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feat: 更新网格引擎，优化买卖订单处理逻辑，添加相同价格出口意图检查以避免意图冲突

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discountry
2025-10-08 04:23:30 +08:00
parent 95f07145a9
commit 8d0e9578c4
1 changed files with 16 additions and 4 deletions
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src/strategy/grid-engine.ts
+16 -4
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@@ -649,7 +649,13 @@ export class GridEngine {
this.log("info", `跳过 BUY @ ${this.formatPrice(levelPrice)}：等待对应平仓成交`); this.log("info", `跳过 BUY @ ${this.formatPrice(levelPrice)}：等待对应平仓成交`);
continue; // wait until close filled continue; // wait until close filled
} }
const key = this.getOrderKey("BUY", this.formatPrice(levelPrice), "ENTRY"); const priceStr = this.formatPrice(levelPrice);
const key = this.getOrderKey("BUY", priceStr, "ENTRY");
// If an EXIT at the same side+price is planned/active, skip ENTRY to avoid intent conflict
const exitKeySame = this.getOrderKey("BUY", priceStr, "EXIT");
if ((plannedKeyCounts.get(exitKeySame) ?? 0) >= 1 || desiredKeySet.has(exitKeySame)) {
continue;
}
const until = this.pendingKeyUntil.get(key); const until = this.pendingKeyUntil.get(key);
const nowTs = this.now(); const nowTs = this.now();
if (until && until > nowTs) { if (until && until > nowTs) {
@@ -657,7 +663,7 @@ export class GridEngine {
} }
if ((plannedKeyCounts.get(key) ?? 0) >= 1) continue; if ((plannedKeyCounts.get(key) ?? 0) >= 1) continue;
if (!desiredKeySet.has(key)) { if (!desiredKeySet.has(key)) {
desired.push({ level, side: "BUY", price: this.formatPrice(levelPrice), amount: this.config.orderSize, intent: "ENTRY" }); desired.push({ level, side: "BUY", price: priceStr, amount: this.config.orderSize, intent: "ENTRY" });
desiredKeySet.add(key); desiredKeySet.add(key);
plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1); plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1);
} }
@@ -675,7 +681,13 @@ export class GridEngine {
this.log("info", `跳过 SELL @ ${this.formatPrice(levelPrice)}：等待对应平仓成交`); this.log("info", `跳过 SELL @ ${this.formatPrice(levelPrice)}：等待对应平仓成交`);
continue; continue;
} }
const key = this.getOrderKey("SELL", this.formatPrice(levelPrice), "ENTRY"); const priceStr = this.formatPrice(levelPrice);
const key = this.getOrderKey("SELL", priceStr, "ENTRY");
// If an EXIT at the same side+price is planned/active, skip ENTRY to avoid intent conflict
const exitKeySame = this.getOrderKey("SELL", priceStr, "EXIT");
if ((plannedKeyCounts.get(exitKeySame) ?? 0) >= 1 || desiredKeySet.has(exitKeySame)) {
continue;
}
const until = this.pendingKeyUntil.get(key); const until = this.pendingKeyUntil.get(key);
const nowTs = this.now(); const nowTs = this.now();
if (until && until > nowTs) { if (until && until > nowTs) {
@@ -683,7 +695,7 @@ export class GridEngine {
} }
if ((plannedKeyCounts.get(key) ?? 0) >= 1) continue; if ((plannedKeyCounts.get(key) ?? 0) >= 1) continue;
if (!desiredKeySet.has(key)) { if (!desiredKeySet.has(key)) {
desired.push({ level, side: "SELL", price: this.formatPrice(levelPrice), amount: this.config.orderSize, intent: "ENTRY" }); desired.push({ level, side: "SELL", price: priceStr, amount: this.config.orderSize, intent: "ENTRY" });
desiredKeySet.add(key); desiredKeySet.add(key);
plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1); plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1);
} }