和 TrendEngine，重构订单同步逻辑，优化撤单和止损判断，新增订单计划生成和安全撤单功能，提升代码可读性和维护性。

2026-09-09 08:18:07 +00:00 · 2025-09-24 04:33:08 +08:00
parent 6f05ee0da3
commit 7eddc3b88c
9 changed files with 272 additions and 199 deletions
@@ -0,0 +1,47 @@
+import type { AsterOrder } from "../../exchanges/types";
+
+export interface OrderTarget {
+  side: "BUY" | "SELL";
+  price: number;
+  amount: number;
+  reduceOnly: boolean;
+}
+
+export function makeOrderPlan(
+  openOrders: AsterOrder[],
+  targets: OrderTarget[],
+  tolerance: number
+): { toCancel: AsterOrder[]; toPlace: OrderTarget[] } {
+  const unmatched = new Set(targets.map((_, idx) => idx));
+  const toCancel: AsterOrder[] = [];
+
+  for (const order of openOrders) {
+    const price = Number(order.price);
+    if (!Number.isFinite(price)) {
+      toCancel.push(order);
+      continue;
+    }
+    const reduceOnly = order.reduceOnly === true;
+    const matchedIndex = targets.findIndex((target, index) => {
+      return (
+        unmatched.has(index) &&
+        target.side === order.side &&
+        target.reduceOnly === reduceOnly &&
+        Math.abs(price - target.price) <= tolerance
+      );
+    });
+    if (matchedIndex >= 0) {
+      unmatched.delete(matchedIndex);
+    } else {
+      toCancel.push(order);
+    }
+  }
+
+  const toPlace = [...unmatched]
+    .map((idx) => targets[idx])
+    .filter((t): t is OrderTarget => t !== undefined && t.amount > 1e-5);
+
+  return { toCancel, toPlace };
+}
+
+
@@ -0,0 +1,22 @@
+import type { ExchangeAdapter } from "../../exchanges/adapter";
+import type { AsterOrder } from "../../exchanges/types";
+import { isUnknownOrderError } from "../../utils/errors";
+
+export async function safeCancelOrder(
+  exchange: ExchangeAdapter,
+  symbol: string,
+  order: AsterOrder,
+  onResolved: (orderId: number) => void,
+  onUnknown: () => void,
+  onError: (err: unknown) => void
+): Promise<void> {
+  try {
+    await exchange.cancelOrder({ symbol, orderId: order.orderId });
+    onResolved(order.orderId);
+  } catch (error) {
+    if (isUnknownOrderError(error)) onUnknown();
+    else onError(error);
+  }
+}
+
+
@@ -10,12 +10,17 @@ import { toPrice1Decimal } from "../utils/math";
 import { createTradeLog, type TradeLogEntry } from "../state/trade-log";
 import { isUnknownOrderError } from "../utils/errors";
 import { getPosition, type PositionSnapshot } from "../utils/strategy";
+import { computePositionPnl } from "../utils/pnl";
+import { getTopPrices, getMidOrLast } from "../utils/price";
+import { shouldStopLoss } from "../utils/risk";
 import {
  marketClose,
  placeOrder,
  unlockOperating,
 } from "./order-coordinator";
 import type { OrderLockMap, OrderPendingMap, OrderTimerMap } from "./order-coordinator";
+import { makeOrderPlan } from "./lib/order-plan";
+import { safeCancelOrder } from "./lib/orders";

 interface DesiredOrder {
  side: "BUY" | "SELL";
@@ -221,17 +226,14 @@ export class MakerEngine {
      }

      const depth = this.depthSnapshot!;
-      const bidLevel = depth.bids?.[0];
-      const askLevel = depth.asks?.[0];
-      const topBid = bidLevel ? Number(bidLevel[0]) : undefined;
-      const topAsk = askLevel ? Number(askLevel[0]) : undefined;
-      if (!Number.isFinite(topBid) || !Number.isFinite(topAsk)) {
+      const { topBid, topAsk } = getTopPrices(depth);
+      if (topBid == null || topAsk == null) {
        this.emitUpdate();
        return;
      }

