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。

This commit is contained in:
discountry
2025-09-24 04:33:08 +08:00
parent 6f05ee0da3
commit 7eddc3b88c
9 changed files with 272 additions and 199 deletions
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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 };
}