-      const bidPrice = toPrice1Decimal(topBid! - this.config.bidOffset);
-      const askPrice = toPrice1Decimal(topAsk! + this.config.askOffset);
+      const bidPrice = toPrice1Decimal(topBid - this.config.bidOffset);
+      const askPrice = toPrice1Decimal(topAsk + this.config.askOffset);
      const position = getPosition(this.accountSnapshot, this.config.symbol);
      const absPosition = Math.abs(position.positionAmt);
      const desired: DesiredOrder[] = [];
@@ -290,52 +292,36 @@ export class MakerEngine {

  private async syncOrders(targets: DesiredOrder[]): Promise<void> {
    const tolerance = this.config.priceChaseThreshold;
-    const unmatched = new Set(targets.map((_, idx) => idx));
-    const toCancel: AsterOrder[] = [];
-
-    for (const order of this.openOrders) {
-      const price = Number(order.price);
-      if (!Number.isFinite(price)) {
-        toCancel.push(order);
-        continue;
-      }
-      const reduceOnly = order.reduceOnly === true;
-      if (this.pendingCancelOrders.has(order.orderId)) {
-        continue;
-      }
-      const matchedIndex = targets.findIndex((target, index) => {
-        if (!unmatched.has(index)) return false;
-        if (target.side !== order.side) return false;
-        if (target.reduceOnly !== reduceOnly) return false;
-        return Math.abs(price - target.price) <= tolerance;
-      });
-      if (matchedIndex >= 0) {
-        unmatched.delete(matchedIndex);
-        continue;
-      }
-      toCancel.push(order);
-    }
+    const availableOrders = this.openOrders.filter((o) => !this.pendingCancelOrders.has(o.orderId));
+    const { toCancel, toPlace } = makeOrderPlan(availableOrders, targets, tolerance);

    for (const order of toCancel) {
+      if (this.pendingCancelOrders.has(order.orderId)) continue;
      this.pendingCancelOrders.add(order.orderId);
-      try {
-        await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: order.orderId });
-        this.tradeLog.push("order", `撤销不匹配订单 ${order.side} @ ${order.price} reduceOnly=${order.reduceOnly}`);
-      } catch (error) {
-        if (isUnknownOrderError(error)) {
+      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(order.orderId);
          this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
-        } else {
+        },
+        (error) => {
          this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
          this.pendingCancelOrders.delete(order.orderId);
          this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
        }
-      }
+      );
    }

-    for (const index of unmatched) {
-      const target = targets[index];
+    for (const target of toPlace) {
      if (!target) continue;
      if (target.amount < EPS) continue;
      try {
@@ -376,20 +362,10 @@ export class MakerEngine {
    }
    this.entryPricePendingLogged = false;

-    const pnl = position.positionAmt > 0
-      ? (bidPrice - position.entryPrice) * absPosition
-      : (position.entryPrice - askPrice) * absPosition;
-    const unrealized = Number.isFinite(position.unrealizedProfit)
-      ? position.unrealizedProfit
-      : null;
-    const derivedLoss = pnl < -this.config.lossLimit;
-    const snapshotLoss = Boolean(
-      unrealized != null &&
-        unrealized < -this.config.lossLimit &&
-        pnl <= 0
-    );
+    const pnl = computePositionPnl(position, bidPrice, askPrice);
+    const triggerStop = shouldStopLoss(position, bidPrice, askPrice, this.config.lossLimit);

-    if (derivedLoss || snapshotLoss) {
+    if (triggerStop) {
      // 价格操纵保护：只有平仓方向价格与标记价格在阈值内才允许市价平仓
      const closeSideIsSell = position.positionAmt > 0;
      const closeSidePrice = closeSideIsSell ? bidPrice : askPrice;
@@ -430,20 +406,24 @@ export class MakerEngine {
    for (const order of this.openOrders) {
      if (this.pendingCancelOrders.has(order.orderId)) continue;
      this.pendingCancelOrders.add(order.orderId);
-      try {
-        await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: order.orderId });
-      } catch (error) {
-        if (isUnknownOrderError(error)) {
+      await safeCancelOrder(
+        this.exchange,
+        this.config.symbol,
+        order,
+        () => {
+          // 成功撤销不记录日志，保持现有行为
+        },
+        () => {
          this.tradeLog.push("order", "订单已不存在，撤销跳过");
          this.pendingCancelOrders.delete(order.orderId);
          this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
-        } else {
+        },
+        (error) => {
          this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
          this.pendingCancelOrders.delete(order.orderId);
-          // 与偏移做市保持一致：移除本地缓存中的异常订单，等待订单流推送重建
          this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
        }
-      }
+      );
    }
  }

@@ -467,23 +447,15 @@ export class MakerEngine {

  private buildSnapshot(): MakerEngineSnapshot {
    const position = getPosition(this.accountSnapshot, this.config.symbol);
-    const bid = this.depthSnapshot?.bids?.[0]?.[0];
-    const ask = this.depthSnapshot?.asks?.[0]?.[0];
-    const bidNum = Number(bid);
-    const askNum = Number(ask);
-    const spread = Number.isFinite(bidNum) && Number.isFinite(askNum) ? askNum - bidNum : null;
-    const priceForPnl = position.positionAmt > 0 ? bidNum : askNum;
-    const pnl = Number.isFinite(priceForPnl)
-      ? (position.positionAmt > 0
-          ? (priceForPnl! - position.entryPrice) * Math.abs(position.positionAmt)
-          : (position.entryPrice - priceForPnl!) * Math.abs(position.positionAmt))
-      : 0;
+    const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
+    const spread = topBid != null && topAsk != null ? topAsk - topBid : null;
+    const pnl = computePositionPnl(position, topBid, topAsk);

    return {
      ready: this.isReady(),
      symbol: this.config.symbol,
-      topBid: Number.isFinite(bidNum) ? bidNum : null,
-      topAsk: Number.isFinite(askNum) ? askNum : null,
+      topBid: topBid,
+      topAsk: topAsk,
      spread,
      position,
      pnl,
@@ -515,14 +487,6 @@ export class MakerEngine {
  }

  private getReferencePrice(): number | null {
-    const bid = Number(this.depthSnapshot?.bids?.[0]?.[0]);
-    const ask = Number(this.depthSnapshot?.asks?.[0]?.[0]);
-    if (Number.isFinite(bid) && Number.isFinite(ask)) return (bid + ask) / 2;
-    if (this.tickerSnapshot) {
-      const last = Number(this.tickerSnapshot.lastPrice);
-      if (Number.isFinite(last)) return last;
-    }
-    return null;
+    return getMidOrLast(this.depthSnapshot, this.tickerSnapshot);
  }
-
 }
@@ -10,6 +10,10 @@ import { toPrice1Decimal } from "../utils/math";
 import { createTradeLog } from "../state/trade-log";
 import { isUnknownOrderError } from "../utils/errors";
 import { getPosition, type PositionSnapshot } from "../utils/strategy";
+import { computeDepthStats } from "../utils/depth";
+import { computePositionPnl } from "../utils/pnl";
+import { getTopPrices, getMidOrLast } from "../utils/price";
+import { shouldStopLoss } from "../utils/risk";
 import {
  marketClose,
  placeOrder,
@@ -17,6 +21,8 @@ import {
 } from "./order-coordinator";
 import type { OrderLockMap, OrderPendingMap, OrderTimerMap } from "./order-coordinator";
 import type { MakerEngineSnapshot } from "./maker-engine";
+import { makeOrderPlan } from "./lib/order-plan";
+import { safeCancelOrder } from "./lib/orders";

 interface DesiredOrder {
  side: "BUY" | "SELL";
@@ -219,11 +225,8 @@ export class OffsetMakerEngine {
      }

      const depth = this.depthSnapshot!;
-      const bidLevel = depth.bids?.[0];
-      const askLevel = depth.asks?.[0];
-      const topBid = bidLevel ? Number(bidLevel[0]) : undefined;
-      const topAsk = askLevel ? Number(askLevel[0]) : undefined;
-      if (!Number.isFinite(topBid) || !Number.isFinite(topAsk)) {
+      const { topBid, topAsk } = getTopPrices(depth);
+      if (topBid == null || topAsk == null) {
        this.emitUpdate();
        return;
      }
@@ -310,27 +313,8 @@ export class OffsetMakerEngine {
    skipSellSide: boolean;
    imbalance: "balanced" | "buy_dominant" | "sell_dominant";
  } {
-    const topBids = (depth.bids ?? []).slice(0, 10);
-    const topAsks = (depth.asks ?? []).slice(0, 10);
-    const buySum = topBids.reduce((total, [price, qty]) => {
-      const size = Number(qty);
-      return Number.isFinite(size) ? total + size : total;
-    }, 0);
-    const sellSum = topAsks.reduce((total, [price, qty]) => {
-      const size = Number(qty);
-      return Number.isFinite(size) ? total + size : total;
-    }, 0);
-
-    const skipSellSide = sellSum === 0 || sellSum * 3 < buySum;
-    const skipBuySide = buySum === 0 || buySum * 3 < sellSum;
-    let imbalance: "balanced" | "buy_dominant" | "sell_dominant" = "balanced";
-    if (buySum > sellSum * 3) {
-      imbalance = "buy_dominant";
-    } else if (sellSum > buySum * 3) {
-      imbalance = "sell_dominant";
-    }
-
-    return { buySum, sellSum, skipBuySide, skipSellSide, imbalance };
+    // Keep existing behavior: 10 levels, ratio threshold 3x
+    return computeDepthStats(depth, 10, 3);
  }

  private async handleImbalanceExit(
@@ -384,53 +368,38 @@ export class OffsetMakerEngine {

  private async syncOrders(targets: DesiredOrder[]): Promise<void> {
    const tolerance = this.config.priceChaseThreshold;
-    const unmatched = new Set(targets.map((_, idx) => idx));
-    const toCancel: AsterOrder[] = [];
-
-    for (const order of this.openOrders) {
-      const price = Number(order.price);
-      if (!Number.isFinite(price)) {
-        toCancel.push(order);
-        continue;
-      }
-      const reduceOnly = order.reduceOnly === true;
-      if (this.pendingCancelOrders.has(order.orderId)) {
-        continue;
-      }
-      const matchedIndex = targets.findIndex((target, index) => {
-        if (!unmatched.has(index)) return false;
-        if (target.side !== order.side) return false;
-        if (target.reduceOnly !== reduceOnly) return false;
-        return Math.abs(price - target.price) <= tolerance;
-      });
-      if (matchedIndex >= 0) {
-        unmatched.delete(matchedIndex);
-        continue;
-      }
-      toCancel.push(order);
-    }
+    const availableOrders = this.openOrders.filter((o) => !this.pendingCancelOrders.has(o.orderId));
+    const { toCancel, toPlace } = makeOrderPlan(availableOrders, targets, tolerance);

    for (const order of toCancel) {
+      if (this.pendingCancelOrders.has(order.orderId)) continue;
      this.pendingCancelOrders.add(order.orderId);
-      try {
-        await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: order.orderId });
-        this.tradeLog.push("order", `撤销不匹配订单 ${order.side} @ ${order.price} reduceOnly=${order.reduceOnly}`);
-      } catch (error) {
-        if (isUnknownOrderError(error)) {
+      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}`
+          );
+          // 保持与原逻辑一致：成功撤销不立即修改本地 openOrders，等待订单流重建
+        },
+        () => {
          this.tradeLog.push("order", "撤销时发现订单已被成交/取消，忽略");
          this.pendingCancelOrders.delete(order.orderId);
          this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
-        } else {
+        },
+        (error) => {
          this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
          this.pendingCancelOrders.delete(order.orderId);
          // 避免同一轮内重复操作同一张已出错的本地挂单，直接从本地缓存移除，等待下一次订单推送重建
          this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
        }
-      }
+      );
    }

-    for (const index of unmatched) {
-      const target = targets[index];
+    for (const target of toPlace) {
      if (!target) continue;
      if (target.amount < EPS) continue;
      try {
@@ -471,20 +440,10 @@ export class OffsetMakerEngine {
    }
    this.entryPricePendingLogged = false;

-    const pnl = position.positionAmt > 0
-      ? (bidPrice - position.entryPrice) * absPosition
-      : (position.entryPrice - askPrice) * absPosition;
-    const unrealized = Number.isFinite(position.unrealizedProfit)
-      ? position.unrealizedProfit
-      : null;
-    const derivedLoss = pnl < -this.config.lossLimit;
-    const snapshotLoss = Boolean(
-      unrealized != null &&
-        unrealized < -this.config.lossLimit &&
-        pnl <= 0
-    );
+    const pnl = computePositionPnl(position, bidPrice, askPrice);
+    const triggerStop = shouldStopLoss(position, bidPrice, askPrice, this.config.lossLimit);

-    if (derivedLoss || snapshotLoss) {
+    if (triggerStop) {
      this.tradeLog.push(
        "stop",
        `触发止损，方向=${position.positionAmt > 0 ? "多" : "空"} 当前亏损=${pnl.toFixed(4)} USDT`
@@ -522,20 +481,25 @@ export class OffsetMakerEngine {
    for (const order of this.openOrders) {
      if (this.pendingCancelOrders.has(order.orderId)) continue;
      this.pendingCancelOrders.add(order.orderId);
-      try {
-        await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: order.orderId });
-      } catch (error) {
-        if (isUnknownOrderError(error)) {
+      await safeCancelOrder(
+        this.exchange,
+        this.config.symbol,
+        order,
+        () => {
+          // 与原逻辑保持一致：成功撤销不记录日志且不修改本地 openOrders
+        },
+        () => {
          this.tradeLog.push("order", "订单已不存在，撤销跳过");
          this.pendingCancelOrders.delete(order.orderId);
          this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
-        } else {
+        },
+        (error) => {
          this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
          this.pendingCancelOrders.delete(order.orderId);
          // 与同步撤单路径保持一致，移除本地异常订单，等待订单流重建
          this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
        }
-      }
+      );
    }
  }

@@ -559,23 +523,15 @@ export class OffsetMakerEngine {

  private buildSnapshot(): OffsetMakerEngineSnapshot {
    const position = getPosition(this.accountSnapshot, this.config.symbol);
-    const bid = this.depthSnapshot?.bids?.[0]?.[0];
-    const ask = this.depthSnapshot?.asks?.[0]?.[0];
-    const bidNum = Number(bid);
-    const askNum = Number(ask);
-    const spread = Number.isFinite(bidNum) && Number.isFinite(askNum) ? askNum - bidNum : null;
-    const priceForPnl = position.positionAmt > 0 ? bidNum : askNum;
-    const pnl = Number.isFinite(priceForPnl)
-      ? (position.positionAmt > 0
-          ? (priceForPnl! - position.entryPrice) * Math.abs(position.positionAmt)
-          : (position.entryPrice - priceForPnl!) * Math.abs(position.positionAmt))
-      : 0;
+    const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
+    const spread = topBid != null && topAsk != null ? topAsk - topBid : null;
+    const pnl = computePositionPnl(position, topBid, topAsk);

    return {
      ready: this.isReady(),
      symbol: this.config.symbol,
-      topBid: Number.isFinite(bidNum) ? bidNum : null,
-      topAsk: Number.isFinite(askNum) ? askNum : null,
+      topBid: topBid,
+      topAsk: topAsk,
      spread,
      position,
      pnl,
@@ -612,13 +568,6 @@ export class OffsetMakerEngine {
  }

  private getReferencePrice(): number | null {
-    const bid = Number(this.depthSnapshot?.bids?.[0]?.[0]);
-    const ask = Number(this.depthSnapshot?.asks?.[0]?.[0]);
-    if (Number.isFinite(bid) && Number.isFinite(ask)) return (bid + ask) / 2;
-    if (this.tickerSnapshot) {
-      const last = Number(this.tickerSnapshot.lastPrice);
-      if (Number.isFinite(last)) return last;
-    }
-    return null;
+    return getMidOrLast(this.depthSnapshot, this.tickerSnapshot);
  }
 }
@@ -14,6 +14,8 @@ import {
  getSMA,
  type PositionSnapshot,
 } from "../utils/strategy";
+import { computePositionPnl } from "../utils/pnl";
+import { getTopPrices, getMidOrLast } from "../utils/price";
 import {
  marketClose,
  placeMarketOrder,
@@ -601,11 +603,7 @@ export class TrendEngine {
      : price < sma30
      ? "做空"
      : "无信号";
-    const pnl = price != null && position
-      ? (position.positionAmt > 0
-          ? (price - position.entryPrice) * Math.abs(position.positionAmt)
-          : (position.entryPrice - price) * Math.abs(position.positionAmt))
-      : 0;
+    const pnl = price != null ? computePositionPnl(position, price, price) : 0;
    return {
      ready: this.isReady(),
      symbol: this.config.symbol,
@@ -646,17 +644,7 @@ export class TrendEngine {
  }

  private getReferencePrice(): number | null {
-    if (this.tickerSnapshot) {
-      const last = Number(this.tickerSnapshot.lastPrice);
-      if (Number.isFinite(last)) return last;
-    }
-    if (this.depthSnapshot) {
-      const bid = Number(this.depthSnapshot.bids?.[0]?.[0]);
-      const ask = Number(this.depthSnapshot.asks?.[0]?.[0]);
-      if (Number.isFinite(bid) && Number.isFinite(ask)) return (bid + ask) / 2;
-    }
-    if (this.lastPrice != null && Number.isFinite(this.lastPrice)) return this.lastPrice;
-    return null;
+    return getMidOrLast(this.depthSnapshot, this.tickerSnapshot) ?? (this.lastPrice != null && Number.isFinite(this.lastPrice) ? this.lastPrice : null);
  }

 }
@@ -0,0 +1,42 @@
+import type { AsterDepth } from "../exchanges/types";
+
+export type DepthImbalance = "balanced" | "buy_dominant" | "sell_dominant";
+
+export function computeDepthStats(
+  depth: AsterDepth,
+  levels = 10,
+  ratio = 3
+): {
+  buySum: number;
+  sellSum: number;
+  skipBuySide: boolean;
+  skipSellSide: boolean;
+  imbalance: DepthImbalance;
+} {
+  const topBids = (depth.bids ?? []).slice(0, levels);
+  const topAsks = (depth.asks ?? []).slice(0, levels);
+
+  const buySum = topBids.reduce((total, level) => {
+    const qty = Number(level?.[1]);
+    return Number.isFinite(qty) ? total + qty : total;
+  }, 0);
+
+  const sellSum = topAsks.reduce((total, level) => {
+    const qty = Number(level?.[1]);
+    return Number.isFinite(qty) ? total + qty : total;
+  }, 0);
+
+  const skipSellSide = sellSum === 0 || sellSum * ratio < buySum;
+  const skipBuySide = buySum === 0 || buySum * ratio < sellSum;
+
+  let imbalance: DepthImbalance = "balanced";
+  if (buySum > sellSum * ratio) {
+    imbalance = "buy_dominant";
+  } else if (sellSum > buySum * ratio) {
+    imbalance = "sell_dominant";
+  }
+
+  return { buySum, sellSum, skipBuySide, skipSellSide, imbalance };
+}
+
+
@@ -0,0 +1,16 @@
+import type { PositionSnapshot } from "./strategy";
+
+export function computePositionPnl(
+  position: PositionSnapshot,
+  bestBid?: number | null,
+  bestAsk?: number | null
+): number {
+  const priceForPnl = position.positionAmt > 0 ? bestBid : bestAsk;
+  if (!Number.isFinite(priceForPnl as number)) return 0;
+  const absAmt = Math.abs(position.positionAmt);
+  return position.positionAmt > 0
+    ? ((priceForPnl as number) - position.entryPrice) * absAmt
+    : (position.entryPrice - (priceForPnl as number)) * absAmt;
+}
+
+
@@ -0,0 +1,19 @@
+import type { AsterDepth, AsterTicker } from "../exchanges/types";
+
+export function getTopPrices(depth?: AsterDepth | null): { topBid: number | null; topAsk: number | null } {
+  const bid = Number(depth?.bids?.[0]?.[0]);
+  const ask = Number(depth?.asks?.[0]?.[0]);
+  return {
+    topBid: Number.isFinite(bid) ? bid : null,
+    topAsk: Number.isFinite(ask) ? ask : null,
+  };
+}
+
+export function getMidOrLast(depth?: AsterDepth | null, ticker?: AsterTicker | null): number | null {
+  const { topBid, topAsk } = getTopPrices(depth);
+  if (topBid != null && topAsk != null) return (topBid + topAsk) / 2;
+  const last = Number(ticker?.lastPrice);
+  return Number.isFinite(last) ? last : null;
+}
+
+
@@ -0,0 +1,26 @@
+import type { PositionSnapshot } from "./strategy";
+
+export function shouldStopLoss(
+  position: PositionSnapshot,
+  bestBid: number,
+  bestAsk: number,
+  lossLimit: number
+): boolean {
+  const absPosition = Math.abs(position.positionAmt);
+  if (absPosition < 1e-5) return false;
+
+  const pnl = position.positionAmt > 0
+    ? (bestBid - position.entryPrice) * absPosition
+    : (position.entryPrice - bestAsk) * absPosition;
+
+  const unrealized = Number.isFinite(position.unrealizedProfit)
+    ? (position.unrealizedProfit as number)
+    : null;
+
+  const derivedLoss = pnl < -lossLimit;
+  const snapshotLoss = Boolean(unrealized != null && unrealized < -lossLimit && pnl <= 0);
+
+  return derivedLoss || snapshotLoss;
+}
+
+